public void Initialize()
{
var pythonPath = new DirectoryInfo("../../../Algorithm.Framework/Alphas");
Environment.SetEnvironmentVariable("PYTHONPATH", pythonPath.FullName);
_algorithm = new QCAlgorithmFramework();
_algorithm.PortfolioConstruction = new NullPortfolioConstructionModel();
_algorithm.HistoryProvider = new SineHistoryProvider(_algorithm.Securities);
_algorithm.SetStartDate(2018, 1, 4);
_security = _algorithm.AddEquity(Symbols.SPY.Value, Resolution.Daily);
}
public void DoesNotReturnTargetsIfSecurityPriceIsZero(Language language)
{
var algorithm = new QCAlgorithmFramework();
algorithm.AddEquity(Symbols.SPY.Value);
algorithm.SetDateTime(DateTime.MinValue.ConvertToUtc(_algorithm.TimeZone));
SetPortfolioConstruction(language, algorithm);
var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Up, algorithm.UtcTime) };
var actualTargets = algorithm.PortfolioConstruction.CreateTargets(algorithm, insights);
Assert.AreEqual(0, actualTargets.Count());
}
public void SetsInsightGeneratedAndCloseTimes()
{
var eventFired = false;
var algo = new QCAlgorithmFramework();
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
algo.Transactions.SetOrderProcessor(new FakeOrderProcessor());
algo.InsightsGenerated += (algorithm, data) =>
{
eventFired = true;
var insights = data.Insights;
Assert.AreEqual(1, insights.Count);
Assert.IsTrue(insights.All(insight => insight.GeneratedTimeUtc != default(DateTime)));
Assert.IsTrue(insights.All(insight => insight.CloseTimeUtc != default(DateTime)));
};
var security = algo.AddEquity("SPY");
algo.SetUniverseSelection(new ManualUniverseSelectionModel());
var alpha = new FakeAlpha();
algo.SetAlpha(alpha);
var construction = new FakePortfolioConstruction();
algo.SetPortfolioConstruction(construction);
var tick = new Tick
{
Symbol = security.Symbol,
Value = 1,
Quantity = 2
};
security.SetMarketPrice(tick);
algo.OnFrameworkData(new Slice(new DateTime(2000, 01, 01), algo.Securities.Select(s => tick)));
Assert.IsTrue(eventFired);
Assert.AreEqual(1, construction.Insights.Count);
Assert.IsTrue(construction.Insights.All(insight => insight.GeneratedTimeUtc != default(DateTime)));
Assert.IsTrue(construction.Insights.All(insight => insight.CloseTimeUtc != default(DateTime)));
}
/// <summary>
/// Provides derived types a chance to initialize anything special they require
/// </summary>
protected virtual void InitializeAlgorithm(QCAlgorithmFramework algorithm)
{
_algorithm.SetStartDate(2018, 1, 4);
_algorithm.AddEquity(Symbols.SPY.Value, Resolution.Daily);
}
protected override void InitializeAlgorithm(QCAlgorithmFramework algorithm)
{
algorithm.AddEquity("BAC");
algorithm.AddEquity("AIG");
}
public void OrdersAreSubmittedImmediatelyForTargetsToExecute(
Language language,
double[] historicalPrices,
decimal openOrdersQuantity,
int expectedOrdersSubmitted,
decimal expectedTotalQuantity)
{
var actualOrdersSubmitted = new List <SubmitOrderRequest>();
var time = new DateTime(2018, 8, 2, 16, 0, 0);
var historyProvider = new Mock <IHistoryProvider>();
historyProvider.Setup(m => m.GetHistory(It.IsAny <IEnumerable <HistoryRequest> >(), It.IsAny <DateTimeZone>()))
.Returns(historicalPrices.Select((x, i) =>
new Slice(time.AddMinutes(i),
new List <BaseData>
{
new TradeBar
{
Time = time.AddMinutes(i),
Symbol = Symbols.AAPL,
Open = Convert.ToDecimal(x),
High = Convert.ToDecimal(x),
Low = Convert.ToDecimal(x),
Close = Convert.ToDecimal(x),
Volume = 100m
}
})));
var algorithm = new QCAlgorithmFramework();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetPandasConverter();
algorithm.SetHistoryProvider(historyProvider.Object);
algorithm.SetDateTime(time.AddMinutes(5));
var security = algorithm.AddEquity(Symbols.AAPL.Value);
security.SetMarketPrice(new TradeBar {
Value = 250
});
algorithm.SetFinishedWarmingUp();
var orderProcessor = new Mock <IOrderProcessor>();
orderProcessor.Setup(m => m.Process(It.IsAny <SubmitOrderRequest>()))
.Returns((SubmitOrderRequest request) => new OrderTicket(algorithm.Transactions, request))
.Callback((SubmitOrderRequest request) => actualOrdersSubmitted.Add(request));
orderProcessor.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >()))
.Returns(new List <Order> {
new MarketOrder(Symbols.AAPL, openOrdersQuantity, DateTime.MinValue)
});
algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);
var model = GetExecutionModel(language);
algorithm.SetExecution(model);
var changes = new SecurityChanges(new[] { security }, Enumerable.Empty <Security>());
model.OnSecuritiesChanged(algorithm, changes);
var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) };
model.Execute(algorithm, targets);
Assert.AreEqual(expectedOrdersSubmitted, actualOrdersSubmitted.Count);
Assert.AreEqual(expectedTotalQuantity, actualOrdersSubmitted.Sum(x => x.Quantity));
if (actualOrdersSubmitted.Count == 1)
{
var request = actualOrdersSubmitted[0];
Assert.AreEqual(expectedTotalQuantity, request.Quantity);
Assert.AreEqual(algorithm.UtcTime, request.Time);
}
}
