chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,306 @@
|
||||
/*
|
||||
* 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.Data;
|
||||
using System.Globalization;
|
||||
using QuantConnect.Securities;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Data.Market;
|
||||
using System.Collections.Generic;
|
||||
using QuantConnect.Data.Auxiliary;
|
||||
using QuantConnect.Lean.Engine.DataFeeds;
|
||||
using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
|
||||
|
||||
namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
|
||||
{
|
||||
[TestFixture]
|
||||
public class LiveAuxiliaryDataEnumeratorTests
|
||||
{
|
||||
[TestCase(DataMappingMode.OpenInterest, "20130616", false)]
|
||||
[TestCase(DataMappingMode.FirstDayMonth, "20130602", false)]
|
||||
[TestCase(DataMappingMode.LastTradingDay, "20130623", false)]
|
||||
[TestCase(DataMappingMode.OpenInterest, "20130616", true)]
|
||||
[TestCase(DataMappingMode.FirstDayMonth, "20130602", true)]
|
||||
[TestCase(DataMappingMode.LastTradingDay, "20130623", true)]
|
||||
public void EmitsMappingEventsBasedOnCurrentMapFileAndTime(DataMappingMode dataMappingMode, string mappingDate, bool delayed)
|
||||
{
|
||||
var config = new SubscriptionDataConfig(typeof(TradeBar),
|
||||
Symbols.ES_Future_Chain,
|
||||
Resolution.Daily,
|
||||
TimeZones.NewYork,
|
||||
TimeZones.NewYork,
|
||||
true,
|
||||
true,
|
||||
false,
|
||||
dataMappingMode: dataMappingMode);
|
||||
var symbolMaps = new List<SubscriptionDataConfig.NewSymbolEventArgs>();
|
||||
config.NewSymbol += (sender, args) => symbolMaps.Add(args);
|
||||
var time = new DateTime(2013, 05, 28);
|
||||
var cache = new SecurityCache();
|
||||
|
||||
cache.AddData(new Tick(time, config.Symbol, 20, 10));
|
||||
var timeProvider = new ManualTimeProvider(time);
|
||||
|
||||
var futureTicker1 = "es vhle2yxr5blt";
|
||||
TestMapFileResolver.MapFile = new MapFile(Futures.Indices.SP500EMini, new[]
|
||||
{
|
||||
new MapFileRow(Time.BeginningOfTime, Futures.Indices.SP500EMini, Exchange.CME),
|
||||
new MapFileRow(new DateTime(2013,06,01), futureTicker1, Exchange.CME, DataMappingMode.FirstDayMonth),
|
||||
new MapFileRow(new DateTime(2013,06,15), futureTicker1, Exchange.CME, DataMappingMode.OpenInterest),
|
||||
new MapFileRow(new DateTime(2013,06,22), futureTicker1, Exchange.CME, DataMappingMode.LastTradingDay),
|
||||
});
|
||||
|
||||
IEnumerator<BaseData> enumerator;
|
||||
Assert.IsTrue(LiveAuxiliaryDataEnumerator.TryCreate(config, timeProvider, cache, new TestMapFileProvider(), TestGlobals.FactorFileProvider, time, out enumerator));
|
||||
|
||||
// get's mapped right away!
|
||||
Assert.AreEqual(futureTicker1.ToUpper(), config.MappedSymbol);
|
||||
|
||||
Assert.AreEqual(1, symbolMaps.Count);
|
||||
Assert.AreEqual(Symbols.ES_Future_Chain, symbolMaps[0].Old);
|
||||
Assert.AreEqual(Futures.Indices.SP500EMini, symbolMaps[0].Old.ID.Symbol);
|
||||
Assert.AreEqual(Symbols.ES_Future_Chain, symbolMaps[0].New);
|
||||
Assert.AreEqual(futureTicker1.ToUpper(), symbolMaps[0].New.Underlying.ID.ToString());
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
|
||||
var expectedMappingDate = DateTime.ParseExact(mappingDate, DateFormat.EightCharacter, CultureInfo.InvariantCulture);
|
||||
if (delayed)
|
||||
{
|
||||
// we advance to the mapping date, without any new mapFile!
