chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,91 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using NodaTime;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using HistoryRequest = QuantConnect.Data.HistoryRequest;
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namespace QuantConnect.Tests.Engine.HistoricalData
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{
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/// <summary>
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/// Provides FAKE implementation of <see cref="IHistoryProvider"/>
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/// </summary>
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internal class TestHistoryProvider : HistoryProviderBase
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{
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public override int DataPointCount => 2;
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/// <summary>
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/// Initializes this history provider to work for the specified job
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/// </summary>
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/// <param name="parameters">The initialization parameters</param>
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public override void Initialize(HistoryProviderInitializeParameters parameters)
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{
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}
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/// <summary>
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/// Gets the history for the requested securities
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/// </summary>
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/// <param name="requests">The historical data requests</param>
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/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
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/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
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public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
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{
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List<Slice> result = new();
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var slice1Date = new DateTime(2008, 01, 03, 5, 0, 0);
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var slice2Date = new DateTime(2013, 06, 28, 13, 32, 0);
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TradeBar tradeBar1 = new TradeBar { Symbol = Symbols.SPY, Time = DateTime.Now };
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TradeBar tradeBar2 = new TradeBar { Symbol = Symbols.AAPL, Time = DateTime.Now };
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var quoteBar1 = new QuoteBar { Symbol = Symbols.SPY, Time = DateTime.Now };
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var tick1 = new Tick(DateTime.Now, Symbols.SPY, 1.1m, 2.1m) { TickType = TickType.Trade };
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var split1 = new Split(Symbols.SPY, DateTime.Now, 1, 1, SplitType.SplitOccurred);
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var dividend1 = new Dividend(Symbols.SPY, DateTime.Now, 1, 1);
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var delisting1 = new Delisting(Symbols.SPY, DateTime.Now, 1, DelistingType.Delisted);
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var symbolChangedEvent1 = new SymbolChangedEvent(Symbols.SPY, DateTime.Now, "SPY", "SP");
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Slice slice1 = new Slice(slice1Date, new BaseData[] { tradeBar1, tradeBar2,
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quoteBar1, tick1, split1, dividend1, delisting1, symbolChangedEvent1
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}, slice1Date);
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TradeBar tradeBar3 = new TradeBar { Symbol = Symbols.MSFT, Time = DateTime.Now };
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TradeBar tradeBar4 = new TradeBar { Symbol = Symbols.SBIN, Time = DateTime.Now };
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var quoteBar2 = new QuoteBar { Symbol = Symbols.SBIN, Time = DateTime.Now };
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var tick2 = new Tick(DateTime.Now, Symbols.SBIN, 1.1m, 2.1m) { TickType = TickType.Trade };
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var split2 = new Split(Symbols.SBIN, DateTime.Now, 1, 1, SplitType.SplitOccurred);
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var dividend2 = new Dividend(Symbols.SBIN, DateTime.Now, 1, 1);
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var delisting2 = new Delisting(Symbols.SBIN, DateTime.Now, 1, DelistingType.Delisted);
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var symbolChangedEvent2 = new SymbolChangedEvent(Symbols.SBIN, DateTime.Now, "SBIN", "BIN");
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Slice slice2 = new Slice(slice2Date, new BaseData[] { tradeBar3, tradeBar4,
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quoteBar2, tick2, split2, dividend2, delisting2, symbolChangedEvent2
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}, slice2Date);
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result.Add(slice1);
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result.Add(slice2);
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return result;
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}
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public void TriggerEvents()
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{
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OnInvalidConfigurationDetected(new InvalidConfigurationDetectedEventArgs(Symbols.SPY, "invalid config"));
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OnNumericalPrecisionLimited(new NumericalPrecisionLimitedEventArgs(Symbols.SPY, "invalid config"));
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OnStartDateLimited(new StartDateLimitedEventArgs(Symbols.SPY, "invalid config"));
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OnDownloadFailed(new DownloadFailedEventArgs(Symbols.SPY, "invalid config"));
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OnReaderErrorDetected(new ReaderErrorDetectedEventArgs(Symbols.SPY, "invalid config"));
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}
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}
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}
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@@ -0,0 +1,177 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Packets;
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using QuantConnect.Util;
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using QuantConnect.Interfaces;
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using QuantConnect.Tests.Brokerages;
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using QuantConnect.Brokerages.Paper;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.HistoricalData;
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namespace QuantConnect.Tests.Engine.HistoricalData
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{
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[TestFixture]
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public class HistoryProviderManagerTests
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{
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private HistoryProviderManager _historyProviderWrapper;
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private PaperBrokerage _paperBrokerage;
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[SetUp]
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public void Setup()
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{
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Setup(DeploymentTarget.LocalPlatform);
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}
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[TearDown]
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public void TearDown()
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{
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Composer.Instance.Reset();
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_paperBrokerage.DisposeSafely();
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}
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[Test]
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public void DataPointCount()
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{
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var symbol = Symbol.Create("WM", SecurityType.Equity, Market.USA);
