chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,577 @@
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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.Linq;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Util;
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using QuantConnect.Securities;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
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{
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[TestFixture]
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public class LiveFillForwardEnumeratorTests
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{
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[Test]
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public void FillsForwardOnNulls()
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{
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var reference = new DateTime(2015, 10, 08);
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var period = Time.OneSecond;
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var underlying = new List<BaseData>
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{
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// 0 seconds
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new TradeBar(reference, Symbols.SPY, 10, 20, 5, 15, 123456, period),
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// 1 seconds
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null,
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// 3 seconds
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new TradeBar(reference.AddSeconds(2), Symbols.SPY, 100, 200, 50, 150, 1234560, period),
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null,
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null,
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null,
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null
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};
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var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
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timeProvider.SetCurrentTime(reference);
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var exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
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var fillForward = new LiveFillForwardEnumerator(timeProvider, underlying.GetEnumerator(), exchange, Ref.Create(Time.OneSecond), false, reference, Time.EndOfTime, Resolution.Second, exchange.TimeZone, false);
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// first point is always emitted
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Assert.IsTrue(fillForward.MoveNext());
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Assert.AreEqual(underlying[0], fillForward.Current);
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Assert.AreEqual(123456, ((TradeBar)fillForward.Current).Volume);
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// stepping again without advancing time does nothing, but we'll still
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// return true as per IEnumerator contract
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Assert.IsTrue(fillForward.MoveNext());
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Assert.IsNull(fillForward.Current);
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timeProvider.SetCurrentTime(reference.AddSeconds(2));
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// non-null next will fill forward in between
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Assert.IsTrue(fillForward.MoveNext());
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Assert.AreEqual(underlying[0].EndTime, fillForward.Current.Time);
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Assert.AreEqual(underlying[0].Value, fillForward.Current.Value);
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Assert.IsTrue(fillForward.Current.IsFillForward);
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Assert.AreEqual(0, ((TradeBar)fillForward.Current).Volume);
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// even without stepping the time this will advance since non-null data is ready
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Assert.IsTrue(fillForward.MoveNext());
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Assert.AreEqual(underlying[2], fillForward.Current);
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Assert.AreEqual(1234560, ((TradeBar)fillForward.Current).Volume);
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// step ahead into null data territory
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timeProvider.SetCurrentTime(reference.AddSeconds(4));
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Assert.IsTrue(fillForward.MoveNext());
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Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
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Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork).RoundDown(Time.OneSecond), fillForward.Current.EndTime);
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Assert.IsTrue(fillForward.Current.IsFillForward);
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Assert.AreEqual(0, ((TradeBar)fillForward.Current).Volume);
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Assert.IsTrue(fillForward.MoveNext());
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Assert.IsNull(fillForward.Current);
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timeProvider.SetCurrentTime(reference.AddSeconds(5));
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Assert.IsTrue(fillForward.MoveNext());
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Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
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Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork).RoundDown(Time.OneSecond), fillForward.Current.EndTime);
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Assert.IsTrue(fillForward.Current.IsFillForward);
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Assert.AreEqual(0, ((TradeBar)fillForward.Current).Volume);
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timeProvider.SetCurrentTime(reference.AddSeconds(6));
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Assert.IsTrue(fillForward.MoveNext());
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Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
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Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork).RoundDown(Time.OneSecond), fillForward.Current.EndTime);
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Assert.IsTrue(fillForward.Current.IsFillForward);
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Assert.AreEqual(0, ((TradeBar)fillForward.Current).Volume);
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fillForward.Dispose();
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}
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[Test]
