wehub-resource-sync
566 lines
32 KiB
C#
566 lines
32 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.Securities.Future;
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using System.Collections.Generic;
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using System.Linq;
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using System.Xml;
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using System.Xml.Serialization;
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using System.IO;
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using QuantConnect.Brokerages;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Common.Securities.Futures
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class FuturesExpiryFunctionsTests
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{
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private IDictionary<String, List<Dates>> _data = new Dictionary<String, List<Dates>>();
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private const string Zero = "00:00:00";
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private const string ElevenAmHongKongTime = "03:00:00";
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private const string ElevenOclockMoscowTime = "08:00:00";
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private const string TenSixteen = "10:16:00";
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private const string ElevenOclock = "11:00:00";
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private const string NineFifteenCentralTime = "14:15:00";
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private const string NineSixteenCentralTime = "14:16:00";
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private const string TwelvePMCentralTime = "17:00:00";
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private const string TwelveFivePMCentralTime = "17:05:00";
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private const string TwelveTenCentralTime = "17:10:00";
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private const string OneThirtyPMCentralTime = "18:30:00";
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private const string OneFortyPMCentralTime = "18:40:00";
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private const string TwoPMCentralTime = "19:00:00";
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private const string ThreePMCentralTime = "20:00:00";
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private const string NineThirtyEasternTime = "13:30:00";
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private const string FiveOClockPMEasternTime = "21:00:00";
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private const string EightOClockChicagoTime = "13:00:00";
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private const string TwelveOclock = "12:00:00";
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private const string TwelveOne = "12:01:00";
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private const string FourPMLondonTime = "15:00:00";
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private const string OneTwentyFivePM = "13:25:00";
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private const string OneThirtyPM = "13:30:00";
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private const string TwoThirtyPM = "14:30:00";
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private const string OneFortyFivePM = "13:45:00";
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private const string ThreeThirtyPM = "15:30:00";
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private const string FourFifteenPM = "16:15:00";
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private readonly SymbolPropertiesDatabase _symbolPropertiesDatabase = SymbolPropertiesDatabase.FromDataFolder();
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[OneTimeSetUp]
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public void Init()
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{
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var path = Path.Combine("TestData", "FuturesExpiryFunctionsTestData.xml");
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using (var reader = XmlReader.Create(path))
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{
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var serializer = new XmlSerializer(typeof(Item[]));
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_data = ((Item[])serializer.Deserialize(reader)).ToDictionary(i=>i.Symbol,i=>i.SymbolDates);
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}
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}
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// last day and previous are holidays
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[TestCase("20250101", "20250127")]
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// normal case
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[TestCase("20250201", "20250227")]
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[TestCase("20250301", "20250328")]
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[TestCase("20250401", "20250429")]
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[TestCase("20250501", "20250529")]
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[TestCase("20250601", "20250627")]
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[TestCase("20250701", "20250730")]
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[TestCase("20250801", "20250828")]
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[TestCase("20250901", "20250929")]
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[TestCase("20251001", "20251030")]
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[TestCase("20251101", "20251127")]
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[TestCase("20251201", "20251230")]
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public void HSIFutures(string input, string expectedStr)
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{
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var date = Time.ParseDate(input);
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var expected = Time.ParseDate(expectedStr);
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var canonical = Symbol.Create("HSI", SecurityType.Future, Market.HKFE);
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var expiration = FuturesExpiryFunctions.FuturesExpiryDictionary[canonical];
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var result = expiration(date);
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Assert.AreEqual(expected, result.Date);
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}
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[Test]
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public void MCLFutures()
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{
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var canonical = Symbol.Create("MCL", SecurityType.Future, Market.NYMEX);
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var expiration = FuturesExpiryFunctions.FuturesExpiryDictionary[canonical];
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// 1/25 is Saturday and 1/20 is a holiday
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Assert.AreEqual(new DateTime(2025, 1, 17, 0, 0, 0), expiration(new DateTime(2025, 2, 1)));
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// Whole weekend in between
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Assert.AreEqual(new DateTime(2025, 2, 19, 0, 0, 0), expiration(new DateTime(2025, 3, 1)));
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// Normal case
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Assert.AreEqual(new DateTime(2025, 4, 21, 0, 0, 0), expiration(new DateTime(2025, 5, 1)));
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}
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[Test]
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public void FuturesExpiryFunction_MissingSymbol_ShouldThrowArgumentException()
