public void OldImmediateFillModel_MarketFill_Py()
{
using (Py.GIL())
{
var module = PythonEngine.ModuleFromString(Guid.NewGuid().ToString(),
"from clr import AddReference\n" +
"AddReference(\"QuantConnect.Common\")\n" +
"from QuantConnect.Orders.Fills import ImmediateFillModel\n" +
"class CustomFillModel(ImmediateFillModel):\n" +
" def __init__(self):\n" +
" self.MarketFillWasCalled = False\n" +
" def MarketFill(self, asset, order):\n" +
" self.MarketFillWasCalled = True\n" +
" return super().MarketFill(asset, order)");
var customFillModel = module.GetAttr("CustomFillModel").Invoke();
var wrapper = new FillModelPythonWrapper(customFillModel);
var result = wrapper.Fill(new FillModelParameters(
_security,
new MarketOrder(_security.Symbol, 1, orderDateTime),
new MockSubscriptionDataConfigProvider(_config),
Time.OneHour
));
bool called;
customFillModel.GetAttr("MarketFillWasCalled").TryConvert(out called);
Assert.True(called);
Assert.IsNotNull(result);
Assert.AreEqual(OrderStatus.Filled, result.OrderEvent.Status);
}
}
public void NewFillContext_Py()
{
using (Py.GIL())
{
var module = PyModule.FromString(Guid.NewGuid().ToString(),
"from AlgorithmImports import *\n" +
"class CustomFillModel(FillModel):\n" +
" def __init__(self):\n" +
" self.FillWasCalled = False\n" +
" def Fill(self, parameters):\n" +
" self.FillWasCalled = True\n" +
" return super().Fill(parameters)");
var customFillModel = module.GetAttr("CustomFillModel").Invoke();
var wrapper = new FillModelPythonWrapper(customFillModel);
var result = wrapper.Fill(new FillModelParameters(
_security,
new MarketOrder(_security.Symbol, 1, orderDateTime),
new MockSubscriptionDataConfigProvider(_config),
Time.OneHour
));
bool called;
customFillModel.GetAttr("FillWasCalled").TryConvert(out called);
Assert.True(called);
Assert.IsNotNull(result);
Assert.AreEqual(OrderStatus.Filled, result.OrderEvent.Status);
}
}
public void OldFillModel_NewFillContextAndGetPrices_Py()
{
using (Py.GIL())
{
var module = PythonEngine.ModuleFromString(Guid.NewGuid().ToString(),
"from clr import AddReference\n" +
"AddReference(\"QuantConnect.Common\")\n" +
"from QuantConnect.Orders.Fills import FillModel, Fill\n" +
"from QuantConnect.Orders import OrderEvent\n" +
"class CustomFillModel(FillModel):\n" +
" def __init__(self):\n" +
" self.FillWasCalled = False\n" +
" self.GetPricesWasCalled = False\n" +
" def Fill(self, parameters):\n" +
" self.FillWasCalled = True\n" +
" self.Parameters = parameters\n" +
" return Fill(super().MarketFill(parameters.Security, parameters.Order))\n" +
" def GetPrices(self, asset, direction):\n" +
" self.GetPricesWasCalled = True\n" +
" return super().GetPrices(asset, direction)");
var customFillModel = module.GetAttr("CustomFillModel").Invoke();
var wrapper = new FillModelPythonWrapper(customFillModel);
var result = wrapper.Fill(new FillModelParameters(
_security,
new MarketOrder(_security.Symbol, 1, orderDateTime),
new MockSubscriptionDataConfigProvider(_config)
));
bool called;
customFillModel.GetAttr("FillWasCalled").TryConvert(out called);
Assert.True(called);
customFillModel.GetAttr("GetPricesWasCalled").TryConvert(out called);
Assert.True(called);
Assert.IsNotNull(result);
Assert.AreEqual(OrderStatus.Filled, result.OrderEvent.Status);
}
}
/// <summary>
/// Used to set the <see cref="FillModelPythonWrapper"/> instance if any
/// </summary>
public void SetPythonWrapper(FillModelPythonWrapper pythonWrapper)
{
PythonWrapper = pythonWrapper;
}
/// <summary>
/// Sets the fill model
/// </summary>
/// <param name="fillModel">Model that represents a fill model</param>
public void SetFillModel(PyObject fillModel)
{
FillModel = new FillModelPythonWrapper(fillModel);
}
