wehub-resource-sync
241 lines
11 KiB
C#
241 lines
11 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 System;
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using NUnit.Framework;
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using QuantConnect.Data.Market;
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using QuantConnect.Brokerages.LevelOneOrderBook;
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namespace QuantConnect.Tests.Brokerages.LevelOneOrderBook
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{
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[TestFixture]
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public class LevelOneMarketDataTests
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{
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private readonly Symbol _aapl = Symbols.AAPL;
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private readonly DateTime _mockDateTime = new DateTime(2026, 06, 20);
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[TestCase(true)]
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[TestCase(false)]
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public void LevelOneMarketDataShouldNotRaiseEventWhenTimestampIsInvalid(bool useInvalidTimestamp)
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{
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var invalidTimestamp = useInvalidTimestamp ? default(DateTime?) : new DateTime();
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var levelOneMarketData = new LevelOneMarketData(_aapl);
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var eventRaised = default(bool);
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levelOneMarketData.BaseDataReceived += (_, e) => eventRaised = true;
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levelOneMarketData.UpdateLastTrade(invalidTimestamp, null, null);
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levelOneMarketData.UpdateQuote(invalidTimestamp, null, null, null, null);
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levelOneMarketData.UpdateOpenInterest(invalidTimestamp, null);
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Assert.IsFalse(eventRaised, "BaseDataReceived should not be raised with invalid timestamp.");
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}
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[TestCase(false, null)]
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[TestCase(true, 0)]
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[TestCase(true, 100)]
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public void UpdateOpenInterestShouldRaiseEventBasedOnValuePresence(bool shouldRaiseEvent, decimal? openInterest)
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{
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var levelOneMarketData = new LevelOneMarketData(_aapl);
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var eventRaised = default(bool);
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levelOneMarketData.BaseDataReceived += (_, e) => eventRaised = true;
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levelOneMarketData.UpdateOpenInterest(_mockDateTime, openInterest);
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Assert.AreEqual(shouldRaiseEvent, eventRaised, $"Expected event to {(shouldRaiseEvent ? "" : "not ")}be raised for open interest value: {openInterest?.ToStringInvariant() ?? "null"}");
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}
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[TestCase(false, null, null)]
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[TestCase(false, 1, null)]
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[TestCase(true, null, 1)]
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[TestCase(true, 1, 1)]
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public void UpdateLastTradeShouldRaiseEventBasedOnPriceAndQuantity(bool shouldRaiseEvent, decimal? lastQuantity, decimal? lastPrice)
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{
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var levelOneMarketData = new LevelOneMarketData(_aapl);
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var eventRaised = default(bool);
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levelOneMarketData.BaseDataReceived += (_, e) => eventRaised = true;
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levelOneMarketData.UpdateLastTrade(_mockDateTime, lastQuantity, lastPrice);
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Assert.AreEqual(shouldRaiseEvent, eventRaised, $"Expected event {(shouldRaiseEvent ? "" : "not ")}to be raised for (Qty={lastQuantity}, Price={lastPrice}).");
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}
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[TestCase(true, 1, 1, 2, 2)]
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[TestCase(true, 1, 1, null, 2)]
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[TestCase(true, 1, 1, 2, null)]
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[TestCase(false, 1, 1, null, null)]
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public void UpdateLastTradeShouldTrackLatestTradeCorrectlyOnMultipleUpdates(bool shouldRaiseEvent, decimal? firstLastQuantity, decimal? firstLastPrice, decimal? secondLastQuantity, decimal? secondLastPrice)
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{
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var levelOneMarketData = new LevelOneMarketData(_aapl);
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var eventRaised = default(bool);
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levelOneMarketData.BaseDataReceived += (_, e) => eventRaised = true;
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levelOneMarketData.UpdateLastTrade(_mockDateTime, firstLastQuantity, firstLastPrice);
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Assert.IsTrue(eventRaised, "Expected event to be raised on first update.");
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Assert.AreEqual(firstLastQuantity, levelOneMarketData.LastTradeSize, "First update: unexpected LastTradeSize.");
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Assert.AreEqual(firstLastPrice, levelOneMarketData.LastTradePrice, "First update: unexpected LastTradePrice.");
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// Reset event flag for second update
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eventRaised = false;
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levelOneMarketData.UpdateLastTrade(_mockDateTime, secondLastQuantity, secondLastPrice);
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Assert.AreEqual(shouldRaiseEvent, eventRaised, $"Second update: Expected event {(shouldRaiseEvent ? "" : "not ")}to be raised.");
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var expectedSize = secondLastQuantity ?? firstLastQuantity;
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var expectedPrice = secondLastPrice ?? firstLastPrice;
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Assert.AreEqual(expectedSize, levelOneMarketData.LastTradeSize, "Final LastTradeSize mismatch.");
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Assert.AreEqual(expectedPrice, levelOneMarketData.LastTradePrice, "Final LastTradePrice mismatch.");
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}
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[TestCase(false, null, null, null, null)]
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[TestCase(true, 1, null, 1, null)]
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[TestCase(true, 1, 0, null, null)]
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[TestCase(true, null, null, 1, 0)]
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[TestCase(true, 1, 1, 1, 0)]
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public void UpdateQuoteShouldRaiseEventBasedOnAskAndBid(bool shouldRaiseEvent, decimal? bidPrice, decimal? bidSize, decimal? askPrice, decimal? askSize)
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{
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var levelOneMarketData = new LevelOneMarketData(_aapl);
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var eventRaised = default(bool);
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levelOneMarketData.BaseDataReceived += (_, e) => eventRaised = true;
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levelOneMarketData.UpdateQuote(_mockDateTime, bidPrice, bidSize, askPrice, askSize);
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Assert.AreEqual(shouldRaiseEvent, eventRaised);
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}
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[TestCase(false, 1, 1, 1, 1, null, null, null, null)]
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[TestCase(false, 1, 1, 1, 1, 1, 1, 1, 1)]
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[TestCase(true, 1, 1, 1, 1, 2, 2, 2, 2)]
