chore: import upstream snapshot with attribution
This commit is contained in:
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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*/
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using System;
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using System.Collections.Generic;
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using System.Globalization;
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using System.IO;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Data.Auxiliary;
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namespace QuantConnect.Tests.Common.Data.Auxiliary
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{
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[TestFixture]
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public class MapFileTests
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{
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[Test]
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public void HandlesUnknownMappingMode()
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{
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var fileName = "testMapFile.csv";
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var lines = new string[]
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{
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"20110221,cl uucg3i0a3zy9,NYMEX,1",
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"20110418,cl uvvl4qhqe8xt,NYMEX,999"
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};
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File.WriteAllLines(fileName, lines);
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var result = MapFileRow.Read(fileName, QuantConnect.Market.NYMEX, SecurityType.Future, TestGlobals.DataProvider).ToList();
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File.Delete(fileName);
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Assert.AreEqual(1, result.Count);
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Assert.AreEqual(new DateTime(2011,2,21), result[0].Date);
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}
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[Test]
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public void RowThrowsForUnknownMappingMode()
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{
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Assert.Throws<ArgumentException>(() => MapFileRow.Parse("20110418,cl uvvl4qhqe8xt,NYMEX,999", QuantConnect.Market.NYMEX, SecurityType.Future));
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}
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[Test]
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public void ResolvesFirstTicker()
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{
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var mapFile = new MapFile("goog", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(2014, 03, 27), "goocv"),
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new MapFileRow(new DateTime(2014, 04, 02), "goocv"),
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new MapFileRow(new DateTime(2050, 12, 31), "goog")
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});
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Assert.AreEqual("GOOCV", mapFile.FirstTicker);
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}
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[Test]
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[TestCase("abc", "ABC")]
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[TestCase("abc.1", "ABC")]
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[TestCase("brk.a", "BRK.A")]
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[TestCase("brk.a.1", "BRK.A")]
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public void ResolvesFirstTickerFromPermtickIfEmptyMapFile(string permtick, string expectedFirstTicker)
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{
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var mapFile = new MapFile(permtick, new List<MapFileRow>());
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Assert.AreEqual(expectedFirstTicker, mapFile.FirstTicker);
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}
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[Test]
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public void ResolvesFirstDate()
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{
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var mapFile = new MapFile("goog", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(2014, 03, 27), "goocv"),
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new MapFileRow(new DateTime(2014, 04, 02), "goocv"),
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new MapFileRow(new DateTime(2050, 12, 31), "goog")
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});
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Assert.AreEqual(new DateTime(2014, 03, 27), mapFile.FirstDate);
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}
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[Test]
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public void GenerateMapFileCSV()
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{
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var mapFile = new MapFile("enrn", new List<MapFileRow>()
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{
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new MapFileRow(new DateTime(2001, 1, 1), "enrn"),
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new MapFileRow(new DateTime(2001, 12, 2), "enrnq")
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});
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var csvData = new List<string>()
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{
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"20010101,enrn",
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"20011202,enrnq"
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};
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Assert.True(mapFile.ToCsvLines().SequenceEqual(csvData));
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}
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[Test]
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public void ParsesExchangeCorrectly()
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{
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var mapFile = new MapFile("goog", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(2014, 03, 27), "goocv", "Q"),
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new MapFileRow(new DateTime(2014, 04, 02), "goocv", "Q"),
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new MapFileRow(new DateTime(2050, 12, 31), "goog", "Q")
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});
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Assert.AreEqual(Exchange.NASDAQ, (Exchange) mapFile.Last().PrimaryExchange);
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}
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[TestCaseSource(nameof(ParsesRowWithExchangesCorrectlyCases))]
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public void ParsesRowWithExchangesCorrectly(string mapFileRow, Exchange expectedExchange)
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{
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// Arrange
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var rowParts = mapFileRow.Split(',');
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var expectedMapFileRow = new MapFileRow(
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DateTime.ParseExact(rowParts[0], DateFormat.EightCharacter, CultureInfo.InvariantCulture),
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rowParts[1],
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rowParts[2]);
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// Act
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var actualMapFileRow = MapFileRow.Parse(mapFileRow, QuantConnect.Market.USA, SecurityType.Equity);
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// Assert
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Assert.AreEqual(expectedExchange, actualMapFileRow.PrimaryExchange);
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Assert.AreEqual(expectedMapFileRow, actualMapFileRow);
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}
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[Test]
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public void ParsesRowWithoutExchangesCorrectly()
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{
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// Arrange
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var mapFileRow = "20010213,aapl";
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var rowParts = mapFileRow.Split(',');
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var expectedMapFileRow = new MapFileRow(
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DateTime.ParseExact(rowParts[0], DateFormat.EightCharacter, CultureInfo.InvariantCulture),
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rowParts[1]);
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// Act
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var actualMapFileRow = MapFileRow.Parse(mapFileRow, QuantConnect.Market.USA, SecurityType.Equity);
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// Assert
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Assert.AreEqual(Exchange.UNKNOWN, actualMapFileRow.PrimaryExchange);
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Assert.AreEqual(expectedMapFileRow, actualMapFileRow);
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}
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private static TestCaseData[] ParsesRowWithExchangesCorrectlyCases()
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{
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return new[]
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{
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new TestCaseData("20010213,aapl,Q", Exchange.NASDAQ),
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new TestCaseData("20010213,aapl,Z", Exchange.BATS),
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new TestCaseData("20010213,aapl,P", Exchange.ARCA),
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new TestCaseData("20010213,aapl,N", Exchange.NYSE),
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new TestCaseData("20010213,aapl,C", Exchange.NSX),
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new TestCaseData("20010213,aapl,D", Exchange.FINRA),
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new TestCaseData("20010213,aapl,I", Exchange.ISE),
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new TestCaseData("20010213,aapl,M", Exchange.CSE),
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new TestCaseData("20010213,aapl,W", Exchange.CBOE),
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new TestCaseData("20010213,aapl,A", Exchange.AMEX),
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new TestCaseData("20010213,aapl,J", Exchange.EDGA),
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new TestCaseData("20010213,aapl,K", Exchange.EDGX),
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new TestCaseData("20010213,aapl,B", Exchange.NASDAQ_BX),
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new TestCaseData("20010213,aapl,X", Exchange.NASDAQ_PSX),
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new TestCaseData("20010213,aapl,Y", Exchange.BATS_Y),
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};
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}
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}
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}
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