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 NUnit.Framework;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
+using System;
+using System.Collections;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
+{
+    [TestFixture]
+    public class SynchronizingSliceEnumeratorTests
+    {
+        [Test]
+        public void SynchronizesData()
+        {
+            var time = new DateTime(2016, 03, 03, 12, 05, 00);
+            var stream1 = Enumerable.Range(0, 10).Select(x => new Slice(time.AddSeconds(x * 1), new List<BaseData>(), utcTime: time.AddSeconds(x * 1))).GetEnumerator();
+            var stream2 = Enumerable.Range(0, 5).Select(x => new Slice(time.AddSeconds(x * 2), new List<BaseData>(), utcTime: time.AddSeconds(x * 2))).GetEnumerator();
+            var stream3 = Enumerable.Range(0, 20).Select(x => new Slice(time.AddSeconds(x * 0.5), new List<BaseData>(), utcTime: time.AddSeconds(x * 0.5))).GetEnumerator();
+
+            var previous = DateTime.MinValue;
+            var synchronizer = new SynchronizingSliceEnumerator(stream1, stream2, stream3);
+            while (synchronizer.MoveNext())
+            {
+                Assert.That(synchronizer.Current.UtcTime, Is.GreaterThanOrEqualTo(previous));
+                previous = synchronizer.Current.UtcTime;
+            }
+            synchronizer.Dispose();
+        }
+
+        [Test]
+        public void WontRemoveEnumeratorsReturningTrueWithCurrentNull()
+        {
+            var time = new DateTime(2016, 03, 03, 12, 05, 00);
+            var tradeBar1 = new TradeBar { Symbol = Symbols.SPY, Time = time };
+            var tradeBar2 = new TradeBar { Symbol = Symbols.AAPL, Time = time, Open = 23 };
+            var stream1 = Enumerable.Range(0, 20)
+                // return null except the last value and check if its emitted
+                .Select(x => x == 19 ? new Slice(time.AddSeconds(x * 1), new BaseData[] { tradeBar1, tradeBar2 }, utcTime: time.AddSeconds(x * 1)) : null
+            ).GetEnumerator();
+            var stream2 = Enumerable.Range(0, 5).Select(x => new Slice(time.AddSeconds(x * 2), new List<BaseData>(), utcTime: time.AddSeconds(x * 2))).GetEnumerator();
+            var stream3 = Enumerable.Range(0, 20).Select(x => new Slice(time.AddSeconds(x * 0.5), new List<BaseData>(), utcTime: time.AddSeconds(x * 0.5))).GetEnumerator();
+
+            var previous = new Slice(DateTime.MinValue, new List<BaseData>(), DateTime.MinValue);
+            var synchronizer = new SynchronizingSliceEnumerator(stream1, stream2, stream3);
+            while (synchronizer.MoveNext())
+            {
+                Assert.That(synchronizer.Current.UtcTime, Is.GreaterThanOrEqualTo(previous.UtcTime));
+                previous = synchronizer.Current;
+            }
+            Assert.AreEqual(2, previous.Bars.Count);
+            synchronizer.Dispose();
+        }
+
+        [Test]
+        public void WillRemoveEnumeratorsReturningFalse()
+        {
+            var time = new DateTime(2016, 03, 03, 12, 05, 00);
+            var stream1 = new TestEnumerator { MoveNextReturnValue = false };
+            var stream2 = Enumerable.Range(0, 10).Select(x => new Slice(time.AddSeconds(x * 0.5), new List<BaseData>(), utcTime: time.AddSeconds(x * 0.5))).GetEnumerator();
+            var synchronizer = new SynchronizingSliceEnumerator(stream1, stream2);
+            var emitted = false;
+            while (synchronizer.MoveNext())
+            {
+                emitted = true;
+            }
+            Assert.IsTrue(emitted);
+            Assert.IsTrue(stream1.MoveNextWasCalled);
+            Assert.AreEqual(1, stream1.MoveNextCallCount);
+            synchronizer.Dispose();
+        }
+
+        [Test]
+        public void WillStopIfAllEnumeratorsCurrentIsNullAndReturningTrue()
+        {
+            var stream1 = new TestEnumerator { MoveNextReturnValue = true };
+            var synchronizer = new SynchronizingSliceEnumerator(stream1);
+            while (synchronizer.MoveNext())
+            {
+                Assert.Fail();
+            }
+            Assert.IsTrue(stream1.MoveNextWasCalled);
+            synchronizer.Dispose();
+        }
+
+        [Test]
+        public void WillStopIfAllEnumeratorsCurrentIsNullAndReturningFalse()
+        {
+            var stream1 = new TestEnumerator { MoveNextReturnValue = false };
+            var synchronizer = new SynchronizingSliceEnumerator(stream1);
+            while (synchronizer.MoveNext())
+            {
+                Assert.Fail();
+            }
+            Assert.IsTrue(stream1.MoveNextWasCalled);
+            synchronizer.Dispose();
+        }
+
+        private class TestEnumerator : IEnumerator<Slice>
+        {
+            public int MoveNextCallCount { get; set; }
+            public bool MoveNextReturnValue { get; set; }
+            public bool MoveNextWasCalled { get; set; }
+
+            public TestEnumerator()
+            {
+                MoveNextWasCalled = false;
+            }
+
+            public bool MoveNext()
+            {
+                MoveNextCallCount++;
+                MoveNextWasCalled = true;
+                return MoveNextReturnValue;
+            }
+
+            public Slice Current { get; }
+
+            object IEnumerator.Current => Current;
+
+            public void Dispose()
+            { }
+
+            public void Reset()
+            { }
+        }
+    }
+}