public void AddAlphaModel(Language language)
{
IAlphaModel model;
IAlphaModel model2 = null;
IAlphaModel model3 = null;
if (!TryCreateModel(language, out model) ||
!TryCreateModel(language, out model2) ||
!TryCreateModel(language, out model3))
{
Assert.Ignore($"Ignore {GetType().Name}: Could not create {language} model.");
}
// Set the alpha model
Algorithm.SetAlpha(model);
Algorithm.AddAlpha(model2);
Algorithm.AddAlpha(model3);
Algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
var changes = new SecurityChanges(AddedSecurities, RemovedSecurities);
Algorithm.OnFrameworkSecuritiesChanged(changes);
var actualInsights = new List <Insight>();
Algorithm.InsightsGenerated += (s, e) => actualInsights.AddRange(e.Insights);
var expectedInsights = ExpectedInsights().ToList();
var consolidators = Algorithm.Securities.SelectMany(kvp => kvp.Value.Subscriptions).SelectMany(x => x.Consolidators);
var slices = CreateSlices();
foreach (var slice in slices.ToList())
{
Algorithm.SetDateTime(slice.Time);
foreach (var symbol in slice.Keys)
{
var data = slice[symbol];
Algorithm.Securities[symbol].SetMarketPrice(data);
foreach (var consolidator in consolidators)
{
consolidator.Update(data);
}
}
Algorithm.OnFrameworkData(slice);
}
Assert.AreEqual(expectedInsights.Count * 3, actualInsights.Count);
for (var i = 0; i < actualInsights.Count; i = i + 3)
{
var expected = expectedInsights[i / 3];
for (int j = i; j < 3; j++)
{
var actual = actualInsights[j];
Assert.AreEqual(expected.Symbol, actual.Symbol);
Assert.AreEqual(expected.Type, actual.Type);
Assert.AreEqual(expected.Direction, actual.Direction);
Assert.AreEqual(expected.Period, actual.Period);
Assert.AreEqual(expected.Magnitude, actual.Magnitude);
Assert.AreEqual(expected.Confidence, actual.Confidence);
}
}
}