wehub-resource-sync
294 lines
15 KiB
C#
294 lines
15 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 NUnit.Framework;
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using QuantConnect.Brokerages;
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using QuantConnect.Securities;
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using System;
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using System.IO;
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using System.Linq;
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namespace QuantConnect.Tests.Brokerages
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{
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[TestFixture]
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public class SymbolPropertiesDatabaseSymbolMapperTests
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{
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[TestCaseSource(nameof(BrokerageSymbols))]
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public void ReturnsCryptoSecurityType(string market, string brokerageSymbol, string leanSymbol)
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{
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var mapper = new SymbolPropertiesDatabaseSymbolMapper(market);
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var symbol = mapper.GetLeanSymbol(brokerageSymbol, SecurityType.Crypto, market);
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Assert.AreEqual(leanSymbol, symbol.Value);
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Assert.AreEqual(market, symbol.ID.Market);
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}
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[TestCaseSource(nameof(BrokerageSymbols))]
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public void ReturnsCorrectLeanSymbol(string market, string brokerageSymbol, string leanSymbol)
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{
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var mapper = new SymbolPropertiesDatabaseSymbolMapper(market);
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var symbol = mapper.GetLeanSymbol(brokerageSymbol, SecurityType.Crypto, market);
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Assert.AreEqual(leanSymbol, symbol.Value);
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Assert.AreEqual(SecurityType.Crypto, symbol.ID.SecurityType);
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Assert.AreEqual(market, symbol.ID.Market);
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}
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[TestCaseSource(nameof(CryptoSymbols))]
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public void ReturnsCorrectBrokerageSymbol(Symbol symbol, string brokerageSymbol)
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{
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var mapper = new SymbolPropertiesDatabaseSymbolMapper(symbol.ID.Market);
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Assert.AreEqual(brokerageSymbol, mapper.GetBrokerageSymbol(symbol));
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}
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[TestCaseSource(nameof(CurrencyPairs))]
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public void ThrowsOnCurrencyPairs(string market, string brokerageSymbol)
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{
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var mapper = new SymbolPropertiesDatabaseSymbolMapper(market);
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Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSecurityType(brokerageSymbol));
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}
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[TestCase(Market.Coinbase)]
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[TestCase(Market.Bitfinex)]
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[TestCase(Market.Binance)]
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public void ThrowsOnNullOrEmptySymbols(string market)
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{
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var mapper = new SymbolPropertiesDatabaseSymbolMapper(market);
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string ticker = null;
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Assert.IsFalse(mapper.IsKnownBrokerageSymbol(ticker));
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Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol(ticker, SecurityType.Crypto, market));
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Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSecurityType(ticker));
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ticker = "";
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Assert.IsFalse(mapper.IsKnownBrokerageSymbol(ticker));
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Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol(ticker, SecurityType.Crypto, market));
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Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSecurityType(ticker));
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Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(Symbol.Create(ticker, SecurityType.Crypto, market)));
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}
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[TestCaseSource(nameof(UnknownSymbols))]
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public void ThrowsOnUnknownSymbols(string brokerageSymbol, SecurityType type, string market)
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{
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var mapper = new SymbolPropertiesDatabaseSymbolMapper(market);
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Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol(brokerageSymbol, type, market));
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Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(Symbol.Create(brokerageSymbol.Replace("-", ""), type, market)));
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}
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[TestCaseSource(nameof(UnknownSecurityType))]
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public void ThrowsOnUnknownSecurityType(string brokerageSymbol, SecurityType type, string market)
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{
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var mapper = new SymbolPropertiesDatabaseSymbolMapper(market);
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Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol(brokerageSymbol, type, market));
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Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(Symbol.Create(brokerageSymbol.Replace("-", ""), type, market)));
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}
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[TestCaseSource(nameof(UnknownMarket))]
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public void ThrowsOnUnknownMarket(string brokerageSymbol, SecurityType type, string market)
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{
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var mapper = new SymbolPropertiesDatabaseSymbolMapper(market);
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Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol(brokerageSymbol, type, market));
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Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(Symbol.Create(brokerageSymbol.Replace("-", ""), type, market)));
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}
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[TestCase("GetLeanSymbol")]
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[TestCase("GetBrokerageSymbol")]
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[TestCase("IsKnownLeanSymbol")]
