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.Collections;
+using System.Collections.Generic;
+using NUnit.Framework;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Lean.Engine.DataFeeds;
+using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
+
+namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
+{
+    [TestFixture, Parallelizable(ParallelScope.All)]
+    public class ScheduledEnumeratorTests
+    {
+        private readonly DateTime _referenceTime = new DateTime(2019, 1, 1);
+
+        [TestCase(true)]
+        [TestCase(false)]
+        public void RespectsPredicateTimeProvider(bool newDataArrivedInTime)
+        {
+            var scheduledDate = _referenceTime.AddDays(1);
+            using var underlyingEnumerator = new TestEnumerator
+            {
+                MoveNextReturn = true,
+                MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
+                {
+                    new Tick(scheduledDate.AddDays(-1), Symbols.SPY, 1, 1)
+                })
+            };
+            var timeProvider = new ManualTimeProvider(_referenceTime);
+
+            using var enumerator = new ScheduledEnumerator(
+                underlyingEnumerator,
+                new List<DateTime> { scheduledDate },
+                new PredicateTimeProvider(timeProvider, (currentDateTime) => {
+                    // will only let time advance after it's passed the 7/8 hour frontier
+                    return currentDateTime.TimeOfDay > TimeSpan.FromMinutes(7 * 60 + DateTime.UtcNow.Second);
+                }),
+                TimeZones.Utc,
+                DateTime.MinValue);
+
+            // still null since frontier is still behind schedule
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+
+            timeProvider.SetCurrentTimeUtc(scheduledDate);
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+
+            timeProvider.SetCurrentTimeUtc(scheduledDate.AddHours(2));
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+
+            if (newDataArrivedInTime)
+            {
+                // New data comes in!
+                underlyingEnumerator.MoveNextNewValues.Enqueue(new Tick(scheduledDate, Symbols.SPY, 10, 10));
+            }
+
+            timeProvider.SetCurrentTimeUtc(scheduledDate.AddHours(8));
+
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.AreEqual(scheduledDate, enumerator.Current.Time);
+            Assert.AreEqual(newDataArrivedInTime ? 10 : 1, (enumerator.Current as Tick).BidPrice);
+
+            // schedule ended so enumerator will end too
+            Assert.IsFalse(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+        }
+
+        [Test]
+        public void ScheduleSkipsOldDates()
+        {
+            using var testEnumerator = new TestEnumerator();
+            using var enumerator = new ScheduledEnumerator(
+                testEnumerator,
+                new List<DateTime> { _referenceTime },
+                new ManualTimeProvider(_referenceTime),
+                TimeZones.Utc,
+                _referenceTime.AddDays(1));
+
+            Assert.IsFalse(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+        }
+
+        [Test]
+        public void EmptyScheduleThrowsNoException()
+        {
+            ScheduledEnumerator enumerator = null;
+            Assert.DoesNotThrow(() => enumerator = new ScheduledEnumerator(
+                new TestEnumerator(),
+                new List<DateTime>(),
+                new ManualTimeProvider(_referenceTime),
+                TimeZones.Utc,
+                DateTime.MinValue));
+
+            Assert.IsFalse(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+        }
+
+        [Test]
+        public void ReturnsTrueEvenIfUnderlyingIsNullButReturnsTrue()
+        {
+            using var underlyingEnumerator = new TestEnumerator { MoveNextReturn = true };
+            var timeProvider = new ManualTimeProvider(_referenceTime);
+
+            using var enumerator = new ScheduledEnumerator(
+                underlyingEnumerator,
+                new List<DateTime> { _referenceTime.AddDays(1) },
+                timeProvider,
+                TimeZones.Utc,
+                DateTime.MinValue);
+
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+        }
+
+        [Test]
+        public void ReturnsFalseWhenUnderlyingReturnsFalse()
+        {
+            using var underlyingEnumerator = new TestEnumerator { MoveNextReturn = false };
+            var timeProvider = new ManualTimeProvider(_referenceTime);
+
+            using var enumerator = new ScheduledEnumerator(
