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 System;
+using System.Linq;
+using NUnit.Framework;
+using QuantConnect.Data;
+using QuantConnect.Data.Auxiliary;
+using QuantConnect.Data.Market;
+using QuantConnect.Lean.Engine.DataFeeds;
+using QuantConnect.Lean.Engine.HistoricalData;
+using QuantConnect.Lean.Engine.Storage;
+using QuantConnect.Securities;
+using QuantConnect.Storage;
+using QuantConnect.Util;
+using HistoryRequest = QuantConnect.Data.HistoryRequest;
+
+namespace QuantConnect.Tests.Engine.HistoricalData
+{
+    [TestFixture]
+    public class SubscriptionDataReaderHistoryProviderTests
+    {
+        [Test]
+        public void OptionsAreMappedCorrectly()
+        {
+            var historyProvider = new SubscriptionDataReaderHistoryProvider();
+
+            historyProvider.Initialize(new HistoryProviderInitializeParameters(
+                null,
+                null,
+                TestGlobals.DataProvider,
+                TestGlobals.DataCacheProvider,
+                TestGlobals.MapFileProvider,
+                TestGlobals.FactorFileProvider,
+                null,
+                false,
+                new DataPermissionManager(),
+                null,
+                new AlgorithmSettings()));
+            var symbol = Symbol.CreateOption(
+                "FOXA",
+                Market.USA,
+                OptionStyle.American,
+                OptionRight.Call,
+                32,
+                new DateTime(2013, 07, 20));
+
+            var result = historyProvider.GetHistory(
+                new[]
+                {
+                    new HistoryRequest(new DateTime(2013, 06,28),
+                        new DateTime(2013, 07,03),
+                        typeof(QuoteBar),
+                        symbol,
+                        Resolution.Minute,
+                        SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
+                        TimeZones.NewYork,
+                        null,
+                        false,
+                        false,
+                        DataNormalizationMode.Raw,
+                        TickType.Quote)
+                },
+                TimeZones.NewYork).ToList();
+
+            Assert.IsNotEmpty(result);
+
+            // assert we fetch the data for the previous and new symbol
+            var firstBar = result.First().Values.Single();
+            var lastBar = result.Last().Values.Single();
+
+            Assert.IsTrue(firstBar.Symbol.Value.Contains("NWSA"));
+            Assert.AreEqual(28, firstBar.Time.Date.Day);
+            Assert.IsTrue(lastBar.Symbol.Value.Contains("FOXA"));
+            Assert.AreEqual(2, lastBar.Time.Date.Day);
+        }
+
+        [Test]
+        public void EquitiesAreMappedCorrectly()
+        {
+            var historyProvider = new SubscriptionDataReaderHistoryProvider();
+            historyProvider.Initialize(new HistoryProviderInitializeParameters(
+                null,
+                null,
+                TestGlobals.DataProvider,
+                TestGlobals.DataCacheProvider,
+                TestGlobals.MapFileProvider,
+                TestGlobals.FactorFileProvider,
+                null,
+                false,
+                new DataPermissionManager(),
+                null,
+                new AlgorithmSettings()));
+            var symbol = Symbol.Create("WM",SecurityType.Equity,Market.USA);
+
+            var result = historyProvider.GetHistory(
+                new[]
+                {
+                    new HistoryRequest(new DateTime(2008, 01,01),
+                        new DateTime(2008, 01,05),
+                        typeof(TradeBar),
+                        symbol,
+                        Resolution.Daily,
+                        SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
+                        TimeZones.NewYork,
+                        null,
+                        false,
+                        false,
+                        DataNormalizationMode.Raw,
+                        TickType.Trade)
+                },
+                TimeZones.NewYork).ToList();
+
+            var firstBar = result.First().Values.Single();
+            Assert.AreEqual("WMI", firstBar.Symbol.Value);
+            Assert.IsNotEmpty(result);
+        }
+    }
+}