wehub-resource-sync
66 lines
2.5 KiB
C#
66 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 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.Collections.Generic;
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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.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Selection;
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namespace QuantConnect.Tests.Algorithm.Framework.Alphas
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{
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[TestFixture]
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public class BasePairsTradingAlphaModelTests : CommonAlphaModelTests
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{
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private const int _lookback = 15;
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private const Resolution _resolution = Resolution.Minute;
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protected override int MaxSliceCount => 1500;
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protected override IAlphaModel CreateCSharpAlphaModel()
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{
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return new BasePairsTradingAlphaModel(_lookback, _resolution);
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}
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protected override void InitializeAlgorithm(QCAlgorithm algorithm)
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{
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algorithm.SetUniverseSelection(new ManualUniverseSelectionModel(
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Symbol.Create("AIG", SecurityType.Equity, Market.USA),
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Symbol.Create("BAC", SecurityType.Equity, Market.USA)));
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}
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protected override string GetExpectedModelName(IAlphaModel model)
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{
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return $"{nameof(BasePairsTradingAlphaModel)}({_lookback},{_resolution},1)";
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}
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protected override IAlphaModel CreatePythonAlphaModel()
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{
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using (Py.GIL())
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{
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dynamic model = Py.Import("BasePairsTradingAlphaModel").GetAttr("BasePairsTradingAlphaModel");
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var instance = model(_lookback, _resolution);
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return new AlphaModelPythonWrapper(instance);
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}
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}
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protected override IEnumerable<Insight> ExpectedInsights()
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{
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Assert.Ignore("The CommonAlphaModelTests need to be refactored to support multiple securities with different prices for each security");
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return null;
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}
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}
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} |