wehub-resource-sync
912 lines
40 KiB
C#
912 lines
40 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 System;
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using System.Linq;
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using System.Reflection;
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using Python.Runtime;
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using NUnit.Framework;
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using QuantConnect.Research;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Data.Fundamental;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Scheduling;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Research
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{
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[TestFixture]
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public class QuantBookSelectionTests
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{
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private QuantBook _qb;
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private DateTime _end;
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private DateTime _start;
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[SetUp]
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public void Setup()
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{
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_qb = new QuantBook();
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_end = new DateTime(2014, 4, 22);
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_start = new DateTime(2014, 3, 24);
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python, true)]
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[TestCase(Language.Python, false)]
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public void UniverseSelectionData(Language language, bool flatten = false)
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{
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if (language == Language.CSharp)
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{
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var universe = _qb.AddUniverse((IEnumerable<Fundamental> fundamentals) => fundamentals.Select(x => x.Symbol));
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var history = _qb.UniverseHistory(universe, _start, _end).ToList();
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// we asked for 4 weeks, 5 work days for each week expected
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Assert.AreEqual(20, history.Count);
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Assert.IsTrue(history.All(x => x.Count() > 7000));
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Assert.IsTrue(history.All(x => x.All(fundamental => fundamental.GetType() == typeof(Fundamental))));
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}
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else
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{
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using (Py.GIL())
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{
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var testModule = PyModule.FromString("testModule",
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@"
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from AlgorithmImports import *
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def getUniverseHistory(qb, start, end):
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universe = qb.AddUniverse(lambda fundamentals: [ x.Symbol for x in fundamentals ])
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" + GetBaseImplementation(expectedCount: 7000, identation: " ", flatten: flatten));
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dynamic getUniverse = testModule.GetAttr("getUniverseHistory");
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var pyHistory = getUniverse(_qb, _start, _end);
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Console.WriteLine((string)pyHistory.to_string());
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if (flatten)
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{
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Assert.AreEqual(20, pyHistory.index.levels[0].__len__().AsManagedObject(typeof(int)));
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foreach (var date in pyHistory.index.levels[0])
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{
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var fundamentalDataCount = pyHistory.loc[date].shape[0].AsManagedObject(typeof(int));
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Assert.GreaterOrEqual(fundamentalDataCount, 7000);
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}
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}
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else
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{
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Assert.AreEqual(20, pyHistory.__len__().AsManagedObject(typeof(int)));
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for (var i = 0; i < 20; i++)
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{
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var index = pyHistory.index[i];
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var type = typeof(List<Fundamental>);
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var fundamental = (List<Fundamental>)pyHistory.loc[index].AsManagedObject(type);
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Assert.GreaterOrEqual(fundamental.Count, 7000);
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}
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}
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}
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}
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}
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[TestCase(Language.CSharp, false)]
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[TestCase(Language.Python, false, true)]
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[TestCase(Language.Python, false, false)]
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[TestCase(Language.CSharp, true)]
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[TestCase(Language.Python, true, true)]
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[TestCase(Language.Python, true, false)]
