wehub-resource-sync
293 lines
14 KiB
C#
293 lines
14 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.Linq;
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using Newtonsoft.Json;
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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 System.Collections.Generic;
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namespace QuantConnect.Tests.Common
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{
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[TestFixture]
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public class SymbolJsonConverterTests
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{
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private JsonSerializerSettings Settings = new JsonSerializerSettings
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{
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TypeNameHandling = TypeNameHandling.All
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};
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[Test]
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public void SurvivesRoundtripSerialization()
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{
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var sid = SecurityIdentifier.GenerateEquity("SPY", Market.USA);
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var expected = new Symbol(sid, "value");
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var json = JsonConvert.SerializeObject(expected, Settings);
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var actual = JsonConvert.DeserializeObject<Symbol>(json, Settings);
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Assert.AreEqual(expected, actual);
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}
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[Test]
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public void SurvivesRoundtripSerializationOption()
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{
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var expected = Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 21m, new DateTime(2016, 08, 19));
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var json = JsonConvert.SerializeObject(expected, Settings);
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var actual = JsonConvert.DeserializeObject<Symbol>(json, Settings);
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Assert.AreEqual(expected, actual);
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Assert.AreEqual(expected.ID, actual.ID);
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Assert.AreEqual(expected.Value, actual.Value);
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Assert.AreEqual(expected.ID.Date, actual.ID.Date);
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Assert.AreEqual(expected.ID.StrikePrice, actual.ID.StrikePrice);
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Assert.AreEqual(expected.ID.OptionRight, actual.ID.OptionRight);
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Assert.AreEqual(expected.ID.OptionStyle, actual.ID.OptionStyle);
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Assert.AreEqual(expected.Underlying.ID, actual.Underlying.ID);
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Assert.AreEqual(expected.Underlying.Value, actual.Underlying.Value);
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}
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[Test]
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public void SurvivesRoundtripSerializationCanonicalOption()
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{
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var expected = Symbol.Create("SPY", SecurityType.Option, Market.USA);
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var json = JsonConvert.SerializeObject(expected, Settings);
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var actual = JsonConvert.DeserializeObject<Symbol>(json, Settings);
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Assert.AreEqual(expected, actual);
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Assert.AreEqual(SecurityIdentifier.DefaultDate, actual.ID.Date);
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Assert.AreEqual(0m, actual.ID.StrikePrice);
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Assert.AreEqual(default(OptionRight), actual.ID.OptionRight);
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Assert.AreEqual(default(OptionStyle), actual.ID.OptionStyle);
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Assert.AreNotEqual(default(Symbol), actual.Underlying);
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}
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[Test]
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public void SurvivesRoundtripSerializationWithTypeNameHandling()
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{
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var sid = SecurityIdentifier.GenerateEquity("SPY", Market.USA);
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var expected = new Symbol(sid, "value");
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var json = JsonConvert.SerializeObject(expected, Settings);
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var actual = JsonConvert.DeserializeObject<Symbol>(json);
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Assert.AreEqual(expected, actual);
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}
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[Test]
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public void HandlesListTicks()
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{
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const string json = @"{'$type':'System.Collections.Generic.List`1[[QuantConnect.Data.BaseData, QuantConnect.Common]], mscorlib',
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'$values':[{'$type':'QuantConnect.Data.Market.Tick, QuantConnect.Common',
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'TickType':0,'Quantity':1,'Exchange':'',
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'SaleCondition':'',
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'Suspicious':false,'BidPrice':0.72722,'AskPrice':0.7278,'BidSize':0,'AskSize':0,'LastPrice':0.72722,'DataType':2,'IsFillForward':false,'Time':'2015-09-18T16:52:37.379',
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'EndTime':'2015-09-18T16:52:37.379',
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'Symbol':{'$type':'QuantConnect.Symbol, QuantConnect.Common',
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'Value':'EURGBP',
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'ID':'EURGBP 5O'},'Value':0.72722,'Price':0.72722}]}";
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var expected = new Symbol(SecurityIdentifier.GenerateForex("EURGBP", Market.FXCM), "EURGBP");
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var settings = Settings;
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var actual = JsonConvert.DeserializeObject<List<BaseData>>(json, settings);
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Assert.AreEqual(expected, actual[0].Symbol);
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}
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[Test]
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public void HandlesListTicksWithDifferentSymbols()
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{
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// the first serialized Tick object has a Symbol of EURGBP and the second has EURUSD, but the output
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const string json =
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"{'$type':'System.Collections.Generic.List`1[[QuantConnect.Data.BaseData, QuantConnect.Common]], mscorlib','$values':[" +
