chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using Moq;
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using NodaTime;
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using NUnit.Framework;
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using QuantConnect.Algorithm.Framework.Selection;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Algorithm.Framework.Selection
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{
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[TestFixture]
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public class OpenInterestFutureUniverseSelectionModelTests
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{
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private static readonly Symbol Jan = Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 01, 01));
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private static readonly Symbol Feb = Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 02, 01));
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private static readonly Symbol March = Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 03, 01));
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private static readonly Symbol April = Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 04, 01));
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private static readonly DateTime TestDate = new DateTime(2020, 05, 11, 0, 0, 0, DateTimeKind.Utc);
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private static readonly DateTime ExpectedPreviousDate = new DateTime(2020, 05, 09, 20, 0, 0, DateTimeKind.Utc);
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private static readonly IReadOnlyDictionary<Symbol, decimal> OpenInterestData = new Dictionary<Symbol, decimal>
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{
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[Jan] = 3,
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[Feb] = 6,
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[March] = 3, // Same as Jan.
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[April] = 1
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};
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private static readonly MarketHoursDatabase.Entry MarketHours = MarketHoursDatabase.FromDataFolder().GetEntry(Jan.ID.Market, Jan, Jan.SecurityType);
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private Mock<IHistoryProvider> _mockHistoryProvider;
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private OpenInterestFutureUniverseSelectionModel _underTest;
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[Test]
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public void No_Open_Interest_Returns_Empty()
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{
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SetupSubject(OpenInterestData.Count, OpenInterestData.Count);
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_mockHistoryProvider.Setup(x => x.GetHistory(It.IsAny<IEnumerable<HistoryRequest>>(), It.IsAny<DateTimeZone>()))
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.Returns<IEnumerable<HistoryRequest>, DateTimeZone>((r, tz) => new Slice[0])
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.Verifiable();
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var data = OpenInterestData.Keys.ToDictionary(x => x, x => MarketHours);
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var results = _underTest.FilterByOpenInterest(data).ToList();
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_mockHistoryProvider.Verify();
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Assert.IsEmpty(results);
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}
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[Test]
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public void Can_Sort_By_Open_Interest()
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{
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SetupSubject(OpenInterestData.Count, OpenInterestData.Count);
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_mockHistoryProvider.Setup(x => x.GetHistory(It.IsAny<IEnumerable<HistoryRequest>>(), It.IsAny<DateTimeZone>()))
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.Returns<IEnumerable<HistoryRequest>, DateTimeZone>(
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(r, tz) =>
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{
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var requests = r.ToList();
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Assert.AreEqual(4, requests.Count);
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var slices = new List<Slice>(requests.Count);
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foreach (var request in requests)
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{
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Assert.NotNull(request.Symbol);
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Assert.AreEqual(typeof(Tick), request.DataType);
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Assert.AreEqual(DataNormalizationMode.Raw, request.DataNormalizationMode);
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Assert.AreEqual(ExpectedPreviousDate, request.StartTimeUtc);
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Assert.AreEqual(TestDate, request.EndTimeUtc);
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Assert.AreEqual(Resolution.Tick, request.Resolution);
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Assert.AreEqual(TickType.OpenInterest, request.TickType);
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Assert.AreEqual(tz, MarketHours.ExchangeHours.TimeZone);
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slices.Add(CreateReplySlice(request.Symbol, OpenInterestData[request.Symbol]));
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}
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return slices;
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}
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)
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.Verifiable();
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var data = OpenInterestData.Keys.ToDictionary(x => x, x => MarketHours);
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var results = _underTest.FilterByOpenInterest(data).ToList();
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// Results should be sorted by open interest (descending), and then by the date.
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_mockHistoryProvider.Verify();
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Assert.AreEqual(4, results.Count);
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Assert.AreEqual(Feb, results[0]);
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Assert.AreEqual(Jan, results[1]);
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Assert.AreEqual(March, results[2]);
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Assert.AreEqual(April, results[3]);
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}
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[Test]
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public void Can_Limit_Number_Of_Contracts()
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{
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SetupSubject(6, 4);
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var expected = Enumerable.Range(1, 4).Select(d => Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 01, d))).ToList();
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// Create 7 requests. Reverse the list so the order isn't correct, but remains consistent for tests.
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var data = expected.Concat(Enumerable.Range(5, 3).Select(d => Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2020, 01, d))))
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.Reverse()
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.ToDictionary(x => x, _ => MarketHours);
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// 7 input requests, but the look-up should be limited to only 6.
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_mockHistoryProvider.Setup(x => x.GetHistory(It.IsAny<IEnumerable<HistoryRequest>>(), It.IsAny<DateTimeZone>()))
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.Returns<IEnumerable<HistoryRequest>, DateTimeZone>((rq, tz) => rq.Select(r => CreateReplySlice(r.Symbol, 1)).ToArray());
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// Run the test.
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var results = _underTest.FilterByOpenInterest(data).ToList();
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// Verify the chain limit was applied.
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_mockHistoryProvider.Verify(x => x.GetHistory(It.Is<IEnumerable<HistoryRequest>>(r => r.Count() == 6), MarketHours.ExchangeHours.TimeZone), Times.Once);
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// Verify the results.
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CollectionAssert.AreEqual(expected, results);
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}
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[Test]
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public void Limits_Do_Not_Need_To_Be_Provided()
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{
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SetupSubject(null, null);
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var startDate = new DateTime(2020, 01, 01);
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var items = Enumerable.Range(0, 100).ToDictionary(d => Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, startDate.AddDays(d)), _ => MarketHours);
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_mockHistoryProvider.Setup(x => x.GetHistory(It.IsAny<IEnumerable<HistoryRequest>>(), It.IsAny<DateTimeZone>()))
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.Returns<IEnumerable<HistoryRequest>, DateTimeZone>((rq, tz) => rq.Select(r => CreateReplySlice(r.Symbol, 1)).ToArray());
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var results = _underTest.FilterByOpenInterest(items).ToList();
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_mockHistoryProvider.Verify(x => x.GetHistory(It.Is<IEnumerable<HistoryRequest>>(r => r.Count() == 100), MarketHours.ExchangeHours.TimeZone), Times.Once);
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Assert.AreEqual(items.Keys, results);
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}
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private static Slice CreateReplySlice(Symbol symbol, decimal openInterest)
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{
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var ticks = new Ticks {{symbol, new List<Tick> {new OpenInterest(TestDate, symbol, openInterest)}}};
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return new Slice(TestDate, null, null, null, ticks, null, null, null, null, null, null, null, TestDate, true);
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}
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private void SetupSubject(int? testChainContractLookupLimit, int? testResultsLimit)
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{
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_mockHistoryProvider = new Mock<IHistoryProvider>();
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var mockAlgorithm = new Mock<IAlgorithm>();
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mockAlgorithm.SetupGet(x => x.HistoryProvider).Returns(_mockHistoryProvider.Object);
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mockAlgorithm.SetupGet(x => x.UtcTime).Returns(TestDate);
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_underTest = new OpenInterestFutureUniverseSelectionModel(mockAlgorithm.Object, _ => OpenInterestData.Keys, testChainContractLookupLimit, testResultsLimit);
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}
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}
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}
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