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public void UniverseSelection(Language language, bool useUniverseUnchanged, bool flatten = false)
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{
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var selectionState = false;
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if (language == Language.CSharp)
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{
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var universe = _qb.AddUniverse((IEnumerable<Fundamental> fundamentals) =>
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{
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if (!useUniverseUnchanged || !selectionState)
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{
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selectionState = true;
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return new[] { Symbols.AAPL };
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}
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// after the first call we will return 'unchanged' if 'useUniverseUnchanged' is true
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return Universe.Unchanged;
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});
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var history = _qb.UniverseHistory(universe, _start, _end).ToList();
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// we asked for 4 weeks, 5 work days for each week expected
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Assert.AreEqual(20, history.Count);
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Assert.IsTrue(history.All(x => x.Count() == 1));
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Assert.IsTrue(history.All(x => x.Single().Symbol == Symbols.AAPL));
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Assert.IsTrue(history.All(x => x.All(fundamental => fundamental.GetType() == typeof(Fundamental))));
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}
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else
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{
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using (Py.GIL())
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{
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dynamic testModule = PyModule.FromString("testModule",
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@"
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from AlgorithmImports import *
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class Test():
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def __init__(self, useUniverseUnchanged):
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self.useUniverseUnchanged = useUniverseUnchanged
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self.state = False
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def selection(self, fundamentals):
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if not self.useUniverseUnchanged or not self.state:
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self.state = True
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return [ x.Symbol for x in fundamentals if x.Symbol.Value == ""AAPL"" ]
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return Universe.Unchanged
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def getUniverseHistory(self, qb, start, end):
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universe = qb.add_universe(self.selection)
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" + GetBaseImplementation(expectedCount: 1, identation: " ", flatten: flatten)).GetAttr("Test");
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var instance = testModule(useUniverseUnchanged);
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var pyHistory = instance.getUniverseHistory(_qb, _start, _end);
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if (flatten)
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{
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Assert.AreEqual(20, pyHistory.index.levels[0].__len__().AsManagedObject(typeof(int)));
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foreach (var date in pyHistory.index.levels[0])
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{
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var fundamentalData = pyHistory.loc[date];
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var fundamentalDataCount = fundamentalData.shape[0].AsManagedObject(typeof(int));
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Assert.GreaterOrEqual(fundamentalDataCount, 1);
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Assert.AreEqual(Symbols.AAPL, fundamentalData.index[0].AsManagedObject(typeof(Symbol)));
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}
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}
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else
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{
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Assert.AreEqual(20, pyHistory.__len__().AsManagedObject(typeof(int)));
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for (var i = 0; i < 20; i++)
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{
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var index = pyHistory.index[i];
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var series = pyHistory.loc[index];
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var type = typeof(Fundamental[]);
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var fundamental = (Fundamental[])series.AsManagedObject(type);
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Assert.GreaterOrEqual(fundamental.Length, 1);
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Assert.AreEqual(Symbols.AAPL, fundamental[0].Symbol);
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}
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}
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}
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}
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python, true)]
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[TestCase(Language.Python, false)]
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public void UniverseSelectionWithDateRule(Language language, bool flatten = false)
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{
