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
@@ -0,0 +1,155 @@
+/*
+ * 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.Generic;
+using System.IO;
+using System.Linq;
+using NUnit.Framework;
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Interfaces;
+using QuantConnect.Lean.Engine.DataFeeds;
+using QuantConnect.Util;
+
+namespace QuantConnect.Tests.Engine.DataFeeds
+{
+    [TestFixture]
+    public class IndexSubscriptionDataSourceReaderTests
+    {
+        private DateTime _initialDate;
+        private TestDataCacheProvider _dataCacheProvider;
+
+        [SetUp]
+        public void SetUp()
+        {
+            _initialDate = new DateTime(2018, 1, 1);
+            _dataCacheProvider = new TestDataCacheProvider();
+        }
+
+        [TearDown]
+        public void TearDown()
+        {
+            _dataCacheProvider.DisposeSafely();
+        }
+
+        [Test]
+        public void ThrowsIfDataIsNotIndexBased()
+        {
+            var config = new SubscriptionDataConfig(
+                    typeof(TradeBar),
+                    Symbols.SPY,
+                    Resolution.Daily,
+                    TimeZones.NewYork,
+                    TimeZones.NewYork,
+                    true,
+                    true,
+                    false);
+
+            Assert.Throws<ArgumentException>(() => new IndexSubscriptionDataSourceReader(
+                _dataCacheProvider,
+                config,
+                _initialDate,
+                false,
+                TestGlobals.DataProvider,
+                null));
+        }
+
+        [Test]
+        public void GetsIndexAndSource()
+        {
+            var config = new SubscriptionDataConfig(
+                typeof(TestIndexedBasedFactory),
+                Symbols.SPY,
+                Resolution.Daily,
+                TimeZones.NewYork,
+                TimeZones.NewYork,
+                true,
+                true,
+                false);
+
+            var reader = new IndexSubscriptionDataSourceReader(
+                _dataCacheProvider,
+                config,
+                _initialDate,
+                false,
+                TestGlobals.DataProvider,
+                null);
+            var source = (new TradeBar()).GetSource(config, _initialDate, false);
+            _dataCacheProvider.Data = "20000101 00:00,2,2,2,2,2";
+            var dataBars = reader.Read(source).First();
+
+            Assert.IsNotNull(dataBars);
+            Assert.IsNotNull(dataBars.Symbol, Symbols.SPY.Value);
+            Assert.AreEqual("20000101 00:00,2,2,2,2,2", TestIndexedBasedFactory.IndexLine);
+            Assert.AreEqual("20000101 00:00,2,2,2,2,2", TestIndexedBasedFactory.ReaderLine);
+        }
+
+        private class TestIndexedBasedFactory : IndexedBaseData
+        {
+            public static string ReaderLine { get; set; }
+            public static string IndexLine { get; set; }
+
+            public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
+            {
+                ReaderLine = line;
+                var bar = new TradeBar();
+                return bar.Reader(config, line, date, isLiveMode);
+            }
+            public override SubscriptionDataSource GetSourceForAnIndex(SubscriptionDataConfig config, DateTime date, string index, bool isLiveMode)
+            {
+                IndexLine = index;
+                return new SubscriptionDataSource("",
+                    SubscriptionTransportMedium.LocalFile,
+                    FileFormat.Csv);
+            }
+
+            public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
+            {
+                return new SubscriptionDataSource("",
+                    SubscriptionTransportMedium.LocalFile,
+                    FileFormat.Csv);
+            }
+        }
+
+        private class TestDataCacheProvider : IDataCacheProvider
+        {
+            private StreamWriter _writer;
+            public string Data { set; get; }
+            public bool IsDataEphemeral => false;
+
+            public Stream Fetch(string key)
+            {
+                var stream = new MemoryStream();
+                _writer = new StreamWriter(stream);
+                _writer.Write(Data);
+                _writer.Flush();
+                stream.Position = 0;
+                return stream;
+            }
+            public void Store(string key, byte[] data)
+            {
+            }
+            public List<string> GetZipEntries(string zipFile)
+            {
+                throw new NotImplementedException();
+            }
+            public void Dispose()
+            {
+                _writer.DisposeSafely();
+            }
+        }
+    }
+}