wehub-resource-sync
356 lines
13 KiB
C#
356 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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*/
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using System;
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using NodaTime;
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using NUnit.Framework;
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using QuantConnect.Data.Consolidators;
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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, Parallelizable(ParallelScope.All)]
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public class ScannableEnumeratorTests
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{
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[Test]
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public void PassesTicksStraightThrough()
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{
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var currentTime = new DateTime(2000, 01, 01);
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using var identityDataConsolidator = new IdentityDataConsolidator<Tick>();
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var enumerator = new ScannableEnumerator<Tick>(
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identityDataConsolidator,
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DateTimeZone.ForOffset(Offset.FromHours(-5)),
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new ManualTimeProvider(currentTime),
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(s, e) => { }
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);
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// returns true even if no data present until stop is called
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var tick1 = new Tick(currentTime, Symbols.SPY, 199.55m, 199, 200) { Quantity = 10 };
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enumerator.Update(tick1);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(tick1, enumerator.Current);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var tick2 = new Tick(currentTime, Symbols.SPY, 199.56m, 199.21m, 200.02m) { Quantity = 5 };
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enumerator.Update(tick2);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(tick2, enumerator.Current);
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enumerator.Dispose();
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}
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[Test]
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public void NewDataAvailableShouldFire()
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{
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var currentTime = new DateTime(2000, 01, 01);
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var available = false;
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using var identityDataConsolidator = new IdentityDataConsolidator<Tick>();
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var enumerator = new ScannableEnumerator<Tick>(
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identityDataConsolidator,
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DateTimeZone.ForOffset(Offset.FromHours(-5)),
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new ManualTimeProvider(currentTime),
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(s, e) => { available = true; }
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);
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// returns true even if no data present until stop is called
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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Assert.IsFalse(available);
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var tick1 = new Tick(currentTime, Symbols.SPY, 199.55m, 199, 200) { Quantity = 10 };
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enumerator.Update(tick1);
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Assert.IsTrue(available);
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enumerator.Dispose();
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}
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[Test]
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public void AggregatesNewQuoteBarProperly()
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{
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var reference = DateTime.Today;
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using var tickQuoteBarConsolidator = new TickQuoteBarConsolidator(4);
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using var enumerator = new ScannableEnumerator<Data.BaseData>(
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tickQuoteBarConsolidator,
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DateTimeZone.ForOffset(Offset.FromHours(-5)),
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new ManualTimeProvider(reference),
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(s, e) => { }
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);
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var tick1 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference,
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BidPrice = 10,
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BidSize = 20,
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TickType = TickType.Quote
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};
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enumerator.Update(tick1);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var tick2 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddMinutes(1),
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AskPrice = 20,
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AskSize = 10,
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TickType = TickType.Quote
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};
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var badTick = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddMinutes(1),
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AskPrice = 25,
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AskSize = 100,
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BidPrice = -100,
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BidSize = 2,
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Value = 50,
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Quantity = 1234,
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TickType = TickType.Trade
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};
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enumerator.Update(badTick);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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enumerator.Update(tick2);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var tick3 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddMinutes(2),
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BidPrice = 12,
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BidSize = 50,
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TickType = TickType.Quote
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};
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enumerator.Update(tick3);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var tick4 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddMinutes(3),
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AskPrice = 17,
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AskSize = 15,
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TickType = TickType.Quote
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};
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enumerator.Update(tick4);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current);
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QuoteBar quoteBar = enumerator.Current as QuoteBar;
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Assert.IsNotNull(quoteBar);
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Assert.AreEqual(Symbols.SPY, quoteBar.Symbol);
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Assert.AreEqual(tick1.Time, quoteBar.Time);
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Assert.AreEqual(tick4.EndTime, quoteBar.EndTime);
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Low);
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Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.High);
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Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close);
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Assert.AreEqual(tick3.BidSize, quoteBar.LastBidSize);
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
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Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Low);
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.High);
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Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close);
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Assert.AreEqual(tick4.AskSize, quoteBar.LastAskSize);
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}
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[Test]
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public void ForceScanQuoteBar()
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{
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var reference = new DateTime(2020, 2, 2, 1, 0, 0);