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if (language == Language.CSharp)
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{
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var universe = _qb.AddUniverse((IEnumerable<Fundamental> fundamentals) =>
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{
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return new[] { Symbols.AAPL };
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});
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var history = _qb.UniverseHistory(universe, _start, _end, _qb.DateRules.WeekEnd()).ToList();
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Assert.AreEqual(4, history.Count);
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Assert.IsTrue(history.All(x => x.Count() == 1));
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Assert.IsTrue(history.All(x => x.Single().Symbol == Symbols.AAPL));
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Assert.IsTrue(history.All(x => x.All(fundamental => fundamental.GetType() == typeof(Fundamental))));
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}
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else
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{
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using (Py.GIL())
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{
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dynamic testModule = PyModule.FromString("testModule", @"
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from AlgorithmImports import *
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class Test():
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def selection(self, fundamentals):
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return [ x.Symbol for x in fundamentals if x.Symbol.Value == ""AAPL"" ]
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def getUniverseHistory(self, qb, start, end, flatten):
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universe = qb.add_universe(self.selection)
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universeDataPerTime = qb.universe_history(universe, start, end, date_rule = qb.date_rules.week_end(), flatten=flatten)
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if flatten:
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for date in universeDataPerTime.index.levels[0]:
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dateUniverseData = universeDataPerTime.loc[date]
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dataPointCount = dateUniverseData.shape[0]
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if dataPointCount < 1:
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raise ValueError(f'Unexpected historical Fundamentals data count {dataPointCount}! Expected > 0')
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else:
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for universeDataCollection in universeDataPerTime:
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dataPointCount = 0
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for fundamental in universeDataCollection:
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dataPointCount += 1
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if type(fundamental) is not Fundamental:
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raise ValueError(f""Unexpected Fundamentals data type {type(fundamental)}! {str(fundamental)}"")
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if dataPointCount < 1:
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raise ValueError(f""Unexpected historical Fundamentals data count {dataPointCount}! Expected > expectedCount"")
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return universeDataPerTime
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").GetAttr("Test");
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var instance = testModule();
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var pyHistory = instance.getUniverseHistory(_qb, _start, _end, flatten);
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if (flatten)
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{
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Assert.AreEqual(4, pyHistory.index.levels[0].__len__().AsManagedObject(typeof(int)));
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foreach (var date in pyHistory.index.levels[0])
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{
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var fundamentalData = pyHistory.loc[date];
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var fundamentalDataCount = fundamentalData.shape[0].AsManagedObject(typeof(int));
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Assert.GreaterOrEqual(fundamentalDataCount, 1);
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Assert.AreEqual(Symbols.AAPL, fundamentalData.index[0].AsManagedObject(typeof(Symbol)));
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}
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}
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else
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{
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Assert.AreEqual(4, pyHistory.__len__().AsManagedObject(typeof(int)));
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for (var i = 0; i < 4; i++)
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{
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var index = pyHistory.index[i];
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var series = pyHistory.loc[index];
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var type = typeof(Fundamental[]);
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var fundamental = (Fundamental[])series.AsManagedObject(type);
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Assert.GreaterOrEqual(fundamental.Length, 1);
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Assert.AreEqual(Symbols.AAPL, fundamental[0].Symbol);
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}
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}
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}
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}
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python, true)]
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[TestCase(Language.Python, false)]
