wehub-resource-sync
107 lines
4.2 KiB
C#
107 lines
4.2 KiB
C#
/*
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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 NodaTime;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Lean.Engine.DataFeeds.Queues;
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namespace QuantConnect.Lean.Engine.HistoricalData
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{
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/// <summary>
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/// Provides FAKE implementation of <see cref="IHistoryProvider"/> used for testing. <see cref="FakeDataQueue"/>
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/// </summary>
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public class FakeHistoryProvider : HistoryProviderBase
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{
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private int _historyCount;
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/// <summary>
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/// Gets the total number of data points emitted by this history provider
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/// </summary>
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public override int DataPointCount => _historyCount;
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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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var single = requests.FirstOrDefault();
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if (single == null)
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{
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yield break;
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}
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var currentLocalTime = single.StartTimeLocal;
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while (currentLocalTime < single.EndTimeLocal)
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{
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if (single.ExchangeHours.IsOpen(currentLocalTime, single.IncludeExtendedMarketHours))
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{
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_historyCount++;
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BaseData data;
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if (single.DataType == typeof(TradeBar))
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{
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data = new TradeBar
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{
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Symbol = single.Symbol,
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Time = currentLocalTime,
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Open = _historyCount,
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Low = _historyCount,
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High = _historyCount,
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Close = _historyCount,
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Volume = _historyCount,
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Period = single.Resolution.ToTimeSpan()
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};
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}
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else if (single.DataType == typeof(QuoteBar))
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{
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data = new QuoteBar
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{
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Symbol = single.Symbol,
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Time = currentLocalTime,
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Ask = new Bar(_historyCount, _historyCount, _historyCount, _historyCount),
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Bid = new Bar(_historyCount, _historyCount, _historyCount, _historyCount),
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Period = single.Resolution.ToTimeSpan()
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};
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}
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else
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{
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yield break;
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}
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yield return new Slice(data.EndTime, new BaseData[] { data }, data.EndTime.ConvertFromUtc(single.ExchangeHours.TimeZone));
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}
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currentLocalTime = currentLocalTime.Add(single.Resolution.ToTimeSpan());
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}
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}
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}
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}
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