wehub-resource-sync
246 lines
9.6 KiB
C#
246 lines
9.6 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.Collections.Generic;
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using System.Linq;
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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.Enumerators;
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namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
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{
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[TestFixture]
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public class DelistingEnumeratorTests
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{
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private SubscriptionDataConfig _config;
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[SetUp]
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public void SetUp()
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{
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var symbol = Symbol.CreateFuture("ASD", Market.USA, new DateTime(2018, 01, 01));
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_config = new SubscriptionDataConfig(typeof(TradeBar),
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symbol,
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Resolution.Daily,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true,
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true,
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false);
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}
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[Test]
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public void EmitsBothEventsIfDateIsPastDelisted()
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{
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var eventProvider = new DelistingEventProvider();
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eventProvider.Initialize(_config,
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null,
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null,
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DateTime.UtcNow);
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var enumerator = eventProvider.GetEvents(
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new NewTradableDateEventArgs(
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DateTime.UtcNow,
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new Tick(DateTime.UtcNow, _config.Symbol, 10, 5),
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_config.Symbol,
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null
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)
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).GetEnumerator();
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current as Delisting);
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Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType);
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Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type);
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Assert.AreEqual(_config.Symbol.ID.Date, (enumerator.Current as Delisting).Time.Date);
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Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current as Delisting);
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Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType);
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Assert.AreEqual(DelistingType.Delisted, (enumerator.Current as Delisting).Type);
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Assert.AreEqual(_config.Symbol.ID.Date.AddDays(1), (enumerator.Current as Delisting).Time.Date);
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Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price);
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Assert.IsFalse(enumerator.MoveNext());
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enumerator.Dispose();
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}
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[Test]
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public void EmitsWarningAsOffDelistingDate()
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{
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var eventProvider = new DelistingEventProvider();
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eventProvider.Initialize(_config,
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null,
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null,
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DateTime.UtcNow);
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// should NOT emit
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var enumerator = eventProvider.GetEvents(
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new NewTradableDateEventArgs(
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_config.Symbol.ID.Date.Subtract(TimeSpan.FromMinutes(1)),
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new Tick(DateTime.UtcNow, _config.Symbol, 10, 5),
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_config.Symbol,
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null
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)
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).GetEnumerator();
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Assert.IsFalse(enumerator.MoveNext());
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// should emit
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enumerator = eventProvider.GetEvents(
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new NewTradableDateEventArgs(
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_config.Symbol.ID.Date,
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new Tick(DateTime.UtcNow, _config.Symbol, 10, 5),
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_config.Symbol,
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null
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)
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).GetEnumerator();
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current as Delisting);
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Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType);
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Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type);
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Assert.AreEqual(_config.Symbol.ID.Date, (enumerator.Current as Delisting).Time.Date);
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Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price);
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Assert.IsFalse(enumerator.MoveNext());
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enumerator.Dispose();
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}
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[Test]
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public void EmitsDelistedAfterDelistingDate()
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{
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var eventProvider = new DelistingEventProvider();
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eventProvider.Initialize(_config,
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null,
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null,
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DateTime.UtcNow);
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// should emit warning
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var enumerator = eventProvider.GetEvents(
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new NewTradableDateEventArgs(
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_config.Symbol.ID.Date,
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new Tick(DateTime.UtcNow, _config.Symbol, 10, 5),
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_config.Symbol,
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null
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)
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).GetEnumerator();
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current as Delisting);
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Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type);
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// should NOT emit if not AFTER delisting date
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enumerator = eventProvider.GetEvents(
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new NewTradableDateEventArgs(
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_config.Symbol.ID.Date,
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new Tick(DateTime.UtcNow, _config.Symbol, 10, 5),
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_config.Symbol,
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null
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)
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).GetEnumerator();
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Assert.IsFalse(enumerator.MoveNext());
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// should emit AFTER delisting date
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enumerator = eventProvider.GetEvents(
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new NewTradableDateEventArgs(
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_config.Symbol.ID.Date.AddMinutes(1),
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new Tick(DateTime.UtcNow, _config.Symbol, 10, 5),
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_config.Symbol,
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null
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)
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).GetEnumerator();
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current as Delisting);
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Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType);
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Assert.AreEqual(DelistingType.Delisted, (enumerator.Current as Delisting).Type);
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Assert.AreEqual(_config.Symbol.ID.Date.AddDays(1), (enumerator.Current as Delisting).Time.Date);
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Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price);
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Assert.IsFalse(enumerator.MoveNext());
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enumerator.Dispose();
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}
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[Test]
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public void EmitsDelistedWarningOnNonTradableDay()
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{
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// Unit test to simulate and reproduce #5545
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// Give us two tradable days before and after expiration
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var tradableDays = new List<DateTime> { new DateTime(2021, 01, 01), new DateTime(2021, 01, 04) };
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// Set expiration as 1/2/21 a Saturday, not included in our tradble days
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var expiration = new DateTime(2021, 01, 02);
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var symbol = Symbol.CreateFuture("ASD", Market.USA, expiration);
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var config = new SubscriptionDataConfig(typeof(TradeBar),
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symbol,
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Resolution.Daily,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true,
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true,
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false);
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var eventProvider = new DelistingEventProvider();
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eventProvider.Initialize(config,
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null,
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null,
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DateTime.UtcNow);
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var tradableDateEvents = tradableDays.Select(day => new NewTradableDateEventArgs(
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day,
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new Tick(day, config.Symbol, 10, 5),
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config.Symbol,
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null
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)).GetEnumerator();
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// Pass in the day before expiration should be nothing
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tradableDateEvents.MoveNext();
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var enumerator = eventProvider.GetEvents(tradableDateEvents.Current).GetEnumerator();
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Assert.IsFalse(enumerator.MoveNext());
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// Pass in the following monday, should be both but warning first and still scheduled for saturday
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tradableDateEvents.MoveNext();
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enumerator = eventProvider.GetEvents(tradableDateEvents.Current).GetEnumerator();
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current as Delisting);
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Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType);
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Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type);
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Assert.AreEqual(config.Symbol.ID.Date, (enumerator.Current as Delisting).Time.Date);
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Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current as Delisting);
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Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType);
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Assert.AreEqual(DelistingType.Delisted, (enumerator.Current as Delisting).Type);
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Assert.AreEqual(config.Symbol.ID.Date.AddDays(1), (enumerator.Current as Delisting).Time.Date);
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Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price);
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Assert.IsFalse(enumerator.MoveNext());
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tradableDateEvents.Dispose();
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enumerator.Dispose();
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}
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}
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}
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