wehub-resource-sync
151 lines
6.2 KiB
C#
151 lines
6.2 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 System.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Securities.Future;
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namespace QuantConnect.Tests.Common.Securities.Futures
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{
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[TestFixture]
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public class FuturesListingsTests
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{
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[TestCaseSource(nameof(ListedContractsCME_2021_01_11))]
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public void ListedContractsMatchesCME(string ticker, string market, DateTime[] expectedListedExpiries)
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{
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// Test was created on 2021-01-11, we're using CME's data here to validate the test, hence the fixed date.
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var contractsListed = FuturesListings.ListedContracts(ticker, new DateTime(2021, 1, 11));
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var contractsMissing = new HashSet<Symbol>();
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foreach (var expectedExpiry in expectedListedExpiries)
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{
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var expectedFuture = Symbol.CreateFuture(ticker, market, expectedExpiry);
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if (!contractsListed.Contains(expectedFuture))
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{
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contractsMissing.Add(expectedFuture);
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}
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}
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var missingContractsMessage = $"The following contracts are missing from the listed contracts: {string.Join("\n", contractsMissing.Select(s => " " + s.Value + " " + s.ID.Date.ToStringInvariant("yyyy-MM-dd")))}";
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Assert.AreEqual(0, contractsMissing.Count, missingContractsMessage);
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Assert.AreEqual(expectedListedExpiries.Length, contractsListed.Count, $"The length of expected listed contracts does not match the returned contract count.");
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}
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public static TestCaseData[] ListedContractsCME_2021_01_11()
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{
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return new TestCaseData[]
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{
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new TestCaseData(
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"ZB",
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Market.CBOT,
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new[]
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{
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new DateTime(2021, 3, 22),
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new DateTime(2021, 6, 21),
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new DateTime(2021, 9, 21),
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}
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),
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new TestCaseData(
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"ZC",
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Market.CBOT,
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new[]
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{
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new DateTime(2021, 3, 12),
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new DateTime(2021, 5, 14),
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new DateTime(2021, 7, 14),
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new DateTime(2021, 9, 14),
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new DateTime(2021, 12, 14),
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new DateTime(2022, 3, 14),
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new DateTime(2022, 5, 13),
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new DateTime(2022, 7, 14),
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new DateTime(2022, 9, 14),
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new DateTime(2022, 12, 14),
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new DateTime(2023, 3, 14),
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new DateTime(2023, 5, 12),
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new DateTime(2023, 7, 14),
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new DateTime(2023, 9, 14),
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new DateTime(2023, 12, 14),
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new DateTime(2024, 7, 12),
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new DateTime(2024, 12, 13),
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}
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),
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new TestCaseData(
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"ZS",
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Market.CBOT,
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new[]
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{
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new DateTime(2021, 1, 14),
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new DateTime(2021, 3, 12),
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new DateTime(2021, 5, 14),
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new DateTime(2021, 7, 14),
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new DateTime(2021, 8, 13),
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new DateTime(2021, 9, 14),
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new DateTime(2021, 11, 12),
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new DateTime(2022, 1, 14),
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new DateTime(2022, 3, 14),
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new DateTime(2022, 5, 13),
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new DateTime(2022, 7, 14),
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new DateTime(2022, 8, 12),
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new DateTime(2022, 9, 14),
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new DateTime(2022, 11, 14),
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new DateTime(2023, 1, 13),
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new DateTime(2023, 3, 14),
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new DateTime(2023, 5, 12),
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new DateTime(2023, 7, 14),
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new DateTime(2023, 8, 14),
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new DateTime(2023, 9, 14),
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new DateTime(2023, 11, 14),
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new DateTime(2024, 7, 12),
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new DateTime(2024, 11, 14)
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}
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),
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new TestCaseData(
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"ZT",
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Market.CBOT,
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new[]
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{
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new DateTime(2021, 3, 31),
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new DateTime(2021, 6, 30),
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new DateTime(2021, 9, 30)
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}
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),
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new TestCaseData(
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"ZW",
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Market.CBOT,
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new[]
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{
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new DateTime(2021, 3, 12),
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new DateTime(2021, 5, 14),
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new DateTime(2021, 7, 14),
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new DateTime(2021, 9, 14),
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new DateTime(2021, 12, 14),
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new DateTime(2022, 3, 14),
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new DateTime(2022, 5, 13),
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new DateTime(2022, 7, 14),
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new DateTime(2022, 9, 14),
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new DateTime(2022, 12, 14),
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new DateTime(2023, 3, 14),
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new DateTime(2023, 5, 12),
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new DateTime(2023, 7, 14)
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}
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),
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};
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}
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}
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}
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