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[TestCase("GetBrokerageSecurityType")]
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[TestCase("IsKnownBrokerageSymbol")]
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public void SymbolMapperRefreshesMappingsPeriodically(string methodName)
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{
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// Test symbol that is not in the SPDB
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const string market = Market.Binance;
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const string newSymbol = "CUSTOMCRIPTOUSDT";
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const SecurityType securityType = SecurityType.Crypto;
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var mapper = new SymbolPropertiesDatabaseSymbolMapper(market);
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var testSymbol = Symbol.Create(newSymbol, securityType, market);
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// Verify symbol doesn't exist initially using the appropriate method
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switch (methodName)
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{
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case "GetLeanSymbol":
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Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol(newSymbol, securityType, market));
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break;
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case "GetBrokerageSymbol":
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Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(testSymbol));
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break;
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case "IsKnownLeanSymbol":
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Assert.IsFalse(mapper.IsKnownLeanSymbol(testSymbol));
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break;
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case "GetBrokerageSecurityType":
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Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSecurityType(newSymbol));
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break;
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case "IsKnownBrokerageSymbol":
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Assert.IsFalse(mapper.IsKnownBrokerageSymbol(newSymbol));
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break;
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}
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// Add manually the new symbol to the SPDB
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var path = Path.Combine(Globals.DataFolder, "symbol-properties", "symbol-properties-database.csv");
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var newEntry = $"{Environment.NewLine}binance,CUSTOMCRIPTOUSDT,crypto,CUSTOMCRIPTOUSDT,USDT,1,0.00000001,0.01,CUSTOMCRIPTOUSDT,0.01";
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File.AppendAllText(path, newEntry);
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try
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{
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// Reset the SPDB
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SymbolPropertiesDatabase.Reset();
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// Simulate that 15 minutes have passed since the last reload
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var lastReloadField = typeof(SymbolPropertiesDatabaseSymbolMapper).GetField("_lastReloadTime", System.Reflection.BindingFlags.NonPublic | System.Reflection.BindingFlags.Instance);
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lastReloadField.SetValue(mapper, DateTime.UtcNow.AddMinutes(-16));
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// Now verify each method can find the symbol
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switch (methodName)
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{
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case "GetLeanSymbol":
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var symbol = mapper.GetLeanSymbol(newSymbol, securityType, market);
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Assert.IsNotNull(symbol);
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Assert.AreEqual(newSymbol, symbol.Value);
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Assert.AreEqual(securityType, symbol.SecurityType);
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Assert.AreEqual(market, symbol.ID.Market);
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break;
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case "GetBrokerageSymbol":
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Assert.AreEqual(newSymbol, mapper.GetBrokerageSymbol(testSymbol));
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break;
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case "IsKnownLeanSymbol":
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Assert.IsTrue(mapper.IsKnownLeanSymbol(testSymbol));
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break;
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case "GetBrokerageSecurityType":
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Assert.AreEqual(securityType, mapper.GetBrokerageSecurityType(newSymbol));
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break;
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case "IsKnownBrokerageSymbol":
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Assert.IsTrue(mapper.IsKnownBrokerageSymbol(newSymbol));
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break;
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}
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}
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finally
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{
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// Clean up the SPDB
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var lines = File.ReadAllLines(path).Where(l => !l.Contains(newSymbol)).ToArray();
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File.WriteAllText(path, string.Join(Environment.NewLine, lines));
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SymbolPropertiesDatabase.Reset();
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}
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}
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private static TestCaseData[] BrokerageSymbols => new[]
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{
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new TestCaseData(Market.Coinbase, "ETH-USD", "ETHUSD"),
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new TestCaseData(Market.Coinbase, "ETH-BTC", "ETHBTC"),
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new TestCaseData(Market.Coinbase, "BTC-USD", "BTCUSD"),
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new TestCaseData(Market.Coinbase, "BTC-USDC", "BTCUSDC"),
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new TestCaseData(Market.Coinbase, "ATOM-USD", "ATOMUSD"),
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new TestCaseData(Market.Bitfinex, "tBTCUSD", "BTCUSD"),
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new TestCaseData(Market.Bitfinex, "tBTCUST", "BTCUSDT"),
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new TestCaseData(Market.Bitfinex, "tETHUSD", "ETHUSD"),
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new TestCaseData(Market.Bitfinex, "tADAUST", "ADAUSDT"),
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new TestCaseData(Market.Bitfinex, "tCOMP:USD", "COMPUSD"),
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new TestCaseData(Market.Bitfinex, "tCOMP:UST", "COMPUSDT"),
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new TestCaseData(Market.Binance, "ETHUSDT", "ETHUSDT"),
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new TestCaseData(Market.Binance, "ETHBTC", "ETHBTC"),