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public void UniverseSelectionEtf(Language language, bool flatten = false)
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{
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_start = new DateTime(2020, 12, 1);
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_end = new DateTime(2021, 1, 31);
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var selectionState = false;
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if (language == Language.CSharp)
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{
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var spy = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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var universe = _qb.Universe.ETF(spy, _qb.UniverseSettings, (IEnumerable<ETFConstituentUniverse> etfConstituents) =>
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{
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if (!selectionState)
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{
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selectionState = true;
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return new[] { Symbols.AAPL };
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}
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// after the first call we will return 'unchanged' if 'useUniverseUnchanged' is true
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return Universe.Unchanged;
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});
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var history = _qb.UniverseHistory(universe, _start, _end).ToList();
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// we asked for 2 weeks, 5 work days for each week expected
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Assert.AreEqual(41, history.Count);
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Assert.IsTrue(history.All(x => x.Count() == 1));
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Assert.IsTrue(history.All(x => x.Single().Symbol == Symbols.AAPL));
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Assert.IsTrue(history.All(x => x.All(fundamental => fundamental.GetType() == typeof(ETFConstituentUniverse))));
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}
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else
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{
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using (Py.GIL())
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{
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dynamic testModule = PyModule.FromString("testModule",
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@"
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from AlgorithmImports import *
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class Test():
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def __init__(self):
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self.state = False
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def selection(self, etfConstituents):
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if not self.state:
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self.state = True
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return [ x.Symbol for x in etfConstituents if x.Symbol.Value == ""AAPL"" ]
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return Universe.Unchanged
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def getUniverseHistory(self, qb, start, end, flatten):
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universe = qb.add_universe(qb.universe.etf(""SPY"", Market.USA, qb.universe_settings, self.selection))
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universeDataPerTime = qb.universe_history(universe, start, end, flatten=flatten)
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if flatten:
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for date in universeDataPerTime.index.levels[0]:
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dateUniverseData = universeDataPerTime.loc[date]
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dataPointCount = dateUniverseData.shape[0]
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if dataPointCount < 1:
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raise ValueError(f""Unexpected historical Fundamentals data count {dataPointCount}! Expected > 0"")
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else:
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for universeDataCollection in universeDataPerTime:
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dataPointCount = 0
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for etfConstituent in universeDataCollection:
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dataPointCount += 1
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if type(etfConstituent) is not ETFConstituentUniverse:
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raise ValueError(f""Unexpected data type {type(etfConstituent)}! {str(ETFConstituentUniverse)}"")
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if dataPointCount < 1:
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raise ValueError(f""Unexpected historical Fundamentals data count {dataPointCount}! Expected > expectedCount"")
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return universeDataPerTime
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").GetAttr("Test");
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var instance = testModule();
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var pyHistory = instance.getUniverseHistory(_qb, _start, _end, flatten);
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if (flatten)
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{
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Assert.AreEqual(41, pyHistory.index.levels[0].__len__().AsManagedObject(typeof(int)));
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foreach (var date in pyHistory.index.levels[0])
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{
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var fundamentalData = pyHistory.loc[date];
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var fundamentalDataCount = fundamentalData.shape[0].AsManagedObject(typeof(int));
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Assert.GreaterOrEqual(fundamentalDataCount, 1);
