wehub-resource-sync
76 lines
2.8 KiB
C#
76 lines
2.8 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System.Linq;
|
|
using NUnit.Framework;
|
|
using QuantConnect.Lean.Engine.DataFeeds;
|
|
using QuantConnect.Logging;
|
|
using QuantConnect.Securities;
|
|
using QuantConnect.Util;
|
|
|
|
namespace QuantConnect.Tests.Engine.DataFeeds
|
|
{
|
|
[TestFixture]
|
|
public class BacktestingFutureChainProviderTests
|
|
{
|
|
private ILogHandler _logHandler;
|
|
private BacktestingFutureChainProvider _provider;
|
|
|
|
[OneTimeSetUp]
|
|
public void SetUp()
|
|
{
|
|
// Store initial Log Handler
|
|
_logHandler = Log.LogHandler;
|
|
_provider = new BacktestingFutureChainProvider();
|
|
_provider.Initialize(new(TestGlobals.MapFileProvider, TestGlobals.HistoryProvider));
|
|
}
|
|
|
|
[OneTimeTearDown]
|
|
public void TearDown()
|
|
{
|
|
// Restore intial Log Handler
|
|
Log.LogHandler = _logHandler;
|
|
}
|
|
|
|
[TestCase("20131011")]
|
|
// saturday, will fetch previous tradable date instead
|
|
[TestCase("20131012")]
|
|
public void CorrectlyDeterminesContractList(string date)
|
|
{
|
|
var dateTime = Time.ParseDate(date);
|
|
var symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, dateTime.AddDays(10));
|
|
var result = _provider.GetFutureContractList(symbol, dateTime);
|
|
|
|
Assert.IsNotEmpty(result);
|
|
}
|
|
|
|
[TestCase("20201007", 2)]
|
|
[TestCase("20131007", 5)]
|
|
public void UsesMultipleResolutions(string strDate, int expectedCount)
|
|
{
|
|
// we don't have minute data for this date
|
|
var date = Time.ParseDate(strDate);
|
|
|
|
var symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, date);
|
|
var futureChain = _provider.GetFutureContractList(symbol, date).ToList();
|
|
|
|
Assert.IsTrue(futureChain.All(x => x.ID.Date.Date >= date));
|
|
Assert.IsTrue(futureChain.All(x => x.SecurityType == SecurityType.Future));
|
|
Assert.IsTrue(futureChain.All(x => x.ID.Symbol == Futures.Indices.SP500EMini));
|
|
Assert.AreEqual(expectedCount, futureChain.Count);
|
|
}
|
|
}
|
|
}
|