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public void HandlesDaylightSavingTimeChange()
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{
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// In 2018, Daylight Saving Time (DST) began at 2 AM on Sunday, March 11
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// This means that clocks were moved forward one hour on March 11
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var reference = new DateTime(2018, 3, 10);
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var period = Time.OneDay;
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var underlying = new List<TradeBar>
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{
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new TradeBar(reference, Symbols.SPY, 10, 20, 5, 15, 123456, period),
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// Daylight Saving Time change, the data still goes from midnight to midnight
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new TradeBar(reference.AddDays(1), Symbols.SPY, 100, 200, 50, 150, 1234560, period)
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};
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var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
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timeProvider.SetCurrentTime(reference);
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var exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
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var fillForward = new LiveFillForwardEnumerator(
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timeProvider,
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underlying.GetEnumerator(),
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exchange,
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Ref.Create(Time.OneDay),
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false,
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reference,
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Time.EndOfTime,
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Resolution.Daily,
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exchange.TimeZone, false);
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// first point is always emitted
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Assert.IsTrue(fillForward.MoveNext());
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Assert.IsFalse(fillForward.Current.IsFillForward);
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Assert.AreEqual(underlying[0], fillForward.Current);
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//Assert.AreEqual(underlying[0].EndTime, fillForward.Current.EndTime);
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Assert.AreEqual(123456, ((TradeBar)fillForward.Current).Volume);
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// Daylight Saving Time change -> add 1 hour
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timeProvider.SetCurrentTime(reference.AddDays(1).AddHours(1));
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// second data point emitted
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Assert.IsTrue(fillForward.MoveNext());
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Assert.IsFalse(fillForward.Current.IsFillForward);
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Assert.AreEqual(underlying[1], fillForward.Current);
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//Assert.AreEqual(underlying[1].EndTime, fillForward.Current.EndTime);
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Assert.AreEqual(1234560, ((TradeBar)fillForward.Current).Volume);
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Assert.IsTrue(fillForward.MoveNext());
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Assert.IsTrue(fillForward.Current.IsFillForward);
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Assert.AreEqual(underlying[1].EndTime, fillForward.Current.Time);
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Assert.AreEqual(underlying[1].Value, fillForward.Current.Value);
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Assert.AreEqual(0, ((TradeBar)fillForward.Current).Volume);
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fillForward.Dispose();
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}
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[Test]
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public void LiveFillForwardEnumeratorDoesNotStall()
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{
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var reference = new DateTime(2020, 5, 21, 9, 40, 0, 100);
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var timeProvider = new ManualTimeProvider(reference, TimeZones.NewYork);
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using var fillForwardEnumerator = GetLiveFillForwardEnumerator(timeProvider, reference.Date, Resolution.Minute, out var enqueueableEnumerator, false);
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var openingBar = new TradeBar
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{
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Open = 0.01m,
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High = 0.01m,
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Low = 0.01m,
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Close = 0.01m,
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Volume = 1,
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EndTime = new DateTime(2020, 5, 21, 9, 40, 0),
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Symbol = Symbols.AAPL
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};
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var secondBar = new TradeBar
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{
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Open = 1m,
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High = 2m,
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Low = 1m,
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Close = 2m,
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Volume = 100,
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EndTime = new DateTime(2020, 5, 21, 9, 42, 0),
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Symbol = Symbols.AAPL
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};
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// Enqueue the first point, which will be emitted ASAP.
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enqueueableEnumerator.Enqueue(openingBar);
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Assert.IsTrue(fillForwardEnumerator.MoveNext());
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Assert.NotNull(fillForwardEnumerator.Current);
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Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
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Assert.AreEqual(openingBar.EndTime, fillForwardEnumerator.Current.EndTime);
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// Advance the time, we expect a fill-forward bar.