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"{'$type':'QuantConnect.Data.Market.Tick, QuantConnect.Common'," +
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"'TickType':0,'Quantity':1,'Exchange':'','SaleCondition':'','Suspicious':false," +
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"'BidPrice':1.11895,'AskPrice':1.11898,'LastPrice':1.11895,'DataType':2,'IsFillForward':false," +
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"'Time':'2015-09-22T01:26:44.676','EndTime':'2015-09-22T01:26:44.676'," +
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"'Symbol':{'$type':'QuantConnect.Symbol, QuantConnect.Common','Value':'EURUSD', 'ID': 'EURUSD 5O'}," +
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"'Value':1.11895,'Price':1.11895}," +
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"{'$type':'QuantConnect.Data.Market.Tick, QuantConnect.Common'," +
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"'TickType':0,'Quantity':1,'Exchange':'','SaleCondition':'','Suspicious':false," +
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"'BidPrice':0.72157,'AskPrice':0.72162,'LastPrice':0.72157,'DataType':2,'IsFillForward':false," +
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"'Time':'2015-09-22T01:26:44.675','EndTime':'2015-09-22T01:26:44.675'," +
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"'Symbol':{'$type':'QuantConnect.Symbol, QuantConnect.Common','Value':'EURGBP', 'ID': 'EURGBP 5O'}," +
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"'Value':0.72157,'Price':0.72157}," +
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"]}";
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var actual = JsonConvert.DeserializeObject<List<BaseData>>(json, Settings);
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Assert.IsFalse(actual.All(x => x.Symbol == new Symbol(SecurityIdentifier.GenerateForex("EURUSD", Market.FXCM), "EURUSD")));
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}
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[TestCaseSource(nameof(TestSymbols))]
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public void CamelCaseSymbolIsDeserializedCorrectly(string json, string value, string id, SecurityType securityType, Symbol underlying)
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{
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var deserializedSymbol = JsonConvert.DeserializeObject<Symbol>(json, Settings);
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Assert.AreEqual(value, deserializedSymbol.Value);
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Assert.AreEqual(id, deserializedSymbol.ID.ToString());
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Assert.AreEqual(securityType, deserializedSymbol.SecurityType);
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Assert.AreEqual(underlying, deserializedSymbol.Underlying);
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}
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[Test]
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public void TickRoundTrip()
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{
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var tick = new Tick
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{
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Symbol = Symbols.EURGBP,
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AskPrice = 1,
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Time = DateTime.Now,
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Exchange = "",
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Value = 2,
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EndTime = DateTime.Now,
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Quantity = 1,
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BidPrice = 2,
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SaleCondition = ""
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};
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var json = JsonConvert.SerializeObject(tick, Settings);
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var actual = JsonConvert.DeserializeObject<Tick>(json, Settings);
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Assert.AreEqual(tick.Symbol, actual.Symbol);
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json = JsonConvert.SerializeObject(tick, Settings);
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actual = JsonConvert.DeserializeObject<Tick>(json);
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Assert.AreEqual(tick.Symbol, actual.Symbol);
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}
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[Test]
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public void BackwardsCompatibleJson()
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{
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var symbol = new Symbol(SecurityIdentifier.GenerateForex("a", Market.FXCM), "a");
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var json = JsonConvert.SerializeObject(symbol, new JsonSerializerSettings { Formatting = Formatting.Indented, TypeNameHandling = TypeNameHandling.All });
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var oldSymbol = JsonConvert.DeserializeObject<OldSymbol>(json);
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Assert.AreEqual("A", oldSymbol.Value);
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Assert.AreEqual("A", oldSymbol.Permtick);
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}
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[TestCase("{\"value\":\"Fb 210618c00322500\",\"type\":\"2\"}", SecurityType.Option, "FB", "FB", OptionRight.Call, OptionStyle.American, 2021)]
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[TestCase("{\"value\":\"aapl 210618C00129000\",\"type\":\"2\"}", SecurityType.Option, "AAPL", "AAPL", OptionRight.Call, OptionStyle.American, 2021)]
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[TestCase("{\"value\":\"OGV1 C2040\",\"type\":\"8\"}", SecurityType.FutureOption, "GC", "OG", OptionRight.Call, OptionStyle.American, 2021)]
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[TestCase("{\"value\":\"ESZ30 C3505\",\"type\":\"8\"}", SecurityType.FutureOption, "ES", "ES", OptionRight.Call, OptionStyle.American, 2030)]
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[TestCase("{\"value\":\"SPXW 210618C04165000\",\"type\":\"10\"}", SecurityType.IndexOption, "SPX", "SPXW", OptionRight.Call, OptionStyle.American, 2021)]
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public void OptionUserFriendlyDeserialization(string jsonValue, SecurityType type, string underlying, string option, OptionRight optionRight, OptionStyle optionStyle, int expirationYear)
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{
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var symbol = JsonConvert.DeserializeObject<Symbol>(jsonValue);
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Assert.IsNotNull(symbol);
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Assert.AreEqual(type, symbol.SecurityType);
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Assert.AreEqual(option, symbol.ID.Symbol);
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Assert.AreEqual(underlying, symbol.ID.Underlying.Symbol);
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Assert.AreEqual(optionRight, symbol.ID.OptionRight);
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Assert.AreEqual(optionStyle, symbol.ID.OptionStyle);
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Assert.AreEqual(expirationYear, symbol.ID.Date.Year);
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}
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[TestCase("{\"value\":\"GCV1\",\"type\":\"5\"}", SecurityType.Future, "GC", 10, Market.COMEX)]
