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 NodaTime;
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using NUnit.Framework;
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using NUnit.Framework.Internal;
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using QuantConnect.Algorithm;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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using QuantConnect.Lean.Engine.Results;
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using QuantConnect.Packets;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Equity;
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namespace QuantConnect.Tests.Engine.DataFeeds
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{
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[TestFixture]
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public class DataManagerTests
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{
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private QCAlgorithm _algorithm;
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private SecurityService _securityService;
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[SetUp]
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public void SetUp()
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{
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_algorithm = new AlgorithmStub();
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_securityService = new SecurityService(_algorithm.Portfolio.CashBook,
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MarketHoursDatabase.AlwaysOpen,
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SymbolPropertiesDatabase.FromDataFolder(),
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_algorithm,
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCacheProvider(_algorithm.Portfolio),
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algorithm: _algorithm);
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}
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[Test]
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public void ReturnsExistingConfig()
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{
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var dataPermissionManager = new DataPermissionManager();
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var dataManager = new DataManager(new NullDataFeed(),
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new UniverseSelection(_algorithm,
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_securityService,
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dataPermissionManager,
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TestGlobals.DataProvider),
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_algorithm,
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_algorithm.TimeKeeper,
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MarketHoursDatabase.AlwaysOpen,
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false,
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new RegisteredSecurityDataTypesProvider(),
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dataPermissionManager);
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var config = new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.SPY,
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Resolution.Daily,
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TimeZones.NewYork,
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TimeZones.NewYork,
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false,
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false,
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false);
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var sameConfig = dataManager.SubscriptionManagerGetOrAdd(config);
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Assert.IsTrue(ReferenceEquals(sameConfig, config));
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Assert.AreEqual(1, dataManager.GetSubscriptionDataConfigs(config.Symbol).Count);
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var otherInstance = new SubscriptionDataConfig(config.Type,
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config.Symbol,
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config.Resolution,
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config.DataTimeZone,
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config.ExchangeTimeZone,
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config.FillDataForward,
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config.ExtendedMarketHours,
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config.IsInternalFeed);
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sameConfig = dataManager.SubscriptionManagerGetOrAdd(otherInstance);
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Assert.IsTrue(ReferenceEquals(sameConfig, config));
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Assert.AreEqual(1, dataManager.GetSubscriptionDataConfigs(config.Symbol).Count);
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dataManager.RemoveAllSubscriptions();
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}
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[Test]
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public void RemovesExistingConfig()
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{
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var dataPermissionManager = new DataPermissionManager();
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var dataFeed = new TestDataFeed();
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var dataManager = new DataManager(dataFeed,
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new UniverseSelection(_algorithm,
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_securityService,
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dataPermissionManager,
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TestGlobals.DataProvider),
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_algorithm,
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_algorithm.TimeKeeper,
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MarketHoursDatabase.AlwaysOpen,
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false,
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new RegisteredSecurityDataTypesProvider(),
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dataPermissionManager);
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var config = new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.SPY,
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Resolution.Daily,
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TimeZones.NewYork,
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TimeZones.NewYork,
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false,
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false,
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false);
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Assert.IsTrue(ReferenceEquals(dataManager.SubscriptionManagerGetOrAdd(config), config));
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Assert.AreEqual(1, dataManager.GetSubscriptionDataConfigs(config.Symbol).Count);
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// we didn't add any subscription yet
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Assert.IsFalse(dataManager.RemoveSubscription(config));
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var request = new SubscriptionRequest(false,
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null,
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new Security(Symbols.SPY,
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SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
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new Cash(Currencies.USD, 1, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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new IdentityCurrencyConverter(Currencies.USD),
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCache()),
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config,
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new DateTime(2019, 1, 1),
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new DateTime(2019, 1, 1));
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using var enquableEnumerator = new EnqueueableEnumerator<SubscriptionData>();
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dataFeed.Subscription = new Subscription(request,
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enquableEnumerator,
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null);
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Assert.IsTrue(dataManager.AddSubscription(request));
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Assert.IsTrue(dataManager.RemoveSubscription(config));
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Assert.AreEqual(0, dataManager.GetSubscriptionDataConfigs(config.Symbol).Count);
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dataManager.RemoveAllSubscriptions();
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}
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[Test]
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// reproduces GH issue 3877
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public void ConfigurationForAddedSubscriptionIsAlwaysPresent()
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{
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var dataPermissionManager = new DataPermissionManager();
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var dataFeed = new TestDataFeed();
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var dataManager = new DataManager(dataFeed,
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new UniverseSelection(_algorithm,
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_securityService,
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dataPermissionManager,
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TestGlobals.DataProvider),
