chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,346 @@
|
||||
/*
|
||||
* 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 System.Linq;
|
||||
using System.Threading;
|
||||
using Moq;
|
||||
using NUnit.Framework;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Data.Auxiliary;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Data.UniverseSelection;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Lean.Engine.DataFeeds;
|
||||
using QuantConnect.Securities;
|
||||
using QuantConnect.Util;
|
||||
|
||||
namespace QuantConnect.Tests.Engine.DataFeeds
|
||||
{
|
||||
[TestFixture, Parallelizable(ParallelScope.All)]
|
||||
public class SubscriptionUtilsTests
|
||||
{
|
||||
private Security _security;
|
||||
private SubscriptionDataConfig _config;
|
||||
private IFactorFileProvider _factorFileProvider;
|
||||
|
||||
[SetUp]
|
||||
public void SetUp()
|
||||
{
|
||||
_security = new Security(Symbols.SPY,
|
||||
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
|
||||
new Cash(Currencies.USD, 0, 0),
|
||||
SymbolProperties.GetDefault(Currencies.USD),
|
||||
new IdentityCurrencyConverter(Currencies.USD),
|
||||
RegisteredSecurityDataTypesProvider.Null,
|
||||
new SecurityCache());
|
||||
|
||||
_config = new SubscriptionDataConfig(
|
||||
typeof(TradeBar),
|
||||
Symbols.SPY,
|
||||
Resolution.Daily,
|
||||
TimeZones.NewYork,
|
||||
TimeZones.NewYork,
|
||||
true, true, false);
|
||||
|
||||
_factorFileProvider = TestGlobals.FactorFileProvider;
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void SubscriptionIsDisposed()
|
||||
{
|
||||
var dataPoints = 10;
|
||||
using var enumerator = new TestDataEnumerator { MoveNextTrueCount = dataPoints };
|
||||
#pragma warning disable CA2000
|
||||
var subscription = SubscriptionUtils.CreateAndScheduleWorker(
|
||||
new SubscriptionRequest(
|
||||
false,
|
||||
null,
|
||||
_security,
|
||||
_config,
|
||||
DateTime.UtcNow,
|
||||
Time.EndOfTime
|
||||
),
|
||||
enumerator,
|
||||
_factorFileProvider,
|
||||
false, false);
|
||||
#pragma warning restore CA2000
|
||||
|
||||
var count = 0;
|
||||
while (enumerator.MoveNextTrueCount > 8)
|
||||
{
|
||||
if (count++ > 100)
|
||||
{
|
||||
Assert.Fail($"Timeout waiting for producer. {enumerator.MoveNextTrueCount}");
|
||||
}
|
||||
Thread.Sleep(1);
|
||||
}
|
||||
|
||||
subscription.DisposeSafely();
|
||||
Assert.IsFalse(subscription.MoveNext());
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void ThrowingEnumeratorStackDisposesOfSubscription()
|
||||
{
|
||||
using var enumerator = new TestDataEnumerator { MoveNextTrueCount = 10, ThrowException = true};
|
||||
|
||||
using var subscription = SubscriptionUtils.CreateAndScheduleWorker(
|
||||
new SubscriptionRequest(
|
||||
false,
|
||||
null,
|
||||
_security,
|
||||
_config,
|
||||
DateTime.UtcNow,
|
||||
Time.EndOfTime
|
||||
),
|
||||
enumerator,
|
||||
_factorFileProvider,
|
||||
false, false);
|
||||
|
||||
var count = 0;
|
||||
while (enumerator.MoveNextTrueCount != 9)
|
||||
{
|
||||
if (count++ > 100)
|
||||
{
|
||||
Assert.Fail("Timeout waiting for producer");
|
||||
}
|
||||
Thread.Sleep(1);
|
||||
}
|
||||
|
||||
Assert.IsFalse(subscription.MoveNext());
|
||||
Assert.IsTrue(subscription.EndOfStream);
|
||||
|
||||
// enumerator is disposed by the producer
|
||||
count = 0;
|
||||
while (!enumerator.Disposed)
|
||||
{
|
||||
