public void PythonGetCustomData_Iterate()
{
using (Py.GIL())
{
dynamic test = PythonEngine.ModuleFromString("testModule",
@"
from AlgorithmImports import *
def Test(slice):
data = slice.Get(UnlinkedData)
count = 0
for singleData in data:
count += 1
if count != 2:
raise Exception('Unexpected value')").GetAttr("Test");
var unlinkedDataSpy = new UnlinkedData {
Symbol = Symbols.SPY, Time = DateTime.Now, Value = 10
};
var unlinkedDataAapl = new UnlinkedData {
Symbol = Symbols.AAPL, Time = DateTime.Now, Value = 11
};
var slice = new Slice(DateTime.Now, new[] { unlinkedDataSpy, unlinkedDataAapl });
Assert.DoesNotThrow(() => test(new PythonSlice(slice)));
}
}
public void PythonGetTradeBar()
{
using (Py.GIL())
{
dynamic test = PythonEngine.ModuleFromString("testModule",
@"
from AlgorithmImports import *
def Test(slice):
data = slice.Get(TradeBar)
return data").GetAttr("Test");
var TradeBarSpy = new TradeBar {
Symbol = Symbols.SPY, Time = DateTime.Now, Value = 8
};
var TradeBarAapl = new TradeBar {
Symbol = Symbols.AAPL, Time = DateTime.Now, Value = 9
};
var unlinkedDataSpy = new UnlinkedData {
Symbol = Symbols.SPY, Time = DateTime.Now, Value = 10
};
var unlinkedDataAapl = new UnlinkedData {
Symbol = Symbols.AAPL, Time = DateTime.Now, Value = 11
};
var slice = new Slice(DateTime.Now, new BaseData[] { unlinkedDataSpy, TradeBarAapl, unlinkedDataAapl, TradeBarSpy });
var data = test(new PythonSlice(slice));
Assert.AreEqual(2, (int)data.Count);
Assert.AreEqual(8, (int)data[Symbols.SPY].Value);
Assert.AreEqual(9, (int)data[Symbols.AAPL].Value);
}
}
public void PythonGetAndSymbolTradeBar()
{
using (Py.GIL())
{
dynamic test = PythonEngine.ModuleFromString("testModule",
@"
from AlgorithmImports import *
from QuantConnect.Tests import *
def Test(slice):
data = slice.Get(TradeBar, Symbols.AAPL)
value = data.Value
if value != 9:
raise Exception('Unexpected value')").GetAttr("Test");
var TradeBarSpy = new TradeBar {
Symbol = Symbols.SPY, Time = DateTime.Now, Value = 8
};
var TradeBarAapl = new TradeBar {
Symbol = Symbols.AAPL, Time = DateTime.Now, Value = 9
};
var unlinkedDataSpy = new UnlinkedData {
Symbol = Symbols.SPY, Time = DateTime.Now, Value = 10
};
var unlinkedDataAapl = new UnlinkedData {
Symbol = Symbols.AAPL, Time = DateTime.Now, Value = 11
};
var slice = new Slice(DateTime.Now, new BaseData[] { unlinkedDataSpy, TradeBarAapl, unlinkedDataAapl, TradeBarSpy });
Assert.DoesNotThrow(() => test(new PythonSlice(slice)));
}
}
public void AccessesByDataType()
{
var now = DateTime.UtcNow;
var tradeBar = new TradeBar {
Symbol = Symbols.SPY, Time = now
};
var unlinkedData = new UnlinkedData {
Symbol = Symbols.SPY, Time = now
};
var quoteBar = new QuoteBar {
Symbol = Symbols.SPY, Time = now
};
var tick = new Tick(now, Symbols.SPY, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var openInterest = new OpenInterest(now, Symbols.SPY, 1);
var split = new Split(Symbols.SPY, now, 1, 1, SplitType.SplitOccurred);
var delisting = new Delisting(Symbols.SPY, now, 1, DelistingType.Delisted);
var slice = new Slice(now, new BaseData[] { quoteBar, tradeBar, unlinkedData, tick, split, delisting, openInterest });
Assert.AreEqual(slice.Get(typeof(TradeBar))[Symbols.SPY], tradeBar);
Assert.AreEqual(slice.Get(typeof(UnlinkedData))[Symbols.SPY], unlinkedData);
Assert.AreEqual(slice.Get(typeof(QuoteBar))[Symbols.SPY], quoteBar);
Assert.AreEqual(slice.Get(typeof(Tick))[Symbols.SPY], tick);
Assert.AreEqual(slice.Get(typeof(Split))[Symbols.SPY], split);
Assert.AreEqual(slice.Get(typeof(Delisting))[Symbols.SPY], delisting);
Assert.AreEqual(slice.Get(typeof(OpenInterest))[Symbols.SPY], openInterest);
}
public void PythonGetBySymbolCustomData()
{
using (Py.GIL())
{
dynamic test = PythonEngine.ModuleFromString("testModule",
@"
from AlgorithmImports import *
from QuantConnect.Tests import *
def Test(slice):
data = slice.Get(UnlinkedData)
value = data[Symbols.AAPL].Value
