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 NUnit.Framework;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using System;
+using System.Linq;
+
+namespace QuantConnect.Tests.Common.Data
+{
+    [TestFixture]
+    public class DataQueueHandlerSubscriptionManagerTests
+    {
+        private DataQueueHandlerSubscriptionManager _subscriptionManager;
+
+        [SetUp]
+        public void SetUp()
+        {
+            _subscriptionManager = new FakeDataQueuehandlerSubscriptionManager((t) => "quote-trade");
+        }
+
+        [Test]
+        public void SubscribeSingleSingleChannel()
+        {
+            _subscriptionManager.Subscribe(GetSubscriptionDataConfig<TradeBar>(Symbols.AAPL, Resolution.Minute));
+
+            Assert.NotZero(_subscriptionManager.GetSubscribedSymbols().Count());
+            Assert.Contains(Symbols.AAPL, _subscriptionManager.GetSubscribedSymbols().ToArray());
+        }
+
+        [Test]
+        public void SubscribeManySingleChannel()
+        {
+            for (int i = 0; i < 10; i++)
+            {
+                _subscriptionManager.Subscribe(GetSubscriptionDataConfig<TradeBar>(Symbols.AAPL, Resolution.Minute));
+                Assert.Contains(Symbols.AAPL, _subscriptionManager.GetSubscribedSymbols().ToList());
+                Assert.IsTrue(_subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Quote));
+                Assert.IsTrue(_subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Trade));
+            }
+
+            for (int i = 9; i >= 0; i--)
+            {
+                _subscriptionManager.Unsubscribe(GetSubscriptionDataConfig<QuoteBar>(Symbols.AAPL, Resolution.Minute));
+
+                Assert.AreEqual(i > 0, _subscriptionManager.GetSubscribedSymbols().Count() == 1);
+                Assert.AreEqual(i > 0, _subscriptionManager.GetSubscribedSymbols().Contains(Symbols.AAPL));
+                Assert.AreEqual(i > 0, _subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Quote));
+            }
+        }
+
+
+        [TestCase(typeof(TradeBar), TickType.Trade)]
+        [TestCase(typeof(QuoteBar), TickType.Quote)]
+        [TestCase(typeof(OpenInterest), TickType.OpenInterest)]
+        public void SubscribeSinglePerChannel(Type type, TickType tickType)
+        {
+            using var subscriptionManager = new FakeDataQueuehandlerSubscriptionManager((t) => t.ToString());
+
+            subscriptionManager.Subscribe(GetSubscriptionDataConfig(type, Symbols.AAPL, Resolution.Minute));
+
+            Assert.AreEqual(1, subscriptionManager.GetSubscribedSymbols().Count());
+            Assert.Contains(Symbols.AAPL, subscriptionManager.GetSubscribedSymbols().ToArray());
+
+            foreach (var value in Enum.GetValues(typeof(TickType)))
+            {
+                Assert.AreEqual(tickType == (TickType)value, subscriptionManager.IsSubscribed(Symbols.AAPL, (TickType)value));
+            }
+        }
+
+        [Test]
+        public void SubscribeManyPerChannel()
+        {
+            using var subscriptionManager = new FakeDataQueuehandlerSubscriptionManager((t) => t.ToString());
+
+            for (int i = 0; i < 5; i++)
+            {
+                subscriptionManager.Subscribe(GetSubscriptionDataConfig<TradeBar>(Symbols.AAPL, Resolution.Minute));
+            }
+
+            Assert.IsTrue(subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Trade));
+            Assert.IsFalse(subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Quote));
+
+            subscriptionManager.Subscribe(GetSubscriptionDataConfig<QuoteBar>(Symbols.AAPL, Resolution.Minute));
+
+            Assert.IsTrue(subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Trade));
+            Assert.IsTrue(subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Quote));
+
+            for (int i = 0; i < 5; i++)
+            {
+                subscriptionManager.Unsubscribe(GetSubscriptionDataConfig<TradeBar>(Symbols.AAPL, Resolution.Minute));
+            }
+
+            Assert.IsFalse(subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Trade));
+            Assert.IsTrue(subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Quote));
+
+            subscriptionManager.Unsubscribe(GetSubscriptionDataConfig<QuoteBar>(Symbols.AAPL, Resolution.Minute));
+
+            Assert.IsFalse(subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Trade));
+            Assert.IsFalse(subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Quote));
+        }
+
+        [TestCase(TickType.Trade, MarketDataType.TradeBar, 1)]
+        [TestCase(TickType.Trade, MarketDataType.QuoteBar, 0)]
+        [TestCase(TickType.Quote, MarketDataType.QuoteBar, 1)]
+        [TestCase(TickType.OpenInterest, MarketDataType.Tick, 1)]
+        [TestCase(TickType.OpenInterest, MarketDataType.TradeBar, 0)]
+        public void GetSubscribeSymbolsBySpecificTickType(TickType tickType, MarketDataType dataType, int expectedCount)
+        {
+            using var fakeDataQueueHandler = new FakeDataQueuehandlerSubscriptionManager((tickType) => tickType!.ToString());
+
+            switch (dataType)
+            {
+                case MarketDataType.TradeBar:
+                    fakeDataQueueHandler.Subscribe(GetSubscriptionDataConfig<TradeBar>(Symbols.AAPL, Resolution.Minute));
+                    break;
+                case MarketDataType.QuoteBar:
+                    fakeDataQueueHandler.Subscribe(GetSubscriptionDataConfig<QuoteBar>(Symbols.AAPL, Resolution.Minute));
+                    break;
+                case MarketDataType.Tick:
+                    fakeDataQueueHandler.Subscribe(GetSubscriptionDataConfig<OpenInterest>(Symbols.AAPL, Resolution.Minute));
+                    break;
+            }
+
+            var subscribeSymbols = fakeDataQueueHandler.GetSubscribedSymbols(tickType).ToList();
+
+            Assert.That(subscribeSymbols.Count, Is.EqualTo(expectedCount));
+        }
+
+        #region helper
+
+        private SubscriptionDataConfig GetSubscriptionDataConfig(Type T, Symbol symbol, Resolution resolution, TickType? tickType = null)
+        {
+            return new SubscriptionDataConfig(
+                T,
+                symbol,
+                resolution,
+                TimeZones.Utc,
+                TimeZones.Utc,
+                true,
+                true,
+                false,
+                tickType: tickType);
+        }
+
+        protected SubscriptionDataConfig GetSubscriptionDataConfig<T>(Symbol symbol, Resolution resolution)
+        {
+            return new SubscriptionDataConfig(
+                typeof(T),
+                symbol,
+                resolution,
+                TimeZones.Utc,
+                TimeZones.Utc,
+                true,
+                true,
+                false);
+        }
+
+        #endregion
+    }
+}