wehub-resource-sync
100 lines
3.7 KiB
C#
100 lines
3.7 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 NodaTime;
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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 FrontierAwareEnumeratorTests
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{
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[Test]
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public void ReturnsTrueWhenNextDataIsAheadOfFrontier()
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{
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var currentTime = new DateTime(2015, 10, 13);
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var timeProvider = new ManualTimeProvider(currentTime);
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var underlying = new List<Tick>
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{
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new Tick {Time = currentTime.AddSeconds(1)}
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};
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var offsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1));
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var frontierAware = new FrontierAwareEnumerator(underlying.GetEnumerator(), timeProvider, offsetProvider);
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Assert.IsTrue(frontierAware.MoveNext());
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Assert.IsNull(frontierAware.Current);
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frontierAware.Dispose();
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}
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[Test]
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public void YieldsDataWhenFrontierPasses()
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{
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var currentTime = new DateTime(2015, 10, 13);
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var timeProvider = new ManualTimeProvider(currentTime);
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var underlying = new List<Tick>
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{
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new Tick {Time = currentTime.AddSeconds(1)}
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};
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var offsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1));
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var frontierAware = new FrontierAwareEnumerator(underlying.GetEnumerator(), timeProvider, offsetProvider);
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timeProvider.AdvanceSeconds(1);
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Assert.IsTrue(frontierAware.MoveNext());
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Assert.IsNotNull(frontierAware.Current);
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Assert.AreEqual(underlying[0], frontierAware.Current);
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frontierAware.Dispose();
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}
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[Test]
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public void YieldsFutureDataAtCorrectTime()
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{
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var currentTime = new DateTime(2015, 10, 13);
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var timeProvider = new ManualTimeProvider(currentTime);
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var underlying = new List<Tick>
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{
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new Tick {Time = currentTime.AddSeconds(10)}
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};
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var offsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1));
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var frontierAware = new FrontierAwareEnumerator(underlying.GetEnumerator(), timeProvider, offsetProvider);
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for (int i = 0; i < 10; i++)
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{
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timeProvider.AdvanceSeconds(1);
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Assert.IsTrue(frontierAware.MoveNext());
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if (i < 9)
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{
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Assert.IsNull(frontierAware.Current);
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}
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else
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{
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Assert.IsNotNull(frontierAware.Current);
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Assert.AreEqual(underlying[0], frontierAware.Current);
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}
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}
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frontierAware.Dispose();
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}
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}
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}
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