wehub-resource-sync
394 lines
15 KiB
C#
394 lines
15 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;
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using System.Collections.Generic;
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using NUnit.Framework;
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using QuantConnect.Data;
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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 ScheduledEnumeratorTests
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{
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private readonly DateTime _referenceTime = new DateTime(2019, 1, 1);
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[TestCase(true)]
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[TestCase(false)]
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public void RespectsPredicateTimeProvider(bool newDataArrivedInTime)
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{
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var scheduledDate = _referenceTime.AddDays(1);
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using var underlyingEnumerator = new TestEnumerator
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{
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MoveNextReturn = true,
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MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
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{
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new Tick(scheduledDate.AddDays(-1), Symbols.SPY, 1, 1)
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})
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};
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var timeProvider = new ManualTimeProvider(_referenceTime);
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using var enumerator = new ScheduledEnumerator(
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underlyingEnumerator,
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new List<DateTime> { scheduledDate },
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new PredicateTimeProvider(timeProvider, (currentDateTime) => {
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// will only let time advance after it's passed the 7/8 hour frontier
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return currentDateTime.TimeOfDay > TimeSpan.FromMinutes(7 * 60 + DateTime.UtcNow.Second);
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}),
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TimeZones.Utc,
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DateTime.MinValue);
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// still null since frontier is still behind schedule
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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timeProvider.SetCurrentTimeUtc(scheduledDate);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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timeProvider.SetCurrentTimeUtc(scheduledDate.AddHours(2));
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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if (newDataArrivedInTime)
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{
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// New data comes in!
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underlyingEnumerator.MoveNextNewValues.Enqueue(new Tick(scheduledDate, Symbols.SPY, 10, 10));
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}
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timeProvider.SetCurrentTimeUtc(scheduledDate.AddHours(8));
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(scheduledDate, enumerator.Current.Time);
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Assert.AreEqual(newDataArrivedInTime ? 10 : 1, (enumerator.Current as Tick).BidPrice);
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// schedule ended so enumerator will end too
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Assert.IsFalse(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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}
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[Test]
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public void ScheduleSkipsOldDates()
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{
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using var testEnumerator = new TestEnumerator();
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using var enumerator = new ScheduledEnumerator(
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testEnumerator,
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new List<DateTime> { _referenceTime },
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new ManualTimeProvider(_referenceTime),
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TimeZones.Utc,
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_referenceTime.AddDays(1));
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Assert.IsFalse(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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}
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[Test]
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public void EmptyScheduleThrowsNoException()
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{
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ScheduledEnumerator enumerator = null;
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Assert.DoesNotThrow(() => enumerator = new ScheduledEnumerator(
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new TestEnumerator(),
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new List<DateTime>(),
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new ManualTimeProvider(_referenceTime),
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TimeZones.Utc,
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DateTime.MinValue));
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Assert.IsFalse(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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}
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[Test]
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public void ReturnsTrueEvenIfUnderlyingIsNullButReturnsTrue()
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{
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using var underlyingEnumerator = new TestEnumerator { MoveNextReturn = true };
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var timeProvider = new ManualTimeProvider(_referenceTime);
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using var enumerator = new ScheduledEnumerator(
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underlyingEnumerator,
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new List<DateTime> { _referenceTime.AddDays(1) },
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timeProvider,
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TimeZones.Utc,
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DateTime.MinValue);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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}
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[Test]
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public void ReturnsFalseWhenUnderlyingReturnsFalse()
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{
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using var underlyingEnumerator = new TestEnumerator { MoveNextReturn = false };
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var timeProvider = new ManualTimeProvider(_referenceTime);
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using var enumerator = new ScheduledEnumerator(
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underlyingEnumerator,
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new List<DateTime> { _referenceTime.AddDays(1) },
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timeProvider,
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TimeZones.Utc,
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DateTime.MinValue);
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Assert.IsFalse(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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}
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[Test]
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public void ForwardsDataToFitSchedule()
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{
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var scheduledDate = _referenceTime.AddDays(1);
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using var underlyingEnumerator = new TestEnumerator
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{
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MoveNextReturn = true,
