Example #1
0
        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)));
            }
        }
Example #2
0
        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);
            }
        }
Example #3
0
        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)));
            }
        }
Example #4
0
        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);
        }
Example #5
0
        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)));
            }
        }
Example #6
0
        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);
        }
Example #7
0
        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);
        }
Example #8
0
        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);
        }
Example #9
0
        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);
            }
        }
Example #10
0
        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);
            }
        }