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timeProvider.SetCurrentTime(new DateTime(2020, 5, 21, 9, 41, 0, 100) + LiveFillForwardEnumerator.GetMaximumDataTimeout(Resolution.Minute));
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Assert.IsTrue(fillForwardEnumerator.MoveNext());
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Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
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Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
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Assert.AreEqual(openingBar.EndTime.AddMinutes(1), fillForwardEnumerator.Current.EndTime);
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// Now we expect data. The secondBar should be fill-forwarded from here on out after the MoveNext
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timeProvider.SetCurrentTime(new DateTime(2020, 5, 21, 9, 42, 0, 100));
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enqueueableEnumerator.Enqueue(secondBar);
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Assert.IsTrue(fillForwardEnumerator.MoveNext());
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Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
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enqueueableEnumerator.Dispose();
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}
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private static IEnumerable<TestCaseData> TimeOutTestCases
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{
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get
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{
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// Hour resolution, fill forward to market open
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yield return new(Resolution.Hour, new DateTime(2020, 5, 21, 16, 0, 0), new DateTime(2020, 5, 22, 10, 0, 0), true, true);
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yield return new(Resolution.Hour, new DateTime(2020, 5, 21, 16, 0, 0), new DateTime(2020, 5, 22, 10, 0, 0), false, false);
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yield return new(Resolution.Hour, new DateTime(2020, 5, 21, 10, 0, 0), null, true, false);
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yield return new(Resolution.Hour, new DateTime(2020, 5, 21, 10, 0, 0), null, false, false);
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// over a weekend (22th is a Friday and 25th Monday is a holiday)
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yield return new(Resolution.Hour, new DateTime(2020, 5, 22, 16, 0, 0), new DateTime(2020, 5, 26, 10, 0, 0), true, true);
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yield return new(Resolution.Hour, new DateTime(2020, 5, 22, 16, 0, 0), new DateTime(2020, 5, 26, 10, 0, 0), false, false);
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// market close
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yield return new(Resolution.Hour, new DateTime(2020, 5, 21, 15, 0, 0), null, true, true);
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yield return new(Resolution.Hour, new DateTime(2020, 5, 21, 15, 0, 0), null, false, false);
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// Minute resolution, fill forward to market open
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yield return new(Resolution.Minute, new DateTime(2020, 5, 21, 16, 0, 0), new DateTime(2020, 5, 22, 9, 31, 0), true, true);
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yield return new(Resolution.Minute, new DateTime(2020, 5, 21, 16, 0, 0), new DateTime(2020, 5, 22, 9, 31, 0), false, false);
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yield return new(Resolution.Minute, new DateTime(2020, 5, 21, 9, 31, 0), null, true, false);
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yield return new(Resolution.Minute, new DateTime(2020, 5, 21, 9, 31, 0), null, false, false);
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// over a weekend
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yield return new(Resolution.Minute, new DateTime(2020, 5, 22, 16, 0, 0), new DateTime(2020, 5, 26, 9, 31, 0), true, true);
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yield return new(Resolution.Minute, new DateTime(2020, 5, 22, 16, 0, 0), new DateTime(2020, 5, 26, 9, 31, 0), false, false);
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// market close
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yield return new(Resolution.Minute, new DateTime(2020, 5, 21, 15, 59, 0), null, true, true);
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yield return new(Resolution.Minute, new DateTime(2020, 5, 21, 15, 59, 0), null, false, false);
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// Second resolution, fill forward to market open
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yield return new(Resolution.Second, new DateTime(2020, 5, 21, 16, 0, 0), new DateTime(2020, 5, 22, 9, 30, 1), true, true);
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yield return new(Resolution.Second, new DateTime(2020, 5, 21, 16, 0, 0), new DateTime(2020, 5, 22, 9, 30, 1), false, false);
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yield return new(Resolution.Second, new DateTime(2020, 5, 21, 9, 30, 1), null, true, false);
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yield return new(Resolution.Second, new DateTime(2020, 5, 21, 9, 30, 1), null, false, false);
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// over a weekend
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yield return new(Resolution.Second, new DateTime(2020, 5, 22, 16, 0, 0), new DateTime(2020, 5, 26, 9, 30, 1), true, true);
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yield return new(Resolution.Second, new DateTime(2020, 5, 22, 16, 0, 0), new DateTime(2020, 5, 26, 9, 30, 1), false, false);
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// market close
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yield return new(Resolution.Second, new DateTime(2020, 5, 21, 15, 59, 59), null, true, true);
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yield return new(Resolution.Second, new DateTime(2020, 5, 21, 15, 59, 59), null, false, false);
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}
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}
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[TestCaseSource(nameof(TimeOutTestCases))]
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public void TakesIntoAccountTimeOut(Resolution resolution, DateTime previousDataEndTime, DateTime? expectedNextBarEndTime, bool dataArrivedLate, bool shouldHaveTimeout)
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{
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var timeProvider = new ManualTimeProvider(previousDataEndTime, TimeZones.NewYork);
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using var fillForwardEnumerator = GetLiveFillForwardEnumerator(timeProvider, previousDataEndTime.Date, resolution, out var enqueueableEnumerator, dailyStrictEndTimeEnabled: false);
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var period = resolution.ToTimeSpan();
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var openingBar = new TradeBar(previousDataEndTime.Subtract(period), Symbols.AAPL, 0.01m, 0.01m, 0.01m, 0.01m, 1, period);
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expectedNextBarEndTime ??= previousDataEndTime.Add(resolution.ToTimeSpan());
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var secondBar = new TradeBar(openingBar.EndTime, Symbols.AAPL, 1m, 2m, 1m, 2m, 100, period);
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// Enqueue the first point, which will be emitted ASAP.
