wehub-resource-sync
112 lines
4.3 KiB
C#
112 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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*/
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using System;
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using System.Collections.Generic;
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using NUnit.Framework;
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using QuantConnect.Data.Market;
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using QuantConnect.Lean.Engine.DataFeeds;
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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 FastForwardEnumeratorTests
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{
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[Test]
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public void FastForwardsOldData()
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{
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var start = new DateTime(2015, 10, 10, 13, 0, 0);
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var data = new List<Tick>
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{
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new Tick {Time = start.AddMinutes(-1)},
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new Tick {Time = start.AddSeconds(-1)},
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new Tick {Time = start.AddSeconds(0)},
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new Tick {Time = start.AddSeconds(1)},
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};
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var timeProvider = new ManualTimeProvider(start, TimeZones.Utc);
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var fastForward = new FastForwardEnumerator(data.GetEnumerator(), timeProvider, TimeZones.Utc, TimeSpan.FromSeconds(0.5));
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Assert.IsTrue(fastForward.MoveNext());
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Assert.AreEqual(start, fastForward.Current.Time);
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fastForward.Dispose();
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}
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[Test]
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public void FastForwardsOldDataAllowsEquals()
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{
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var start = new DateTime(2015, 10, 10, 13, 0, 0);
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var data = new List<Tick>
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{
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new Tick {Time = start.AddMinutes(-1)},
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new Tick {Time = start.AddSeconds(-1)},
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new Tick {Time = start.AddSeconds(0)},
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new Tick {Time = start.AddSeconds(1)},
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};
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var timeProvider = new ManualTimeProvider(start, TimeZones.Utc);
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var fastForward = new FastForwardEnumerator(data.GetEnumerator(), timeProvider, TimeZones.Utc, TimeSpan.FromSeconds(1));
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Assert.IsTrue(fastForward.MoveNext());
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Assert.AreEqual(start.AddSeconds(-1), fastForward.Current.Time);
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fastForward.Dispose();
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}
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[Test]
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public void FiltersOutPastData()
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{
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var start = new DateTime(2015, 10, 10, 13, 0, 0);
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var data = new List<Tick>
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{
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new Tick {Time = start.AddMinutes(-1)},
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new Tick {Time = start.AddSeconds(-1)},
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new Tick {Time = start.AddSeconds(1)},
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new Tick {Time = start.AddSeconds(0)},
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new Tick {Time = start.AddSeconds(2)}
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};
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var timeProvider = new ManualTimeProvider(start, TimeZones.Utc);
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var fastForward = new FastForwardEnumerator(data.GetEnumerator(), timeProvider, TimeZones.Utc, TimeSpan.FromSeconds(0.5));
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Assert.IsTrue(fastForward.MoveNext());
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Assert.AreEqual(start.AddSeconds(1), fastForward.Current.Time);
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Assert.IsTrue(fastForward.MoveNext());
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Assert.AreEqual(start.AddSeconds(2), fastForward.Current.Time);
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fastForward.Dispose();
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}
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[Test]
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public void CurrentIsNullWhenEnumeratorReturnsFalse()
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{
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var start = new DateTime(2015, 10, 10, 13, 0, 0);
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var data = new List<Tick>
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{
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new Tick {Time = start.AddSeconds(0)}
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};
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var timeProvider = new ManualTimeProvider(start, TimeZones.Utc);
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var fastForward = new FastForwardEnumerator(data.GetEnumerator(), timeProvider, TimeZones.Utc, TimeSpan.FromSeconds(0.5));
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Assert.IsTrue(fastForward.MoveNext());
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Assert.IsNotNull(fastForward.Current);
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Assert.IsFalse(fastForward.MoveNext());
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Assert.IsNull(fastForward.Current);
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fastForward.Dispose();
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}
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}
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}
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