wehub-resource-sync
64 lines
2.1 KiB
C#
64 lines
2.1 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.Linq;
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using NUnit.Framework;
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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 QuoteBarFillForwardEnumeratorTests
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{
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[Test]
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public void FillsForwardBidAskBars()
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{
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var bar1 = new QuoteBar
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{
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Bid = new Bar(3m, 4m, 1m, 2m),
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Ask = new Bar(3.1m, 4.1m, 1.1m, 2.1m),
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};
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var bar2 = new QuoteBar
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{
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Bid = null,
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Ask = null,
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};
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var data = new[] { bar1, bar2 }.ToList();
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var enumerator = data.GetEnumerator();
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var fillForwardEnumerator = new QuoteBarFillForwardEnumerator(enumerator);
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// 9:31
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Assert.IsTrue(fillForwardEnumerator.MoveNext());
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var quoteBar1 = (QuoteBar)fillForwardEnumerator.Current;
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Assert.AreSame(bar1.Bid, quoteBar1.Bid);
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Assert.AreSame(bar1.Ask, quoteBar1.Ask);
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// 9:32
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Assert.IsTrue(fillForwardEnumerator.MoveNext());
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var quoteBar2 = (QuoteBar)fillForwardEnumerator.Current;
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Assert.AreSame(quoteBar1.Bid, quoteBar2.Bid);
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Assert.AreSame(quoteBar1.Ask, quoteBar2.Ask);
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fillForwardEnumerator.Dispose();
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}
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}
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}
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