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enqueueableEnumerator.Enqueue(openingBar);
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Assert.IsTrue(fillForwardEnumerator.MoveNext());
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Assert.NotNull(fillForwardEnumerator.Current);
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Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
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Assert.AreEqual(openingBar.EndTime, fillForwardEnumerator.Current.EndTime);
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// Advance the time, we don't expect a fill-forward bar because the timeout amount has not passed yet
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timeProvider.SetCurrentTime(expectedNextBarEndTime.Value);
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if (dataArrivedLate)
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{
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Assert.IsTrue(fillForwardEnumerator.MoveNext());
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if (shouldHaveTimeout)
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{
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Assert.IsNull(fillForwardEnumerator.Current);
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// Advance the time, including the expected timout, we expect a fill-forward bar.
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timeProvider.Advance(LiveFillForwardEnumerator.GetMaximumDataTimeout(resolution));
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Assert.IsTrue(fillForwardEnumerator.MoveNext());
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}
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Assert.IsNotNull(fillForwardEnumerator.Current);
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Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
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Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
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Assert.AreEqual(expectedNextBarEndTime, fillForwardEnumerator.Current.EndTime);
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Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
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Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
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Assert.AreEqual(expectedNextBarEndTime, fillForwardEnumerator.Current.EndTime);
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}
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// Now we expect data. The secondBar should be fill-forwarded from here on out after the MoveNext
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enqueueableEnumerator.Enqueue(secondBar);
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Assert.IsTrue(fillForwardEnumerator.MoveNext());
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Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
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enqueueableEnumerator.Dispose();
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}
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[Test]
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public void TakesIntoAccountTimeOutWhenThereAreBigGaps([Values(Resolution.Second, Resolution.Minute, Resolution.Hour)] Resolution resolution)
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{
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var start = new DateTime(2020, 5, 20, 12, 0, 0);
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var end = new DateTime(2020, 5, 22, 16, 0, 0);
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var timeProvider = new ManualTimeProvider(start, TimeZones.NewYork);
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using var fillForwardEnumerator = GetLiveFillForwardEnumerator(timeProvider, start, resolution, out var enqueueableEnumerator, dailyStrictEndTimeEnabled: false);
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var period = resolution.ToTimeSpan();
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var openingBar = new TradeBar(start.Subtract(period), Symbols.AAPL, 0.01m, 0.01m, 0.01m, 0.01m, 1, period);
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// Enqueue the first point, which will be emitted ASAP.
|
||||
enqueueableEnumerator.Enqueue(openingBar);
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Assert.IsTrue(fillForwardEnumerator.MoveNext());
|
||||
Assert.NotNull(fillForwardEnumerator.Current);
|
||||
Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
|
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Assert.AreEqual(openingBar.EndTime, fillForwardEnumerator.Current.EndTime);
|
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timeProvider.Advance(period);
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var previous = (TradeBar)fillForwardEnumerator.Current;
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var currentIsMarketOpen = false;
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var currentIsMarketClose = false;
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while (previous.EndTime < end)
|
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{
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var currentTime = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork);
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Assert.IsTrue(fillForwardEnumerator.MoveNext(), $"Previous: {previous.EndTime}");
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||||
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if (currentIsMarketOpen || currentIsMarketClose)
|
||||
{
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Assert.IsNull(fillForwardEnumerator.Current, $"Previous: {previous.EndTime}");
|
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|
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// Advance the time, including the expected timout, we expect a fill-forward bar.
