wehub-resource-sync
415 lines
19 KiB
C#
415 lines
19 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Tests.Indicators;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Tests.Engine.DataFeeds;
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using QuantConnect.Util;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.HistoricalData;
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using Moq;
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using NodaTime;
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namespace QuantConnect.Tests.Algorithm
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{
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[TestFixture]
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public class AlgorithmRegisterIndicatorTests
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{
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private Symbol _spy;
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private Symbol _option;
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private QCAlgorithm _algorithm;
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private IEnumerable<Type> _indicatorTestsTypes;
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[SetUp]
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public void Setup()
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{
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_algorithm = new QCAlgorithm();
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_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
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_spy = _algorithm.AddEquity("SPY").Symbol;
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_option = _algorithm.AddOption("SPY").Symbol;
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_indicatorTestsTypes =
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from type in GetType().Assembly.GetTypes()
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where type.IsPublic && !type.IsAbstract
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where
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typeof(CommonIndicatorTests<TradeBar>).IsAssignableFrom(type) ||
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typeof(CommonIndicatorTests<IBaseDataBar>).IsAssignableFrom(type) ||
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typeof(CommonIndicatorTests<IndicatorDataPoint>).IsAssignableFrom(type)
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select type;
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}
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[Test]
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public void RegistersIndicatorProperly()
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{
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var expected = 0;
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foreach (var type in _indicatorTestsTypes)
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{
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var indicatorTest = Activator.CreateInstance(type);
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if (indicatorTest is OptionBaseIndicatorTests<OptionIndicatorBase>)
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{
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var indicator = (indicatorTest as OptionBaseIndicatorTests<OptionIndicatorBase>).Indicator;
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Assert.DoesNotThrow(() => _algorithm.RegisterIndicator(_option, indicator, Resolution.Minute));
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expected++;
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}
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else if (indicatorTest is CommonIndicatorTests<IndicatorDataPoint>)
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{
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var indicator = (indicatorTest as CommonIndicatorTests<IndicatorDataPoint>).Indicator;
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Assert.DoesNotThrow(() => _algorithm.RegisterIndicator(_spy, indicator, Resolution.Minute, Field.Close));
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expected++;
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}
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else if (indicatorTest is CommonIndicatorTests<IBaseDataBar>)
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{
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var indicator = (indicatorTest as CommonIndicatorTests<IBaseDataBar>).Indicator;
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Assert.DoesNotThrow(() => _algorithm.RegisterIndicator(_spy, indicator, Resolution.Minute));
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expected++;
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}
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else if (indicatorTest is CommonIndicatorTests<TradeBar>)
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{
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var indicator = (indicatorTest as CommonIndicatorTests<TradeBar>).Indicator;
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Assert.DoesNotThrow(() => _algorithm.RegisterIndicator(_spy, indicator, Resolution.Minute));
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expected++;
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}
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else
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{
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throw new NotSupportedException($"RegistersIndicatorProperlyPython(): Unsupported indicator data type: {indicatorTest.GetType()}");
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}
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var actual = _algorithm.SubscriptionManager.Subscriptions
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.Single(s => s.TickType == LeanData.GetCommonTickType(SecurityType.Equity))
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.Consolidators.Count;
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Assert.AreEqual(expected, actual);
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}
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}
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private static TestCaseData[] IndicatorNameParameters => new[]
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{
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new TestCaseData(Symbols.SPY, "TEST", Resolution.Tick, "TEST(SPY_tick)"),
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new TestCaseData(Symbols.SPY, "TEST", Resolution.Second, "TEST(SPY_sec)"),
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new TestCaseData(Symbols.SPY, "TEST", Resolution.Minute, "TEST(SPY_min)"),
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new TestCaseData(Symbols.SPY, "TEST", Resolution.Hour, "TEST(SPY_hr)"),
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new TestCaseData(Symbols.SPY, "TEST", Resolution.Daily, "TEST(SPY_day)"),
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new TestCaseData(Symbol.Empty, "TEST", Resolution.Minute, "TEST(min)"),
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new TestCaseData(Symbol.None, "TEST", Resolution.Minute, "TEST(min)"),
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new TestCaseData(Symbol.Empty, "TEST", null, "TEST()"),
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new TestCaseData(Symbol.None, "TEST", null, "TEST()")
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};
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[Test, TestCaseSource(nameof(IndicatorNameParameters))]
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public void CreateIndicatorName(Symbol symbol, string baseName, Resolution? resolution, string expectation)
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{
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Assert.AreEqual(expectation, _algorithm.CreateIndicatorName(symbol, baseName, resolution));
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}