if (count++ > 100)
|
||||
{
|
||||
Assert.Fail("Timeout waiting for producer");
|
||||
}
|
||||
Thread.Sleep(1);
|
||||
}
|
||||
}
|
||||
|
||||
[Test]
|
||||
// This unit tests reproduces GH 3885 where the consumer hanged forever
|
||||
public void ConsumerDoesNotHang()
|
||||
{
|
||||
for (var i = 0; i < 10000; i++)
|
||||
{
|
||||
var dataPoints = 10;
|
||||
|
||||
using var enumerator = new TestDataEnumerator {MoveNextTrueCount = dataPoints};
|
||||
#pragma warning disable CA2000
|
||||
var subscription = SubscriptionUtils.CreateAndScheduleWorker(
|
||||
new SubscriptionRequest(
|
||||
false,
|
||||
null,
|
||||
_security,
|
||||
_config,
|
||||
DateTime.UtcNow,
|
||||
Time.EndOfTime
|
||||
),
|
||||
enumerator,
|
||||
_factorFileProvider,
|
||||
false, false);
|
||||
#pragma warning restore CA2000
|
||||
for (var j = 0; j < dataPoints; j++)
|
||||
{
|
||||
Assert.IsTrue(subscription.MoveNext());
|
||||
}
|
||||
Assert.IsFalse(subscription.MoveNext());
|
||||
subscription.DisposeSafely();
|
||||
}
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void PriceScaleFirstFillForwardBar()
|
||||
{
|
||||
var referenceTime = new DateTime(2020, 08, 06);
|
||||
var point = new Tick(referenceTime, Symbols.SPY, 1, 2);
|
||||
var point2 = point.Clone(true);
|
||||
point2.Time = referenceTime;
|
||||
var point3 = point.Clone(false);
|
||||
point3.Time = referenceTime.AddDays(1);
|
||||
;
|
||||
var enumerator = new List<BaseData> { point2, point3 }.GetEnumerator();
|
||||
var factorFileProfider = new Mock<IFactorFileProvider>();
|
||||
|
||||
var factorFile = new CorporateFactorProvider(_security.Symbol.Value, new[]
|
||||
{
|
||||
new CorporateFactorRow(referenceTime, 0.5m, 1),
|
||||
new CorporateFactorRow(referenceTime.AddDays(1), 1m, 1)
|
||||
}, referenceTime);
|
||||
|
||||
factorFileProfider.Setup(s => s.Get(It.IsAny<Symbol>())).Returns(factorFile);
|
||||
#pragma warning disable CA2000
|
||||
var subscription = SubscriptionUtils.CreateAndScheduleWorker(
|
||||
new SubscriptionRequest(
|
||||
false,
|
||||
null,
|
||||
_security,
|
||||
_config,
|
||||
referenceTime,
|
||||
Time.EndOfTime
|
||||
),
|
||||
enumerator,
|
||||
factorFileProfider.Object,
|
||||
true, false);
|
||||
#pragma warning restore CA2000
|
||||
Assert.IsTrue(subscription.MoveNext());
|
||||
// we do expect it to pick up the prev factor file scale
|
||||
Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
|
||||
Assert.IsTrue((subscription.Current.Data as Tick).IsFillForward);
|
||||
|
||||
Assert.IsTrue(subscription.MoveNext());
|
||||
Assert.AreEqual(2, (subscription.Current.Data as Tick).AskPrice);
|
||||
Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
|
||||
|
||||
subscription.DisposeSafely();
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void PriceScaleDoesNotUpdateForFillForwardBar()
|
||||
{
|
||||
var referenceTime = new DateTime(2020, 08, 06);
|
||||
var point = new Tick(referenceTime, Symbols.SPY, 1, 2);
|
||||
var point2 = point.Clone(true);
|
||||
point2.Time = referenceTime.AddDays(1);
|
||||
var point3 = point.Clone(false);
|
||||
point3.Time = referenceTime.AddDays(2);
|
||||
var enumerator = new List<BaseData> { point, point2, point3 }.GetEnumerator();
|
||||
var factorFileProfider = new Mock<IFactorFileProvider>();
|
||||
|
||||
var factorFile = new CorporateFactorProvider(_security.Symbol.Value, new[]
