wehub-resource-sync
85 lines
4.9 KiB
C#
85 lines
4.9 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2026 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 NUnit.Framework;
|
|
using QuantConnect.Lean.Engine.DataFeeds.DataDownloader;
|
|
using System;
|
|
|
|
namespace QuantConnect.Tests.Engine.DataFeeds.DataDownloader
|
|
{
|
|
[TestFixture]
|
|
public class CanonicalDataDownloaderDecoratorTests
|
|
{
|
|
[TestCase("2026/03/20", "2025/03/01", "2025/12/31", "2025/03/01", "2025/12/31")]
|
|
[TestCase("2026/03/20", "2025/03/01", "2026/03/25", "2025/03/01", "2026/03/21")]
|
|
[TestCase("2026/03/20", "2020/01/01", "2026/03/25", "2024/03/20", "2026/03/21")]
|
|
[TestCase("2022/02/28", "2018/01/01", "2020/12/31", "2020/02/28", "2020/12/31")]
|
|
[TestCase("2022/02/28", "2018/01/01", "2019/01/01", default, default)]
|
|
[TestCase("2022/02/28", "2022/01/01", "2019/01/01", default, default)]
|
|
[TestCase("2022/02/28", "2022/03/01", "2022/03/02", default, default)]
|
|
[TestCase("2022/02/28", "2022/02/01 9:30", "2022/02/10 16:00", "2022/02/01 9:30", "2022/02/10 16:00")]
|
|
[TestCase("2022/02/28", "2022/02/01 9:30", "2022/02/01 9:30", "2022/02/01 9:30", "2022/02/01 9:30")]
|
|
[TestCase("2022/02/28", "2018/02/01 9:30", "2022/03/01 9:30", "2020/02/28", "2022/03/01")]
|
|
[TestCase("2022/02/28", "2018/02/01 9:30", "2018/03/01 9:30", default, default)]
|
|
[TestCase("2022/02/28", "1997/12/31", "2026/02/20", "2020/02/28", "2022/03/01")]
|
|
public void ShouldReceiveAdjustedDateFutureContract(DateTime expiry, DateTime startUtc, DateTime endUtc, DateTime expectedStart, DateTime expectedEnd)
|
|
{
|
|
var future = Symbol.CreateFuture(Securities.Futures.Indices.SP500EMini, Market.CME, expiry);
|
|
|
|
CanonicalDataDownloaderDecorator.TryAdjustDateRangeForContract(future, startUtc, endUtc, out var start, out var end);
|
|
|
|
Assert.AreEqual(expectedStart, start);
|
|
Assert.AreEqual(expectedEnd, end);
|
|
}
|
|
|
|
[TestCase("2026/02/20", "2025/03/01", "2025/12/31", "2025/03/01", "2025/12/31")]
|
|
[TestCase("2026/02/20", "2025/02/18", "2026/03/25", "2025/02/20", "2026/02/21")]
|
|
[TestCase("2026/02/20", "2020/01/01", "2026/03/25", "2025/02/20", "2026/02/21")]
|
|
[TestCase("2026/02/20", "1997/12/31", "2026/02/20", "2025/02/20", "2026/02/21")]
|
|
[TestCase("2020/02/20", "2020/01/01", "2021/03/25", "2020/01/01", "2020/02/21")]
|
|
[TestCase("2020/02/20", "2019/01/01", "2021/03/25", "2019/02/20", "2020/02/21")]
|
|
[TestCase("2020/02/20", "2018/01/01", "2020/02/25", "2019/02/20", "2020/02/21")]
|
|
[TestCase("2020/02/20", "2019/08/10", "2020/02/20", "2019/08/10", "2020/02/21")]
|
|
[TestCase("2020/02/20", "2018/01/01", "2018/02/01", default, default)]
|
|
[TestCase("2020/02/20", "2021/01/01", "2022/02/01", default, default)]
|
|
[TestCase("2020/02/20", "2020/01/01 9:30", "2020/02/20 16:00", "2020/01/01 9:30", "2020/02/21")]
|
|
[TestCase("2020/02/20", "2019/01/01 9:30", "2020/02/20 16:00", "2019/02/20", "2020/02/21")]
|
|
[TestCase("2020/02/20", "2019/01/01 9:30", "2019/02/01 9:30", default, default)]
|
|
[TestCase("2020/02/20", "2019/02/20 9:30", "2020/02/20", "2019/02/20 9:30", "2020/02/21")]
|
|
[TestCase("2020/02/20", "2020/02/20 9:30", "2020/02/21", default, default)]
|
|
public void ShouldReceiveAdjustedDateOptionContract(DateTime expiry, DateTime startUtc, DateTime endUtc, DateTime expectedStart, DateTime expectedEnd)
|
|
{
|
|
var aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
|
|
var option = Symbol.CreateOption(aapl, aapl.ID.Market, aapl.SecurityType.DefaultOptionStyle(), OptionRight.Call, 260m, expiry);
|
|
|
|
CanonicalDataDownloaderDecorator.TryAdjustDateRangeForContract(option, startUtc, endUtc, out var start, out var end);
|
|
|
|
Assert.AreEqual(expectedStart, start);
|
|
Assert.AreEqual(expectedEnd, end);
|
|
}
|
|
|
|
[Test]
|
|
public void ShouldNotAdjustNonOptionOrFutureContract()
|
|
{
|
|
var aapl = Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
|
|
var res = CanonicalDataDownloaderDecorator.TryAdjustDateRangeForContract(aapl, new DateTime(2025, 03, 01), new DateTime(2025, 12, 31), out var start, out var end);
|
|
Assert.IsFalse(res);
|
|
Assert.AreEqual(default(DateTime), start);
|
|
Assert.AreEqual(default(DateTime), end);
|
|
}
|
|
}
|
|
}
|