public void SetDefaultWarmUpPeriodProperly()
{
using (Py.GIL())
{
var module = PyModule.FromString(
Guid.NewGuid().ToString(),
@"
from AlgorithmImports import *
from collections import deque
class CustomSimpleMovingAverage(PythonIndicator):
def __init__(self, name, period):
self.Name = name
self.Value = 0
self.queue = deque(maxlen=period)
# Update method is mandatory
def Update(self, input):
self.queue.appendleft(input.Value)
count = len(self.queue)
self.Value = np.sum(self.queue) / count
return count == self.queue.maxlen
"
);
var pythonIndicator = module.GetAttr("CustomSimpleMovingAverage")
.Invoke("custom".ToPython(), 14.ToPython());
var indicator = new PythonIndicator(pythonIndicator);
Assert.AreEqual(0, indicator.WarmUpPeriod);
}
}
public void WarmsUpProperlyPythonIndicator()
{
using (Py.GIL())
{
var module = PyModule.FromString(
Guid.NewGuid().ToString(),
@"
from AlgorithmImports import *
from collections import deque
class CustomSimpleMovingAverage(PythonIndicator):
def __init__(self, name, period):
self.Name = name
self.Value = 0
self.queue = deque(maxlen=period)
self.WarmUpPeriod = period
# Update method is mandatory
def Update(self, input):
self.queue.appendleft(input.Value)
count = len(self.queue)
self.Value = np.sum(self.queue) / count
return count == self.queue.maxlen
"
);
var pythonIndicator = module.GetAttr("CustomSimpleMovingAverage")
.Invoke("custom".ToPython(), 14.ToPython());
var SMAWithWarmUpPeriod = new PythonIndicator(pythonIndicator);
var reference = new DateTime(2000, 1, 1, 0, 0, 0);
var period = ((IIndicatorWarmUpPeriodProvider)SMAWithWarmUpPeriod).WarmUpPeriod;
// Check the WarmUpPeriod parameter is the one defined in the constructor of the custom indicator
Assert.AreEqual(14, period);
for (var i = 0; i < period; i++)
{
SMAWithWarmUpPeriod.Update(new TradeBar()
{
Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddDays(1 + i)
});
Assert.AreEqual(i == period - 1, SMAWithWarmUpPeriod.IsReady);
}
}
}