|
||||
timeProvider.Advance(LiveFillForwardEnumerator.GetMaximumDataTimeout(resolution));
|
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Assert.IsTrue(fillForwardEnumerator.MoveNext(), $"Previous: {previous.EndTime}");
|
||||
}
|
||||
|
||||
Assert.IsNotNull(fillForwardEnumerator.Current, $"Previous: {previous.EndTime}");
|
||||
|
||||
var current = (TradeBar)fillForwardEnumerator.Current;
|
||||
Assert.IsTrue(current.IsFillForward, $"Current: {previous.EndTime}");
|
||||
Assert.AreEqual(previous.Open, current.Open, $"Current: {previous.EndTime}");
|
||||
Assert.AreEqual(previous.Price, current.Price, $"Current: {previous.EndTime}");
|
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|
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var expectedEndTime = previous.EndTime.Add(period);
|
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if (currentIsMarketOpen)
|
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{
|
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expectedEndTime = expectedEndTime.Date.AddDays(1).AddHours(9).AddMinutes(30).Add(period);
|
||||
if (resolution == Resolution.Hour)
|
||||
{
|
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expectedEndTime = expectedEndTime.RoundDown(period);
|
||||
}
|
||||
}
|
||||
Assert.AreEqual(expectedEndTime, current.EndTime, $"Current: {previous.EndTime}");
|
||||
|
||||
currentIsMarketOpen = current.EndTime.TimeOfDay == TimeSpan.FromHours(16);
|
||||
currentIsMarketClose = current.EndTime.TimeOfDay == TimeSpan.FromHours(16) - period;
|
||||
previous = current;
|
||||
|
||||
// Advance the time provider
|
||||
var nextTime = current.EndTime.Add(period);
|
||||
if (nextTime.TimeOfDay > TimeSpan.FromHours(16))
|
||||
{
|
||||
// If the next time is after market close, we need to advance to the next day
|
||||
nextTime = nextTime.Date.AddDays(1).AddHours(9).AddMinutes(30).Add(period);
|
||||
if (resolution == Resolution.Hour)
|
||||
{
|
||||
nextTime = nextTime.RoundDown(period);
|
||||
}
|
||||
}
|
||||
timeProvider.SetCurrentTime(nextTime);
|
||||
}
|
||||
|
||||
enqueueableEnumerator.Dispose();
|
||||
}
|
||||
|
||||
[TestCase(true, true)]
|
||||
[TestCase(false, true)]
|
||||
[TestCase(true, false)]
|
||||
[TestCase(false, false)]
|
||||
public void TakesIntoAccountTimeOutDaily(bool dailyStrictEndTimeEnabled, bool dataArrivedLate)
|
||||
{
|
||||
var resolution = Resolution.Daily;
|
||||
var referenceOpenTime = new DateTime(2020, 5, 21, 9, 30, 0);
|
||||
var referenceTime = new DateTime(2020, 5, 21, 16, 0, 0);
|
||||
if (!dailyStrictEndTimeEnabled)
|
||||
{
|
||||
referenceOpenTime = referenceOpenTime.Date;
|
||||
referenceTime = referenceTime.Date.AddDays(1);
|
||||
}
|
||||
var timeProvider = new ManualTimeProvider(referenceTime, TimeZones.NewYork);
|
||||
using var fillForwardEnumerator = GetLiveFillForwardEnumerator(timeProvider, referenceTime.Date, resolution, out var enqueueableEnumerator, dailyStrictEndTimeEnabled);
|
||||
var openingBar = new TradeBar
|
||||
{
|
||||
Open = 0.01m,
|
||||
High = 0.01m,
|
||||
Low = 0.01m,
|
||||
Close = 0.01m,
|
||||
Volume = 1,
|
||||
Time = referenceOpenTime,
|
||||
EndTime = referenceTime,
|
||||
Symbol = Symbols.AAPL
|
||||
};
|
||||
var secondBar = new TradeBar
|
||||
{
|
||||
Open = 1m,
|
||||
High = 2m,
|
||||
Low = 1m,
|
||||
Close = 2m,
|
||||
Volume = 100,
|
||||
Time = referenceOpenTime.AddDays(1),
|
||||
EndTime = referenceTime.AddDays(1),
|
||||
Symbol = Symbols.AAPL
|
||||
};
|
||||
|
||||
// Enqueue the first point, which will be emitted ASAP.
