wehub-resource-sync
99 lines
4.3 KiB
C#
99 lines
4.3 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.Linq;
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using NUnit.Framework;
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using QuantConnect.Util;
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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 QuantConnect.Data.UniverseSelection;
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namespace QuantConnect.Tests.Engine.DataFeeds
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class BaseDataCollectionAggregatorReaderTests
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{
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[TestCase(Resolution.Daily, 1, true, true)]
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[TestCase( Resolution.Hour, 1, true, true)]
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[TestCase(Resolution.Daily, 5849, false, true)]
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[TestCase(Resolution.Hour, 40832, false, true)]
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[TestCase(Resolution.Daily, 1, true, false)]
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[TestCase(Resolution.Hour, 1, true, false)]
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[TestCase(Resolution.Daily, 5849, false, false)]
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[TestCase(Resolution.Hour, 40832, false, false)]
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public void AggregatesDataPerTime(Resolution resolution, int expectedCount, bool singleDate, bool isDataEphemeral)
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{
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var reader = Initialize(false, resolution, isDataEphemeral, out var dataSource);
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TestBaseDataCollection.SingleDate = singleDate;
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var result = reader.Read(dataSource).ToList();
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Assert.AreEqual(expectedCount, result.Count);
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Assert.IsTrue(result.All(data => data is TestBaseDataCollection));
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if (expectedCount == 1)
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{
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var collection = result[0] as TestBaseDataCollection;
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Assert.IsNotNull(collection);
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Assert.GreaterOrEqual(collection.Data.Count, 5000);
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Assert.AreEqual(expectedCount, collection.Data.DistinctBy(data => data.Time).Count());
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Assert.IsTrue(collection.Data.All(x => x.Symbol == Symbols.AAPL));
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}
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}
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private static ISubscriptionDataSourceReader Initialize(bool liveMode, Resolution resolution, bool isDataEphemeral, out SubscriptionDataSource source)
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{
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using var cache = new ZipDataCacheProvider(TestGlobals.DataProvider, isDataEphemeral: isDataEphemeral);
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var config = new SubscriptionDataConfig(typeof(TestBaseDataCollection),
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Symbols.SPY,
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resolution,
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TimeZones.NewYork,
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TimeZones.NewYork,
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false,
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false,
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false);
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var date = DateTime.MinValue;
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var path = LeanData.GenerateZipFilePath(Globals.DataFolder, config.Symbol, date, resolution, TickType.Trade);
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source = new SubscriptionDataSource(path, SubscriptionTransportMedium.LocalFile);
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return new BaseDataCollectionAggregatorReader(cache, config, date, liveMode, null);
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}
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private class TestBaseDataCollection : BaseDataCollection
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{
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public static volatile bool SingleDate;
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private static readonly TradeBar _factory = new TradeBar();
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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var dataPoint = _factory.Reader(config, line, date, isLiveMode);
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if (SingleDate)
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{
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// single day
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dataPoint.Time = date;
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}
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// universe data collections can return data with a symbol different than the one in the configuration
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dataPoint.Symbol = Symbols.AAPL;
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return dataPoint;
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}
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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return _factory.GetSource(config, date, isLiveMode);
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}
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}
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}
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}
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