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[Test]
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public void PlotAndRegistersIndicatorProperlyPython()
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{
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var expected = 0;
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PyObject indicator;
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foreach (var type in _indicatorTestsTypes)
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{
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var indicatorTest = Activator.CreateInstance(type);
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if (indicatorTest is OptionBaseIndicatorTests<OptionIndicatorBase>)
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{
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indicator = (indicatorTest as OptionBaseIndicatorTests<OptionIndicatorBase>).GetIndicatorAsPyObject();
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}
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else if (indicatorTest is CommonIndicatorTests<IndicatorDataPoint>)
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{
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indicator = (indicatorTest as CommonIndicatorTests<IndicatorDataPoint>).GetIndicatorAsPyObject();
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}
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else if (indicatorTest is CommonIndicatorTests<IBaseDataBar>)
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{
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indicator = (indicatorTest as CommonIndicatorTests<IBaseDataBar>).GetIndicatorAsPyObject();
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}
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else if (indicatorTest is CommonIndicatorTests<TradeBar>)
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{
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indicator = (indicatorTest as CommonIndicatorTests<TradeBar>).GetIndicatorAsPyObject();
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}
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else
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{
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throw new NotSupportedException($"RegistersIndicatorProperlyPython(): Unsupported indicator data type: {indicatorTest.GetType()}");
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}
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Assert.DoesNotThrow(() => _algorithm.RegisterIndicator(_spy, indicator, Resolution.Minute));
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Assert.DoesNotThrow(() => _algorithm.Plot(_spy.Value, indicator));
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expected++;
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var actual = _algorithm.SubscriptionManager.Subscriptions
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.Single(s => s.TickType == LeanData.GetCommonTickType(SecurityType.Equity))
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.Consolidators.Count;
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Assert.AreEqual(expected, actual);
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}
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}
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[Test]
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public void RegisterPythonCustomIndicatorProperly()
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{
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const string code = @"
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class GoodCustomIndicator:
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def __init__(self):
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self.IsReady = True
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self.Value = 0
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def Update(self, input):
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self.Value = input.Value
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return True
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class BadCustomIndicator:
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def __init__(self):
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self.IsReady = True
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self.Value = 0
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def Updat(self, input):
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self.Value = input.Value
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return True";
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(), code);
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var goodIndicator = module.GetAttr("GoodCustomIndicator").Invoke();
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Assert.DoesNotThrow(() => _algorithm.RegisterIndicator(_spy, goodIndicator, Resolution.Minute));
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var actual = _algorithm.SubscriptionManager.Subscriptions
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.Single(s => s.TickType == LeanData.GetCommonTickType(SecurityType.Equity))
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.Consolidators.Count;
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Assert.AreEqual(1, actual);
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var badIndicator = module.GetAttr("BadCustomIndicator").Invoke();
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Assert.Throws<NotImplementedException>(() => _algorithm.RegisterIndicator(_spy, badIndicator, Resolution.Minute));
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}
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}
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[Test]
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public void RegistersIndicatorProperlyPythonScript()
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{
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const string code = @"
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from AlgorithmImports import *
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AddReference('QuantConnect.Lean.Engine')
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from QuantConnect.Lean.Engine.DataFeeds import *
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algo = QCAlgorithm()
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marketHoursDatabase = MarketHoursDatabase.FromDataFolder()
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symbolPropertiesDatabase = SymbolPropertiesDatabase.FromDataFolder()
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securityService = SecurityService(algo.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDatabase, algo, RegisteredSecurityDataTypesProvider.Null, SecurityCacheProvider(algo.Portfolio), algorithm=algo)
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algo.Securities.SetSecurityService(securityService)
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dataPermissionManager = DataPermissionManager()
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dataManager = DataManager(None, UniverseSelection(algo, securityService, dataPermissionManager, None), algo, algo.TimeKeeper, marketHoursDatabase, False, RegisteredSecurityDataTypesProvider.Null, dataPermissionManager)
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algo.SubscriptionManager.SetDataManager(dataManager)
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forex = algo.AddForex('EURUSD', Resolution.Daily)
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indicator = IchimokuKinkoHyo('EURUSD', 9, 26, 26, 52, 26, 26)
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algo.RegisterIndicator(forex.Symbol, indicator, Resolution.Daily)";
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using (Py.GIL())
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{
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Assert.DoesNotThrow(() => PyModule.FromString("RegistersIndicatorProperlyPythonScript", code));