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{
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const string badSymbol = "AAAAA";
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Assert.Throws<ArgumentException>(() => { FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(badSymbol)); },
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$"Expiry function not implemented for {badSymbol} in FuturesExpiryFunctions.FuturesExpiryDictionary");
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}
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[Test]
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public void FuturesExpiryFunctions_AllFutures_ShouldHaveExpiryFunction()
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{
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var missingFutures = new List<string>();
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var futuresSymbols = typeof(QuantConnect.Securities.Futures).GetNestedTypes()
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.SelectMany(x => x.GetFields())
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.Select(x => x.GetValue(null)) // null for obj in GetValue indicates static field
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.Cast<string>();
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foreach (var futuresSymbol in futuresSymbols)
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{
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try
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{
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FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(futuresSymbol));
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}
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catch (ArgumentException)
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{
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missingFutures.Add(futuresSymbol);
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}
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}
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Assert.IsEmpty(missingFutures,
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$"The following symbols do not have an expiry function defined in FuturesExpiryFunction.FuturesExpiryDictionary: {string.Join(", ", missingFutures)}");
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}
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[TestCase(QuantConnect.Securities.Futures.Grains.BlackSeaCornFinanciallySettledPlatts)]
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[TestCase(QuantConnect.Securities.Futures.Grains.SRWWheat)]
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[TestCase(QuantConnect.Securities.Futures.Grains.Wheat)]
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[TestCase(QuantConnect.Securities.Futures.Grains.HRWWheat)]
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[TestCase(QuantConnect.Securities.Futures.Grains.Corn)]
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[TestCase(QuantConnect.Securities.Futures.Grains.Soybeans)]
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[TestCase(QuantConnect.Securities.Futures.Grains.SoybeanMeal)]
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[TestCase(QuantConnect.Securities.Futures.Grains.SoybeanOil)]
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[TestCase(QuantConnect.Securities.Futures.Grains.Oats)]
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[TestCase(QuantConnect.Securities.Futures.Grains.BlackSeaWheatFinanciallySettledPlatts)]
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public void GrainsExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol)
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{
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Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
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foreach (var date in _data[symbol])
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{
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//Arrange
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var futureSymbol = GetFutureSymbol(symbol, date.ContractMonth);
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var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
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//Act
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var actual = func(futureSymbol.ID.Date);
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var expected = date.LastTrade;
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//Assert
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Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
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}
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}
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[TestCase(QuantConnect.Securities.Futures.Currencies.USD, TenSixteen)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.GBP, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.CAD, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.JPY, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.CHF, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.EUR, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.AUD, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.NZD, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.RUB, ElevenOclockMoscowTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.BRL, NineFifteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.MXN, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.ZAR, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.AUDCAD, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.AUDJPY, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.AUDNZD, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.BTC, FourPMLondonTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.ETH, FourPMLondonTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.CADJPY, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.StandardSizeUSDOffshoreRMBCNH, ElevenAmHongKongTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.EuroFXEmini, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.EURAUD, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.EURCAD, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.EURSEK, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.JapaneseYenEmini, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.MicroEUR, NineSixteenCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.MicroBTC, FourPMLondonTime)]
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[TestCase(QuantConnect.Securities.Futures.Currencies.MicroEther, FourPMLondonTime)]
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public void CurrenciesExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol, string dayTime)
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{
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Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
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foreach (var date in _data[symbol])
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{
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//Arrange
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var futureSymbol = GetFutureSymbol(symbol, date.ContractMonth);
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var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
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//Act
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var actual = func(futureSymbol.ID.Date);
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var expected = date.LastTrade + Parse.TimeSpan(dayTime);
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//Assert
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Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
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}
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}
