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 System.Linq;
+using NUnit.Framework;
+using QuantConnect.Data.Market;
+using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
+
+namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
+{
+    [TestFixture]
+    public class QuoteBarFillForwardEnumeratorTests
+    {
+        [Test]
+        public void FillsForwardBidAskBars()
+        {
+            var bar1 = new QuoteBar
+            {
+                Bid = new Bar(3m, 4m, 1m, 2m),
+                Ask = new Bar(3.1m, 4.1m, 1.1m, 2.1m),
+            };
+
+            var bar2 = new QuoteBar
+            {
+                Bid = null,
+                Ask = null,
+            };
+
+            var data = new[] { bar1, bar2 }.ToList();
+            var enumerator = data.GetEnumerator();
+
+            var fillForwardEnumerator = new QuoteBarFillForwardEnumerator(enumerator);
+
+            // 9:31
+            Assert.IsTrue(fillForwardEnumerator.MoveNext());
+            var quoteBar1 = (QuoteBar)fillForwardEnumerator.Current;
+            Assert.AreSame(bar1.Bid, quoteBar1.Bid);
+            Assert.AreSame(bar1.Ask, quoteBar1.Ask);
+
+            // 9:32
+            Assert.IsTrue(fillForwardEnumerator.MoveNext());
+            var quoteBar2 = (QuoteBar)fillForwardEnumerator.Current;
+            Assert.AreSame(quoteBar1.Bid, quoteBar2.Bid);
+            Assert.AreSame(quoteBar1.Ask, quoteBar2.Ask);
+
+            fillForwardEnumerator.Dispose();
+        }
+    }
+}