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Assert.AreEqual(Symbols.AAPL, fundamentalData.index[0].AsManagedObject(typeof(Symbol)));
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}
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}
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else
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{
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Assert.AreEqual(41, pyHistory.__len__().AsManagedObject(typeof(int)));
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for (var i = 0; i < 41; i++)
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{
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var index = pyHistory.index[i];
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var series = pyHistory.loc[index];
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var type = typeof(ETFConstituentUniverse[]);
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var etfConstituent = (ETFConstituentUniverse[])series.AsManagedObject(type);
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Assert.GreaterOrEqual(etfConstituent.Length, 1);
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Assert.AreEqual(Symbols.AAPL, etfConstituent[0].Symbol);
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}
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}
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}
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}
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python, true)]
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[TestCase(Language.Python, false)]
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public void UniverseSelectionData_BackwardsCompatibility(Language language, bool flatten = false)
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{
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if (language == Language.CSharp)
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{
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var history = _qb.UniverseHistory<Fundamentals, Fundamental>(_start, _end).ToList();
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// we asked for 4 weeks, 5 work days for each week expected
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Assert.AreEqual(20, history.Count);
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Assert.IsTrue(history.All(x => x.Count() > 7000));
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Assert.IsTrue(history.All(x => x.All(fundamental => fundamental.GetType() == typeof(Fundamental))));
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}
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else
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{
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using (Py.GIL())
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{
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var testModule = PyModule.FromString("testModule",
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@"
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from AlgorithmImports import *
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def getUniverseHistory(qb, start, end, flatten):
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return qb.universe_history(Fundamentals, start, end, flatten=flatten)
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");
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dynamic getUniverse = testModule.GetAttr("getUniverseHistory");
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var pyHistory = getUniverse(_qb, _start, _end, flatten);
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if (flatten)
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{
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Assert.AreEqual(20, pyHistory.index.levels[0].__len__().AsManagedObject(typeof(int)));
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foreach (var date in pyHistory.index.levels[0])
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{
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var fundamentalDataCount = pyHistory.loc[date].shape[0].AsManagedObject(typeof(int));
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Assert.GreaterOrEqual(fundamentalDataCount, 7000);
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}
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}
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else
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{
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Assert.AreEqual(20, pyHistory.__len__().AsManagedObject(typeof(int)));
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for (var i = 0; i < 20; i++)
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{
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var index = pyHistory.index[i];
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var type = typeof(List<Fundamental>);
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var fundamental = (List<Fundamental>)pyHistory.loc[index].AsManagedObject(type);
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Assert.GreaterOrEqual(fundamental.Count, 7000);
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}
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}
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}
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}
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}
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[TestCase(Language.CSharp, false)]
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[TestCase(Language.Python, false, true)]
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[TestCase(Language.Python, false, false)]
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[TestCase(Language.CSharp, true)]
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[TestCase(Language.Python, true, true)]
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[TestCase(Language.Python, true, false)]
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public void UniverseSelection_BackwardsCompatibility(Language language, bool useUniverseUnchanged, bool flatten = false)
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{
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var selectionState = false;
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if (language == Language.CSharp)
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{