if value != 11:
raise Exception('Unexpected value')").GetAttr("Test");
var unlinkedDataSpy = new UnlinkedData {
Symbol = Symbols.SPY, Time = DateTime.Now, Value = 10
};
var unlinkedDataAapl = new UnlinkedData {
Symbol = Symbols.AAPL, Time = DateTime.Now, Value = 11
};
var slice = new Slice(DateTime.Now, new[] { unlinkedDataSpy, unlinkedDataAapl });
Assert.DoesNotThrow(() => test(new PythonSlice(slice)));
}
}
public void AccessesGenericallyByTypeAndSymbol()
{
var unlinkedDataSpy = new UnlinkedData { Symbol = Symbols.SPY, Time = DateTime.Now };
var unlinkedDataAapl = new UnlinkedData { Symbol = Symbols.AAPL, Time = DateTime.Now };
var slice = new Slice(DateTime.Now, new[] { unlinkedDataSpy, unlinkedDataAapl });
var unlinkedData = slice.Get<UnlinkedData>(Symbols.SPY);
Assert.AreEqual(unlinkedDataSpy, unlinkedData);
}
public void AccessesCustomGenericallyByType()
{
var unlinkedDataSpy = new UnlinkedData { Symbol = Symbols.SPY, Time = DateTime.Now };
var unlinkedDataAapl = new UnlinkedData { Symbol = Symbols.AAPL, Time = DateTime.Now };
var slice = new Slice(DateTime.Now, new[] { unlinkedDataSpy, unlinkedDataAapl });
var unlinkedData = slice.Get<UnlinkedData>();
Assert.AreEqual(2, unlinkedData.Count);
}
public void AccessesCustomGenericallyByTypeOtherTypesPresent()
{
var tradeBar = new TradeBar { Symbol = Symbols.SPY, Time = DateTime.Now };
var unlinkedDataSpy = new UnlinkedData { Symbol = Symbols.SPY, Time = DateTime.Now };
var slice = new Slice(DateTime.Now, new BaseData[] { unlinkedDataSpy, tradeBar });
var unlinkedData = slice.Get<UnlinkedData>();
Assert.AreEqual(1, unlinkedData.Count);
}
public void PythonGetPythonCustomData()
{
using (Py.GIL())
{
dynamic testModule = PythonEngine.ModuleFromString("testModule",
@"
from AlgorithmImports import *
class CustomDataTest(PythonData):
def Reader(self, config, line, date, isLiveMode):
result = CustomDataTest()
result.Symbol = config.Symbol
result.Value = 10
return result
def GetSource(config, date, isLiveMode):
return None
class CustomDataTest2(PythonData):
def Reader(self, config, line, date, isLiveMode):
result = CustomDataTest2()
result.Symbol = config.Symbol
result.Value = 11
return result
def GetSource(config, date, isLiveMode):
return None
def Test(slice):
data = slice.Get(CustomDataTest)
return data");
var test = testModule.GetAttr("Test");
var type = Extensions.CreateType(testModule.GetAttr("CustomDataTest"));
var customDataTest = new PythonData(testModule.GetAttr("CustomDataTest")());
var config = new SubscriptionDataConfig(type, Symbols.SPY, Resolution.Daily, DateTimeZone.Utc,
DateTimeZone.Utc, false, false, false, isCustom: true);
var data1 = customDataTest.Reader(config, "something", DateTime.UtcNow, false);
var customDataTest2 = new PythonData(testModule.GetAttr("CustomDataTest2")());
var config2 = new SubscriptionDataConfig(config, Extensions.CreateType(testModule.GetAttr("CustomDataTest2")));
var data2 = customDataTest2.Reader(config2, "something2", DateTime.UtcNow, false);
var unlinkedDataSpy = new UnlinkedData {
Symbol = Symbols.SPY, Time = DateTime.UtcNow, Value = 10
};
var slice = new Slice(DateTime.UtcNow, new[] { unlinkedDataSpy, data2, data1 });
var data = test(new PythonSlice(slice));
Assert.AreEqual(1, (int)data.Count);
Assert.AreEqual(10, (int)data[Symbols.SPY].Value);
}
}
public void PythonEnumerationWorks()
{
using (Py.GIL())
{
dynamic test = PythonEngine.ModuleFromString("testModule",
@"
from AlgorithmImports import *
def Test(slice):
for dataPoint in slice:
return dataPoint").GetAttr("Test");
var unlinkedDataAapl = new UnlinkedData { Symbol = Symbols.AAPL, Time = DateTime.Now, Value = 11 };
var slice = new Slice(DateTime.Now, new[] { unlinkedDataAapl });
var data = test(new PythonSlice(slice)) as PyObject;
var keyValuePair = data.As<KeyValuePair<Symbol, BaseData>>();
Assert.IsNotNull(keyValuePair);
Assert.AreEqual(11, keyValuePair.Value.Value);
}
}