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[TestCase(QuantConnect.Securities.Futures.Energy.PropaneNonLDHMontBelvieu, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.ArgusPropaneFarEastIndexBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MiniEuropeanThreePointPercentFiveFuelOilBargesPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MiniSingaporeFuelOil180CstPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.GulfCoastULSDPlattsUpDownBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.GulfCoastJetPlattsUpDownBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.PropaneNonLDHMontBelvieuOPIS, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.EuropeanPropaneCIFARAArgusBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.PremiumUnleadedGasoline10ppmFOBMEDPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.ArgusPropaneFarEastIndex, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.GasolineEurobobOxyNWEBargesArgusCrackSpreadBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MontBelvieuNaturalGasolineOPIS, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MontBelvieuNormalButaneOPISBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.ConwayPropaneOPIS, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MontBelvieuLDHPropaneOPISBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.ArgusPropaneFarEastIndexVsEuropeanPropaneCIFARAArgus, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.ArgusPropaneSaudiAramco, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.GroupThreeULSDPlattsVsNYHarborULSD, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.GroupThreeSuboctaneGasolinePlattsVsRBOB, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.SingaporeFuelOil180cstPlattsBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.SingaporeFuelOil380cstPlattsBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MontBelvieuEthaneOPIS, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MontBelvieuNormalButaneOPIS, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.BrentCrudeOilVsDubaiCrudeOilPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.ArgusLLSvsWTIArgusTradeMonth, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.SingaporeGasoilPlattsVsLowSulphurGasoilFutures, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.LosAngelesCARBOBGasolineOPISvsRBOBGasoline, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.LosAngelesJetOPISvsNYHarborULSD, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.LosAngelesCARBDieselOPISvsNYHarborULSD, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.EuropeanNaphthaPlattsBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.EuropeanPropaneCIFARAArgus, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MontBelvieuNaturalGasolineOPISBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.RBOBGasolineCrackSpread, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.GulfCoastHSFOPlattsBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MarsArgusVsWTITradeMonth, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MarsArgusVsWTIFinancial, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.EthanolT2FOBRdamIncludingDutyPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MontBelvieuLDHPropaneOPIS, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.GasolineEurobobOxyNWEBargesArgus, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.WTIBrentFinancial, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.ThreePointFivePercentFuelOilBargesFOBRdamPlattsCrackSpread1000mt, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.GasolineEurobobOxyNWEBargesArgusBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.BrentLastDayFinancial, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.CrudeOilWTI, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.GulfCoastCBOBGasolineA2PlattsVsRBOBGasoline, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.WTIFinancial, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.ChicagoEthanolPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.SingaporeMogas92UnleadedPlattsBrentCrackSpread, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.DubaiCrudeOilPlattsFinancial, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.JapanCnFNaphthaPlattsBALMO, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.Ethanol, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.EuropeanNaphthaPlattsCrackSpread, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.EuropeanPropaneCIFARAArgusVsNaphthaCargoesCIFNWEPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.SingaporeFuelOil380cstPlattsVsEuropeanThreePointFivePercentFuelOilBargesFOBRdamPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.EastWestGasolineSpreadPlattsArgus, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.EastWestNaphthaJapanCFvsCargoesCIFNWESpreadPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.RBOBGasolineVsEurobobOxyNWEBargesArgusThreeHundredFiftyThousandGallons, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.ThreePointFivePercentFuelOilBargesFOBRdamPlattsCrackSpread, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.FreightRouteTC14Baltic, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.OnePercentFuelOilCargoesFOBNWEPlattsVsThreePointFivePercentFuelOilBargesFOBRdamPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.GulfCoastHSFOPlattsVsEuropeanThreePointFivePercentFuelOilBargesFOBRdamPlatts, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.WTIHoustonCrudeOil, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.NaturalGasHenryHubLastDayFinancial, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.HeatingOil, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.NaturalGasHenryHubPenultimateFinancial, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.WTIHoustonArgusVsWTITradeMonth, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.Gasoline, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.NaturalGas, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.BrentCrude, Zero)]
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[TestCase(QuantConnect.Securities.Futures.Energy.LowSulfurGasoil, TwelveOclock)]
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[TestCase(QuantConnect.Securities.Futures.Energy.MicroCrudeOilWTI, Zero)]
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public void EnergyExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol, string dayTime)
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{
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Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
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foreach (var date in _data[symbol])
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{
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//Arrange
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var futureSymbol = GetFutureSymbol(symbol, date.ContractMonth);
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var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
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//Act
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var actual = func(futureSymbol.ID.Date);
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var expected = date.LastTrade + Parse.TimeSpan(dayTime);
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//Assert
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Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
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}
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}
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[Test]
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public void BankHolidaysAreRespected()
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{
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//Arrange
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var futureSymbol = GetFutureSymbol("6E", new DateTime(2025, 2, 1));
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var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol("6E"));
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// Expiry date is the second business day immediately preceding the third Wednesday of the contract month(usually Monday).
