wehub-resource-sync
294 lines
13 KiB
C#
294 lines
13 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 System.IO;
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using System.Linq;
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using System.Text;
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using NUnit.Framework;
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using QuantConnect.Data;
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using System.Globalization;
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using QuantConnect.Securities;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Tests.Common.Data.Market
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{
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[TestFixture]
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public class TickTests
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{
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[Test]
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public void ConstructsFromLine()
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{
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const string line = "15093000,1456300,100,P,T,0";
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var baseDate = new DateTime(2013, 10, 08);
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var tick = new Tick(Symbols.SPY, line, baseDate);
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var ms = (tick.Time - baseDate).TotalMilliseconds;
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Assert.AreEqual(15093000, ms);
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Assert.AreEqual(1456300, tick.LastPrice * 10000m);
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Assert.AreEqual(100, tick.Quantity);
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Assert.AreEqual("P", tick.ExchangeCode);
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Assert.AreEqual("ARCA", tick.Exchange);
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Assert.AreEqual("T", tick.SaleCondition);
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Assert.AreEqual(false, tick.Suspicious);
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}
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[TestCase("18000677.3,3669.12,0.0040077,3669.13,3.40618718", "18000677.3", "3669.12", "0.0040077", "3669.13", "3.40618718")]
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[TestCase("18000677.3111,3669.12,0.0040077,3669.13,3.40618718", "18000677.3111", "3669.12", "0.0040077", "3669.13", "3.40618718")]
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public void ConstructsFromLineWithDecimalTimestamp(string line, string milliseconds, string bidPrice,
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string bidSize, string askPrice, string askSize)
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{
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var config = new SubscriptionDataConfig(
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typeof(Tick), Symbols.BTCUSD, Resolution.Tick, TimeZones.Utc, TimeZones.Utc,
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false, false, false, false, TickType.Quote);
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var baseDate = new DateTime(2019, 1, 15);
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var tick = new Tick(config, line, baseDate);
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var ms = (tick.Time - baseDate).TotalMilliseconds;
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Assert.AreEqual( decimal.Parse(milliseconds, CultureInfo.InvariantCulture), ms);
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Assert.AreEqual(decimal.Parse(bidPrice, CultureInfo.InvariantCulture), tick.BidPrice);
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Assert.AreEqual(decimal.Parse(bidSize, CultureInfo.InvariantCulture), tick.BidSize);
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Assert.AreEqual(decimal.Parse(askPrice, CultureInfo.InvariantCulture), tick.AskPrice);
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Assert.AreEqual(decimal.Parse(askSize, CultureInfo.InvariantCulture), tick.AskSize);
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}
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[Test]
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public void ReadsFuturesTickFromLine()
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{
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const string line = "86399572,52.62,5,usa,,0,False";
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var baseDate = new DateTime(2013, 10, 08);
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var symbol = Symbol.CreateFuture(Futures.Energy.CrudeOilWTI, QuantConnect.Market.NYMEX, new DateTime(2017, 2, 28));
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var config = new SubscriptionDataConfig(typeof(Tick), symbol, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
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var tick = new Tick(config, line, baseDate);
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var ms = (tick.Time - baseDate).TotalMilliseconds;
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Assert.AreEqual(86399572, ms);
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Assert.AreEqual(52.62, tick.LastPrice);
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Assert.AreEqual(5, tick.Quantity);
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Assert.AreEqual("", tick.Exchange);
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Assert.AreEqual("", tick.SaleCondition);
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Assert.AreEqual(false, tick.Suspicious);
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}
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[TestCase(SecurityType.Crypto, TickType.Trade, "1234567,18000,0.0001,0")]
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[TestCase(SecurityType.Crypto, TickType.Quote, "1234567,18000,10,18100,15,0")]
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[TestCase(SecurityType.CryptoFuture, TickType.Trade, "1234567,18000,0.0001,0")]
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[TestCase(SecurityType.CryptoFuture, TickType.Quote, "1234567,18000,10,18100,15,0")]
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public void ReadsCryptoAndCryptoFuturesTickFromLine(SecurityType securityType, TickType tickType, string line)
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{
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var baseDate = new DateTime(2013, 10, 08);
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var symbol = Symbol.Create("BTCUSDT", securityType, QuantConnect.Market.Binance);
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var config = new SubscriptionDataConfig(typeof(Tick), symbol, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, false, false, false,
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tickType: tickType);
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var tick = new Tick(config, line, baseDate);
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var ms = (tick.Time - baseDate).TotalMilliseconds;
