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;
+using System.Linq;
+
+using NUnit.Framework;
+
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Volatility;
+using QuantConnect.Tests.Common.Data;
+
+namespace QuantConnect.Tests.Common.Securities
+{
+    [TestFixture]
+    public class BaseVolatilityModelTests
+    {
+        [Test]
+        public void GetHistoryRequirementsWorks(
+            [ValueSource(nameof(GetDataNormalizationModes))] DataNormalizationMode dataNormalizationMode,
+            [Values] bool passResolution)
+        {
+            const int periods = 3;
+            var reference = new DateTime(2016, 04, 06, 12, 0, 0);
+            var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
+            var timeKeeper = new TimeKeeper(referenceUtc);
+            var config = new SubscriptionDataConfig(
+                typeof(TradeBar),
+                Symbols.SPY,
+                Resolution.Minute,
+                TimeZones.NewYork,
+                TimeZones.NewYork,
+                true,
+                false,
+                false,
+                dataNormalizationMode: dataNormalizationMode);
+            var security = new Security(
+                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
+                config,
+                new Cash(Currencies.USD, 0, 0),
+                SymbolProperties.GetDefault(Currencies.USD),
+                ErrorCurrencyConverter.Instance,
+                RegisteredSecurityDataTypesProvider.Null,
+                new SecurityCache()
+            );
+            security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
+
+            var model = new BaseVolatilityModel();
+            model.SetSubscriptionDataConfigProvider(new MockSubscriptionDataConfigProvider(config));
+            var result = model.GetHistoryRequirements(security, DateTime.UtcNow, passResolution ? config.Resolution : null, periods).First();
+
+            Assert.AreEqual(config.DataNormalizationMode, result.DataNormalizationMode);
+            Assert.AreEqual(config.Symbol, result.Symbol);
+            Assert.AreEqual(config.DataTimeZone, result.DataTimeZone);
+            Assert.AreEqual(config.IsCustomData, result.IsCustomData);
+            Assert.AreEqual(config.FillDataForward, result.FillForwardResolution != null);
+            Assert.AreEqual(config.ExtendedMarketHours, result.IncludeExtendedMarketHours);
+            // Max resolution is used if no resolution is passed
+            Assert.AreEqual(passResolution ? config.Resolution : Resolution.Daily, result.Resolution);
+        }
+
+        [Test]
+        public void GetHistoryRequirementsWorksForTwoDifferentSubscriptions(
+            [ValueSource(nameof(GetDataNormalizationModes))] DataNormalizationMode dataNormalizationMode,
+            [Values] bool passResolution)
+        {
+            const int periods = 3;
+            var reference = new DateTime(2016, 04, 06, 12, 0, 0);
+            var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
+            var timeKeeper = new TimeKeeper(referenceUtc);
+            var config = new SubscriptionDataConfig(
+                typeof(TradeBar),
+                Symbols.SPY,
+                Resolution.Minute,
+                TimeZones.NewYork,
+                TimeZones.NewYork,
+                true,
+                false,
+                false,
+                dataNormalizationMode: dataNormalizationMode);
+            var security = new Security(
+                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
+                config,
+                new Cash(Currencies.USD, 0, 0),
+                SymbolProperties.GetDefault(Currencies.USD),
+                ErrorCurrencyConverter.Instance,
+                RegisteredSecurityDataTypesProvider.Null,
+                new SecurityCache()
+            );
+            security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
+
+            var model = new BaseVolatilityModel();
+            var mock = new MockSubscriptionDataConfigProvider(config);
+            mock.SubscriptionDataConfigs.Add(
+                new SubscriptionDataConfig(
+                    typeof(TradeBar),
+                    Symbols.SPY,
+                    Resolution.Second,
+                    TimeZones.NewYork,
+                    TimeZones.NewYork,
+                    true,
+                    true,
+                    false,
+                    true,
+                dataNormalizationMode: dataNormalizationMode));
+            model.SetSubscriptionDataConfigProvider(mock);
+            var result = model.GetHistoryRequirements(security, DateTime.UtcNow, passResolution ? config.Resolution : null, periods).First();
+
+            Assert.AreEqual(config.DataNormalizationMode, result.DataNormalizationMode);
+            Assert.AreEqual(config.Symbol, result.Symbol);
+            Assert.AreEqual(config.DataTimeZone, result.DataTimeZone);
+            Assert.AreEqual(true, result.IsCustomData);
+            Assert.AreEqual(true, result.FillForwardResolution != null);
+            Assert.AreEqual(true, result.IncludeExtendedMarketHours); ;
+            // Max resolution is used if no resolution is passed
+            Assert.AreEqual(passResolution ? config.Resolution : Resolution.Daily, result.Resolution);
+        }
+
+        private static DataNormalizationMode[] GetDataNormalizationModes => (DataNormalizationMode[])Enum.GetValues(typeof(DataNormalizationMode));
+    }
+}