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.Linq;
+using NUnit.Framework;
+using QuantConnect.Lean.Engine.DataFeeds;
+using QuantConnect.Logging;
+using QuantConnect.Securities;
+using QuantConnect.Util;
+
+namespace QuantConnect.Tests.Engine.DataFeeds
+{
+    [TestFixture]
+    public class BacktestingFutureChainProviderTests
+    {
+        private ILogHandler _logHandler;
+        private BacktestingFutureChainProvider _provider;
+
+        [OneTimeSetUp]
+        public void SetUp()
+        {
+            // Store initial Log Handler
+            _logHandler = Log.LogHandler;
+            _provider = new BacktestingFutureChainProvider();
+            _provider.Initialize(new(TestGlobals.MapFileProvider, TestGlobals.HistoryProvider));
+        }
+
+        [OneTimeTearDown]
+        public void TearDown()
+        {
+            // Restore intial Log Handler
+            Log.LogHandler = _logHandler;
+        }
+
+        [TestCase("20131011")]
+        // saturday, will fetch previous tradable date instead
+        [TestCase("20131012")]
+        public void CorrectlyDeterminesContractList(string date)
+        {
+            var dateTime = Time.ParseDate(date);
+            var symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, dateTime.AddDays(10));
+            var result = _provider.GetFutureContractList(symbol, dateTime);
+
+            Assert.IsNotEmpty(result);
+        }
+
+        [TestCase("20201007", 2)]
+        [TestCase("20131007", 5)]
+        public void UsesMultipleResolutions(string strDate, int expectedCount)
+        {
+            // we don't have minute data for this date
+            var date = Time.ParseDate(strDate);
+
+            var symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, date);
+            var futureChain = _provider.GetFutureContractList(symbol, date).ToList();
+
+            Assert.IsTrue(futureChain.All(x => x.ID.Date.Date >= date));
+            Assert.IsTrue(futureChain.All(x => x.SecurityType == SecurityType.Future));
+            Assert.IsTrue(futureChain.All(x => x.ID.Symbol == Futures.Indices.SP500EMini));
+            Assert.AreEqual(expectedCount, futureChain.Count);
+        }
+    }
+}