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var history = _qb.UniverseHistory<Fundamentals, Fundamental>(_start, _end, (fundamental) =>
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{
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if (!useUniverseUnchanged || !selectionState)
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{
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selectionState = true;
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return new[] { Symbols.AAPL };
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}
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// after the first call we will return 'unchanged' if 'useUniverseUnchanged' is true
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return Universe.Unchanged;
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}).ToList();
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// we asked for 4 weeks, 5 work days for each week expected
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Assert.AreEqual(20, history.Count);
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Assert.IsTrue(history.All(x => x.Count() == 1));
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Assert.IsTrue(history.All(x => x.Single().Symbol == Symbols.AAPL));
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Assert.IsTrue(history.All(x => x.All(fundamental => fundamental.GetType() == typeof(Fundamental))));
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}
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else
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{
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using (Py.GIL())
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{
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dynamic testModule = PyModule.FromString("testModule",
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@"
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from AlgorithmImports import *
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|
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class Test():
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def __init__(self, useUniverseUnchanged):
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self.useUniverseUnchanged = useUniverseUnchanged
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self.state = False
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def selection(self, fundamentals):
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if not self.useUniverseUnchanged or not self.state:
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self.state = True
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return [ x.Symbol for x in fundamentals if x.Symbol.Value == ""AAPL"" ]
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return Universe.Unchanged
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def getUniverseHistory(self, qb, start, end, flatten):
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return qb.universe_history(Fundamentals, start, end, self.selection, flatten=flatten)
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").GetAttr("Test");
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var instance = testModule(useUniverseUnchanged);
|
|
var pyHistory = instance.getUniverseHistory(_qb, _start, _end, flatten);
|
|
|
|
if (flatten)
|
|
{
|
|
Assert.AreEqual(20, pyHistory.index.levels[0].__len__().AsManagedObject(typeof(int)));
|
|
|
|
foreach (var date in pyHistory.index.levels[0])
|
|
{
|
|
var fundamentalData = pyHistory.loc[date];
|
|
var fundamentalDataCount = fundamentalData.shape[0].AsManagedObject(typeof(int));
|
|
|
|
Assert.GreaterOrEqual(fundamentalDataCount, 1);
|
|
Assert.AreEqual(Symbols.AAPL, fundamentalData.index[0].AsManagedObject(typeof(Symbol)));
|
|
}
|
|
}
|
|
else
|
|
{
|
|
Assert.AreEqual(20, pyHistory.__len__().AsManagedObject(typeof(int)));
|
|
|
|
for (var i = 0; i < 20; i++)
|
|
{
|
|
var index = pyHistory.index[i];
|
|
var series = pyHistory.loc[index];
|
|
var type = typeof(Fundamental[]);
|
|
var fundamental = (Fundamental[])series.AsManagedObject(type);
|
|
|
|
Assert.GreaterOrEqual(fundamental.Length, 1);
|
|
Assert.AreEqual(Symbols.AAPL, fundamental[0].Symbol);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
[TestCase(Language.CSharp)]
|
|
[TestCase(Language.Python, true)]
|
|
[TestCase(Language.Python, false)]
|
|
public void GenericUniverseSelectionIsCompatibleWithDateRule(Language language, bool flatten = false)
|
|
{
|
|
if (language == Language.CSharp)
|
|
{
|
|
var history = _qb.UniverseHistory<Fundamentals, Fundamental>(_start, _end, (fundamental) =>
|
|
{
|
|
return new[] { Symbols.AAPL };
|
|
}, _qb.DateRules.WeekEnd()).ToList();
|
|
|
|
// we asked for 4 weeks, 5 work days for each week expected
|
|
Assert.AreEqual(4, history.Count);
|
|
Assert.IsTrue(history.All(x => x.Count() == 1));
|
|
Assert.IsTrue(history.All(x => x.Single().Symbol == Symbols.AAPL));
|
|
Assert.IsTrue(history.All(x => x.All(fundamental => fundamental.GetType() == typeof(Fundamental))));
|
|
}
|
|
else
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic testModule = PyModule.FromString("testModule",
|
|
@"
|
|
from AlgorithmImports import *
|
|
|
|
class Test():
|
|
def selection(self, fundamentals):
|
|
return [ x.Symbol for x in fundamentals if x.Symbol.Value == ""AAPL"" ]
|
|
|
|
def getUniverseHistory(self, qb, start, end, flatten):
|
|
return qb.universe_history(Fundamentals, start, end, self.selection, date_rule = qb.date_rules.week_end(), flatten=flatten)
|
|
").GetAttr("Test");
|
|
|
|
var instance = testModule();
|
|
var pyHistory = instance.getUniverseHistory(_qb, _start, _end, flatten);
|
|
|
|
if (flatten)
|
|
{
|
|
Assert.AreEqual(4, pyHistory.index.levels[0].__len__().AsManagedObject(typeof(int)));
|
|
|
|
foreach (var date in pyHistory.index.levels[0])
|
|
{
|
|
var fundamentalData = pyHistory.loc[date];
|
|
var fundamentalDataCount = fundamentalData.shape[0].AsManagedObject(typeof(int));
|
|
|
|
Assert.GreaterOrEqual(fundamentalDataCount, 1);
|
|
Assert.AreEqual(Symbols.AAPL, fundamentalData.index[0].AsManagedObject(typeof(Symbol)));
|
|
}
|
|
|
|
Assert.AreEqual(4, pyHistory.__len__().AsManagedObject(typeof(int)));
|
|
}
|
|
else
|
|
{
|
|
Assert.AreEqual(4, pyHistory.__len__().AsManagedObject(typeof(int)));
|
|
|
|
for (var i = 0; i < 4; i++)
|
|
{
|
|
var index = pyHistory.index[i];
|
|