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// The third wednesday is the 19th so the expiry date should be monday 17th, but that day is a bank holiday
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// so the real expiry date is the 14th
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var expiryDate = func(futureSymbol.ID.Date);
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//Assert
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Assert.AreEqual(new DateTime(2025, 2, 14), expiryDate.Date);
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}
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[TestCase(QuantConnect.Securities.Futures.Indices.NASDAQ100EMini, "20260302", "20260320")]
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[TestCase(QuantConnect.Securities.Futures.Indices.NASDAQ100EMini, "20260602", "20260618")]
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public void ExpirationUsesHolidays(string symbol, string dateStr, string expectedDate)
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{
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var date = Time.ParseDate(dateStr);
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var expected = Time.ParseDate(expectedDate);
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var futureSymbol = GetFutureSymbol(symbol, date);
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var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
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var actual = func(futureSymbol.ID.Date);
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Assert.AreEqual(expected, actual.Date, $"Failed for symbol: {symbol}. Date {dateStr}");
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}
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// 25th is a sunday
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[TestCase(QuantConnect.Securities.Futures.Energy.MicroCrudeOilWTI, "20221001", "20220919")]
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[TestCase(QuantConnect.Securities.Futures.Energy.CrudeOilWTI, "20221001", "20220920")]
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// 25th is a tuesday
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[TestCase(QuantConnect.Securities.Futures.Energy.MicroCrudeOilWTI, "20221101", "20221019")]
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[TestCase(QuantConnect.Securities.Futures.Energy.CrudeOilWTI, "20221101", "20221020")]
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// 25th is a friday but includes thanks giving
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[TestCase(QuantConnect.Securities.Futures.Energy.MicroCrudeOilWTI, "20221201", "20221118")]
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[TestCase(QuantConnect.Securities.Futures.Energy.CrudeOilWTI, "20221201", "20221121")]
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public void MicroCrudeOilExpiration(string symbol, string dateStr, string expectedDate)
|
|
{
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var date = Time.ParseDate(dateStr);
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var expected = Time.ParseDate(expectedDate);
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var futureSymbol = GetFutureSymbol(symbol, date);
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var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
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var actual = func(futureSymbol.ID.Date);
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|
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Assert.AreEqual(expected, actual, $"Failed for symbol: {symbol}. Date {dateStr}");
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}
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|
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[TestCase(QuantConnect.Securities.Futures.Financials.EuroDollar, ElevenOclock)]
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[TestCase(QuantConnect.Securities.Futures.Financials.Y30TreasuryBond, TwelveOne)]
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[TestCase(QuantConnect.Securities.Futures.Financials.Y10TreasuryNote, TwelveOne)]
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[TestCase(QuantConnect.Securities.Futures.Financials.Y5TreasuryNote, TwelveOne)]
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[TestCase(QuantConnect.Securities.Futures.Financials.Y2TreasuryNote, TwelveOne)]
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|
[TestCase(QuantConnect.Securities.Futures.Financials.FiveYearUSDMACSwap, TwoPMCentralTime)]
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[TestCase(QuantConnect.Securities.Futures.Financials.UltraUSTreasuryBond, TwelveOne)]