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new TestCaseData(Market.Binance, "BTCUSDT", "BTCUSDT"),
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new TestCaseData(Market.Binance, "ATOMTUSD", "ATOMTUSD"),
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new TestCaseData(Market.Binance, "ATOMUSDC", "ATOMUSDC"),
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new TestCaseData(Market.Binance, "ATOMUSDT", "ATOMUSDT")
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};
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private static TestCaseData[] CryptoSymbols => new[]
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{
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new TestCaseData(Symbol.Create("ETHUSD", SecurityType.Crypto, Market.Coinbase), "ETH-USD"),
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new TestCaseData(Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Coinbase), "BTC-USD"),
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new TestCaseData(Symbol.Create("ETHBTC", SecurityType.Crypto, Market.Coinbase), "ETH-BTC"),
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new TestCaseData(Symbol.Create("BTCUSDC", SecurityType.Crypto, Market.Coinbase), "BTC-USDC"),
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new TestCaseData(Symbol.Create("ATOMUSD", SecurityType.Crypto, Market.Coinbase), "ATOM-USD"),
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new TestCaseData(Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Bitfinex), "tBTCUSD"),
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new TestCaseData(Symbol.Create("BTCUSDT", SecurityType.Crypto, Market.Bitfinex), "tBTCUST"),
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new TestCaseData(Symbol.Create("ETHUSD", SecurityType.Crypto, Market.Bitfinex), "tETHUSD"),
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new TestCaseData(Symbol.Create("ADAUSDT", SecurityType.Crypto, Market.Bitfinex), "tADAUST"),
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new TestCaseData(Symbol.Create("COMPUSD", SecurityType.Crypto, Market.Bitfinex), "tCOMP:USD"),
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new TestCaseData(Symbol.Create("COMPUSDT", SecurityType.Crypto, Market.Bitfinex), "tCOMP:UST"),
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new TestCaseData(Symbol.Create("ETHUSDT", SecurityType.Crypto, Market.Binance), "ETHUSDT"),
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new TestCaseData(Symbol.Create("ETHBTC", SecurityType.Crypto, Market.Binance), "ETHBTC"),
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new TestCaseData(Symbol.Create("BTCUSDT", SecurityType.Crypto, Market.Binance), "BTCUSDT"),
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new TestCaseData(Symbol.Create("ATOMTUSD", SecurityType.Crypto, Market.Binance), "ATOMTUSD"),
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new TestCaseData(Symbol.Create("ATOMUSDC", SecurityType.Crypto, Market.Binance), "ATOMUSDC"),
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new TestCaseData(Symbol.Create("ATOMUSDT", SecurityType.Crypto, Market.Binance), "ATOMUSDT")
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};
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private static TestCaseData[] CurrencyPairs => new[]
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{
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new TestCaseData(Market.Coinbase, ""),
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new TestCaseData(Market.Coinbase, "EURUSD"),
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new TestCaseData(Market.Coinbase, "GBP-USD"),
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new TestCaseData(Market.Coinbase, "USD-JPY"),
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new TestCaseData(Market.Bitfinex, ""),
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new TestCaseData(Market.Bitfinex, "EURUSD"),
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new TestCaseData(Market.Bitfinex, "GBP-USD"),
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new TestCaseData(Market.Bitfinex, "USD-JPY"),
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new TestCaseData(Market.Binance, ""),
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new TestCaseData(Market.Binance, "EURUSD"),
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new TestCaseData(Market.Binance, "GBPUSD"),
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new TestCaseData(Market.Binance, "USDJPY")
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};
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private static TestCaseData[] UnknownSymbols => new[]
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{
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new TestCaseData("AAA-BBB", SecurityType.Crypto, Market.Coinbase),
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new TestCaseData("USD-BTC", SecurityType.Crypto, Market.Coinbase),
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new TestCaseData("EUR-USD", SecurityType.Crypto, Market.Coinbase),
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new TestCaseData("GBP-USD", SecurityType.Crypto, Market.Coinbase),
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new TestCaseData("USD-JPY", SecurityType.Crypto, Market.Coinbase),
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new TestCaseData("BTC-ETH", SecurityType.Crypto, Market.Coinbase),
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new TestCaseData("USDC-BTC", SecurityType.Crypto, Market.Coinbase),
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new TestCaseData("USD-BTC", SecurityType.Crypto, Market.Bitfinex),
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new TestCaseData("EUR-USD", SecurityType.Crypto, Market.Bitfinex),
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new TestCaseData("GBP-USD", SecurityType.Crypto, Market.Bitfinex),
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new TestCaseData("USD-JPY", SecurityType.Crypto, Market.Bitfinex),
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new TestCaseData("BTC-ETH", SecurityType.Crypto, Market.Bitfinex),
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new TestCaseData("USDC-BTC", SecurityType.Crypto, Market.Bitfinex),
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new TestCaseData("AAABBB", SecurityType.Crypto, Market.Binance),
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new TestCaseData("USDBTC", SecurityType.Crypto, Market.Binance),
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new TestCaseData("EURUSD", SecurityType.Crypto, Market.Binance),
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new TestCaseData("GBPUSD", SecurityType.Crypto, Market.Binance),
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new TestCaseData("USDJPY", SecurityType.Crypto, Market.Binance),
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new TestCaseData("BTCETH", SecurityType.Crypto, Market.Binance),
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new TestCaseData("BTCUSD", SecurityType.Crypto, Market.Binance)
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};
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private static TestCaseData[] UnknownSecurityType => new[]
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{
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new TestCaseData("BTC-USD", SecurityType.Forex, Market.Coinbase)
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};
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private static TestCaseData[] UnknownMarket => new[]
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{
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new TestCaseData("ETH-USD", SecurityType.Crypto, Market.USA)
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};
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}
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}
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