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[TestCase("{\"value\":\"ESZ1\",\"type\":\"5\"}", SecurityType.Future, "ES", 12, Market.CME)]
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public void FutureUserFriendlyDeserialization(string jsonValue, SecurityType type, string symbolId, int month, string market)
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{
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var symbol = JsonConvert.DeserializeObject<Symbol>(jsonValue);
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Assert.IsNotNull(symbol);
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Assert.AreEqual(type, symbol.SecurityType);
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Assert.AreEqual(symbolId, symbol.ID.Symbol);
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Assert.AreEqual(month, symbol.ID.Date.Month);
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Assert.AreEqual(market, symbol.ID.Market);
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}
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[TestCase("{\"value\":\"fb\",\"type\":\"1\"}", SecurityType.Equity, "FB", Market.USA)]
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[TestCase("{\"value\":\"AAPL\",\"type\":\"1\"}", SecurityType.Equity, "AAPL", Market.USA)]
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[TestCase("{\"value\":\"BTCUSD\",\"type\":\"7\",\"market\":\"coinbase\"}", SecurityType.Crypto, "BTCUSD", Market.Coinbase)]
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[TestCase("{\"value\":\"BTCUSD\",\"type\":\"7\",\"market\":\"binance\"}", SecurityType.Crypto, "BTCUSD", Market.Binance)]
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[TestCase("{\"value\":\"xauusd\",\"type\":\"6\",\"market\":\"oanda\"}", SecurityType.Cfd, "XAUUSD", Market.Oanda)]
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[TestCase("{\"value\":\"eurusd\",\"type\":\"4\",\"market\":\"oanda\"}", SecurityType.Forex, "EURUSD", Market.Oanda)]
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public void UserFriendlyDeserialization(string jsonValue, SecurityType type, string symbolTicker, string market)
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{
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var symbol = JsonConvert.DeserializeObject<Symbol>(jsonValue);
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Assert.IsNotNull(symbol);
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Assert.AreEqual(type, symbol.SecurityType);
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Assert.AreEqual(symbolTicker, symbol.ID.Symbol);
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Assert.AreEqual(market, symbol.ID.Market);
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}
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public static object[] TestSymbols =
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{
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new object[] { @"{
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""value"": ""AAPL 140613P00660000"",
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""id"": ""AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X"",
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""permtick"": ""AAPL 140613P00660000"",
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""underlying"": {
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""value"": ""AAPL"",
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""id"": ""AAPL R735QTJ8XC9X"",
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""permtick"": ""AAPL""
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}
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}", "AAPL 140613P00660000", "AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X", SecurityType.Option, Symbols.AAPL },
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new object[] { @"{
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""value"": ""GOOG 160115C00750000"",
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""id"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"",
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""permtick"": ""GOOG 160115C00750000"",
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""underlying"": {
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""value"": ""GOOG"",
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""id"": ""GOOCV VP83T1ZUHROL"",
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""permtick"": ""GOOG""
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}
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}", "GOOG 160115C00750000", "GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL", SecurityType.Option, Symbols.GOOG },
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new object[] { @"{
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""value"": ""SPY"",
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""id"": ""SPY R735QTJ8XC9X"",
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""permtick"": ""SPY""
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}", "SPY", "SPY R735QTJ8XC9X", SecurityType.Equity, null },
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new object[] { @"{
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""Value"": ""AAPL 140613P00660000"",
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""ID"": ""AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X"",
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""Permtick"": ""AAPL 140613P00660000"",
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""Underlying"": {
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""value"": ""AAPL"",
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""id"": ""AAPL R735QTJ8XC9X"",
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""permtick"": ""AAPL""
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}
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}", "AAPL 140613P00660000", "AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X", SecurityType.Option, Symbols.AAPL },
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new object[] { @"{
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""Value"": ""GOOG 160115C00750000"",
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""ID"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"",
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""Permtick"": ""GOOG 160115C00750000"",
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""Underlying"": {
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""value"": ""GOOG"",
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""id"": ""GOOCV VP83T1ZUHROL"",
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""permtick"": ""GOOG""
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}
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}", "GOOG 160115C00750000", "GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL", SecurityType.Option, Symbols.GOOG },
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new object[] { @"{
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""Value"": ""SPY"",
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""ID"": ""SPY R735QTJ8XC9X"",
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""Permtick"": ""SPY""
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}", "SPY", "SPY R735QTJ8XC9X", SecurityType.Equity, null }
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};
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class OldSymbol
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{
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public string Value { get; set; }
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public string Permtick { get; set; }
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}
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}
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}
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