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;
+using QuantConnect.Securities;
+using System;
+
+namespace QuantConnect.Tests.Engine.DataFeeds
+{
+    [TestFixture]
+    public class PrecalculatedSubscriptionDataTests
+    {
+        private SubscriptionDataConfig _config;
+
+        [SetUp]
+        public void Setup()
+        {
+            _config = new SubscriptionDataConfig(typeof(TradeBar),
+                Symbols.SPY,
+                Resolution.Daily,
+                TimeZones.NewYork,
+                TimeZones.NewYork,
+                true,
+                true,
+                false);
+        }
+
+        [Test]
+        public void ChangeDataNormalizationMode()
+        {
+            var tb = new TradeBar
+            {
+                Time = new DateTime(2020, 5, 21, 8, 9, 0),
+                Period = TimeSpan.FromHours(1),
+                Symbol = Symbols.SPY,
+                Open = 100,
+                High = 200,
+                Low = 300,
+                Close = 400
+            };
+
+            var factor = 0.5m;
+            var sumOfDividends = 100m;
+            var adjustedTb = tb.Clone(tb.IsFillForward).Normalize(factor, DataNormalizationMode.Adjusted, 0);
+
+            var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc);
+            var offsetProvider = new TimeZoneOffsetProvider(TimeZones.Utc, new DateTime(2020, 5, 21), new DateTime(2020, 5, 22));
+
+            var emitTimeUtc = offsetProvider.ConvertToUtc(tb.EndTime);
+            _config.SumOfDividends = sumOfDividends;
+
+            var subscriptionData = new PrecalculatedSubscriptionData(
+                _config,
+                tb,
+                adjustedTb,
+                DataNormalizationMode.Adjusted,
+                emitTimeUtc);
+
+            _config.DataNormalizationMode = DataNormalizationMode.Raw;
+            Assert.AreEqual(tb.Open, (subscriptionData.Data as TradeBar).Open);
+            Assert.AreEqual(tb.High, (subscriptionData.Data as TradeBar).High);
+            Assert.AreEqual(tb.Low, (subscriptionData.Data as TradeBar).Low);
+            Assert.AreEqual(tb.Close, (subscriptionData.Data as TradeBar).Close);
+
+            _config.DataNormalizationMode = DataNormalizationMode.Adjusted;
+            Assert.AreEqual(tb.Open * factor, (subscriptionData.Data as TradeBar).Open);
+            Assert.AreEqual(tb.High * factor, (subscriptionData.Data as TradeBar).High);
+            Assert.AreEqual(tb.Low * factor, (subscriptionData.Data as TradeBar).Low);
+            Assert.AreEqual(tb.Close * factor, (subscriptionData.Data as TradeBar).Close);
+
+            _config.DataNormalizationMode = DataNormalizationMode.TotalReturn;
+            Assert.Throws<ArgumentException>(() =>
+                {
+                    var data = subscriptionData.Data;
+                }
+            );
+
+            _config.DataNormalizationMode = DataNormalizationMode.SplitAdjusted;
+            Assert.Throws<ArgumentException>(() =>
+                {
+                    var data = subscriptionData.Data;
+                }
+            );
+        }
+    }
+}