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Assert.AreEqual(1234567d, ms);
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Assert.AreEqual("", tick.Exchange);
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Assert.AreEqual("", tick.SaleCondition);
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Assert.AreEqual(false, tick.Suspicious);
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if (tickType == TickType.Trade)
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{
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Assert.AreEqual(18000m, tick.Value);
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Assert.AreEqual(0.0001m, tick.Quantity);
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Assert.AreEqual("", tick.Exchange);
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Assert.AreEqual("", tick.SaleCondition);
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Assert.AreEqual(false, tick.Suspicious);
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}
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else
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{
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Assert.AreEqual((18000m + 18100m) / 2m, tick.Value);
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Assert.AreEqual(18000m, tick.BidPrice);
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Assert.AreEqual(10m, tick.BidSize);
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Assert.AreEqual(18100m, tick.AskPrice);
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Assert.AreEqual(15m, tick.AskSize);
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}
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}
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[TestCase("14400135,0,0,1680000,400,NASDAQ,00000001,0", 0, 0, 168, 400)]
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[TestCase("14400135,10000,10,0,0,NASDAQ,00000001,0", 1, 10, 0, 0)]
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[TestCase("14400135,10000,10,20000,20,NASDAQ,00000001,0", 1, 10, 2, 20)]
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public void EquityQuoteTick(string line, decimal bidPrice, decimal bidSize, decimal askPrice, decimal askSize)
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{
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var baseDate = new DateTime(2013, 10, 08);
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var config = new SubscriptionDataConfig(typeof(Tick),
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Symbols.SPY,
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Resolution.Tick,
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TimeZones.NewYork,
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TimeZones.NewYork,
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false,
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false,
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false,
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false,
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TickType.Quote);
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var tick = new Tick(config, line, baseDate);
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var expectedValue = (askPrice + bidPrice) / 2;
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if (askPrice == 0 || bidPrice == 0)
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{
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expectedValue = askPrice + bidPrice;
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}
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var ms = (tick.Time - baseDate).TotalMilliseconds;
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Assert.AreEqual(14400135, ms);
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Assert.AreEqual(expectedValue, tick.Value);
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Assert.AreEqual(expectedValue, tick.LastPrice);
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Assert.AreEqual(0, tick.Quantity);
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Assert.AreEqual(askPrice, tick.AskPrice);
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Assert.AreEqual(askSize, tick.AskSize);
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Assert.AreEqual(bidPrice, tick.BidPrice);
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Assert.AreEqual(bidSize, tick.BidSize);
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Assert.AreEqual("NASDAQ", tick.Exchange);
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Assert.AreEqual("00000001", tick.SaleCondition);
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Assert.IsFalse(tick.Suspicious);
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}
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[Test]
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public void OptionWithUnderlyingEquityScaled()
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{
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var factory = new Tick();
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var tickLine = "40560000,10000,10,NYSE,00000001,0";
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var underlying = Symbol.Create("SPY", SecurityType.Equity, QuantConnect.Market.USA);
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var optionSymbol = Symbol.CreateOption(
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underlying,
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QuantConnect.Market.USA,
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OptionStyle.American,
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OptionRight.Put,
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4200m,
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SecurityIdentifier.DefaultDate);
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var config = new SubscriptionDataConfig(
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typeof(Tick),
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optionSymbol,
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Resolution.Tick,
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TimeZones.Chicago,
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TimeZones.Chicago,
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true,
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false,
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false,
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false,
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TickType.Trade,
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true,
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DataNormalizationMode.Raw);
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using var stream = new StreamReader(new MemoryStream(Encoding.UTF8.GetBytes(tickLine)));
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var tickFromLine = (Tick)factory.Reader(config, tickLine, new DateTime(2020, 9, 22), false);
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var tickFromStream = (Tick)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 16, 0), tickFromLine.Time);
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Assert.AreEqual(1m, tickFromLine.Price);