|
||||
{
|
||||
new CorporateFactorRow(referenceTime, 0.5m, 1),
|
||||
new CorporateFactorRow(referenceTime.AddDays(1), 1m, 1)
|
||||
}, referenceTime);
|
||||
|
||||
factorFileProfider.Setup(s => s.Get(It.IsAny<Symbol>())).Returns(factorFile);
|
||||
#pragma warning disable CA2000
|
||||
var subscription = SubscriptionUtils.CreateAndScheduleWorker(
|
||||
new SubscriptionRequest(
|
||||
false,
|
||||
null,
|
||||
_security,
|
||||
_config,
|
||||
referenceTime,
|
||||
Time.EndOfTime
|
||||
),
|
||||
enumerator,
|
||||
factorFileProfider.Object,
|
||||
true, false);
|
||||
#pragma warning restore CA2000
|
||||
Assert.IsTrue(subscription.MoveNext());
|
||||
Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
|
||||
Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
|
||||
|
||||
Assert.IsTrue(subscription.MoveNext());
|
||||
Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
|
||||
Assert.IsTrue((subscription.Current.Data as Tick).IsFillForward);
|
||||
|
||||
Assert.IsTrue(subscription.MoveNext());
|
||||
Assert.AreEqual(2, (subscription.Current.Data as Tick).AskPrice);
|
||||
Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
|
||||
|
||||
subscription.DisposeSafely();
|
||||
}
|
||||
|
||||
[TestCase(typeof(TradeBar), true)]
|
||||
[TestCase(typeof(OpenInterest), false)]
|
||||
[TestCase(typeof(QuoteBar), false)]
|
||||
public void SubscriptionEmitsAuxData(Type typeOfConfig, bool shouldReceiveAuxData)
|
||||
{
|
||||
var config = new SubscriptionDataConfig(typeOfConfig, _security.Symbol, Resolution.Hour, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
|
||||
|
||||
var totalPoints = 8;
|
||||
var time = new DateTime(2010, 1, 1);
|
||||
var enumerator = Enumerable.Range(0, totalPoints).Select(x => new Delisting { Time = time.AddHours(x) }).GetEnumerator();
|
||||
#pragma warning disable CA2000
|
||||
var subscription = SubscriptionUtils.CreateAndScheduleWorker(
|
||||
new SubscriptionRequest(
|
||||
false,
|
||||
null,
|
||||
_security,
|
||||
config,
|
||||
DateTime.UtcNow,
|
||||
Time.EndOfTime
|
||||
),
|
||||
enumerator,
|
||||
_factorFileProvider,
|
||||
false, false);
|
||||
#pragma warning restore CA2000
|
||||
// Test our subscription stream to see if it emits the aux data it should be filtered
|
||||
// by the SubscriptionUtils produce function if the config isn't for a TradeBar
|
||||
int dataReceivedCount = 0;
|
||||
while (subscription.MoveNext())
|
||||
{
|
||||
dataReceivedCount++;
|
||||
if (subscription.Current != null && subscription.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 class TestDataEnumerator : IEnumerator<BaseData>
|
||||
{
|
||||
public bool ThrowException { get; set; }
|
||||
public bool Disposed { get; set; }
|
||||
public int MoveNextTrueCount { get; set; }
|
||||
|
||||
public void Dispose()
|
||||
{
|
||||
Disposed = true;
|
||||
}
|
||||
|
||||
public bool MoveNext()
|
||||
{
|
||||
Current = new Tick(DateTime.UtcNow,Symbols.SPY, 1, 2);
|
||||
var result = --MoveNextTrueCount >= 0;
|
||||
if (ThrowException)
|
||||
{
|
||||
throw new RegressionTestException("TestDataEnumerator.MoveNext()");
|
||||
}
|
||||
return result;
|
||||
}
|
||||
|
||||
public void Reset()
|
||||
{
|
||||
}
|
||||
|
||||
public BaseData Current { get; set; }
|
||||
|
||||
object IEnumerator.Current => Current;
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user