|
||||
enqueueableEnumerator.Enqueue(openingBar);
|
||||
Assert.IsTrue(fillForwardEnumerator.MoveNext());
|
||||
Assert.NotNull(fillForwardEnumerator.Current);
|
||||
Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
|
||||
Assert.AreEqual(openingBar.EndTime, fillForwardEnumerator.Current.EndTime);
|
||||
|
||||
// Advance the time, we don't expect a fill-forward bar because the timeout amount has not passed yet
|
||||
timeProvider.SetCurrentTime(secondBar.EndTime);
|
||||
|
||||
if (dataArrivedLate)
|
||||
{
|
||||
Assert.IsTrue(fillForwardEnumerator.MoveNext());
|
||||
Assert.IsNull(fillForwardEnumerator.Current);
|
||||
|
||||
// Advance the time, including the expected timout, we expect a fill-forward bar.
|
||||
timeProvider.Advance(LiveFillForwardEnumerator.GetMaximumDataTimeout(resolution));
|
||||
Assert.IsTrue(fillForwardEnumerator.MoveNext());
|
||||
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
|
||||
Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
|
||||
Assert.AreEqual(secondBar.EndTime, fillForwardEnumerator.Current.EndTime);
|
||||
}
|
||||
|
||||
// Now we expect data. The secondBar should be fill-forwarded from here on out after the MoveNext
|
||||
enqueueableEnumerator.Enqueue(secondBar);
|
||||
Assert.IsTrue(fillForwardEnumerator.MoveNext());
|
||||
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
|
||||
Assert.AreEqual(secondBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
|
||||
Assert.AreEqual(secondBar.EndTime, fillForwardEnumerator.Current.EndTime);
|
||||
enqueueableEnumerator.Dispose();
|
||||
}
|
||||
|
||||
[TestCase(Resolution.Minute)]
|
||||
[TestCase(Resolution.Hour)]
|
||||
public void MultiResolutionSmallerFillForwardResolution(Resolution resolution)
|
||||
{
|
||||
var ffResolution = Resolution.Second;
|
||||
var referenceOpenTime = new DateTime(2020, 5, 21, 14, 0, 0);
|
||||
if (resolution == Resolution.Minute)
|
||||
{
|
||||
referenceOpenTime = new DateTime(2020, 5, 21, 15, 59, 0);
|
||||
}
|
||||
var referenceTime = new DateTime(2020, 5, 21, 15, 0, 0);
|
||||
|
||||
var timeProvider = new ManualTimeProvider(referenceTime, TimeZones.NewYork);
|
||||
using var fillForwardEnumerator = GetLiveFillForwardEnumerator(timeProvider, referenceTime.Date, resolution, out var enqueueableEnumerator, true, ffResolution);
|
||||
var openingBar = new TradeBar
|
||||
{
|
||||
Open = 0.01m,
|
||||
High = 0.01m,
|
||||
Low = 0.01m,
|
||||
Close = 0.01m,
|
||||
Volume = 1,
|
||||
Time = referenceOpenTime,
|
||||
EndTime = referenceTime,
|
||||
Symbol = Symbols.AAPL
|
||||
};
|
||||
|
||||
// Enqueue the first point, which will be emitted ASAP.