var series = pyHistory.loc[index];
|
|
var type = typeof(Fundamental[]);
|
|
var fundamental = (Fundamental[])series.AsManagedObject(type);
|
|
|
|
Assert.GreaterOrEqual(fundamental.Length, 1);
|
|
Assert.AreEqual(Symbols.AAPL, fundamental[0].Symbol);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void MonthlyEndGenericUniverseSelectionWorksAsExpected()
|
|
{
|
|
var history = _qb.UniverseHistory<Fundamentals, Fundamental>(
|
|
new DateTime(2014, 3, 24),
|
|
new DateTime(2014, 4, 7),
|
|
(fundamental) =>
|
|
{
|
|
return new[] { Symbols.AAPL };
|
|
},
|
|
_qb.DateRules.MonthEnd(Symbols.AAPL)).ToList();
|
|
var lastDayOfMonth = history.Select(x => x.First()).Select(x => x.EndTime).First();
|
|
Assert.IsNotNull(lastDayOfMonth);
|
|
Assert.AreEqual(new DateTime(2014, 3, 29), lastDayOfMonth);
|
|
}
|
|
|
|
[Test]
|
|
public void MonthlyStartGenericUniverseSelectionWorksAsExpected()
|
|
{
|
|
var history = _qb.UniverseHistory<Fundamentals, Fundamental>(
|
|
new DateTime(2014, 3, 24),
|
|
new DateTime(2014, 4, 7),
|
|
(fundamental) =>
|
|
{
|
|
return new[] { Symbols.AAPL };
|
|
},
|
|
_qb.DateRules.MonthStart(Symbols.AAPL)).ToList();
|
|
var firstDayOfMonth = history.Select(x => x.First()).Select(x => x.EndTime).First();
|
|
Assert.IsNotNull(firstDayOfMonth);
|
|
Assert.AreEqual(new DateTime(2014, 4, 1), firstDayOfMonth);
|
|
}
|
|
|
|
[Test]
|
|
public void MonthlyEndSelectionWorksAsExpected()
|
|
{
|
|
var universe = _qb.AddUniverse((IEnumerable<Fundamental> fundamentals) =>
|
|
{
|
|
return new[] { Symbols.AAPL };
|
|
});
|
|
var history = _qb.UniverseHistory(universe, new DateTime(2014, 3, 15), new DateTime(2014, 4, 7), _qb.DateRules.MonthEnd(Symbols.AAPL)).ToList();
|
|
var lastDayOfMonth = history.Select(x => x.First()).Select(x => x.EndTime).First();
|
|
Assert.IsNotNull(lastDayOfMonth);
|
|
Assert.AreEqual(new DateTime(2014, 3, 29), lastDayOfMonth);
|
|
}
|
|
|
|
[Test]
|
|
public void MonthlyStartSelectionWorksAsExpected()
|
|
{
|
|
var universe = _qb.AddUniverse((IEnumerable<Fundamental> fundamentals) =>
|
|
{
|
|
return new[] { Symbols.AAPL };
|
|
});
|
|
var history = _qb.UniverseHistory(universe, new DateTime(2014, 3, 15), new DateTime(2014, 4, 7), _qb.DateRules.MonthStart(Symbols.AAPL)).ToList();
|
|
var firstDayOfMonth = history.Select(x => x.First()).Select(x => x.EndTime).First();
|
|
Assert.IsNotNull(firstDayOfMonth);
|
|
Assert.AreEqual(new DateTime(2014, 4, 1), firstDayOfMonth);
|
|
}
|
|
|
|
[Test]
|
|
public void WeekendGenericUniverseSelectionWorksAsExpected()
|
|
{
|
|
var history = _qb.UniverseHistory<Fundamentals, Fundamental>(
|
|
new DateTime(2014, 3, 24),
|
|
new DateTime(2014, 4, 7),
|
|
(fundamental) =>
|
|
{
|
|
return new[] { Symbols.AAPL };
|
|
},
|
|
_qb.DateRules.Every(DayOfWeek.Wednesday)).ToList();
|
|
var dates = history.Select(x => x.First()).Select(x => x.EndTime).ToList();
|
|
Assert.IsNotNull(dates);
|
|
Assert.IsTrue(dates.All(x => x.DayOfWeek == DayOfWeek.Wednesday));
|
|
}
|
|
|
|
[Test]
|
|
public void PythonMonthlyStartGenericUniverseSelectionWorksAsExpected([Values] bool flatten)
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic testModule = PyModule.FromString("testModule",
|
|
@"
|
|
from AlgorithmImports import *
|
|
|
|
class Test():
|
|
def selection(self, fundamentals):
|
|
return [ x.Symbol for x in fundamentals if x.Symbol.Value == ""AAPL"" ]
|
|
|
|
def getUniverseHistory(self, qb, start, end, symbol, flatten):
|
|
return qb.universe_history(Fundamentals, start, end, self.selection, date_rule = qb.date_rules.month_start(symbol), flatten=flatten)
|
|
").GetAttr("Test");
|
|
|
|
var instance = testModule();
|
|
var pyHistory = instance.getUniverseHistory(_qb, new DateTime(2014, 3, 24), new DateTime(2014, 4, 7), Symbols.AAPL, flatten);
|
|
Assert.AreEqual(1, pyHistory.__len__().AsManagedObject(typeof(int)));
|
|
|
|
var firstDayOfTheMonth = pyHistory.index[0][flatten ? 0 : 1].AsManagedObject(typeof(DateTime));
|
|
Assert.AreEqual(new DateTime(2014, 4, 1), firstDayOfTheMonth);
|
|
}
|
|
}
|
|
|
|
|
|
[Test]
|
|
public void PythonMonthlyEndGenericUniverseSelectionWorksAsExpected([Values] bool flatten)
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic testModule = PyModule.FromString("testModule",
|
|
@"
|
|
from AlgorithmImports import *
|
|
|
|
class Test():
|
|
def selection(self, fundamentals):
|
|
return [ x.Symbol for x in fundamentals if x.Symbol.Value == ""AAPL"" ]
|
|
|
|
def getUniverseHistory(self, qb, start, end, symbol, flatten):
|
|
return qb.universe_history(Fundamentals, start, end, self.selection, date_rule = qb.date_rules.month_end(symbol), flatten=flatten)
|
|
").GetAttr("Test");
|
|
|
|
var instance = testModule();
|
|
var pyHistory = instance.getUniverseHistory(_qb, new DateTime(2014, 3, 24), new DateTime(2014, 4, 7), Symbols.AAPL, flatten);
|
|
Assert.AreEqual(1, pyHistory.__len__().AsManagedObject(typeof(int)));
|
|
|
|
var firstDayOfTheMonth = (pyHistory.index[0][flatten ? 0 : 1]).AsManagedObject(typeof(DateTime));
|
|
Assert.AreEqual(new DateTime(2014, 3, 29), firstDayOfTheMonth);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void PythonDailyGenericUniverseSelectionWorksAsExpected([Values] bool flatten)
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic testModule = PyModule.FromString("testModule",
|
|
@"
|
|
from AlgorithmImports import *
|
|
|
|
class Test():
|
|
def selection(self, fundamentals):
|
|
return [ x.Symbol for x in fundamentals if x.Symbol.Value == ""AAPL"" ]
|
|
|
|
def getUniverseHistory(self, qb, start, end, symbol, flatten):
|
|
return qb.universe_history(Fundamentals, start, end, self.selection, date_rule = qb.date_rules.every_day(), flatten=flatten)
|
|
").GetAttr("Test");
|
|
|
|
var instance = testModule();
|
|
var pyHistory = instance.getUniverseHistory(_qb, new DateTime(2014, 3, 24), new DateTime(2014, 4, 7), Symbols.AAPL, flatten);
|
|
|
|
if (flatten)
|
|
{
|
|
Assert.AreEqual(10, pyHistory.index.levels[0].__len__().AsManagedObject(typeof(int)));
|
|
|
|
foreach (var date in pyHistory.index.levels[0])
|
|
{
|
|
var fundamentalData = pyHistory.loc[date];
|
|
var fundamentalDataCount = fundamentalData.shape[0].AsManagedObject(typeof(int));
|
|
|
|
Assert.GreaterOrEqual(fundamentalDataCount, 1);
|
|
Assert.AreEqual(Symbols.AAPL, fundamentalData.index[0].AsManagedObject(typeof(Symbol)));
|
|
}
|
|
}
|
|
else
|
|
{
|
|
Assert.AreEqual(10, pyHistory.__len__().AsManagedObject(typeof(int)));
