chore: import upstream snapshot with attribution
This commit is contained in:
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 NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Packets;
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using QuantConnect.Queues;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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namespace QuantConnect.Tests.Engine.DataFeeds
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{
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[TestFixture]
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public class DataQueueHandlerManagerTests
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{
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[TestCase("BacktestingBrokerage")]
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public void GetFactoryFromDataQueueHandler(string dataQueueHandler)
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{
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var factory = JobQueue.GetFactoryFromDataQueueHandler(dataQueueHandler);
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Assert.NotNull(factory);
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}
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[Test]
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public void SetJob()
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{
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//Array IDQH
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var dataHandlers = Newtonsoft.Json.JsonConvert.SerializeObject(new[] { "FakeDataQueue" });
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var jobWithArrayIDQH = new LiveNodePacket
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{
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DataQueueHandler = dataHandlers
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};
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var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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compositeDataQueueHandler.SetJob(jobWithArrayIDQH);
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compositeDataQueueHandler.Dispose();
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}
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[Test]
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public void SubscribeReturnsNull()
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{
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var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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var enumerator = compositeDataQueueHandler.Subscribe(GetConfig(), (_, _) => {});
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Assert.Null(enumerator);
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compositeDataQueueHandler.Dispose();
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}
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[Test]
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public void SubscribeReturnsNotNull()
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{
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var dataHandlers = Newtonsoft.Json.JsonConvert.SerializeObject(new[] { "FakeDataQueue" });
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var job = new LiveNodePacket
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{
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DataQueueHandler = dataHandlers
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};
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var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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compositeDataQueueHandler.SetJob(job);
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var enumerator = compositeDataQueueHandler.Subscribe(GetConfig(), (_, _) => {});
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Assert.NotNull(enumerator);
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compositeDataQueueHandler.Dispose();
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enumerator.Dispose();
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}
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[Test]
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public void Unsubscribe()
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{
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var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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compositeDataQueueHandler.Unsubscribe(GetConfig());
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compositeDataQueueHandler.Dispose();
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}
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[Test]
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public void IsNotUniverseProvider()
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{
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var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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Assert.IsFalse(compositeDataQueueHandler.HasUniverseProvider);
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Assert.Throws<NotSupportedException>(() => compositeDataQueueHandler.LookupSymbols(Symbols.ES_Future_Chain, false));
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Assert.Throws<NotSupportedException>(() => compositeDataQueueHandler.CanPerformSelection());
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compositeDataQueueHandler.Dispose();
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}
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[Test]
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public void DoubleSubscribe()
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{
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var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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compositeDataQueueHandler.SetJob(new LiveNodePacket { DataQueueHandler = "[ \"TestDataHandler\" ]" });
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var dataConfig = GetConfig();
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var enumerator = compositeDataQueueHandler.Subscribe(dataConfig, (_, _) => {});
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Assert.DoesNotThrow(() => compositeDataQueueHandler.Subscribe(dataConfig, (_, _) => { }));
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compositeDataQueueHandler.Dispose();
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}
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[Test]
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public void SingleSubscribe()
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{
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TestDataHandler.UnsubscribeCounter = 0;
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var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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compositeDataQueueHandler.SetJob(new LiveNodePacket { DataQueueHandler = "[ \"TestDataHandler\" ]" });
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var dataConfig = GetConfig();
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var enumerator = compositeDataQueueHandler.Subscribe(dataConfig, (_, _) => {});
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compositeDataQueueHandler.Unsubscribe(dataConfig);
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compositeDataQueueHandler.Unsubscribe(dataConfig);
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compositeDataQueueHandler.Unsubscribe(dataConfig);
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Assert.AreEqual(1, TestDataHandler.UnsubscribeCounter);
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compositeDataQueueHandler.Dispose();
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}
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[TestCase(false)]
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[TestCase(true)]
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public void MappedConfig(bool canonicalUnsubscribeFirst)
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{
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TestDataHandler.UnsubscribeCounter = 0;
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TestDataHandler.SubscribeCounter = 0;
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var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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compositeDataQueueHandler.SetJob(new LiveNodePacket { DataQueueHandler = "[ \"TestDataHandler\" ]" });
