chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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.Linq;
+using NUnit.Framework;
+using QuantConnect.Algorithm;
+using QuantConnect.Data.Market;
+using QuantConnect.Tests.Engine.DataFeeds;
+using QuantConnect.Util;
+
+namespace QuantConnect.Tests.Algorithm
+{
+    [TestFixture, Parallelizable(ParallelScope.All)]
+    public class AlgorithmResolveConsolidatorTests
+    {
+        [TestCase(SecurityType.Equity, TickType.Trade, "SPY")]
+        [TestCase(SecurityType.Crypto, TickType.Trade, "BTCUSD")]
+        [TestCase(SecurityType.Forex, TickType.Quote, "EURUSD")]
+        [TestCase(SecurityType.Cfd, TickType.Quote, "WTICOUSD")]
+        public void ConsolidatorHasSameTypeAsSubscriptionDataConfig(SecurityType securityType, TickType expectedTickType, string ticker)
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            var security = algorithm.AddSecurity(securityType, ticker);
+            var consolidator = algorithm.ResolveConsolidator(security.Symbol, Resolution.Minute);
+
+            var inputType = security.Subscriptions.Single(s=>s.TickType==expectedTickType).Type;
+            var outputType = consolidator.OutputType;
+
+            Assert.AreEqual(inputType, outputType);
+        }
+
+        [Test]
+        public void TradeBarToTradeBar()
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            var security = algorithm.AddEquity("SPY");
+            var consolidator = algorithm.ResolveConsolidator(security.Symbol, Resolution.Minute);
+
+            var inputType = security.Subscriptions.Single(s => s.TickType == LeanData.GetCommonTickType(SecurityType.Equity)).Type;
+            var outputType = consolidator.OutputType;
+
+            Assert.AreEqual(inputType, outputType);
+        }
+
+        [Test]
+        public void QuoteBarToQuoteBar()
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            var security = algorithm.AddForex("EURUSD");
+            var consolidator = algorithm.ResolveConsolidator(security.Symbol, Resolution.Minute);
+
+            var inputType = security.SubscriptionDataConfig.Type;
+            var outputType = consolidator.OutputType;
+
+            Assert.AreEqual(inputType, outputType);
+        }
+
+        [Test]
+        public void TickTypeTradeToTradeBar()
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            var security = algorithm.AddEquity("SPY", Resolution.Tick);
+            var consolidator = algorithm.ResolveConsolidator(security.Symbol, Resolution.Minute);
+
+            var tickType = security.Subscriptions.Single(s => s.TickType == LeanData.GetCommonTickType(SecurityType.Equity)).TickType;
+            var outputType = consolidator.OutputType;
+
+            Assert.AreEqual(TickType.Trade, tickType);
+            Assert.AreEqual(typeof(TradeBar), outputType);
+        }
+
+        [Test]
+        public void TickTypeQuoteToQuoteBar()
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            var security = algorithm.AddForex("EURUSD", Resolution.Tick);
+            var consolidator = algorithm.ResolveConsolidator(security.Symbol, Resolution.Minute);
+
+            var tickType = security.Subscriptions.Single(s => s.TickType == LeanData.GetCommonTickType(SecurityType.Forex)).TickType;
+
+            var outputType = consolidator.OutputType;
+
+            Assert.AreEqual(TickType.Quote, tickType);
+            Assert.AreEqual(typeof(QuoteBar), outputType);
+        }
+
+        [Test]
+        public void TickTypeTradeToTick()
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            var security = algorithm.AddEquity("SPY", Resolution.Tick);
+            var consolidator = algorithm.ResolveConsolidator(security.Symbol, Resolution.Tick);
+
+            var tickType = security.Subscriptions.Single(s => s.TickType == LeanData.GetCommonTickType(SecurityType.Equity)).TickType;
+            var inputType = security.SubscriptionDataConfig.Type;
+            var outputType = consolidator.OutputType;
+
+            Assert.AreEqual(TickType.Trade, tickType);
+            Assert.AreEqual(inputType, outputType);
+        }
+
+        [Test]
+        public void TickTypeQuoteToTick()
+        {
+            var algorithm = new QCAlgorithm();
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            var security = algorithm.AddForex("EURUSD", Resolution.Tick);
+            var consolidator = algorithm.ResolveConsolidator(security.Symbol, Resolution.Tick);
+
+            var tickType = security.SubscriptionDataConfig.TickType;
+            var inputType = security.SubscriptionDataConfig.Type;
+            var outputType = consolidator.OutputType;
+
+            Assert.AreEqual(TickType.Quote, tickType);
+            Assert.AreEqual(inputType, outputType);
+        }
+    }
+}