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}
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}
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[Test]
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public void IndicatorsCanBeRegisteredWithTickDataSelectors()
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{
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var ibm = _algorithm.AddEquity("IBM", Resolution.Tick).Symbol;
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var indicator = _algorithm.Identity(ibm, Resolution.Tick, Field.BidPrice);
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var consolidator = indicator.Consolidators.Single();
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consolidator.Update(new Tick() { BidPrice = 101 });
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Assert.AreEqual(101, indicator.Current.Value);
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}
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[TestCaseSource(nameof(IndicatorUseDefaultSelectorWhenResolutionDoesNotMatchWithSelectorDataTypeTestCases))]
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public void IndicatorUseDefaultSelectorWhenDataTypeDoesNotMatchWithSelectorDataType(
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Symbol symbol,
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SecurityType securityType,
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Resolution resolution,
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Func<IBaseData, decimal> selector,
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IBaseData input,
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decimal expectedValue)
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{
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_algorithm.AddSecurity(symbol, resolution);
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var indicator = _algorithm.Identity(symbol, resolution, selector);
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var consolidator = indicator.Consolidators.Single();
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consolidator.Update(input);
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Assert.AreEqual(expectedValue, indicator.Current.Value);
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}
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[Test]
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public void IndicatorsCanBeRegisteredWithQuoteDataSelectors()
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{
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var ibm = _algorithm.AddEquity("IBM", Resolution.Minute).Symbol;
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var indicator = _algorithm.Identity(ibm, Resolution.Minute, Field.BidClose);
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var consolidator = indicator.Consolidators.Single();
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consolidator.Update(new QuoteBar() { Bid = new Bar() { Close = 101 }});
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Assert.AreEqual(101, indicator.Current.Value);
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}
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[TestCaseSource(nameof(IndicatorsCanBeWarmedUpWithDataSelectorsTestCases))]
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public void IndicatorsCanBeWarmedUpWithDataSelectors(Symbol symbol,
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SecurityType securityType,
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Resolution resolution,
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Func<IBaseData, decimal> selector,
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Slice warmUpinput,
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decimal expectedValue)
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{
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_algorithm.Settings.AutomaticIndicatorWarmUp = true;
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_algorithm.AddSecurity(symbol, resolution);
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var historyProvider = new Mock<SubscriptionDataReaderHistoryProvider>();
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historyProvider.Setup(x => x.GetHistory(It.IsAny<IEnumerable<HistoryRequest>>(), It.IsAny<DateTimeZone>())).Returns(new List<Slice>() { warmUpinput });
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_algorithm.SetHistoryProvider(historyProvider.Object);
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var indicator = _algorithm.Identity(symbol, resolution, selector);
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Assert.AreEqual(expectedValue, indicator.Current.Value);
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}
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[Test]
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public void IndicatorsCanBeRegisteredWithTradeDataSelectors()
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{
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var ibm = _algorithm.AddEquity("IBM", Resolution.Minute).Symbol;
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var indicator = _algorithm.Identity(ibm, Resolution.Minute, Field.Volume);
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var consolidator = indicator.Consolidators.Single();
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consolidator.Update(new TradeBar() { Volume = 101 });
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Assert.AreEqual(101, indicator.Current.Value);
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}
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public static object[] IndicatorUseDefaultSelectorWhenResolutionDoesNotMatchWithSelectorDataTypeTestCases =
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{
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new object[] {Symbols.IBM, SecurityType.Equity, Resolution.Tick, Field.BidClose, new Tick() { BidPrice = 101, Value = 102 }, 102m },
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new object[] {Symbols.IBM, SecurityType.Equity, Resolution.Tick, Field.Volume, new Tick() { Quantity = 101, Value = 102 }, 101m },
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new object[] {Symbols.IBM, SecurityType.Equity, Resolution.Minute, Field.BidPrice, new QuoteBar() { Value = 102, Bid = new Bar() { Close = 103 } }, 103m },
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new object[] {Symbols.IBM, SecurityType.Equity, Resolution.Minute, Field.AskPrice, new QuoteBar() { Value = 102, Ask = new Bar() { Close = 103 } }, 103m },
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new object[] {Symbols.EURGBP, SecurityType.Forex, Resolution.Minute, Field.BidPrice, new QuoteBar() { Value = 102, Bid = new Bar() { Close = 103} }, 103m },
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new object[] {Symbols.EURGBP, SecurityType.Forex, Resolution.Minute, Field.AskPrice, new QuoteBar() { Value = 102, Ask = new Bar() { Close = 103} }, 103m },
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new object[] {Symbols.SPY_C_192_Feb19_2016, SecurityType.Option, Resolution.Minute, Field.BidPrice, new QuoteBar() { Value = 102, Bid = new Bar() { Close = 103 } }, 103m },
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new object[] {Symbols.SPY_C_192_Feb19_2016, SecurityType.Option, Resolution.Minute, Field.AskPrice, new QuoteBar() { Value = 102, Ask = new Bar() { Close = 103 } }, 103m }
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};
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public static object[] IndicatorsCanBeWarmedUpWithDataSelectorsTestCases =
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{
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new object[] {Symbols.IBM, SecurityType.Equity, Resolution.Minute, Field.BidPrice, new Slice(
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new DateTime(2013, 10, 3),
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new List<BaseData>(),
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new TradeBars(),