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|
[TestCase(QuantConnect.Securities.Futures.Financials.UltraTenYearUSTreasuryNote, Zero)]
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|
[TestCase(QuantConnect.Securities.Futures.Financials.MicroY10TreasuryNote, Zero)]
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public void FinancialsExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol, string dayTime)
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|
{
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Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
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|
foreach (var date in _data[symbol])
|
|
{
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|
//Arrange
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|
var futureSymbol = GetFutureSymbol(symbol, date.ContractMonth);
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|
var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
|
|
|
|
//Act
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|
var actual = func(futureSymbol.ID.Date);
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|
var expected = date.LastTrade + Parse.TimeSpan(dayTime);
|
|
|
|
//Assert
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|
Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
|
|
}
|
|
}
|
|
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.BloombergCommodityIndex, OneThirtyPMCentralTime)]
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|
[TestCase(QuantConnect.Securities.Futures.Indices.NASDAQ100BiotechnologyEMini, NineThirtyEasternTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.FTSEEmergingEmini, ThreePMCentralTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.SP400MidCapEmini, NineThirtyEasternTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.SPGSCICommodity, OneFortyPMCentralTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.USDDenominatedIbovespa, ThreePMCentralTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.SP500EMini, NineThirtyEasternTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.NASDAQ100EMini, NineThirtyEasternTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.Dow30EMini, NineThirtyEasternTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.Russell2000EMini, NineThirtyEasternTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.Nikkei225Dollar, FiveOClockPMEasternTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.VIX, EightOClockChicagoTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.VIXMini, EightOClockChicagoTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.Nikkei225Yen, TwoThirtyPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.MSCITaiwanIndex, OneFortyFivePM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.Nifty50, ThreeThirtyPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.BankNifty, ThreeThirtyPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.BseSensex, ThreeThirtyPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.MicroSP500EMini, NineThirtyEasternTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.MicroDow30EMini, NineThirtyEasternTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.MSCIEuropeNTR, FourFifteenPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.MSCIJapanNTR, FourFifteenPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.MSCIUsaIndex, FourFifteenPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.MSCIEmergingMarketsAsiaNTR, FourFifteenPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.MSCIEmergingMarketsIndex, FourFifteenPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Indices.MSCIEafeIndex, FourFifteenPM)]
|
|
public void IndicesExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol, string dayTime)
|
|
{
|
|
Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
|
|
foreach (var date in _data[symbol])
|
|
{
|
|
//Arrange
|
|
var futureSymbol = GetFutureSymbol(symbol, date.ContractMonth);
|
|
var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
|
|
|
|
//Act
|
|
var actual = func(futureSymbol.ID.Date);
|
|
var expected = date.LastTrade + Parse.TimeSpan(dayTime);
|
|
|
|
//Assert
|
|
Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
|
|
}
|
|
}
|
|
|
|
[TestCase(QuantConnect.Securities.Futures.Meats.LiveCattle, TwelveOclock)]
|
|
[TestCase(QuantConnect.Securities.Futures.Meats.LeanHogs, TwelveOclock)]
|
|
[TestCase(QuantConnect.Securities.Futures.Meats.FeederCattle, Zero)]
|
|
public void MeatsExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol, string dayTime)
|
|
{
|
|
Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
|
|
foreach (var date in _data[symbol])
|
|
{
|
|
//Arrange
|
|