|
||||
enqueueableEnumerator.Enqueue(openingBar);
|
||||
Assert.IsTrue(fillForwardEnumerator.MoveNext());
|
||||
Assert.NotNull(fillForwardEnumerator.Current);
|
||||
Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
|
||||
Assert.AreEqual(openingBar.EndTime, fillForwardEnumerator.Current.EndTime);
|
||||
|
||||
// Advance the time, we expect a fill-forward bar
|
||||
|
||||
for (var i = 0; i < 60; i++)
|
||||
{
|
||||
timeProvider.Advance(Time.OneSecond);
|
||||
|
||||
Assert.IsTrue(fillForwardEnumerator.MoveNext());
|
||||
Assert.NotNull(fillForwardEnumerator.Current);
|
||||
Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
|
||||
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForwardEnumerator.Current.EndTime);
|
||||
}
|
||||
|
||||
enqueueableEnumerator.Dispose();
|
||||
}
|
||||
|
||||
[TestCase(Resolution.Daily, Resolution.Minute)]
|
||||
[TestCase(Resolution.Hour, Resolution.Minute)]
|
||||
[TestCase(Resolution.Daily, Resolution.Second)]
|
||||
[TestCase(Resolution.Hour, Resolution.Second)]
|
||||
public void MultiResolutionMarketClose(Resolution resolution, Resolution ffResolution)
|
||||
{
|
||||
var referenceOpenTime = new DateTime(2020, 5, 21, 9, 30, 0);
|
||||
if (resolution == Resolution.Hour)
|
||||
{
|
||||
referenceOpenTime = new DateTime(2020, 5, 21, 15, 0, 0);
|
||||
}
|
||||
var referenceTime = new DateTime(2020, 5, 21, 16, 0, 0);
|
||||
var timeProvider = new ManualTimeProvider(referenceTime, TimeZones.NewYork);
|
||||
using var fillForwardEnumerator = GetLiveFillForwardEnumerator(timeProvider, referenceTime.Date, resolution, out var enqueueableEnumerator, true, ffResolution);
|
||||
var openingBar = new TradeBar
|
||||
{
|
||||
Open = 0.01m,
|
||||
High = 0.01m,
|
||||
Low = 0.01m,
|
||||
Close = 0.01m,
|
||||
Volume = 1,
|
||||
Time = referenceOpenTime,
|
||||
EndTime = referenceTime,
|
||||
Symbol = Symbols.AAPL
|
||||
};
|
||||
|
||||
// Enqueue the first point, which will be emitted ASAP.
|
||||
enqueueableEnumerator.Enqueue(openingBar);
|
||||
Assert.IsTrue(fillForwardEnumerator.MoveNext());
|
||||
Assert.NotNull(fillForwardEnumerator.Current);
|
||||
Assert.AreEqual(openingBar.Open, ((TradeBar)fillForwardEnumerator.Current).Open);
|
||||
Assert.AreEqual(openingBar.EndTime, fillForwardEnumerator.Current.EndTime);
|
||||
|
||||
for (var i = 0; i < 600; i++)
|
||||
{
|
||||
// Advance the time, we don't expect a fill-forward bar, we've emitted our daily bar already and market is closed
|
||||
timeProvider.Advance(ffResolution.ToTimeSpan());
|
||||
Assert.IsTrue(fillForwardEnumerator.MoveNext());
|
||||
Assert.IsNull(fillForwardEnumerator.Current);
|
||||
}
|
||||
|
||||
enqueueableEnumerator.Dispose();
|
||||
}
|
||||
|
||||
private static LiveFillForwardEnumerator GetLiveFillForwardEnumerator(ITimeProvider timeProvider, DateTime startTime, Resolution resolution,
|
||||
out EnqueueableEnumerator<BaseData> enqueueableEnumerator, bool dailyStrictEndTimeEnabled, Resolution? ffResolution = null)
|
||||
{
|
||||
enqueueableEnumerator = new EnqueueableEnumerator<BaseData>();
|
||||
var fillForwardEnumerator = new LiveFillForwardEnumerator(
|
||||
timeProvider,
|
||||
enqueueableEnumerator,
|
||||
new SecurityExchange(MarketHoursDatabase.FromDataFolder()
|
||||
.ExchangeHoursListing
|
||||
.First(kvp => kvp.Key.Market == Market.USA && kvp.Key.SecurityType == SecurityType.Equity)
|
||||
.Value
|
||||
.ExchangeHours),
|
||||
Ref.CreateReadOnly(() => (ffResolution ?? resolution).ToTimeSpan()),
|
||||
false,
|
||||
startTime,
|
||||
Time.EndOfTime,
|
||||
resolution,
|
||||
TimeZones.NewYork,
|
||||
dailyStrictEndTimeEnabled: dailyStrictEndTimeEnabled
|
||||
);
|
||||
|
||||
return fillForwardEnumerator;
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user