wehub-resource-sync
307 lines
13 KiB
C#
307 lines
13 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.Data;
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using System.Globalization;
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using QuantConnect.Securities;
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using QuantConnect.Interfaces;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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using QuantConnect.Data.Auxiliary;
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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 LiveAuxiliaryDataEnumeratorTests
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{
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[TestCase(DataMappingMode.OpenInterest, "20130616", false)]
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[TestCase(DataMappingMode.FirstDayMonth, "20130602", false)]
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[TestCase(DataMappingMode.LastTradingDay, "20130623", false)]
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[TestCase(DataMappingMode.OpenInterest, "20130616", true)]
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[TestCase(DataMappingMode.FirstDayMonth, "20130602", true)]
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[TestCase(DataMappingMode.LastTradingDay, "20130623", true)]
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public void EmitsMappingEventsBasedOnCurrentMapFileAndTime(DataMappingMode dataMappingMode, string mappingDate, bool delayed)
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{
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var config = new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.ES_Future_Chain,
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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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dataMappingMode: dataMappingMode);
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var symbolMaps = new List<SubscriptionDataConfig.NewSymbolEventArgs>();
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config.NewSymbol += (sender, args) => symbolMaps.Add(args);
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var time = new DateTime(2013, 05, 28);
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var cache = new SecurityCache();
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cache.AddData(new Tick(time, config.Symbol, 20, 10));
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var timeProvider = new ManualTimeProvider(time);
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var futureTicker1 = "es vhle2yxr5blt";
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TestMapFileResolver.MapFile = new MapFile(Futures.Indices.SP500EMini, new[]
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{
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new MapFileRow(Time.BeginningOfTime, Futures.Indices.SP500EMini, Exchange.CME),
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new MapFileRow(new DateTime(2013,06,01), futureTicker1, Exchange.CME, DataMappingMode.FirstDayMonth),
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new MapFileRow(new DateTime(2013,06,15), futureTicker1, Exchange.CME, DataMappingMode.OpenInterest),
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new MapFileRow(new DateTime(2013,06,22), futureTicker1, Exchange.CME, DataMappingMode.LastTradingDay),
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});
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IEnumerator<BaseData> enumerator;
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Assert.IsTrue(LiveAuxiliaryDataEnumerator.TryCreate(config, timeProvider, cache, new TestMapFileProvider(), TestGlobals.FactorFileProvider, time, out enumerator));
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// get's mapped right away!
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Assert.AreEqual(futureTicker1.ToUpper(), config.MappedSymbol);
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Assert.AreEqual(1, symbolMaps.Count);
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Assert.AreEqual(Symbols.ES_Future_Chain, symbolMaps[0].Old);
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Assert.AreEqual(Futures.Indices.SP500EMini, symbolMaps[0].Old.ID.Symbol);
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Assert.AreEqual(Symbols.ES_Future_Chain, symbolMaps[0].New);
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Assert.AreEqual(futureTicker1.ToUpper(), symbolMaps[0].New.Underlying.ID.ToString());
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var expectedMappingDate = DateTime.ParseExact(mappingDate, DateFormat.EightCharacter, CultureInfo.InvariantCulture);
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if (delayed)
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{
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// we advance to the mapping date, without any new mapFile!
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timeProvider.Advance(expectedMappingDate.ConvertToUtc(config.ExchangeTimeZone) - timeProvider.GetUtcNow() + Time.LiveAuxiliaryDataOffset);
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}
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else
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{
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// just advance a day to show nothing happens until mapping time
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timeProvider.Advance(TimeSpan.FromDays(1));
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}
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var futureTicker2 = "es vk2zrh843z7l";
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TestMapFileResolver.MapFile = new MapFile(Futures.Indices.SP500EMini, TestMapFileResolver.MapFile.Concat(
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new[]
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{
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new MapFileRow(new DateTime(2013,09,01), futureTicker2, Exchange.CME, DataMappingMode.FirstDayMonth),
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new MapFileRow(new DateTime(2013,09,14), futureTicker2, Exchange.CME, DataMappingMode.OpenInterest),
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new MapFileRow(new DateTime(2013,09,21), futureTicker2, Exchange.CME, DataMappingMode.LastTradingDay),
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}));
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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if (delayed)
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{
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// we got a new mapFile! advance the date and expect mapping to have happened
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timeProvider.Advance(TimeSpan.FromDays(1));
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}
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else
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{
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// we advance to the mapping date
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timeProvider.Advance(expectedMappingDate.ConvertToUtc(config.ExchangeTimeZone) - timeProvider.GetUtcNow() + Time.LiveAuxiliaryDataOffset);
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}
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current);
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Assert.AreEqual(2, symbolMaps.Count);
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Assert.AreEqual(Symbols.ES_Future_Chain, symbolMaps[1].Old);
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Assert.AreEqual(futureTicker1.ToUpper(), symbolMaps[1].Old.Underlying.ID.ToString());
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Assert.AreEqual(Symbols.ES_Future_Chain, symbolMaps[1].New);
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Assert.AreEqual(futureTicker2.ToUpper(), symbolMaps[1].New.Underlying.ID.ToString());
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Assert.AreEqual(futureTicker2.ToUpper(), config.MappedSymbol);
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Assert.AreEqual(futureTicker2.ToUpper(), (enumerator.Current as SymbolChangedEvent).NewSymbol);
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Assert.AreEqual(futureTicker1.ToUpper(), (enumerator.Current as SymbolChangedEvent).OldSymbol);
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Assert.AreEqual(config.Symbol, (enumerator.Current as SymbolChangedEvent).Symbol);
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Assert.AreEqual(timeProvider.GetUtcNow().Date, (enumerator.Current as SymbolChangedEvent).Time);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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enumerator.Dispose();
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}
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[Test]
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public void EmitsDelistingEventsBasedOnCurrentTime()
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{
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var config = new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.SPY_C_192_Feb19_2016,