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var request = TestsHelpers.GetHistoryRequest(symbol, new DateTime(2008, 01, 01), new DateTime(2008, 01, 05), Resolution.Daily, TickType.Trade);
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var result = _historyProviderWrapper.GetHistory(new[] { request }, TimeZones.NewYork).ToList();
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Assert.IsNotNull(result);
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Assert.IsNotEmpty(result);
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Assert.AreEqual(5, _historyProviderWrapper.DataPointCount);
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}
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[Test]
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public void TestEvents()
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{
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bool invalidConfigurationDetected = new();
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bool numericalPrecisionLimited = new();
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bool startDateLimited = new();
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bool downloadFailed = new();
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bool readerErrorDetected = new();
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_historyProviderWrapper.InvalidConfigurationDetected += (sender, args) => { invalidConfigurationDetected = true; };
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_historyProviderWrapper.NumericalPrecisionLimited += (sender, args) => { numericalPrecisionLimited = true; };
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_historyProviderWrapper.StartDateLimited += (sender, args) => { startDateLimited = true; };
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_historyProviderWrapper.DownloadFailed += (sender, args) => { downloadFailed = true; };
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_historyProviderWrapper.ReaderErrorDetected += (sender, args) => { readerErrorDetected = true; };
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var historyProvider = Composer.Instance.GetExportedValueByTypeName<IHistoryProvider>(nameof(TestHistoryProvider));
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(historyProvider as TestHistoryProvider).TriggerEvents();
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Assert.IsTrue(invalidConfigurationDetected);
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Assert.IsTrue(numericalPrecisionLimited);
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Assert.IsTrue(startDateLimited);
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Assert.IsTrue(downloadFailed);
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Assert.IsTrue(readerErrorDetected);
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}
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[Test]
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public void OptionsAreMappedCorrectly()
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{
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var symbol = Symbol.CreateOption(
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"FOXA",
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Market.USA,
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OptionStyle.American,
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OptionRight.Call,
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32,
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new DateTime(2013, 07, 20));
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var request = TestsHelpers.GetHistoryRequest(symbol, new DateTime(2013, 06, 28), new DateTime(2013, 07, 03), Resolution.Minute, TickType.Quote);
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var result = _historyProviderWrapper.GetHistory(new[] { request }, TimeZones.NewYork).ToList();
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Assert.IsNotEmpty(result);
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// assert we fetch the data for the previous and new symbol
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var firstBar = result[1].Values.Single();
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var lastBar = result.Last().Values.Single();
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Assert.IsTrue(firstBar.Symbol.Value.Contains("NWSA"));
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Assert.AreEqual(28, firstBar.Time.Date.Day);
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Assert.IsTrue(lastBar.Symbol.Value.Contains("FOXA"));
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Assert.AreEqual(2, lastBar.Time.Date.Day);
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Assert.AreEqual(425, result.Count);
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Assert.AreEqual(426, _historyProviderWrapper.DataPointCount);
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}
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[TestCase(DeploymentTarget.CloudPlatform)]
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[TestCase(DeploymentTarget.LocalPlatform)]
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public void EquitiesMergedCorrectly(DeploymentTarget deploymentTarget)
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{
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TearDown();
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Setup(deploymentTarget);
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var symbol = Symbol.Create("WM", SecurityType.Equity, Market.USA);
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var request = TestsHelpers.GetHistoryRequest(symbol, new DateTime(2008, 01, 01), new DateTime(2008, 01, 05), Resolution.Daily, TickType.Trade);
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var result = _historyProviderWrapper.GetHistory(new[] { request }, TimeZones.NewYork).ToList();
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Assert.IsNotEmpty(result);
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var firstBar = result.First().Values.Single();
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Assert.AreEqual("WMI", firstBar.Symbol.Value);
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Assert.AreEqual(deploymentTarget == DeploymentTarget.CloudPlatform ? 3 : 4, result.Count);
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Assert.AreEqual(5, _historyProviderWrapper.DataPointCount);
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}
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[Test]
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public void DataIncreasesInTime()
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{
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var symbol = Symbol.Create("WM", SecurityType.Equity, Market.USA);
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var request = TestsHelpers.GetHistoryRequest(symbol, new DateTime(2008, 01, 01), new DateTime(2008, 01, 05), Resolution.Daily, TickType.Trade);
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var result = _historyProviderWrapper.GetHistory(new[] { request }, TimeZones.NewYork).ToList();
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var initialTime = DateTime.MinValue;
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foreach (var slice in result)
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{
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Assert.That(slice.UtcTime, Is.GreaterThan(initialTime));
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initialTime = slice.UtcTime;
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}
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}
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private void Setup(DeploymentTarget deploymentTarget)
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{
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_historyProviderWrapper = new();
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var historyProviders = Newtonsoft.Json.JsonConvert.SerializeObject(new[] { nameof(SubscriptionDataReaderHistoryProvider), nameof(TestHistoryProvider) });
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var jobWithArrayHistoryProviders = new LiveNodePacket
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{
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HistoryProvider = historyProviders,
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DeploymentTarget = deploymentTarget
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};
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_paperBrokerage = new PaperBrokerage(null, null);
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_historyProviderWrapper.SetBrokerage(_paperBrokerage);
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_historyProviderWrapper.Initialize(new HistoryProviderInitializeParameters(
