wehub-resource-sync
302 lines
12 KiB
C#
302 lines
12 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 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.DataFeeds;
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using System;
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using System.Collections.Generic;
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using System.Threading;
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using DateTime = System.DateTime;
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using Tick = QuantConnect.Data.Market.Tick;
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namespace QuantConnect.Tests.Engine.DataFeeds
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class AggregationManagerTests
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{
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[Test]
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public void PassesTicksStraightThrough()
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{
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using var aggregator = GetDataAggregator();
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var reference = DateTime.Today;
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var config = GetSubscriptionDataConfig<Tick>(Symbols.SPY, Resolution.Tick);
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var count = 0;
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aggregator.Add(config, (s, e) => { count++; });
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aggregator.Update(new Tick(reference.AddSeconds(1), Symbols.SPY, 30, 30) { TickType = TickType.Trade });
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aggregator.Update(new Tick(reference.AddSeconds(2), Symbols.SPY, 20, 20) { TickType = TickType.Trade });
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Assert.AreEqual(count, 2);
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aggregator.Update(new Tick(reference.AddSeconds(3), Symbols.AAPL, 200, 200) { TickType = TickType.Trade });
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Assert.AreEqual(count, 2);
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aggregator.Remove(config);
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aggregator.Update(new Tick(reference.AddSeconds(4), Symbols.SPY, 20, 20) { TickType = TickType.Trade });
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Assert.AreEqual(count, 2);
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}
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[Test]
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public void BadTicksIgnored()
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{
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using var aggregator = GetDataAggregator();
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var reference = DateTime.Today;
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var config = GetSubscriptionDataConfig<Tick>(Symbols.SPY, Resolution.Tick);
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var count = 0;
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aggregator.Add(config, (s, e) => { count++; });
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aggregator.Update(new Tick(reference.AddSeconds(1), Symbols.AAPL, 200, 200));
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Assert.AreEqual(count, 0);
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}
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[Test]
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public void TickTypeRespected()
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{
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using var aggregator = GetDataAggregator();
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var reference = DateTime.Today;
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var config = GetSubscriptionDataConfig<Tick>(Symbols.SPY, Resolution.Tick);
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var count = 0;
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aggregator.Add(config, (s, e) => { count++; });
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aggregator.Update(new Tick(reference.AddSeconds(3), Symbols.SPY, 200, 200) { TickType = TickType.Trade });
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Assert.AreEqual(count, 1);
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aggregator.Update(new Tick(reference.AddSeconds(4), Symbols.SPY, 20, 20) { TickType = TickType.Quote });
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Assert.AreEqual(count, 1);
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}
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[Test]
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public void UnknownSubscriptionIgnored()
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{
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using var aggregator = GetDataAggregator();
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var reference = DateTime.Today;
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var config = GetSubscriptionDataConfig<Tick>(Symbols.SPY, Resolution.Tick);
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var count = 0;
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aggregator.Update(new Tick(reference.AddSeconds(1), Symbols.SPY, 30, 30) { TickType = TickType.Trade });
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aggregator.Update(new Tick(reference.AddSeconds(2), Symbols.SPY, 20, 20) { TickType = TickType.Trade });
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Assert.AreEqual(count, 0);
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aggregator.Add(config, (s, e) => { count++; });
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aggregator.Update(new Tick(reference.AddSeconds(3), Symbols.SPY, 200, 200) { TickType = TickType.Trade });
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Assert.AreEqual(count, 1);
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aggregator.Remove(config);
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aggregator.Update(new Tick(reference.AddSeconds(4), Symbols.SPY, 20, 20) { TickType = TickType.Trade });
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Assert.AreEqual(count, 1);
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}
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[TestCase(100, 1, typeof(TradeBar), Resolution.Minute)]
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[TestCase(120, 2, typeof(TradeBar), Resolution.Minute)]
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[TestCase(121, 2, typeof(TradeBar), Resolution.Minute)]
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[TestCase(100, 1, typeof(QuoteBar), Resolution.Minute)]
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[TestCase(120, 2, typeof(QuoteBar), Resolution.Minute)]
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[TestCase(121, 2, typeof(QuoteBar), Resolution.Minute)]
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[TestCase(100, 99, typeof(TradeBar), Resolution.Second)]
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[TestCase(121, 120, typeof(QuoteBar), Resolution.Second)]
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[TestCase(3599, 0, typeof(QuoteBar), Resolution.Hour)]
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[TestCase(3599, 0, typeof(TradeBar), Resolution.Hour)]
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[TestCase(3600, 1, typeof(QuoteBar), Resolution.Hour)]
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[TestCase(3600, 1, typeof(TradeBar), Resolution.Hour)]
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[TestCase(3601, 1, typeof(QuoteBar), Resolution.Hour)]
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[TestCase(3601, 1, typeof(TradeBar), Resolution.Hour)]
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public void CanHandleMultipleSubscriptions(int secondsToAdd, int expectedBars, Type dataType, Resolution resolution)
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{
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using var aggregator = GetDataAggregator();
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var reference = DateTime.Today;
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var symbols = new[] { Symbols.SPY, Symbols.AAPL, Symbols.USDJPY, Symbols.EURUSD };
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var enumerators = new Queue<IEnumerator<BaseData>>();
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foreach (var symbol in symbols)
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{
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enumerators.Enqueue(aggregator.Add(GetSubscriptionDataConfig(dataType, symbol, resolution), (s, e) => { }));
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}
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for (var i = 1; i <= secondsToAdd; i++)
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{
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foreach (var symbol in symbols)
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{
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aggregator.Update(new Tick(reference.AddSeconds(i), symbol, 20 + i, 20 + i) { TickType = dataType == typeof(TradeBar) ? TickType.Trade : TickType.Quote });
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}
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}
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foreach (var enumerator in enumerators)
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{
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for (int i = 0; i < expectedBars; i++)
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{
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enumerator.MoveNext();
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Assert.IsNotNull(enumerator.Current);
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}
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enumerator.MoveNext();
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Assert.IsNull(enumerator.Current);
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}
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}
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[TestCase(typeof(TradeBar), TickType.Trade, Resolution.Second)]
