wehub-resource-sync
119 lines
4.2 KiB
C#
119 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 System;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Common.Data.UniverseSelection
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{
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[TestFixture]
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public class ConstituentsUniverseDataTests
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{
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private SubscriptionDataConfig _config;
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private SecurityExchangeHours _exchangeHours;
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[SetUp]
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public void SetUp()
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{
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_config = new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.AAPL,
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Resolution.Second,
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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.Trade,
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false);
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_exchangeHours = MarketHoursDatabase.FromDataFolder()
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.GetEntry(Symbols.AAPL.ID.Market, Symbols.AAPL, Symbols.AAPL.ID.SecurityType).ExchangeHours;
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}
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[Test]
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public void BacktestSourceForEachTradableDate()
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{
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var reader = new ConstituentsUniverseData();
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var tradableDays = Time.EachTradeableDayInTimeZone(_exchangeHours,
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new DateTime(2019, 06, 9), // sunday
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new DateTime(2019, 06, 16),
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_config.DataTimeZone,
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_config.ExtendedMarketHours);
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foreach (var tradableDay in tradableDays)
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{
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if (tradableDay.DayOfWeek == DayOfWeek.Saturday
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|| tradableDay.DayOfWeek == DayOfWeek.Sunday)
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{
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Assert.Fail($"Unexpected tradable DayOfWeek {tradableDay.DayOfWeek}");
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}
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var source = reader.GetSource(_config, tradableDay, false);
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// Mon to Friday
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Assert.IsTrue(source.Source.Contains($"{tradableDay:yyyyMMdd}"));
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}
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}
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[Test]
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public void BacktestDataTimeForEachTradableDate()
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{
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var reader = new ConstituentsUniverseData();
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var tradableDays = Time.EachTradeableDayInTimeZone(_exchangeHours,
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new DateTime(2019, 06, 9), // sunday
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new DateTime(2019, 06, 16),
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_config.DataTimeZone,
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_config.ExtendedMarketHours);
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foreach (var tradableDay in tradableDays)
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{
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var dataPoint = reader.Reader(_config, "NONE,NONE 0", tradableDay, false);
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Assert.AreEqual(dataPoint.Time, tradableDay);
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// emitted tomorrow
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Assert.AreEqual(dataPoint.EndTime, tradableDay.AddDays(1));
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}
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}
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[Test]
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public void LiveSourceForCurrentDate()
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{
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var reader = new ConstituentsUniverseData();
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var currentTime = DateTime.UtcNow;
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var source = reader.GetSource(_config, currentTime, true);
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// From Tue to Sat will find files from Mon to Friday
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Assert.IsTrue(source.Source.Contains($"{currentTime.AddDays(-1):yyyyMMdd}"));
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}
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[Test]
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public void LiveDataTimeForCurrentDate()
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{
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var reader = new ConstituentsUniverseData();
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var currentTime = DateTime.UtcNow;
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var dataPoint = reader.Reader(_config, "NONE,NONE 0", currentTime, true);
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Assert.AreEqual(dataPoint.Time, currentTime.AddDays(-1));
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// emitted right away
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Assert.AreEqual(dataPoint.EndTime, currentTime);
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}
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}
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}
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