chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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+/*
+ * 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 NodaTime;
+using System.Linq;
+using NUnit.Framework;
+using QuantConnect.Data;
+using QuantConnect.Packets;
+using QuantConnect.Interfaces;
+using QuantConnect.Data.Market;
+using System.Collections.Generic;
+using QuantConnect.Lean.Engine.DataFeeds;
+using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
+
+namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
+{
+    [TestFixture, Parallelizable(ParallelScope.All)]
+    public class LiveSubscriptionEnumeratorTests
+    {
+        [Test]
+        public void HandlesSymbolMapping()
+        {
+            var canonical = Symbols.Fut_SPY_Feb19_2016.Canonical;
+            var dataQueue = new TestDataQueueHandler
+            {
+                DataPerSymbol = new Dictionary<Symbol, List<BaseData>>
+                {
+                    { Symbols.Fut_SPY_Feb19_2016,
+                        new List<BaseData>{ new Tick(Time.BeginningOfTime, Symbols.Fut_SPY_Feb19_2016, 1, 1)} },
+                    { Symbols.Fut_SPY_Mar19_2016,
+                        new List<BaseData>{ new Tick(Time.BeginningOfTime, Symbols.Fut_SPY_Mar19_2016, 2, 2)} },
+                }
+            };
+            var config = new SubscriptionDataConfig(typeof(Tick), canonical, Resolution.Tick,
+                DateTimeZone.Utc, DateTimeZone.Utc, false, false, false)
+            {
+                MappedSymbol = Symbols.Fut_SPY_Feb19_2016.ID.ToString()
+            };
+
+            var compositeDataQueueHandler = new TestDataQueueHandlerManager(new AlgorithmSettings());
+            compositeDataQueueHandler.ExposedDataHandlers.Add(dataQueue);
+            var data = new LiveSubscriptionEnumerator(config, compositeDataQueueHandler, (_, _) => {}, (_) => false);
+
+            Assert.IsTrue(data.MoveNext());
+            Assert.AreEqual(1, (data.Current as Tick).AskPrice);
+            Assert.AreEqual(canonical, (data.Current as Tick).Symbol);
+
+            Assert.IsFalse(data.MoveNext());
+            Assert.IsNull(data.Current);
+
+            Assert.AreEqual(2, dataQueue.DataPerSymbol.Count);
+            config.MappedSymbol = Symbols.Fut_SPY_Mar19_2016.ID.ToString();
+            Assert.AreEqual(1, dataQueue.DataPerSymbol.Count);
+
+            Assert.IsTrue(data.MoveNext());
+            Assert.AreEqual(2, (data.Current as Tick).AskPrice);
+            Assert.AreEqual(canonical, (data.Current as Tick).Symbol);
+            Assert.AreNotEqual(canonical, dataQueue.DataPerSymbol[Symbols.Fut_SPY_Mar19_2016].Single().Symbol);
+
+            Assert.IsFalse(data.MoveNext());
+            Assert.IsNull(data.Current);
+
+            Assert.AreEqual(1, dataQueue.DataPerSymbol.Count);
+
+            data.Dispose();
+            compositeDataQueueHandler.Dispose();
+        }
+
+        internal class TestDataQueueHandler : IDataQueueHandler
+        {
+            public bool IsConnected => true;
+
+            public Dictionary<Symbol, List<BaseData>> DataPerSymbol;
+
+            public IEnumerator<BaseData> Subscribe(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
+            {
+                if (DataPerSymbol.TryGetValue(dataConfig.Symbol, out var baseDatas))
+                {
+                    return baseDatas.GetEnumerator();
+                }
+                throw new Exception($"Failed to find a data enumerator for symbol {dataConfig.Symbol}!");
+            }
+            public void Unsubscribe(SubscriptionDataConfig dataConfig)
+            {
+                DataPerSymbol.Remove(dataConfig.Symbol);
+            }
+            public void SetJob(LiveNodePacket job)
+            {
+            }
+            public void Dispose()
+            {
+            }
+        }
+
+        private class TestDataQueueHandlerManager : DataQueueHandlerManager
+        {
+            public List<IDataQueueHandler> ExposedDataHandlers => DataHandlers;
+            public TestDataQueueHandlerManager(IAlgorithmSettings settings) : base(settings)
+            {
+            }
+        }
+    }
+}