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[TestCase(typeof(QuoteBar), TickType.Quote, Resolution.Second)]
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[TestCase(typeof(Tick), TickType.Trade, Resolution.Tick)]
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[TestCase(typeof(Tick), TickType.Quote, Resolution.Tick)]
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public void CanHandleBars(Type type, TickType tickType, Resolution resolution)
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{
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using var aggregator = GetDataAggregator();
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var reference = DateTime.Today;
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var total = 0;
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var enumerator = aggregator.Add(GetSubscriptionDataConfig(type, Symbols.EURUSD, resolution, tickType), (s, e) => { });
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for (int i = 0; i < 100; i++)
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{
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aggregator.Update(new Tick(reference.AddSeconds(i), Symbols.EURUSD, 20 + i, 20 + i) { TickType = tickType });
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}
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Thread.Sleep(250);
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enumerator.MoveNext();
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while (enumerator.Current != null)
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{
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Assert.IsTrue(enumerator.Current.GetType() == type);
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var tick = enumerator.Current as Tick;
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if (tick != null)
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{
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Assert.IsTrue(tick.TickType == tickType);
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}
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total++;
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enumerator.MoveNext();
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}
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if (resolution == Resolution.Second)
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{
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Assert.AreEqual(99, total);
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}
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else
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{
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Assert.AreEqual(100, total);
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}
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}
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[Test]
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public void SubscribeMultipleDataTypes()
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{
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var reference = DateTime.Today;
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var timeProvider = new ManualTimeProvider(reference);
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using var aggregator = GetDataAggregator(timeProvider);
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var symbol = Symbols.AAPL;
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var configs = new[] {
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GetSubscriptionDataConfig<TradeBar>(symbol, Resolution.Minute),
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GetSubscriptionDataConfig<QuoteBar>(symbol, Resolution.Minute),
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GetSubscriptionDataConfig<Tick>(symbol, Resolution.Tick, TickType.Trade),
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GetSubscriptionDataConfig<Tick>(symbol, Resolution.Tick, TickType.Quote),
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GetSubscriptionDataConfig<Dividend>(symbol, Resolution.Tick),
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GetSubscriptionDataConfig<Split>(symbol, Resolution.Tick)
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};
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var enumerators = new Queue<IEnumerator<BaseData>>();
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Array.ForEach(configs, (c) => enumerators.Enqueue(aggregator.Add(c, (s, e) => { })));
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var expectedBars = new[] { 2, 2, 100, 100, 1, 1 };
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for (int i = 1; i <= 100; i++)
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{
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aggregator.Update(new Tick(reference.AddSeconds(i), symbol, 20 + i, 20 + i)
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{
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TickType = TickType.Trade
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});
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aggregator.Update(new Tick(reference.AddSeconds(i), symbol, 20 + i, 20 + i)
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{
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TickType = TickType.Quote
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});
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}
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aggregator.Update(new Dividend(symbol, reference.AddSeconds(1), 0.47m, 108.60m));
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aggregator.Update(new Split(symbol, reference.AddSeconds(1), 645.57m, 0.142857m, SplitType.SplitOccurred));
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timeProvider.SetCurrentTime(reference.AddMinutes(2));
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var dividendCount = 0;
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var splitCount = 0;
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var j = 0;
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foreach (var enumerator in enumerators)
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{
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for (int i = 0; i < expectedBars[j]; i++)
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{
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enumerator.MoveNext();
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Assert.IsNotNull(enumerator.Current);
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if (enumerator.Current is Dividend)
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{
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dividendCount++;
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}
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if (enumerator.Current is Split)
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{
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splitCount++;
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}
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}
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enumerator.MoveNext();
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Assert.IsNull(enumerator.Current);
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j++;
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}
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Assert.AreEqual(1, dividendCount);
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Assert.AreEqual(1, splitCount);
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}
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private IDataAggregator GetDataAggregator()
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{
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return GetDataAggregator(new ManualTimeProvider(DateTime.Today));
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}
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private IDataAggregator GetDataAggregator(ITimeProvider timeProvider)
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{
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return new TestAggregationManager(timeProvider);
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}
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private SubscriptionDataConfig GetSubscriptionDataConfig<T>(Symbol symbol, Resolution resolution, TickType? tickType = null)
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{
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return GetSubscriptionDataConfig(typeof(T), symbol, resolution, tickType);
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}
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private SubscriptionDataConfig GetSubscriptionDataConfig(Type T, Symbol symbol, Resolution resolution, TickType? tickType = null)
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{
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return new SubscriptionDataConfig(
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T,
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symbol,
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resolution,
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TimeZones.Utc,
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TimeZones.Utc,
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true,
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true,
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false,
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tickType: tickType);
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}
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private class TestAggregationManager : AggregationManager
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{
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public TestAggregationManager(ITimeProvider timeProvider)
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{
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TimeProvider = timeProvider;
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}
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}
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}
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}
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