/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using System; using NUnit.Framework; using Python.Runtime; using QuantConnect.Orders; using QuantConnect.Orders.Fees; using QuantConnect.Python; using QuantConnect.Securities; using QuantConnect.Tests.Common.Securities; namespace QuantConnect.Tests.Common.Orders.Fees { [TestFixture] public class BackwardsCompatibilityFeeModelTests { private Security _security; private static DateTime orderDateTime; [SetUp] public void SetUp() { _security = SecurityTests.GetSecurity(); orderDateTime = new DateTime(2017, 2, 2, 13, 0, 0); var reference = DateTime.Now; var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork); var timeKeeper = new TimeKeeper(referenceUtc); _security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); } #region Python [Test] public void OldFeeModelModel_GetOrderFee_Py() { using (Py.GIL()) { var module = PyModule.FromString(Guid.NewGuid().ToString(), "from AlgorithmImports import *\n" + "class CustomFeeModel:\n" + " def __init__(self):\n" + " self.CalledGetOrderFee = False\n" + " def GetOrderFee(self, security, order):\n" + " self.CalledGetOrderFee = True\n" + " return 15"); var customFeeModel = module.GetAttr("CustomFeeModel").Invoke(); var wrapper = new FeeModelPythonWrapper(customFeeModel); var result = wrapper.GetOrderFee(new OrderFeeParameters( _security, new MarketOrder(_security.Symbol, 1, orderDateTime) )); bool called; customFeeModel.GetAttr("CalledGetOrderFee").TryConvert(out called); Assert.True(called); Assert.IsNotNull(result); Assert.AreEqual(15, result.Value.Amount); Assert.AreEqual(Currencies.USD, result.Value.Currency); } } [Test] public void NewFeeModelModel_GetOrderFee_Py() { using (Py.GIL()) { var module = PyModule.FromString(Guid.NewGuid().ToString(), "from AlgorithmImports import *\n" + "class CustomFeeModel(FeeModel):\n" + " def __init__(self):\n" + " self.CalledGetOrderFee = False\n" + " def GetOrderFee(self, parameters):\n" + " self.CalledGetOrderFee = True\n" + " return OrderFee(CashAmount(15, \"USD\"))"); var customFeeModel = module.GetAttr("CustomFeeModel").Invoke(); var wrapper = new FeeModelPythonWrapper(customFeeModel); var result = wrapper.GetOrderFee(new OrderFeeParameters( _security, new MarketOrder(_security.Symbol, 1, orderDateTime) )); bool called; customFeeModel.GetAttr("CalledGetOrderFee").TryConvert(out called); Assert.True(called); Assert.IsNotNull(result); Assert.AreEqual(15, result.Value.Amount); Assert.AreEqual(Currencies.USD, result.Value.Currency); } } #endregion } }