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var canonicalSymbol = Symbols.ES_Future_Chain.UpdateMappedSymbol(Symbols.Future_ESZ18_Dec2018.ID.ToString());
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var canonicalConfig = GetConfig(canonicalSymbol);
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var contractConfig = GetConfig(Symbols.Future_ESZ18_Dec2018);
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var enumerator = new LiveSubscriptionEnumerator(canonicalConfig, compositeDataQueueHandler, (_, _) => {}, (_) => false);
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var enumerator2 = new LiveSubscriptionEnumerator(contractConfig, compositeDataQueueHandler, (_, _) => {}, (_) => false);
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var firstUnsubscribe = canonicalUnsubscribeFirst ? canonicalConfig : contractConfig;
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var secondUnsubscribe = canonicalUnsubscribeFirst ? contractConfig : canonicalConfig;
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Assert.AreEqual(2, TestDataHandler.SubscribeCounter);
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compositeDataQueueHandler.UnsubscribeWithMapping(firstUnsubscribe);
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Assert.AreEqual(1, TestDataHandler.UnsubscribeCounter);
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compositeDataQueueHandler.UnsubscribeWithMapping(secondUnsubscribe);
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Assert.AreEqual(2, TestDataHandler.UnsubscribeCounter);
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enumerator.Dispose();
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enumerator2.Dispose();
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compositeDataQueueHandler.Dispose();
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}
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[Test]
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public void HandleExplodingDataQueueHandler()
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{
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using var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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// first exploding
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compositeDataQueueHandler.SetJob(new LiveNodePacket { DataQueueHandler = "[ \"ExplodingDataHandler\", \"TestDataHandler\" ]" });
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IEnumerator<BaseData> enumerator = null;
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Assert.DoesNotThrow(() =>
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{
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enumerator = compositeDataQueueHandler.Subscribe(GetConfig(), (_, _) => { });
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});
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Assert.IsNotNull(enumerator);
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enumerator.Dispose();
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}
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[Test]
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public void ExplodingDataQueueHandler()
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{
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using var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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compositeDataQueueHandler.SetJob(new LiveNodePacket { DataQueueHandler = "[ \"ExplodingDataHandler\" ]" });
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Assert.Throws<Exception>(() =>
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{
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using var enumerator = compositeDataQueueHandler.Subscribe(GetConfig(), (_, _) => { });
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});
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}
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[Test]
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public void HandlesCustomData()
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{
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var customSymbol = Symbol.CreateBase(typeof(AlgorithmSettings), Symbols.SPY);
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var config = new SubscriptionDataConfig(typeof(TradeBar), customSymbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork,
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false, false, false, false, TickType.Trade, false);
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var dataHandlers = Newtonsoft.Json.JsonConvert.SerializeObject(new[] { "FakeDataQueue" });
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var job = new LiveNodePacket
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{
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DataQueueHandler = dataHandlers
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};
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var compositeDataQueueHandler = new DataQueueHandlerManager(new AlgorithmSettings());
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compositeDataQueueHandler.SetJob(job);
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var enumerator = compositeDataQueueHandler.Subscribe(config, (_, _) => { });
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Assert.NotNull(enumerator);
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compositeDataQueueHandler.Dispose();
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enumerator.Dispose();
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}
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private static SubscriptionDataConfig GetConfig(Symbol symbol = null)
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{
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return new SubscriptionDataConfig(typeof(TradeBar), symbol ?? Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork,
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false, false, false, false, TickType.Trade, false);
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}
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private class TestDataHandler : IDataQueueHandler
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{
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public static int SubscribeCounter { get; set; }
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public static int UnsubscribeCounter { get; set; }
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public void Dispose()
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{
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}
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public virtual IEnumerator<BaseData> Subscribe(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
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{
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SubscribeCounter++;
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return Enumerable.Empty<BaseData>().GetEnumerator();
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}
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public void Unsubscribe(SubscriptionDataConfig dataConfig)
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{
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UnsubscribeCounter++;
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}
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public void SetJob(LiveNodePacket job)
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{
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}
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public bool IsConnected { get; }
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}
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private class ExplodingDataHandler : TestDataHandler
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{
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public override IEnumerator<BaseData> Subscribe(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
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{
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throw new Exception("ExplodingDataHandler exception!");
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}
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}
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}
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}
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