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Assert.AreEqual(10, tickFromLine.Quantity);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 16, 0), tickFromStream.Time);
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Assert.AreEqual(1m, tickFromStream.Price);
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Assert.AreEqual(10, tickFromStream.Quantity);
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}
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[Test]
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public void OptionWithUnderlyingFutureNotScaled()
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{
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var factory = new Tick();
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var tickLine = "40560000,10000,10,CME,00000001,0";
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var underlying = Symbol.CreateFuture("ES", QuantConnect.Market.CME, new DateTime(2021, 3, 19));
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var optionSymbol = Symbol.CreateOption(
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underlying,
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QuantConnect.Market.CME,
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OptionStyle.American,
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OptionRight.Put,
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4200m,
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SecurityIdentifier.DefaultDate);
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var config = new SubscriptionDataConfig(
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typeof(Tick),
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optionSymbol,
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Resolution.Tick,
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TimeZones.Chicago,
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TimeZones.Chicago,
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true,
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false,
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false,
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false,
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TickType.Trade,
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true,
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DataNormalizationMode.Raw);
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using var stream = new StreamReader(new MemoryStream(Encoding.UTF8.GetBytes(tickLine)));
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var tickFromLine = (Tick)factory.Reader(config, tickLine, new DateTime(2020, 9, 22), false);
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var tickFromStream = (Tick)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 16, 0), tickFromLine.Time);
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Assert.AreEqual(10000m, tickFromLine.Price);
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Assert.AreEqual(10, tickFromLine.Quantity);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 16, 0), tickFromStream.Time);
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Assert.AreEqual(10000m, tickFromStream.Price);
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Assert.AreEqual(10, tickFromStream.Quantity);
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}
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[Test]
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public void ExchangeSetterHandlesNonExpectedEncoding()
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{
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const string line = "15093000,1456300,100,P,T,0";
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var baseDate = new DateTime(2013, 10, 08);
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var tick = new Tick(Symbols.SPY, line, baseDate);
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Assert.DoesNotThrow(()=> tick.ExchangeCode = "LL");
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Assert.AreEqual(Exchange.UNKNOWN, tick.Exchange.GetPrimaryExchange(), "Failed at Exchange Property");
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Assert.AreEqual((string)Exchange.UNKNOWN, tick.ExchangeCode, "Failed at ExchangeCode Property");
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}
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[Test]
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public void ExchangeSetterHandlesDefinedExchanges()
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{
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var baseDate = new DateTime(2013, 10, 08);
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const string line = "15093000,1456300,100,P,T,0";
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var exchanges = typeof(Exchange)
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.GetProperties(System.Reflection.BindingFlags.Static | System.Reflection.BindingFlags.Public)
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.Where(p => p.PropertyType == typeof(Exchange))
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.Select(propa => propa.GetValue(null))
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.OfType<Exchange>()
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.Where(exchange => exchange.Market == QuantConnect.Market.USA && exchange.SecurityTypes.Contains(SecurityType.Equity))
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.ToList();
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Assert.GreaterOrEqual(exchanges.Count, 20);
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foreach (var exchange in exchanges)
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{
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{
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var tick = new Tick(Symbols.SPY, line, baseDate);
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Assert.DoesNotThrow(() => tick.ExchangeCode = exchange.Code);
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Assert.AreEqual(exchange.Name, tick.Exchange, $"ExchangeCode: Failed at Exchange Property: {exchange}");
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Assert.AreEqual(exchange.Code, tick.ExchangeCode, $"ExchangeCode: Failed at ExchangeCode Property: {exchange}");
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}
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{
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var tick = new Tick(Symbols.SPY, line, baseDate);
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Assert.DoesNotThrow(() => tick.Exchange = exchange);
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Assert.AreEqual(exchange.Name, tick.Exchange, $"Exchange: Failed at Exchange Property: {exchange}");
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Assert.AreEqual(exchange.Code, tick.ExchangeCode, $"Exchange: Failed at ExchangeCode Property: {exchange}");
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}
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}
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}
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}
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}
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