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new QuoteBars() { new QuoteBar() { Symbol = Symbols.IBM, Bid = new Bar(){ Close = 103 } } },
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new Ticks(),
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new OptionChains(),
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new FuturesChains(),
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new Splits(),
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new Dividends(),
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new Delistings(),
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new SymbolChangedEvents(),
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new MarginInterestRates(),
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DateTime.UtcNow), 103m },
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new object[] {Symbols.Fut_SPY_Feb19_2016, SecurityType.Future, Resolution.Minute, Field.Volume, new Slice(
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new DateTime(2013, 10, 3),
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new List<BaseData>(),
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new TradeBars() { new TradeBar() { Symbol = Symbols.IBM, Volume = 103m } },
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new QuoteBars(),
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new Ticks(),
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new OptionChains(),
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new FuturesChains(),
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new Splits(),
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new Dividends(),
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new Delistings(),
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new SymbolChangedEvents(),
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new MarginInterestRates(),
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DateTime.UtcNow), 103m },
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new object[] {Symbols.IBM, SecurityType.Equity, Resolution.Minute, Field.AskPrice, new Slice(
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new DateTime(2013, 10, 3),
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new List<BaseData>(),
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new TradeBars(),
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new QuoteBars() { new QuoteBar() { Symbol = Symbols.IBM, Ask = new Bar(){ Close = 103 } } },
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new Ticks(),
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new OptionChains(),
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new FuturesChains(),
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new Splits(),
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new Dividends(),
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new Delistings(),
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new SymbolChangedEvents(),
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new MarginInterestRates(),
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DateTime.UtcNow), 103m },
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new object[] {Symbols.EURGBP, SecurityType.Forex, Resolution.Minute, Field.BidPrice, new Slice(
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new DateTime(2013, 10, 3),
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new List<BaseData>(),
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new TradeBars(),
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new QuoteBars() { new QuoteBar() { Symbol = Symbols.EURGBP, Bid = new Bar(){ Close = 103 } } },
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new Ticks(),
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new OptionChains(),
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new FuturesChains(),
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new Splits(),
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new Dividends(),
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new Delistings(),
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new SymbolChangedEvents(),
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new MarginInterestRates(),
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DateTime.UtcNow), 103m },
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new object[] {Symbols.EURGBP, SecurityType.Forex, Resolution.Minute, Field.AskPrice, new Slice(
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new DateTime(2013, 10, 3),
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new List<BaseData>(),
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new TradeBars(),
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new QuoteBars() { new QuoteBar() { Symbol = Symbols.EURGBP, Ask = new Bar(){ Close = 103 } } },
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new Ticks(),
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new OptionChains(),
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new FuturesChains(),
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new Splits(),
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new Dividends(),
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new Delistings(),
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new SymbolChangedEvents(),
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new MarginInterestRates(),
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DateTime.UtcNow), 103m },
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new object[] {Symbols.SPY_C_192_Feb19_2016, SecurityType.Option, Resolution.Minute, Field.BidPrice, new Slice(
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new DateTime(2013, 10, 3),
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new List<BaseData>(),
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new TradeBars(),
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new QuoteBars() { new QuoteBar() { Symbol = Symbols.SPY_C_192_Feb19_2016, Bid = new Bar(){ Close = 103 } } },
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new Ticks(),
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new OptionChains(),
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new FuturesChains(),
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new Splits(),
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new Dividends(),
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new Delistings(),
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new SymbolChangedEvents(),
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new MarginInterestRates(),
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DateTime.UtcNow), 103m },
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new object[] {Symbols.SPY_C_192_Feb19_2016, SecurityType.Option, Resolution.Minute, Field.AskPrice, new Slice(
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new DateTime(2013, 10, 3),
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new List<BaseData>(),
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new TradeBars(),
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new QuoteBars() { new QuoteBar() { Symbol = Symbols.EURGBP, Ask = new Bar(){ Close = 103 } } },
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new Ticks(),
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new OptionChains(),
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new FuturesChains(),
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new Splits(),
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new Dividends(),
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new Delistings(),
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new SymbolChangedEvents(),
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new MarginInterestRates(),
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DateTime.UtcNow), 103m }
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};
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}
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}
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