var futureSymbol = GetFutureSymbol(symbol, date.ContractMonth);
|
|
var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
|
|
|
|
//Act
|
|
var actual = func(futureSymbol.ID.Date);
|
|
var expected = date.LastTrade + Parse.TimeSpan(dayTime);
|
|
|
|
//Assert
|
|
Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
|
|
}
|
|
}
|
|
|
|
[TestCase(QuantConnect.Securities.Futures.Forestry.Lumber, TwelveFivePMCentralTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Forestry.RandomLengthLumber, TwelveFivePMCentralTime)]
|
|
public void LumberPulpExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol, string dayTime)
|
|
{
|
|
Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
|
|
foreach (var date in _data[symbol])
|
|
{
|
|
//Arrange
|
|
var futureSymbol = GetFutureSymbol(symbol, date.ContractMonth);
|
|
var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
|
|
|
|
//Act
|
|
var actual = func(futureSymbol.ID.Date);
|
|
var expected = date.LastTrade + Parse.TimeSpan(dayTime);
|
|
|
|
//Assert
|
|
Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
|
|
}
|
|
}
|
|
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.Gold, Zero)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.Silver, Zero)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.Platinum, Zero)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.Palladium, Zero)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.AluminumMWUSTransactionPremiumPlatts25MT, Zero)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.AluminiumEuropeanPremiumDutyPaidMetalBulletin, Zero)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.Copper, TwelvePMCentralTime)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.USMidwestDomesticHotRolledCoilSteelCRUIndex, Zero)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.MicroGold, Zero)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.MiniNYGold, OneThirtyPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.MiniNYSilver, OneTwentyFivePM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.Gold100Oz, OneThirtyPM)]
|
|
[TestCase(QuantConnect.Securities.Futures.Metals.Silver5000Oz, OneTwentyFivePM)]
|
|
public void MetalsExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol, string dayTime)
|
|
{
|
|
Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
|
|
foreach (var date in _data[symbol])
|
|
{
|
|
//Arrange
|
|
var futureSymbol = GetFutureSymbol(symbol, date.ContractMonth);
|
|
var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
|
|
|
|
//Act
|
|
var actual = func(futureSymbol.ID.Date);
|
|
var expected = date.LastTrade + Parse.TimeSpan(dayTime);
|
|
|
|
//Assert
|
|
Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
|
|
}
|
|
}
|
|
|
|
[TestCase(QuantConnect.Securities.Futures.Softs.Cotton2)]
|
|
[TestCase(QuantConnect.Securities.Futures.Softs.OrangeJuice)]
|
|
[TestCase(QuantConnect.Securities.Futures.Softs.Coffee)]
|
|
[TestCase(QuantConnect.Securities.Futures.Softs.Sugar11)]
|
|
[TestCase(QuantConnect.Securities.Futures.Softs.Sugar11CME)]
|
|
[TestCase(QuantConnect.Securities.Futures.Softs.Cocoa)]
|
|
public void SoftsExpiryDateFunction_WithDifferentDates_ShouldFollowContract(string symbol)
|
|
{
|
|
Assert.IsTrue(_data.ContainsKey(symbol), "Symbol " + symbol + " not present in Test Data");
|
|
foreach (var date in _data[symbol])
|
|
{
|
|
//Arrange
|
|
var futureSymbol = GetFutureSymbol(symbol, date.ContractMonth);
|
|
var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol(symbol));
|
|
|
|
//Act
|
|
var actual = func(futureSymbol.ID.Date);
|
|
var expected = date.LastTrade;
|
|
|
|
//Assert
|
|
Assert.AreEqual(expected, actual, "Failed for symbol: " + symbol);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Dates for Termination Conditions of futures
|
|
/// </summary>
|
|
public class Dates
|
|
{
|
|
public DateTime ContractMonth { get; set; }
|
|
public DateTime LastTrade { get; set; }
|
|
public Dates() { }
|
|
public Dates(DateTime c, DateTime l)
|
|
{
|
|
ContractMonth = c;
|
|
LastTrade = l;
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Class to convert Array into Dictionary using XmlSerializer
|
|
/// </summary>
|
|
public class Item
|
|
{
|
|
[XmlAttribute]
|
|
public String Symbol { get; set; }
|
|
public List<Dates> SymbolDates { get; set; }
|
|
}
|
|
|
|
private Symbol GetFutureSymbol(string symbol, DateTime? date =null)
|
|
{
|
|
string market;
|
|
if (!_symbolPropertiesDatabase.TryGetMarket(symbol, SecurityType.Future, out market))
|
|
{
|
|
market = DefaultBrokerageModel.DefaultMarketMap[SecurityType.Future];
|
|
}
|
|
|
|
if (date.HasValue)
|
|
{
|
|
return Symbol.CreateFuture(symbol, market, date.Value);
|
|
}
|
|
return Symbol.Create(symbol, SecurityType.Future, market);
|
|
}
|
|
}
|
|
}
|