+                underlyingEnumerator,
+                new List<DateTime> { _referenceTime.AddDays(1) },
+                timeProvider,
+                TimeZones.Utc,
+                DateTime.MinValue);
+
+            Assert.IsFalse(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+        }
+
+        [Test]
+        public void ForwardsDataToFitSchedule()
+        {
+            var scheduledDate = _referenceTime.AddDays(1);
+            using var underlyingEnumerator = new TestEnumerator
+            {
+                MoveNextReturn = true,
+                MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
+                {
+                    new Tick(scheduledDate, Symbols.SPY, 1, 1),
+                    // way in the future compared with the schedule
+                    new Tick(scheduledDate.AddYears(1), Symbols.SPY, 10, 10)
+                })
+            };
+            var timeProvider = new ManualTimeProvider(_referenceTime);
+
+            using var enumerator = new ScheduledEnumerator(
+                underlyingEnumerator,
+                new List<DateTime> { scheduledDate, scheduledDate.AddDays(1) },
+                timeProvider,
+                TimeZones.Utc,
+                DateTime.MinValue);
+
+            Assert.IsTrue(enumerator.MoveNext());
+            // still null since frontier is still behind schedule
+            Assert.IsNull(enumerator.Current);
+
+            timeProvider.SetCurrentTimeUtc(scheduledDate);
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.AreEqual(scheduledDate, enumerator.Current.Time);
+            Assert.AreEqual(1, (enumerator.Current as Tick).BidPrice);
+
+            // it will forward previous available value to fit the schedule
+            timeProvider.SetCurrentTimeUtc(scheduledDate.AddDays(1));
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.AreEqual(scheduledDate.AddDays(1), enumerator.Current.Time);
+            Assert.AreEqual(1, (enumerator.Current as Tick).BidPrice);
+
+            // schedule ended so enumerator will end too
+            Assert.IsFalse(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+        }
+
+        [Test]
+        public void UpdatesCurrentBasedOnSchedule()
+        {
+            var scheduledDate = _referenceTime.AddDays(1);
+            using var underlyingEnumerator = new TestEnumerator
+            {
+                MoveNextReturn = true,
+                MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
+                {
+                    new Tick(scheduledDate, Symbols.SPY, 1, 1)
+                })
+            };
+            var timeProvider = new ManualTimeProvider(_referenceTime);
+
+            using var enumerator = new ScheduledEnumerator(
+                underlyingEnumerator,
+                new List<DateTime> { scheduledDate },
+                timeProvider,
+                TimeZones.Utc,
+                DateTime.MinValue);
+
+            Assert.IsTrue(enumerator.MoveNext());
+            // still null since frontier is still behind schedule
+            Assert.IsNull(enumerator.Current);
+
+            timeProvider.SetCurrentTimeUtc(scheduledDate);
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.AreEqual(scheduledDate, enumerator.Current.Time);
+            Assert.AreEqual(1, (enumerator.Current as Tick).BidPrice);
+
+            // schedule ended so enumerator will end too
+            Assert.IsFalse(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+        }
+
+        [Test]
+        public void WillUseLatestDataPoint()
+        {
+            using var underlyingEnumerator = new TestEnumerator
+            {
+                MoveNextReturn = true,
+                MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
+                {
+                    new Tick(new DateTime(2019, 1, 15), Symbols.SPY, 1, 1),
+                    new Tick(new DateTime(2019, 1, 20), Symbols.SPY, 2, 1),
+                    new Tick(new DateTime(2019, 1, 25), Symbols.SPY, 3, 1)
+                })
+            };
+            var timeProvider = new ManualTimeProvider(_referenceTime);
+
+            using var enumerator = new ScheduledEnumerator(
+                underlyingEnumerator,
+                new List<DateTime> { new DateTime(2019, 2, 1) },
+                timeProvider,
+                TimeZones.Utc,
+                DateTime.MinValue);
+
+            Assert.IsTrue(enumerator.MoveNext());
+            // still null since frontier is still behind schedule
+            Assert.IsNull(enumerator.Current);
+
+            // frontier is now a month after the scheduled time!
