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;
+using QuantConnect.Data.Market;
+using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
+{
+    [TestFixture]
+    public class SubscriptionDataEnumeratorTests
+    {
+
+        [TestCase(typeof(TradeBar), true)]
+        [TestCase(typeof(OpenInterest), false)]
+        [TestCase(typeof(QuoteBar), false)]
+        public void EnumeratorEmitsAuxData(Type typeOfConfig, bool shouldReceiveAuxData)
+        {
+            var config = CreateConfig(Resolution.Hour, typeOfConfig);
+            var security = GetSecurity(config);
+            var time = new DateTime(2010, 1, 1);
+            var tzOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, time, time.AddDays(1));
+
+
+            // Make a aux data stream; for this testing case we will just use delisting data points
+            var totalPoints = 8;
+            var stream = Enumerable.Range(0, totalPoints).Select(x => new Delisting { Time = time.AddHours(x) }).GetEnumerator();
+            using var enumerator = new SubscriptionDataEnumerator(config, security.Exchange.Hours, tzOffsetProvider, stream, false, false);
+
+            // Test our SubscriptionDataEnumerator to see if it emits the aux data
+            int dataReceivedCount = 0;
+            while (enumerator.MoveNext())
+            {
+                dataReceivedCount++;
+                if (enumerator.Current != null && enumerator.Current.Data.DataType == MarketDataType.Auxiliary)
+                {
+                    Assert.IsTrue(shouldReceiveAuxData);
+                }
+            }
+
+            // If it should receive aux data it should have emitted all points
+            // otherwise none should have been emitted
+            if (shouldReceiveAuxData)
+            {
+                Assert.AreEqual(totalPoints, dataReceivedCount);
+            }
+            else
+            {
+                Assert.AreEqual(0, dataReceivedCount);
+            }
+        }
+
+
+        private static Security GetSecurity(SubscriptionDataConfig config)
+        {
+            return new Security(
+                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
+                config,
+                new Cash(Currencies.USD, 0, 1m),
+                SymbolProperties.GetDefault(Currencies.USD),
+                ErrorCurrencyConverter.Instance,
+                RegisteredSecurityDataTypesProvider.Null,
+                new SecurityCache()
+            );
+        }
+
+        private static SubscriptionDataConfig CreateConfig(Resolution resolution, Type type)
+        {
+            return new SubscriptionDataConfig(type, Symbols.SPY, resolution, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
+        }
+    }
+}