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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*/
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using System;
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using System.Collections.Generic;
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using System.Threading;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Lean.Engine;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.RealTime;
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using QuantConnect.Packets;
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using QuantConnect.Scheduling;
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using QuantConnect.Tests.Engine.DataFeeds;
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using QuantConnect.Util.RateLimit;
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namespace QuantConnect.Tests.Common.Scheduling
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class ScheduleManagerTests
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{
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[Test]
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public void DuplicateScheduledEventsAreBothFired()
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{
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var algorithm = new QCAlgorithm();
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var handler = new BacktestingRealTimeHandler();
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var timeLimitManager = new AlgorithmTimeLimitManager(TokenBucket.Null, TimeSpan.MaxValue);
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handler.Setup(algorithm, new AlgorithmNodePacket(PacketType.BacktestNode), null, null, timeLimitManager);
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algorithm.Schedule.SetEventSchedule(handler);
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var time = new DateTime(2018, 1, 1);
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algorithm.SetDateTime(time);
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var count1 = 0;
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var count2 = 0;
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algorithm.Schedule.On(algorithm.Schedule.DateRules.EveryDay(), algorithm.Schedule.TimeRules.Every(TimeSpan.FromHours(1)), () => { count1++; });
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algorithm.Schedule.On(algorithm.Schedule.DateRules.EveryDay(), algorithm.Schedule.TimeRules.Every(TimeSpan.FromHours(1)), () => { count2++; });
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const int timeSteps = 12;
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for (var i = 0; i < timeSteps; i++)
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{
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handler.SetTime(time);
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time = time.AddHours(1);
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}
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handler.Exit();
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Assert.AreEqual(timeSteps, count1);
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Assert.AreEqual(timeSteps, count2);
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}
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[Test]
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public void TriggersWeeklyScheduledEventsEachWeekBacktesting()
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{
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var algorithm = new AlgorithmStub();
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var handler = new BacktestingRealTimeHandler();
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var time = new DateTime(2024, 02, 10);
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handler.SetTime(time);
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var timeLimitManager = new AlgorithmTimeLimitManager(TokenBucket.Null, TimeSpan.FromMinutes(20));
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handler.Setup(algorithm, new AlgorithmNodePacket(PacketType.BacktestNode), null, null, timeLimitManager);
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algorithm.Schedule.SetEventSchedule(handler);
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algorithm.SetDateTime(time);
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var spy = algorithm.AddEquity("SPY").Symbol;
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var eventTriggerTimes = new List<DateTime>();
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var scheduledEvent = algorithm.Schedule.On(algorithm.Schedule.DateRules.WeekStart(spy),
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algorithm.Schedule.TimeRules.BeforeMarketClose(spy, 3),
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() =>
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{
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eventTriggerTimes.Add(time);
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});
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while (time.Month < 4)
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{
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handler.SetTime(time);
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time = time.AddMinutes(1);
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}
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handler.Exit();
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var expectedEventTriggerTimes = new List<DateTime>()
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{
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new DateTime(2024, 02, 12, 20, 57, 0),
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new DateTime(2024, 02, 20, 20, 57, 0), // Monday is 19th but it's a holiday
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new DateTime(2024, 02, 26, 20, 57, 0),
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new DateTime(2024, 03, 04, 20, 57, 0),
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// Daylight saving adjustment
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new DateTime(2024, 03, 11, 19, 57, 0),
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new DateTime(2024, 03, 18, 19, 57, 0),
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new DateTime(2024, 03, 25, 19, 57, 0),
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};
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CollectionAssert.AreEqual(expectedEventTriggerTimes, eventTriggerTimes);
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}
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[Test]
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public void TriggersWeeklyScheduledEventsEachWeekLive()
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{
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var time = new DateTime(2024, 02, 10);
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SetUp(time, out var algorithm, out var handler, out var spy);
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var eventTriggerTimes = new List<DateTime>();
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var scheduledEvent = algorithm.Schedule.On(algorithm.Schedule.DateRules.WeekStart(spy),
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algorithm.Schedule.TimeRules.BeforeMarketClose(spy, 60),
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() =>
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{
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eventTriggerTimes.Add(handler.ManualTimeProvider.GetUtcNow());
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});
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algorithm.SetFinishedWarmingUp();
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using var finished = new ManualResetEventSlim(false);
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// Schedule a task to advance time
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var timeStep = TimeSpan.FromMinutes(60);
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algorithm.Schedule.On(algorithm.Schedule.DateRules.EveryDay(),
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algorithm.Schedule.TimeRules.Every(timeStep),
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() =>
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{
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handler.ManualTimeProvider.Advance(timeStep);
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var now = handler.ManualTimeProvider.GetUtcNow();
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if (now.Month >= 4)
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{
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finished.Set();
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}
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});
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// Start
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handler.SetTime(time);
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// The time advance is driven by the live real-time handler firing the scheduled events above, so the
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// fast-forward from February to April is bounded by wall-clock. Give it a generous budget and assert it
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// actually reached the end, instead of asserting on a partially advanced timeline (which under load
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// dropped the final week's scheduled event and produced a misleading count mismatch).