|
|
|
|
for (var i = 0; i < 10; i++)
|
|
{
|
|
var index = pyHistory.index[i];
|
|
var series = pyHistory.loc[index];
|
|
var type = typeof(Fundamental[]);
|
|
var fundamental = (Fundamental[])series.AsManagedObject(type);
|
|
|
|
Assert.GreaterOrEqual(fundamental.Length, 1);
|
|
Assert.AreEqual(Symbols.AAPL, fundamental[0].Symbol);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void PythonWeekendGenericUniverseSelectionWorksAsExpected([Values] bool flatten)
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic testModule = PyModule.FromString("testModule",
|
|
@"
|
|
from AlgorithmImports import *
|
|
from datetime import datetime
|
|
|
|
class Test():
|
|
def selection(self, fundamentals):
|
|
return [ x.Symbol for x in fundamentals if x.Symbol.Value == ""AAPL"" ]
|
|
|
|
def getUniverseHistory(self, qb, start, end, symbol, flatten):
|
|
return qb.universe_history(Fundamentals, start, end, self.selection,
|
|
date_rule=qb.date_rules.on(datetime(2014, 3, 30), datetime(2014, 3, 31), datetime(2014, 4, 1)),
|
|
flatten=flatten)
|
|
").GetAttr("Test");
|
|
|
|
var instance = testModule();
|
|
var pyHistory = instance.getUniverseHistory(_qb, new DateTime(2014, 3, 24), new DateTime(2014, 4, 7), Symbols.AAPL, flatten);
|
|
|
|
if (flatten)
|
|
{
|
|
Assert.AreEqual(2, pyHistory.index.levels[0].__len__().AsManagedObject(typeof(int)));
|
|
|
|
foreach (var date in pyHistory.index.levels[0])
|
|
{
|
|
var fundamentalData = pyHistory.loc[date];
|
|
var fundamentalDataCount = fundamentalData.shape[0].AsManagedObject(typeof(int));
|
|
|
|
Assert.GreaterOrEqual(fundamentalDataCount, 1);
|
|
Assert.AreEqual(Symbols.AAPL, fundamentalData.index[0].AsManagedObject(typeof(Symbol)));
|
|
}
|
|
}
|
|
else
|
|
{
|
|
Assert.AreEqual(2, pyHistory.__len__().AsManagedObject(typeof(int)));
|
|
|
|
for (var i = 0; i < 2; i++)
|
|
{
|
|
var index = pyHistory.index[i];
|
|
var series = pyHistory.loc[index];
|
|
var type = typeof(Fundamental[]);
|
|
var fundamental = (Fundamental[])series.AsManagedObject(type);
|
|
|
|
Assert.GreaterOrEqual(fundamental.Length, 1);
|
|
Assert.AreEqual(Symbols.AAPL, fundamental[0].Symbol);
|
|
}
|
|
}
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void FilterUniverseDataFallsBackToCurrencyPairMatchingWhenSecurityTypesDiffer()
|
|
{
|
|
var eurBase = new Symbol(SecurityIdentifier.GenerateBase(typeof(Fundamental), "EUR", Market.USA), "EUR");
|
|
var gbpBase = new Symbol(SecurityIdentifier.GenerateBase(typeof(Fundamental), "GBP", Market.USA), "GBP");
|
|
var eurUsd = Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda);
|
|
|
|
// selection returns Forex — security type differs from Base data symbols
|
|
var filteredSymbols = new HashSet<Symbol> { eurUsd };
|
|
var data = new List<BaseData> { new Tick { Symbol = eurBase }, new Tick { Symbol = gbpBase } };
|
|
|
|
var filterMethod = typeof(QuantBook).GetMethod("FilterUniverseData", BindingFlags.NonPublic | BindingFlags.Static);
|
|
var result = (List<BaseData>)filterMethod.Invoke(null, new object[] { data, filteredSymbols, (SecurityType?)eurUsd.SecurityType });
|
|
|
|
// EUR matches EURUSD base currency, GBP matches neither
|
|
Assert.AreEqual(1, result.Count);
|
|
Assert.AreEqual(eurBase, result[0].Symbol);
|
|
}
|
|
|
|
[Test]
|
|
public void PerformSelectionDoesNotSkipDataPointWhenPreviousDataPointIsYielded()
|
|
{
|
|
var historyDataPoints = new List<BaseDataCollection>()
|
|
{
|
|
new BaseDataCollection(new DateTime(2024, 10, 14), Symbols.AAPL),
|
|
new BaseDataCollection(new DateTime(2024, 10, 15), Symbols.AAPL),
|
|
new BaseDataCollection(new DateTime(2024, 10, 17), Symbols.AAPL),
|
|
new BaseDataCollection(new DateTime(2024, 10, 22), Symbols.AAPL),
|
|
};
|
|
|
|
var dateRule = _qb.DateRules.On(new DateTime(2024, 10, 14), new DateTime(2024, 10, 16), new DateTime(2024, 10, 18));
|
|
var selectedDates = QuantBookTestClass.PerformSelection(historyDataPoints, new DateTime(2024, 10, 14), new DateTime(2024, 10, 22), dateRule).Select(x => x.EndTime).ToList();
|
|
|
|
for (int index = 0; index < 3; index++)
|
|
{
|
|
Assert.AreEqual(historyDataPoints[index].EndTime, selectedDates[index]);
|
|
}
|
|
}
|
|
|
|
private static string GetBaseImplementation(int expectedCount, string identation, bool flatten = true)
|
|
{
|
|
if (flatten)
|
|
{
|
|
return @"
|
|
{identation}universe_data_df = qb.universe_history(universe, start, end, flatten=True)
|
|
{identation}for date in universe_data_df.index.levels[0]:
|
|
{identation} dateUniverseData = universe_data_df.loc[date]
|
|
{identation} dataPointCount = dateUniverseData.shape[0]
|
|
{identation} if dataPointCount < expectedCount:
|
|
{identation} raise ValueError(f""Unexpected historical Fundamentals data count {dataPointCount}! Expected > expectedCount"")
|
|
{identation}return universe_data_df
|
|
".Replace("expectedCount", expectedCount.ToStringInvariant(), StringComparison.InvariantCulture)
|
|
.Replace("{identation}", identation, StringComparison.InvariantCulture);
|
|
}
|
|
|
|
return @"
|
|
{identation}universeDataPerTime = qb.universe_history(universe, start, end)
|
|
{identation}for universeDataCollection in universeDataPerTime:
|
|
{identation} dataPointCount = 0
|
|
{identation} for fundamental in universeDataCollection:
|
|
{identation} dataPointCount += 1
|
|
{identation} if type(fundamental) is not Fundamental:
|
|
{identation} raise ValueError(f""Unexpected Fundamentals data type {type(fundamental)}! {str(fundamental)}"")
|
|
{identation} if dataPointCount < expectedCount:
|
|
{identation} raise ValueError(f""Unexpected historical Fundamentals data count {dataPointCount}! Expected > expectedCount"")
|
|
{identation}return universeDataPerTime
|
|
".Replace("expectedCount", expectedCount.ToStringInvariant(), StringComparison.InvariantCulture)
|
|
.Replace("{identation}", identation, StringComparison.InvariantCulture);
|
|
}
|
|
|
|
private class QuantBookTestClass : QuantBook
|
|
{
|
|
public static IEnumerable<BaseDataCollection> PerformSelection(IEnumerable<BaseDataCollection> history, DateTime start, DateTime end, IDateRule dateRule)
|
|
{
|
|
Func<BaseDataCollection, BaseDataCollection> processDataPointFunction = dataPoint => dataPoint;
|
|
Func<BaseDataCollection, DateTime> getTime = dataPoint => dataPoint.EndTime.Date;
|
|
return PerformSelection<BaseDataCollection, BaseDataCollection>(history, processDataPointFunction, getTime, start, end, dateRule);
|
|
}
|
|
}
|
|
}
|
|
}
|