wehub-resource-sync
77 lines
2.5 KiB
C#
77 lines
2.5 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 aaplicable 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.Framework.Portfolio;
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using System;
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namespace QuantConnect.Tests.Algorithm.Framework.Portfolio;
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[TestFixture]
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public class PortfolioOptimizerPythonWrapperTests
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{
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[Test]
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public void OptimizeIsCalled()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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@$"
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from AlgorithmImports import *
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class CustomPortfolioOptimizer:
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def __init__(self):
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self.OptimizeWasCalled = False
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def Optimize(self, historicalReturns, expectedReturns = None, covariance = None):
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self.OptimizeWasCalled= True");
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var pyCustomOptimizer = module.GetAttr("CustomPortfolioOptimizer").Invoke();
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var wrapper = new PortfolioOptimizerPythonWrapper(pyCustomOptimizer);
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var historicalReturns = new double[,] { { -0.50, -0.13 }, { 0.81, 0.31 }, { -0.02, 0.01 } };
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wrapper.Optimize(historicalReturns);
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pyCustomOptimizer
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.GetAttr("OptimizeWasCalled")
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.TryConvert(out bool optimizerWasCalled);
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Assert.IsTrue(optimizerWasCalled);
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}
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}
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[Test]
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public void WrapperThrowsIfOptimizerDoesNotImplementInterface()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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@$"
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from AlgorithmImports import *
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class CustomPortfolioOptimizer:
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def __init__(self):
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self.OptimizeWasCalled = False
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def Calculate(self, historicalReturns, expectedReturns = None, covariance = None):
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pass");
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var pyCustomOptimizer = module.GetAttr("CustomPortfolioOptimizer").Invoke();
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Assert.Throws<NotImplementedException>(() => new PortfolioOptimizerPythonWrapper(pyCustomOptimizer));
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}
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}
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}
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