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Assert.IsTrue(finished.Wait(TimeSpan.FromSeconds(120)),
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"Timed out waiting for the scheduled time advance to reach April");
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handler.Exit();
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var expectedEventTriggerTimes = new List<DateTime>()
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{
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new DateTime(2024, 02, 12, 20, 0, 0),
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new DateTime(2024, 02, 20, 20, 0, 0), // Monday is 19th but it's a holiday
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new DateTime(2024, 02, 26, 20, 0, 0),
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new DateTime(2024, 03, 04, 20, 0, 0),
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// Daylight saving adjustment
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new DateTime(2024, 03, 11, 19, 0, 0),
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new DateTime(2024, 03, 18, 19, 0, 0),
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new DateTime(2024, 03, 25, 19, 0, 0),
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};
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CollectionAssert.AreEqual(expectedEventTriggerTimes, eventTriggerTimes);
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}
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[Test]
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public void DatesReturnedAreNormalized()
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{
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var time = new DateTime(2024, 02, 10);
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SetUp(time, out var algorithm, out var handler, out var spy);
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var eventTriggerTimes = new List<DateTime>();
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using var finished = new ManualResetEventSlim(false);
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// Schedule a task to advance time
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var timeStep = TimeSpan.FromMinutes(1);
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var wasCalled = false;
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Func<DateTime, DateTime, IEnumerable<DateTime>> func = (date1, date2) =>
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{
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Assert.AreEqual(DateTimeKind.Unspecified, date1.Kind);
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Assert.AreEqual(DateTimeKind.Unspecified, date2.Kind);
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wasCalled = true;
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return new List<DateTime> { date1, date2 };
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};
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algorithm.Schedule.On(new FuncDateRule("Test", func),
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algorithm.Schedule.TimeRules.Every(timeStep),
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() =>
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{
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handler.ManualTimeProvider.Advance(timeStep);
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var now = handler.ManualTimeProvider.GetUtcNow();
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finished.Set();
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});
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// Start
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handler.SetTime(time);
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finished.Wait(TimeSpan.FromSeconds(15));
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handler.Exit();
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Assert.IsTrue(wasCalled);
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}
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private void SetUp(DateTime time, out QCAlgorithm algorithm, out TestableLiveTradingRealTimeHandler handler, out Symbol spy)
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{
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algorithm = new AlgorithmStub();
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handler = new TestableLiveTradingRealTimeHandler();
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handler.ManualTimeProvider.SetCurrentTime(time);
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var timeLimitManager = new AlgorithmTimeLimitManager(TokenBucket.Null, TimeSpan.FromMinutes(20));
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handler.Setup(algorithm, new LiveNodePacket(), null, null, timeLimitManager);
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algorithm.Schedule.SetEventSchedule(handler);
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algorithm.SetDateTime(time);
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spy = algorithm.AddEquity("SPY").Symbol;
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}
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private class TestableLiveTradingRealTimeHandler : LiveTradingRealTimeHandler
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{
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public ManualTimeProvider ManualTimeProvider = new ManualTimeProvider();
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protected override ITimeProvider TimeProvider => ManualTimeProvider;
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// Time is fully driven by the ManualTimeProvider in tests, so there's no need to pace the
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// scan loop to real wall-clock time. Sleeping here (Thread.Sleep granularity is ~15ms on
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// Windows) would make the loop take longer than the test's timeout for long simulated ranges,
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// causing the last scheduled events to be missed intermittently.
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protected override void WaitTillNextSecond(DateTime time)
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{
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}
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}
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}
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}
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