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chore: import upstream snapshot with attribution

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wehub-resource-sync
2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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Tests/DownloaderDataProvider/DataDownloadConfigTests.cs
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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.Configuration;
using QuantConnect.DownloaderDataProvider.Launcher.Models;
namespace QuantConnect.Tests.DownloaderDataProvider
{
[TestFixture]
public class DataDownloadConfigTests
{
[TestCase(null, "BTCUSDT", SecurityType.Crypto, "coinbase", false)]
[TestCase(null, "BTCUSDT", SecurityType.Crypto, "coinbase", true)]
[TestCase("", "ETHUSDT", SecurityType.Crypto, "coinbase", false)]
[TestCase("", "ETHUSDT", SecurityType.Crypto, "coinbase", true)]
[TestCase(null, "AAPL", SecurityType.Equity, "usa", false)]
[TestCase(null, "AAPL", SecurityType.Equity, "usa", true)]
[TestCase("", "AAPL", SecurityType.Equity, "usa", false)]
[TestCase("", "AAPL", SecurityType.Equity, "usa", true)]
[TestCase("USA", "AAPL", SecurityType.Equity, "usa")]
[TestCase("ICE", "AAPL", SecurityType.Equity, "ice")]
public void ValidateMarketArguments(string market, string ticker, SecurityType securityType, string expectedMarket, bool skipConfigMarket = false)
{
Config.Set("data-type", "Trade");
Config.Set("resolution", "Daily");
Config.Set("security-type", $"{securityType}");
Config.Set("tickers", $"{{\"{ticker}\": \"\"}}");
Config.Set("start-date", "20240101");
Config.Set("end-date", "20240202");
if (!skipConfigMarket)
{
Config.Set("market", market);
}
var dataDownloadConfig = new DataDownloadConfig();
Assert.That(dataDownloadConfig.MarketName, Is.EqualTo(expectedMarket));
Config.Reset();
}
[TestCase(Market.CME, Securities.Futures.Indices.SP500EMini + "H6", SecurityType.Future, false, 0, "2026/03/20")]
[TestCase(Market.CME, Securities.Futures.Indices.SP500EMini, SecurityType.Future, true, 0, "2026/03/20")]
[TestCase(Market.CME, "E", SecurityType.Future, true, 0, "2026/03/20")]
[TestCase(Market.USA, "AAPL", SecurityType.Option, true, 0, "2026/03/20")]
[TestCase(Market.USA, "AAPL260213C00262500", SecurityType.Option, false, 262.5, "2026/02/13")]
[TestCase(Market.USA, "AAPL 260213C00262500", SecurityType.Option, false, 262.5, "2026/02/13")]
[TestCase(Market.USA, "SPXW260213C06050000", SecurityType.IndexOption, false, 6050, "2026/02/13")]
[TestCase(Market.USA, "SPXW 260213C06050000", SecurityType.IndexOption, false, 6050, "2026/02/13")]
[TestCase(Market.CME, "ESH6 C7000", SecurityType.FutureOption, false, 7000, "2026/03/20")]
[TestCase(Market.COMEX, "OGJ6 C4985", SecurityType.FutureOption, false, 4985, "2026/03/26")]
[TestCase(Market.CME, "GFH6 C368.5", SecurityType.FutureOption, false, 368.5, "2026/03/26")]
public void ShouldParseSymbolContractAndDownload(string expectedMarket, string ticker, SecurityType securityType, bool expectedIsCanonical, decimal expectedStrike, DateTime expectedExpiry)
{
Config.Set("data-type", "Trade");
Config.Set("resolution", "Daily");
Config.Set("security-type", $"{securityType}");
Config.Set("tickers", $"{{\"{ticker}\": \"\"}}");
Config.Set("start-date", "20260201");
Config.Set("end-date", "20260213");
Config.Set("market", expectedMarket);
var dataDownloadConfig = new DataDownloadConfig();
Assert.IsNotEmpty(dataDownloadConfig.Symbols);
Assert.AreEqual(1, dataDownloadConfig.Symbols.Count);
var symbol = dataDownloadConfig.Symbols.First();
Assert.IsNotNull(symbol);
Assert.AreEqual(expectedIsCanonical, symbol.IsCanonical());
Assert.AreEqual(symbol.ID.Market, expectedMarket);
if (!symbol.IsCanonical())
{
Assert.AreEqual(expectedExpiry, symbol.ID.Date.Date);
}
if (securityType.IsOption())
{
Assert.AreEqual(expectedStrike, symbol.ID.StrikePrice);
}
}
}
}
Tests/DownloaderDataProvider/DownloadHelperTests.cs
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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.IO;
using System.Linq;
using NUnit.Framework;
using QuantConnect.Data;
using QuantConnect.Util;
using QuantConnect.Logging;
using QuantConnect.Interfaces;
using QuantConnect.Data.Market;
using System.Collections.Generic;