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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 delistingDate = config.Symbol.GetDelistingDate();
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var time = delistingDate.AddDays(-10);
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var cache = new SecurityCache();
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cache.AddData(new Tick(DateTime.UtcNow, config.Symbol, 20, 10));
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var timeProvider = new ManualTimeProvider(time);
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IEnumerator<BaseData> enumerator;
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Assert.IsTrue(LiveAuxiliaryDataEnumerator.TryCreate(config, timeProvider, cache, TestGlobals.MapFileProvider, TestGlobals.FactorFileProvider, config.Symbol.ID.Date, out enumerator));
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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// advance until delisting date, take into account 5 hour offset of NY + TradableDateOffset
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timeProvider.Advance(TimeSpan.FromDays(10));
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timeProvider.Advance(TimeSpan.FromHours(5));
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timeProvider.Advance(Time.LiveAuxiliaryDataOffset);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type);
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Assert.AreEqual(config.Symbol, (enumerator.Current as Delisting).Symbol);
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Assert.AreEqual(delistingDate, (enumerator.Current as Delisting).Time);
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Assert.AreEqual(15, (enumerator.Current as Delisting).Price);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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// when the day ends the delisted event will pass through, respecting the offset
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timeProvider.Advance(TimeSpan.FromDays(1));
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cache.AddData(new Tick(DateTime.UtcNow, config.Symbol, 40, 20));
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(DelistingType.Delisted, (enumerator.Current as Delisting).Type);
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Assert.AreEqual(config.Symbol, (enumerator.Current as Delisting).Symbol);
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Assert.AreEqual(delistingDate.AddDays(1), (enumerator.Current as Delisting).Time);
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Assert.AreEqual(30, (enumerator.Current as Delisting).Price);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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enumerator.Dispose();
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}
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[TestCase(false)]
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[TestCase(true)]
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public void EquityEmitsDelistingEventsBasedOnCurrentTime(bool delayed)
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{
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var config = new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.SPY,
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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 time = new DateTime(2013, 05, 28);
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var cache = new SecurityCache();
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cache.AddData(new Tick(time, config.Symbol, 20, 10));
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var timeProvider = new ManualTimeProvider(time);
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TestMapFileResolver.MapFile = new MapFile(config.Symbol.ID.Symbol, new[]
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{
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new MapFileRow(Time.BeginningOfTime, config.Symbol.ID.Symbol),
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new MapFileRow(Time.EndOfTime, config.Symbol.ID.Symbol),
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});
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IEnumerator<BaseData> enumerator;
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Assert.IsTrue(LiveAuxiliaryDataEnumerator.TryCreate(config, timeProvider, cache, new TestMapFileProvider(), TestGlobals.FactorFileProvider, time, out enumerator));
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// get's mapped right away!
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Assert.AreEqual("SPY", config.MappedSymbol);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var delistingDate = time.AddDays(2);
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var delistedMapFile = new MapFile(config.Symbol.ID.Symbol, new[]
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{
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new MapFileRow(Time.BeginningOfTime, config.Symbol.ID.Symbol),
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new MapFileRow(delistingDate, config.Symbol.ID.Symbol),
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});
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// just advance a day to show nothing happens until mapping time
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timeProvider.Advance(TimeSpan.FromDays(1));
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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if (!delayed)
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{
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TestMapFileResolver.MapFile = delistedMapFile;
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}
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// we advance to the mapping date, without any new mapFile!
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timeProvider.Advance(delistingDate.ConvertToUtc(config.ExchangeTimeZone) - timeProvider.GetUtcNow() + Time.LiveAuxiliaryDataOffset);
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if (delayed)
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{
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// nothing happens
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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TestMapFileResolver.MapFile = delistedMapFile;
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timeProvider.Advance(Time.OneDay);
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}
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current);
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var delisted = enumerator.Current as Delisting;
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Assert.IsNotNull(delisted);
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Assert.AreEqual(DelistingType.Warning, delisted.Type);
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if (!delayed)
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{
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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// delisting passed
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timeProvider.Advance(TimeSpan.FromDays(1));
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}
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current);
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delisted = enumerator.Current as Delisting;
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Assert.IsNotNull(delisted);
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Assert.AreEqual(DelistingType.Delisted, delisted.Type);
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enumerator.Dispose();
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}
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private class TestMapFileProvider : IMapFileProvider
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{
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public void Initialize(IDataProvider dataProvider)
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{
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}
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public MapFileResolver Get(AuxiliaryDataKey auxiliaryDataKey)
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{
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return new TestMapFileResolver();
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}
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}
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private class TestMapFileResolver : MapFileResolver
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{
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public static MapFile MapFile { get; set; }
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public TestMapFileResolver()
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: base(new[] { MapFile })
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{
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}
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}
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}
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}
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