|
||||
timeProvider.Advance(expectedMappingDate.ConvertToUtc(config.ExchangeTimeZone) - timeProvider.GetUtcNow() + Time.LiveAuxiliaryDataOffset);
|
||||
}
|
||||
else
|
||||
{
|
||||
// just advance a day to show nothing happens until mapping time
|
||||
timeProvider.Advance(TimeSpan.FromDays(1));
|
||||
}
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
|
||||
var futureTicker2 = "es vk2zrh843z7l";
|
||||
TestMapFileResolver.MapFile = new MapFile(Futures.Indices.SP500EMini, TestMapFileResolver.MapFile.Concat(
|
||||
new[]
|
||||
{
|
||||
new MapFileRow(new DateTime(2013,09,01), futureTicker2, Exchange.CME, DataMappingMode.FirstDayMonth),
|
||||
new MapFileRow(new DateTime(2013,09,14), futureTicker2, Exchange.CME, DataMappingMode.OpenInterest),
|
||||
new MapFileRow(new DateTime(2013,09,21), futureTicker2, Exchange.CME, DataMappingMode.LastTradingDay),
|
||||
}));
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
|
||||
if (delayed)
|
||||
{
|
||||
// we got a new mapFile! advance the date and expect mapping to have happened
|
||||
timeProvider.Advance(TimeSpan.FromDays(1));
|
||||
}
|
||||
else
|
||||
{
|
||||
// we advance to the mapping date
|
||||
timeProvider.Advance(expectedMappingDate.ConvertToUtc(config.ExchangeTimeZone) - timeProvider.GetUtcNow() + Time.LiveAuxiliaryDataOffset);
|
||||
}
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNotNull(enumerator.Current);
|
||||
|
||||
Assert.AreEqual(2, symbolMaps.Count);
|
||||
Assert.AreEqual(Symbols.ES_Future_Chain, symbolMaps[1].Old);
|
||||
Assert.AreEqual(futureTicker1.ToUpper(), symbolMaps[1].Old.Underlying.ID.ToString());
|
||||
Assert.AreEqual(Symbols.ES_Future_Chain, symbolMaps[1].New);
|
||||
Assert.AreEqual(futureTicker2.ToUpper(), symbolMaps[1].New.Underlying.ID.ToString());
|
||||
|
||||
Assert.AreEqual(futureTicker2.ToUpper(), config.MappedSymbol);
|
||||
|
||||
Assert.AreEqual(futureTicker2.ToUpper(), (enumerator.Current as SymbolChangedEvent).NewSymbol);
|
||||
Assert.AreEqual(futureTicker1.ToUpper(), (enumerator.Current as SymbolChangedEvent).OldSymbol);
|
||||
Assert.AreEqual(config.Symbol, (enumerator.Current as SymbolChangedEvent).Symbol);
|
||||
Assert.AreEqual(timeProvider.GetUtcNow().Date, (enumerator.Current as SymbolChangedEvent).Time);
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
enumerator.Dispose();
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void EmitsDelistingEventsBasedOnCurrentTime()
|
||||
{
|
||||
var config = new SubscriptionDataConfig(typeof(TradeBar),
|
||||
Symbols.SPY_C_192_Feb19_2016,
|
||||
Resolution.Daily,
|
||||
TimeZones.NewYork,
|
||||
TimeZones.NewYork,
|
||||
true,
|
||||
true,
|
||||
false);
|
||||
var delistingDate = config.Symbol.GetDelistingDate();
|
||||
var time = delistingDate.AddDays(-10);
|
||||
var cache = new SecurityCache();
|
||||
cache.AddData(new Tick(DateTime.UtcNow, config.Symbol, 20, 10));
|
||||
var timeProvider = new ManualTimeProvider(time);
|
||||
|
||||
IEnumerator<BaseData> enumerator;
|
||||
Assert.IsTrue(LiveAuxiliaryDataEnumerator.TryCreate(config, timeProvider, cache, TestGlobals.MapFileProvider, TestGlobals.FactorFileProvider, config.Symbol.ID.Date, out enumerator));
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
|
||||
// advance until delisting date, take into account 5 hour offset of NY + TradableDateOffset
|
||||
timeProvider.Advance(TimeSpan.FromDays(10));
|
||||
timeProvider.Advance(TimeSpan.FromHours(5));
|
||||
timeProvider.Advance(Time.LiveAuxiliaryDataOffset);
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type);
|
||||
Assert.AreEqual(config.Symbol, (enumerator.Current as Delisting).Symbol);
|
||||
Assert.AreEqual(delistingDate, (enumerator.Current as Delisting).Time);
|
||||
Assert.AreEqual(15, (enumerator.Current as Delisting).Price);
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
|
||||
// when the day ends the delisted event will pass through, respecting the offset
|
||||
timeProvider.Advance(TimeSpan.FromDays(1));