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public void UpdateQuoteShouldTrackQuoteCorrectlyOnMultipleUpdates(
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bool shouldRaiseEvent,
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decimal? firstBidPrice, decimal? firstBidSize, decimal? firstAskPrice, decimal? firstAskSize,
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decimal? secondBidPrice, decimal? secondBidSize, decimal? secondAskPrice, decimal? secondAskSize)
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{
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var levelOneMarketData = new LevelOneMarketData(_aapl);
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var eventRaised = default(bool);
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levelOneMarketData.BaseDataReceived += (_, e) => eventRaised = true;
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levelOneMarketData.UpdateQuote(_mockDateTime, firstBidPrice, firstBidSize, firstAskPrice, firstAskSize);
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Assert.IsTrue(eventRaised);
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// Reset event flag for second update
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eventRaised = false;
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levelOneMarketData.UpdateQuote(_mockDateTime, secondBidPrice, secondBidSize, secondAskPrice, secondAskSize);
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Assert.AreEqual(shouldRaiseEvent, eventRaised, $"Second update: Expected event {(shouldRaiseEvent ? "" : "not ")}to be raised.");
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}
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[TestCase(true, 2, 0, 2, 0)]
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[TestCase(false, 2, 0, 2, 0)]
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public void UpdateQuoteShouldIgnoreZeroSizeUpdatesCorrectly(bool ignoreZeroSizeUpdates, decimal? bidPrice, decimal? bidSize, decimal? askPrice, decimal? askSize)
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{
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var levelOneMarketData = new LevelOneMarketData(_aapl)
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{
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IgnoreZeroSizeUpdates = ignoreZeroSizeUpdates
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};
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var expectedBestBidSize = 1;
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var expectedBestAskSize = 1;
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levelOneMarketData.UpdateQuote(_mockDateTime, 1, expectedBestBidSize, 1, expectedBestAskSize);
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levelOneMarketData.UpdateQuote(_mockDateTime, bidPrice, bidSize, askPrice, askSize);
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Assert.AreEqual(bidPrice, levelOneMarketData.BestBidPrice, "Bid price should update.");
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Assert.AreEqual(askPrice, levelOneMarketData.BestAskPrice, "Ask price should update.");
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if (ignoreZeroSizeUpdates)
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{
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Assert.AreEqual(expectedBestAskSize, levelOneMarketData.BestAskSize, "Bid size should remain unchanged when ignoring zero size.");
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Assert.AreEqual(expectedBestBidSize, levelOneMarketData.BestBidSize, "Ask size should remain unchanged when ignoring zero size.");
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}
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else
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{
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Assert.AreEqual(bidSize, levelOneMarketData.BestAskSize, "Bid size should be overwritten with 0.");
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Assert.AreEqual(askSize, levelOneMarketData.BestBidSize, "Ask size should be overwritten with 0.");
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}
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}
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[TestCase("T", "NASDAQ")]
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[TestCase("Z", "BATS")]
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[TestCase("N", "NYSE")]
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[TestCase("P", "ARCA")]
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[TestCase("", "")]
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[TestCase(null, "")]
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public void LevelOneMarketDataShouldMapExchangeStringOnPublishedTicks(string exchange, string expectedExchange)
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{
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var levelOneMarketData = new LevelOneMarketData(_aapl);
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var quoteTick = default(Tick);
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var tradeTick = default(Tick);
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levelOneMarketData.BaseDataReceived += (_, e) =>
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{
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var tick = (Tick)e.BaseData;
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if (tick.TickType == TickType.Quote)
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{
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quoteTick = tick;
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}
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else if (tick.TickType == TickType.Trade)
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{
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tradeTick = tick;
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}
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};
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levelOneMarketData.UpdateQuote(_mockDateTime, 1, 1, 1, 1, saleCondition: string.Empty, exchange: exchange);
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levelOneMarketData.UpdateLastTrade(_mockDateTime, 1, 1, exchange: exchange);
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Assert.IsNotNull(quoteTick, "Expected BaseDataReceived to publish a quote tick.");
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Assert.IsNotNull(tradeTick, "Expected BaseDataReceived to publish a trade tick.");
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Assert.AreEqual(expectedExchange, quoteTick.Exchange, "Quote tick exchange mismatch.");
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Assert.AreEqual(expectedExchange, tradeTick.Exchange, "Trade tick exchange mismatch.");
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}
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[TestCase(true, 0, 2)]
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[TestCase(false, 0, 2)]
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public void UpdateLastTradeShouldIgnoreZeroSizeUpdatesCorrectly(bool ignoreZeroSizeUpdates, decimal? lastQuantity, decimal? lastPrice)
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{
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var levelOneMarketData = new LevelOneMarketData(_aapl)
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{
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IgnoreZeroSizeUpdates = ignoreZeroSizeUpdates
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};
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var expectedLastQuantity = 1;
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levelOneMarketData.UpdateLastTrade(_mockDateTime, expectedLastQuantity, 1);
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levelOneMarketData.UpdateLastTrade(_mockDateTime, lastQuantity, lastPrice);
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Assert.AreEqual(lastPrice, levelOneMarketData.LastTradePrice, "LastTradePrice should update.");
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if (ignoreZeroSizeUpdates)
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{
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Assert.AreEqual(expectedLastQuantity, levelOneMarketData.LastTradeSize);
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}
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else
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{
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Assert.AreEqual(lastQuantity, levelOneMarketData.LastTradeSize);
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}
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}
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}
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}
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