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jobWithArrayHistoryProviders,
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null,
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TestGlobals.DataProvider,
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TestGlobals.DataCacheProvider,
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TestGlobals.MapFileProvider,
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TestGlobals.FactorFileProvider,
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null,
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false,
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new DataPermissionManager(),
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null,
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new AlgorithmSettings()));
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}
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}
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}
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@@ -0,0 +1,132 @@
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Data.Market;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.HistoricalData;
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using QuantConnect.Lean.Engine.Storage;
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using QuantConnect.Securities;
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using QuantConnect.Storage;
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using QuantConnect.Util;
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using HistoryRequest = QuantConnect.Data.HistoryRequest;
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namespace QuantConnect.Tests.Engine.HistoricalData
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{
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[TestFixture]
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public class SubscriptionDataReaderHistoryProviderTests
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{
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[Test]
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public void OptionsAreMappedCorrectly()
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{
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var historyProvider = new SubscriptionDataReaderHistoryProvider();
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historyProvider.Initialize(new HistoryProviderInitializeParameters(
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null,
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null,
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TestGlobals.DataProvider,
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TestGlobals.DataCacheProvider,
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TestGlobals.MapFileProvider,
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TestGlobals.FactorFileProvider,
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null,
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false,
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new DataPermissionManager(),
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null,
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new AlgorithmSettings()));
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var symbol = Symbol.CreateOption(
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"FOXA",
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Market.USA,
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OptionStyle.American,
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OptionRight.Call,
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32,
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new DateTime(2013, 07, 20));
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var result = historyProvider.GetHistory(
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new[]
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{
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new HistoryRequest(new DateTime(2013, 06,28),
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new DateTime(2013, 07,03),
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typeof(QuoteBar),
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symbol,
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Resolution.Minute,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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TimeZones.NewYork,
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null,
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false,
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false,
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DataNormalizationMode.Raw,
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TickType.Quote)
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},
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TimeZones.NewYork).ToList();
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Assert.IsNotEmpty(result);
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// assert we fetch the data for the previous and new symbol
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var firstBar = result.First().Values.Single();
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var lastBar = result.Last().Values.Single();
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Assert.IsTrue(firstBar.Symbol.Value.Contains("NWSA"));
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Assert.AreEqual(28, firstBar.Time.Date.Day);
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Assert.IsTrue(lastBar.Symbol.Value.Contains("FOXA"));
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Assert.AreEqual(2, lastBar.Time.Date.Day);
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}
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[Test]
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public void EquitiesAreMappedCorrectly()
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{
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var historyProvider = new SubscriptionDataReaderHistoryProvider();
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historyProvider.Initialize(new HistoryProviderInitializeParameters(
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null,
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null,
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TestGlobals.DataProvider,
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TestGlobals.DataCacheProvider,
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TestGlobals.MapFileProvider,
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TestGlobals.FactorFileProvider,
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null,
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false,
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new DataPermissionManager(),
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null,
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new AlgorithmSettings()));
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var symbol = Symbol.Create("WM",SecurityType.Equity,Market.USA);
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var result = historyProvider.GetHistory(
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new[]
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{
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new HistoryRequest(new DateTime(2008, 01,01),
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new DateTime(2008, 01,05),
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typeof(TradeBar),
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symbol,
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Resolution.Daily,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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TimeZones.NewYork,
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null,
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false,
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false,
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DataNormalizationMode.Raw,
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TickType.Trade)
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},
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TimeZones.NewYork).ToList();
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var firstBar = result.First().Values.Single();
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Assert.AreEqual("WMI", firstBar.Symbol.Value);
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Assert.IsNotEmpty(result);
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}
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}
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}
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Reference in New Issue
Block a user