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
@@ -0,0 +1,98 @@
+/*
+ * 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.Util;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Lean.Engine.DataFeeds;
+using QuantConnect.Data.UniverseSelection;
+
+namespace QuantConnect.Tests.Engine.DataFeeds
+{
+    [TestFixture, Parallelizable(ParallelScope.Fixtures)]
+    public class BaseDataCollectionAggregatorReaderTests
+    {
+        [TestCase(Resolution.Daily, 1, true, true)]
+        [TestCase( Resolution.Hour, 1, true, true)]
+        [TestCase(Resolution.Daily, 5849, false, true)]
+        [TestCase(Resolution.Hour, 40832, false, true)]
+        [TestCase(Resolution.Daily, 1, true, false)]
+        [TestCase(Resolution.Hour, 1, true, false)]
+        [TestCase(Resolution.Daily, 5849, false, false)]
+        [TestCase(Resolution.Hour, 40832, false, false)]
+        public void AggregatesDataPerTime(Resolution resolution, int expectedCount, bool singleDate, bool isDataEphemeral)
+        {
+            var reader = Initialize(false, resolution, isDataEphemeral, out var dataSource);
+            TestBaseDataCollection.SingleDate = singleDate;
+
+            var result = reader.Read(dataSource).ToList();
+
+            Assert.AreEqual(expectedCount, result.Count);
+            Assert.IsTrue(result.All(data => data is TestBaseDataCollection));
+
+            if (expectedCount == 1)
+            {
+                var collection = result[0] as TestBaseDataCollection;
+                Assert.IsNotNull(collection);
+                Assert.GreaterOrEqual(collection.Data.Count, 5000);
+                Assert.AreEqual(expectedCount, collection.Data.DistinctBy(data => data.Time).Count());
+                Assert.IsTrue(collection.Data.All(x => x.Symbol == Symbols.AAPL));
+            }
+        }
+
+        private static ISubscriptionDataSourceReader Initialize(bool liveMode, Resolution resolution, bool isDataEphemeral,  out SubscriptionDataSource source)
+        {
+            using var cache = new ZipDataCacheProvider(TestGlobals.DataProvider, isDataEphemeral: isDataEphemeral);
+            var config = new SubscriptionDataConfig(typeof(TestBaseDataCollection),
+                Symbols.SPY,
+                resolution,
+                TimeZones.NewYork,
+                TimeZones.NewYork,
+                false,
+                false,
+                false);
+            var date = DateTime.MinValue;
+            var path = LeanData.GenerateZipFilePath(Globals.DataFolder, config.Symbol, date, resolution, TickType.Trade);
+            source = new SubscriptionDataSource(path, SubscriptionTransportMedium.LocalFile);
+            return new BaseDataCollectionAggregatorReader(cache, config, date, liveMode, null);
+        }
+
+        private class TestBaseDataCollection : BaseDataCollection
+        {
+            public static volatile bool SingleDate;
+            private static readonly TradeBar _factory = new TradeBar();
+            public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
+            {
+                var dataPoint = _factory.Reader(config, line, date, isLiveMode);
+                if (SingleDate)
+                {
+                    // single day
+                    dataPoint.Time = date;
+                }
+                // universe data collections can return data with a symbol different than the one in the configuration
+                dataPoint.Symbol = Symbols.AAPL;
+                return dataPoint;
+            }
+
+            public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+            {
+                return _factory.GetSource(config, date, isLiveMode);
+            }
+        }
+    }
+}