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_algorithm,
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_algorithm.TimeKeeper,
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MarketHoursDatabase.AlwaysOpen,
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false,
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new RegisteredSecurityDataTypesProvider(),
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dataPermissionManager);
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var config = new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.SPY,
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Resolution.Daily,
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TimeZones.NewYork,
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TimeZones.NewYork,
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false,
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false,
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false);
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// Universe A: adds the config
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dataManager.SubscriptionManagerGetOrAdd(config);
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var request = new SubscriptionRequest(false,
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null,
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new Security(Symbols.SPY,
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SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
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new Cash(Currencies.USD, 1, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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new IdentityCurrencyConverter(Currencies.USD),
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCache()),
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config,
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new DateTime(2019, 1, 1),
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new DateTime(2019, 1, 1));
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using var enquableEnumerator = new EnqueueableEnumerator<SubscriptionData>();
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dataFeed.Subscription = new Subscription(request,
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enquableEnumerator,
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null);
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// Universe A: adds the subscription
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dataManager.AddSubscription(request);
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// Universe B: adds the config
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dataManager.SubscriptionManagerGetOrAdd(config);
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// Universe A: removes the subscription
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Assert.IsTrue(dataManager.RemoveSubscription(config));
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Assert.AreEqual(0, dataManager.GetSubscriptionDataConfigs(config.Symbol).Count);
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// Universe B: adds the subscription
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Assert.IsTrue(dataManager.AddSubscription(request));
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// the config should be present
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Assert.AreEqual(1, dataManager.GetSubscriptionDataConfigs(config.Symbol).Count);
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dataManager.RemoveAllSubscriptions();
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}
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[Test]
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public void ScaledRawNormalizationModeIsNotAllowed()
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{
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var dataPermissionManager = new DataPermissionManager();
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var dataFeed = new TestDataFeed();
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var dataManager = new DataManager(dataFeed,
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new UniverseSelection(_algorithm,
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_securityService,
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dataPermissionManager,
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TestGlobals.DataProvider),
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_algorithm,
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_algorithm.TimeKeeper,
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MarketHoursDatabase.AlwaysOpen,
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false,
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new RegisteredSecurityDataTypesProvider(),
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dataPermissionManager);
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var config = new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.SPY,
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Resolution.Daily,
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TimeZones.NewYork,
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TimeZones.NewYork,
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false,
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false,
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false,
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dataNormalizationMode: DataNormalizationMode.ScaledRaw);
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using var universe = new TestUniverse(
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config,
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new UniverseSettings(Resolution.Daily, 1, false, false, TimeSpan.FromDays(365)));
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var security = new Equity(
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config.Symbol,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash(Currencies.USD, 1, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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new IdentityCurrencyConverter(Currencies.USD),
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCache());
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var subscriptionRequest = new SubscriptionRequest(
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false,
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universe,
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security,
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config,
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new DateTime(2014, 10, 10),
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new DateTime(2015, 10, 10));
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var exception = Assert.Throws<InvalidOperationException>(() =>
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{
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dataManager.AddSubscription(subscriptionRequest);
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});
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Assert.That(exception.Message, Does.Contain(nameof(DataNormalizationMode.ScaledRaw)));
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}
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private class TestDataFeed : IDataFeed
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{
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public Subscription Subscription { get; set; }
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public bool IsActive { get; }
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public void Initialize(IAlgorithm algorithm, AlgorithmNodePacket job, IResultHandler resultHandler,
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IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider, IDataProvider dataProvider,
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IDataFeedSubscriptionManager subscriptionManager, IDataFeedTimeProvider dataFeedTimeProvider,
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IDataChannelProvider channelProvider)
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{
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}
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public Subscription CreateSubscription(SubscriptionRequest request)
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{
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return Subscription;
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}
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public void RemoveSubscription(Subscription subscription)
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{
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}
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public void Exit()
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{
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}
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}
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private class TestUniverse : Universe
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{
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public TestUniverse(SubscriptionDataConfig config, UniverseSettings universeSettings)
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: base(config)
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{
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UniverseSettings = universeSettings;
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}
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public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
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{
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throw new NotImplementedException();
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}
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}
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}
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}
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