public void ManualUniverseSelectionModelCanBeInherited()
{
var code = @"
from clr import AddReference
AddReference('QuantConnect.Common')
from QuantConnect import Market, SecurityType, Symbol
from Selection.ManualUniverseSelectionModel import ManualUniverseSelectionModel
class MockUniverseSelectionModel(ManualUniverseSelectionModel):
def __init__(self):
super().__init__([Symbol.Create('SPY', SecurityType.Equity, Market.USA)])";
using (Py.GIL())
{
dynamic pyModel = PythonEngine
.ModuleFromString(Guid.NewGuid().ToString(), code)
.GetAttr("MockUniverseSelectionModel");
var model = new UniverseSelectionModelPythonWrapper(pyModel());
var universes = model.CreateUniverses(new QCAlgorithm()).ToList();
Assert.AreEqual(1, universes.Count);
var universe = universes.First();
var symbols = universe.SelectSymbols(DateTime.Now, null).ToList();
Assert.AreEqual(1, symbols.Count);
var expected = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var symbol = symbols.First();
Assert.AreEqual(expected, symbol);
}
}
public void FundamentalUniverseSelectionModelCanBeInherited()
{
var code = @"
from AlgorithmImports import *
from Selection.FundamentalUniverseSelectionModel import FundamentalUniverseSelectionModel
class MockUniverseSelectionModel(FundamentalUniverseSelectionModel):
def __init__(self):
super().__init__(False)
def SelectCoarse(self, algorithm, coarse):
return [Symbol.Create('SPY', SecurityType.Equity, Market.USA)]";
using (Py.GIL())
{
dynamic pyModel = PythonEngine
.ModuleFromString(Guid.NewGuid().ToString(), code)
.GetAttr("MockUniverseSelectionModel");
var model = new UniverseSelectionModelPythonWrapper(pyModel());
var universes = model.CreateUniverses(new QCAlgorithm()).ToList();
Assert.AreEqual(1, universes.Count);
var data = new BaseDataCollection();
data.Data.Add(new CoarseFundamental());
var universe = universes.First();
var symbols = universe.SelectSymbols(DateTime.Now, data).ToList();
Assert.AreEqual(1, symbols.Count);
var expected = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var symbol = symbols.First();
Assert.AreEqual(expected, symbol);
}
}
/// <summary>
/// Adds a new universe selection model
/// </summary>
/// <param name="universeSelection">Model defining universes for the algorithm to add</param>
public void AddUniverseSelection(PyObject universeSelection)
{
IUniverseSelectionModel model;
if (!universeSelection.TryConvert(out model))
{
model = new UniverseSelectionModelPythonWrapper(universeSelection);
}
AddUniverseSelection(model);
}
/// <summary>
/// Sets the universe selection model
/// </summary>
/// <param name="portfolioSelection">Model defining universes for the algorithm</param>
public void SetUniverseSelection(PyObject portfolioSelection)
{
IUniverseSelectionModel model;
if (portfolioSelection.TryConvert(out model))
{
SetUniverseSelection(model);
}
else
{
UniverseSelection = new UniverseSelectionModelPythonWrapper(portfolioSelection);
}
}