using QuantConnect.DownloaderDataProvider.Launcher;
using QuantConnect.DownloaderDataProvider.Launcher.Models;
namespace QuantConnect.Tests.DownloaderDataProvider
{
[TestFixture]
public class DownloadHelperTests
{
private IDataCacheProvider _cacheProvider;
[OneTimeSetUp]
public void OneTimeSetUp()
{
_cacheProvider = new DiskDataCacheProvider();
}
[OneTimeTearDown]
public void OneTimeTearDown()
{
if (_cacheProvider != null)
{
_cacheProvider.Dispose();
}
}
/// <summary>
/// Temporary data download directory
/// </summary>
private readonly string _dataDirectory = Path.Combine(Path.GetTempPath(), Guid.NewGuid().ToString());
[TestCase(TickType.Trade, Resolution.Daily)]
public void RunDownload(TickType tickType, Resolution resolution)
{
var startDate = new DateTime(2024, 01, 01);
var tradeDate = new DateTime(2024, 01, 10);
var endDate = new DateTime(2024, 02, 02);
var symbol = Symbol.CreateCanonicalOption(Symbols.AAPL);
var downloadDataConfig = new DataDownloadConfig(tickType, SecurityType.Option, resolution, startDate, endDate, Market.USA, new List<Symbol>() { symbol });
var optionContracts = GenerateOptionContracts(Symbols.AAPL, 100, new DateTime(2024, 03, 16), expiryAddDay: 30);
var generateOptionContactFileName = optionContracts.ToList(contract => LeanData.GenerateZipEntryName(contract, contract.ID.Date, resolution, tickType));
Assert.That(optionContracts.Distinct().Count(), Is.EqualTo(optionContracts.Count));
var mockBaseDate = GenerateTradeBarByEachSymbol(optionContracts, tradeDate);
var downloader = new DataDownloaderTest(mockBaseDate);
Program.RunDownload(downloader, downloadDataConfig, _dataDirectory, _cacheProvider);
var filePath = LeanData.GenerateZipFilePath(_dataDirectory, symbol, startDate, resolution, tickType);
var fileNames = _cacheProvider.GetZipEntries(filePath);
var unZipData = QuantConnect.Compression.Unzip(filePath).ToDictionary(x => x.Key, x => x.Value.ToList());
Assert.AreEqual(fileNames.Count, unZipData.Count);
Assert.AreEqual(fileNames.Count, optionContracts.Count);
foreach (var dataInZip in unZipData)
{
Assert.IsTrue(generateOptionContactFileName.Contains(dataInZip.Key));
Assert.Greater(dataInZip.Value.Count, 0);
Assert.IsTrue(dataInZip.Value.All(row => row.Length > 0));
}
}
private static IEnumerable<BaseData> GenerateTradeBarByEachSymbol(IEnumerable<Symbol> symbols, DateTime tradeDateTime)
{
var multiplier = 100;
foreach (var option in symbols)
{
yield return new TradeBar(tradeDateTime, option, multiplier, multiplier, multiplier, multiplier, multiplier);
multiplier *= 2;
}
}
private static List<Symbol> GenerateOptionContracts(Symbol underlying, decimal strikePrice, DateTime expiryDate, int strikeMultiplier = 2, int expiryAddDay = 1, int count = 2)
{
var contracts = new List<Symbol>();
for (int i = 0; i < count; i++)
{
contracts.Add(Symbol.CreateOption(underlying, underlying.ID.Market, OptionStyle.American, OptionRight.Put, strikePrice, expiryDate));
expiryDate = expiryDate.AddDays(expiryAddDay);
strikePrice *= strikeMultiplier;
}
return contracts;
}
[Test]
public void RunDownloadLogsWarningWhenDownloaderReturnsEmptyData()
{
var startDate = new DateTime(2015, 7, 20);
var endDate = new DateTime(2016, 1, 1);
var symbol = Symbols.SPY;
var downloadDataConfig = new DataDownloadConfig(TickType.Trade, SecurityType.Equity, Resolution.Daily, startDate, endDate, Market.USA, new List<Symbol> { symbol });
var logHandler = new QueueLogHandler();
var originalHandler = Log.LogHandler;
Log.LogHandler = logHandler;
try
{
var downloader = new DataDownloaderTest(Enumerable.Empty<BaseData>());
Program.RunDownload(downloader, downloadDataConfig, _dataDirectory, _cacheProvider);
var logs = logHandler.Logs.Select(x => x.Message).ToList();
Assert.IsTrue(logs.Any(msg => msg.Contains("No data found", StringComparison.OrdinalIgnoreCase)),
$"Expected a warning log when the downloader returns no data, but got: {string.Join(", ", logs)}");
}
finally
{
Log.LogHandler = originalHandler;
}
}
private class DataDownloaderTest : IDataDownloader
{
public IEnumerable<BaseData> Data { get; }
public DataDownloaderTest(IEnumerable<BaseData> data)
{
Data = data;
}
public IEnumerable<BaseData> Get(DataDownloaderGetParameters dataDownloaderGetParameters)
{
return Data.Select(x => x);
}
}
}
}