+            timeProvider.SetCurrentTimeUtc(new DateTime(2019, 3, 1));
+
+            Assert.IsTrue(enumerator.MoveNext());
+            // it uses the last available data point in the enumerator
+            Assert.AreEqual(new DateTime(2019, 2, 1), enumerator.Current.Time);
+            Assert.AreEqual(3, (enumerator.Current as Tick).BidPrice);
+
+            Assert.IsNull(underlyingEnumerator.Current);
+        }
+
+        [Test]
+        public void WillUseLatestDataPointOnlyIfBeforeOrAtSchedule()
+        {
+            using var underlyingEnumerator = new TestEnumerator
+            {
+                MoveNextReturn = true,
+                MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
+                {
+                    new Tick(new DateTime(2019, 1, 20), Symbols.SPY, 2, 1),
+                    new Tick(new DateTime(2019, 1, 25), Symbols.SPY, 3, 1),
+                    // this guys is in 2020
+                    new Tick(new DateTime(2020, 1, 1), Symbols.SPY, 4, 1)
+                })
+            };
+            var timeProvider = new ManualTimeProvider(_referenceTime);
+
+            using var enumerator = new ScheduledEnumerator(
+                underlyingEnumerator,
+                new List<DateTime> { new DateTime(2019, 2, 1), new DateTime(2020, 2, 1) },
+                timeProvider,
+                TimeZones.Utc,
+                DateTime.MinValue);
+
+            Assert.IsTrue(enumerator.MoveNext());
+            // still null since frontier is still behind schedule
+            Assert.IsNull(enumerator.Current);
+
+            // frontier is now a month after the scheduled time!
+            timeProvider.SetCurrentTimeUtc(new DateTime(2019, 3, 1));
+
+            Assert.IsTrue(enumerator.MoveNext());
+            // it uses the last available data point in the enumerator that is before the schedule
+            Assert.AreEqual(new DateTime(2019, 2, 1), enumerator.Current.Time);
+            Assert.AreEqual(3, (enumerator.Current as Tick).BidPrice);
+
+            // the underlying enumerator hold the next data point
+            Assert.AreEqual(new DateTime(2020, 1, 1), underlyingEnumerator.Current.Time);
+
+            // now lets test fetching the last data point
+            timeProvider.SetCurrentTimeUtc(new DateTime(2021, 3, 1));
+
+            // the underlying will end but should still emit the data point it has
+            underlyingEnumerator.MoveNextReturn = false;
+
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.AreEqual(new DateTime(2020, 2, 1), enumerator.Current.Time);
+            Assert.AreEqual(4, (enumerator.Current as Tick).BidPrice);
+
+            Assert.IsNull(underlyingEnumerator.Current);
+            Assert.IsFalse(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+        }
+
+        [Test]
+        public void NoTimeProvider()
+        {
+            using var underlyingEnumerator = new TestEnumerator
+            {
+                MoveNextReturn = true,
+                MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
+                {
+                    new Tick(new DateTime(2019, 1, 20), Symbols.SPY, 2, 1),
+                    new Tick(new DateTime(2019, 1, 25), Symbols.SPY, 3, 1),
+
+                    new Tick(new DateTime(2020, 1, 1), Symbols.SPY, 4, 1)
+                })
+            };
+            using var enumerator = new ScheduledEnumerator(
+                underlyingEnumerator,
+                new List<DateTime> { new DateTime(2019, 2, 1), new DateTime(2020, 2, 1) },
+                null,
+                TimeZones.Utc,
+                DateTime.MinValue);
+
+            Assert.IsTrue(enumerator.MoveNext());
+            // it uses the last available data point in the enumerator that is before the schedule
+            Assert.AreEqual(new DateTime(2019, 2, 1), enumerator.Current.Time);
+            Assert.AreEqual(3, (enumerator.Current as Tick).BidPrice);
+
+            // the underlying enumerator hold the next data point
+            Assert.AreEqual(new DateTime(2020, 1, 1), underlyingEnumerator.Current.Time);
+
+            // the underlying will end but should still emit the data point it has
+            underlyingEnumerator.MoveNextReturn = false;
+
+            Assert.IsTrue(enumerator.MoveNext());
+            Assert.AreEqual(new DateTime(2020, 2, 1), enumerator.Current.Time);
+            Assert.AreEqual(4, (enumerator.Current as Tick).BidPrice);
+
+            Assert.IsNull(underlyingEnumerator.Current);
+            Assert.IsFalse(enumerator.MoveNext());
+            Assert.IsNull(enumerator.Current);
+        }
+
+        private class TestEnumerator : IEnumerator<BaseData>
+        {
+            public Queue<BaseData> MoveNextNewValues { get; set; }
+            public BaseData Current { get; private set; }
+
+            object IEnumerator.Current => Current;
+
+            public bool MoveNextReturn { get; set; }
+
+            public bool MoveNext()
+            {
+                if (MoveNextNewValues != null && MoveNextNewValues.Count > 0)
+                {
+                    Current = MoveNextNewValues.Dequeue();
+                }
+                else
+                {
+                    Current = null;
+                }
+                return MoveNextReturn;
+            }
+
+            public void Reset()
+            {}
+            public void Dispose()
+            {}
+        }
+    }
+}