wehub-resource-sync
101 lines
3.6 KiB
C#
101 lines
3.6 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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*/
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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 NodaTime;
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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.Lean.Engine;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Volatility;
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using QuantConnect.Tests.Engine.DataFeeds;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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class ProcessVolatilityHistoryRequirementsTests
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{
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[Test]
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public void Works()
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{
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var algorithm = new AlgorithmStub();
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algorithm.HistoryProvider = new TestHistoryProvider();
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var security = algorithm.AddEquity(Symbols.SPY.Value);
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var model = new TestVolatilityModel();
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security.VolatilityModel = model;
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AlgorithmManager.ProcessVolatilityHistoryRequirements(algorithm, false);
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Assert.AreEqual(1, model.dataUpdate.Count);
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Assert.AreEqual(Symbols.SPY, model.dataUpdate.First().Symbol);
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Assert.AreEqual(4, model.dataUpdate.First().Price);
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}
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}
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internal class TestVolatilityModel : BaseVolatilityModel
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{
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public List<BaseData> dataUpdate = new List<BaseData>();
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public override decimal Volatility { get; }
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public override void Update(Security security, BaseData data)
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{
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dataUpdate.Add(data);
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}
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public override IEnumerable<HistoryRequest> GetHistoryRequirements(Security security, DateTime utcTime)
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{
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var configuration = SubscriptionDataConfigProvider.GetSubscriptionDataConfigs(security.Symbol).First();
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return new[]
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{
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new HistoryRequest(
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utcTime,
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utcTime,
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typeof(TradeBar),
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configuration.Symbol,
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configuration.Resolution,
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security.Exchange.Hours,
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configuration.DataTimeZone,
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configuration.Resolution,
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configuration.ExtendedMarketHours,
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configuration.IsCustomData,
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configuration.DataNormalizationMode,
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LeanData.GetCommonTickTypeForCommonDataTypes(typeof(TradeBar), security.Type)
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)
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};
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}
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}
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internal class TestHistoryProvider : HistoryProviderBase
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{
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public override int DataPointCount { get; }
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public override void Initialize(HistoryProviderInitializeParameters parameters)
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{
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throw new NotImplementedException();
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}
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public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
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{
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var request = requests.First();
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return new List<Slice>{ new Slice(DateTime.UtcNow,
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new List<BaseData> {new TradeBar(DateTime.MinValue, request.Symbol, 1, 2, 3, 4, 5) }, DateTime.UtcNow)};
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}
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}
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}
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