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var timeProvider = new ManualTimeProvider(reference);
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var dateTimeZone = DateTimeZone.ForOffset(Offset.FromHours(-5));
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using var tickQuoteBarConsolidator = new TickQuoteBarConsolidator(TimeSpan.FromMinutes(1));
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using var enumerator = new ScannableEnumerator<Data.BaseData>(
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tickQuoteBarConsolidator,
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dateTimeZone,
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timeProvider,
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(s, e) => { }
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);
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var tick1 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.ConvertFromUtc(dateTimeZone),
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BidPrice = 10,
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BidSize = 20,
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TickType = TickType.Quote
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};
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enumerator.Update(tick1);
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var tick2 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddSeconds(1).ConvertFromUtc(dateTimeZone),
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AskPrice = 20,
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AskSize = 10,
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TickType = TickType.Quote
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};
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enumerator.Update(tick2);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var tick3 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddSeconds(2).ConvertFromUtc(dateTimeZone),
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BidPrice = 12,
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BidSize = 50,
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TickType = TickType.Quote
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};
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enumerator.Update(tick3);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var tick4 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddSeconds(3).ConvertFromUtc(dateTimeZone),
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AskPrice = 17,
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AskSize = 15,
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TickType = TickType.Quote
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};
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enumerator.Update(tick4);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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timeProvider.AdvanceSeconds(120);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current);
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QuoteBar quoteBar = enumerator.Current as QuoteBar;
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Assert.IsNotNull(quoteBar);
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Assert.AreEqual(Symbols.SPY, quoteBar.Symbol);
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Assert.AreEqual(tick1.Time, quoteBar.Time);
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Assert.AreNotEqual(tick4.EndTime, quoteBar.EndTime);
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Low);
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Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.High);
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Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close);
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Assert.AreEqual(tick3.BidSize, quoteBar.LastBidSize);
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
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Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Low);
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.High);
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Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close);
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Assert.AreEqual(tick4.AskSize, quoteBar.LastAskSize);
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}
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[Test]
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public void MoveNextScanQuoteBar()
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{
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var offset = Offset.FromHours(-5);
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var timeZone = DateTimeZone.ForOffset(offset);
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var utc = new DateTimeOffset(DateTime.Today);
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var reference = utc.ToOffset(offset.ToTimeSpan());
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var timeProvider = new ManualTimeProvider(reference.DateTime, timeZone);
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using var tickQuoteBarConsolidator = new TickQuoteBarConsolidator(TimeSpan.FromMinutes(1));
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using var enumerator = new ScannableEnumerator<Data.BaseData>(
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tickQuoteBarConsolidator,
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timeZone,
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timeProvider,
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(s, e) => { }
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);
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var tick1 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.DateTime,
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BidPrice = 10,
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BidSize = 20,
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TickType = TickType.Quote
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};
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enumerator.Update(tick1);
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var tick2 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.DateTime.AddSeconds(1),
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AskPrice = 20,
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AskSize = 10,
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TickType = TickType.Quote
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};
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enumerator.Update(tick2);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var tick3 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.DateTime.AddSeconds(2),
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BidPrice = 12,
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BidSize = 50,
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TickType = TickType.Quote
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};
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enumerator.Update(tick3);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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var tick4 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.DateTime.AddSeconds(3),
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AskPrice = 17,
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AskSize = 15,
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TickType = TickType.Quote
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};
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enumerator.Update(tick4);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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timeProvider.SetCurrentTime(reference.DateTime.AddMinutes(2));
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNotNull(enumerator.Current);
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QuoteBar quoteBar = enumerator.Current as QuoteBar;
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Assert.IsNotNull(quoteBar);
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Assert.AreEqual(Symbols.SPY, quoteBar.Symbol);
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Assert.AreEqual(tick1.Time, quoteBar.Time);
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Assert.AreNotEqual(tick4.EndTime, quoteBar.EndTime);
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Low);
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Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.High);
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Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close);
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Assert.AreEqual(tick3.BidSize, quoteBar.LastBidSize);
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
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Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Low);
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.High);
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Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close);
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Assert.AreEqual(tick4.AskSize, quoteBar.LastAskSize);
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}
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}
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}
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