|
||||
|
||||
cache.AddData(new Tick(DateTime.UtcNow, config.Symbol, 40, 20));
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.AreEqual(DelistingType.Delisted, (enumerator.Current as Delisting).Type);
|
||||
Assert.AreEqual(config.Symbol, (enumerator.Current as Delisting).Symbol);
|
||||
Assert.AreEqual(delistingDate.AddDays(1), (enumerator.Current as Delisting).Time);
|
||||
Assert.AreEqual(30, (enumerator.Current as Delisting).Price);
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
enumerator.Dispose();
|
||||
}
|
||||
|
||||
[TestCase(false)]
|
||||
[TestCase(true)]
|
||||
public void EquityEmitsDelistingEventsBasedOnCurrentTime(bool delayed)
|
||||
{
|
||||
var config = new SubscriptionDataConfig(typeof(TradeBar),
|
||||
Symbols.SPY,
|
||||
Resolution.Daily,
|
||||
TimeZones.NewYork,
|
||||
TimeZones.NewYork,
|
||||
true,
|
||||
true,
|
||||
false);
|
||||
var time = new DateTime(2013, 05, 28);
|
||||
var cache = new SecurityCache();
|
||||
|
||||
cache.AddData(new Tick(time, config.Symbol, 20, 10));
|
||||
var timeProvider = new ManualTimeProvider(time);
|
||||
|
||||
TestMapFileResolver.MapFile = new MapFile(config.Symbol.ID.Symbol, new[]
|
||||
{
|
||||
new MapFileRow(Time.BeginningOfTime, config.Symbol.ID.Symbol),
|
||||
new MapFileRow(Time.EndOfTime, config.Symbol.ID.Symbol),
|
||||
});
|
||||
|
||||
IEnumerator<BaseData> enumerator;
|
||||
Assert.IsTrue(LiveAuxiliaryDataEnumerator.TryCreate(config, timeProvider, cache, new TestMapFileProvider(), TestGlobals.FactorFileProvider, time, out enumerator));
|
||||
|
||||
// get's mapped right away!
|
||||
Assert.AreEqual("SPY", config.MappedSymbol);
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
|
||||
var delistingDate = time.AddDays(2);
|
||||
var delistedMapFile = new MapFile(config.Symbol.ID.Symbol, new[]
|
||||
{
|
||||
new MapFileRow(Time.BeginningOfTime, config.Symbol.ID.Symbol),
|
||||
new MapFileRow(delistingDate, config.Symbol.ID.Symbol),
|
||||
});
|
||||
|
||||
// just advance a day to show nothing happens until mapping time
|
||||
timeProvider.Advance(TimeSpan.FromDays(1));
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
|
||||
if (!delayed)
|
||||
{
|
||||
TestMapFileResolver.MapFile = delistedMapFile;
|
||||
}
|
||||
|
||||
// we advance to the mapping date, without any new mapFile!
|
||||
timeProvider.Advance(delistingDate.ConvertToUtc(config.ExchangeTimeZone) - timeProvider.GetUtcNow() + Time.LiveAuxiliaryDataOffset);
|
||||
|
||||
if (delayed)
|
||||
{
|
||||
// nothing happens
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
|
||||
TestMapFileResolver.MapFile = delistedMapFile;
|
||||
|
||||
timeProvider.Advance(Time.OneDay);
|
||||
}
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNotNull(enumerator.Current);
|
||||
|
||||
var delisted = enumerator.Current as Delisting;
|
||||
Assert.IsNotNull(delisted);
|
||||
Assert.AreEqual(DelistingType.Warning, delisted.Type);
|
||||
|
||||
if (!delayed)
|
||||
{
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNull(enumerator.Current);
|
||||
|
||||
// delisting passed
|
||||
timeProvider.Advance(TimeSpan.FromDays(1));
|
||||
}
|
||||
|
||||
Assert.IsTrue(enumerator.MoveNext());
|
||||
Assert.IsNotNull(enumerator.Current);
|
||||
|
||||
delisted = enumerator.Current as Delisting;
|
||||
Assert.IsNotNull(delisted);
|
||||
Assert.AreEqual(DelistingType.Delisted, delisted.Type);
|
||||
enumerator.Dispose();
|
||||
}
|
||||
|
||||
private class TestMapFileProvider : IMapFileProvider
|
||||
{
|
||||
public void Initialize(IDataProvider dataProvider)
|
||||
{
|
||||
}
|
||||
|
||||
public MapFileResolver Get(AuxiliaryDataKey auxiliaryDataKey)
|
||||
{
|
||||
return new TestMapFileResolver();
|
||||
}
|
||||
}
|
||||
|
||||
private class TestMapFileResolver : MapFileResolver
|
||||
{
|
||||
public static MapFile MapFile { get; set; }
|
||||
public TestMapFileResolver()
|
||||
: base(new[] { MapFile })
|
||||
{
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user