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MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
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{
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new Tick(scheduledDate, Symbols.SPY, 1, 1),
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// way in the future compared with the schedule
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new Tick(scheduledDate.AddYears(1), Symbols.SPY, 10, 10)
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})
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};
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var timeProvider = new ManualTimeProvider(_referenceTime);
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using var enumerator = new ScheduledEnumerator(
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underlyingEnumerator,
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new List<DateTime> { scheduledDate, scheduledDate.AddDays(1) },
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timeProvider,
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TimeZones.Utc,
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DateTime.MinValue);
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Assert.IsTrue(enumerator.MoveNext());
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// still null since frontier is still behind schedule
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Assert.IsNull(enumerator.Current);
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timeProvider.SetCurrentTimeUtc(scheduledDate);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(scheduledDate, enumerator.Current.Time);
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Assert.AreEqual(1, (enumerator.Current as Tick).BidPrice);
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// it will forward previous available value to fit the schedule
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timeProvider.SetCurrentTimeUtc(scheduledDate.AddDays(1));
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(scheduledDate.AddDays(1), enumerator.Current.Time);
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Assert.AreEqual(1, (enumerator.Current as Tick).BidPrice);
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// schedule ended so enumerator will end too
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Assert.IsFalse(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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}
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[Test]
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public void UpdatesCurrentBasedOnSchedule()
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{
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var scheduledDate = _referenceTime.AddDays(1);
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using var underlyingEnumerator = new TestEnumerator
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{
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MoveNextReturn = true,
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MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
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{
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new Tick(scheduledDate, Symbols.SPY, 1, 1)
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})
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};
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var timeProvider = new ManualTimeProvider(_referenceTime);
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using var enumerator = new ScheduledEnumerator(
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underlyingEnumerator,
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new List<DateTime> { scheduledDate },
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timeProvider,
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TimeZones.Utc,
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DateTime.MinValue);
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Assert.IsTrue(enumerator.MoveNext());
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// still null since frontier is still behind schedule
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Assert.IsNull(enumerator.Current);
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timeProvider.SetCurrentTimeUtc(scheduledDate);
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(scheduledDate, enumerator.Current.Time);
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Assert.AreEqual(1, (enumerator.Current as Tick).BidPrice);
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// schedule ended so enumerator will end too
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Assert.IsFalse(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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}
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[Test]
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public void WillUseLatestDataPoint()
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{
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using var underlyingEnumerator = new TestEnumerator
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{
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MoveNextReturn = true,
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MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
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{
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new Tick(new DateTime(2019, 1, 15), Symbols.SPY, 1, 1),
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new Tick(new DateTime(2019, 1, 20), Symbols.SPY, 2, 1),
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new Tick(new DateTime(2019, 1, 25), Symbols.SPY, 3, 1)
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})
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};
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var timeProvider = new ManualTimeProvider(_referenceTime);
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using var enumerator = new ScheduledEnumerator(
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underlyingEnumerator,
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new List<DateTime> { new DateTime(2019, 2, 1) },
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timeProvider,
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TimeZones.Utc,
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DateTime.MinValue);
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Assert.IsTrue(enumerator.MoveNext());
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// still null since frontier is still behind schedule
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Assert.IsNull(enumerator.Current);
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// frontier is now a month after the scheduled time!
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timeProvider.SetCurrentTimeUtc(new DateTime(2019, 3, 1));
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Assert.IsTrue(enumerator.MoveNext());
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// it uses the last available data point in the enumerator
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Assert.AreEqual(new DateTime(2019, 2, 1), enumerator.Current.Time);
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Assert.AreEqual(3, (enumerator.Current as Tick).BidPrice);
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Assert.IsNull(underlyingEnumerator.Current);
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}
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[Test]
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public void WillUseLatestDataPointOnlyIfBeforeOrAtSchedule()
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{
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using var underlyingEnumerator = new TestEnumerator
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{
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MoveNextReturn = true,
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MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
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{
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new Tick(new DateTime(2019, 1, 20), Symbols.SPY, 2, 1),
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new Tick(new DateTime(2019, 1, 25), Symbols.SPY, 3, 1),
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// this guys is in 2020
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new Tick(new DateTime(2020, 1, 1), Symbols.SPY, 4, 1)
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})
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};
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var timeProvider = new ManualTimeProvider(_referenceTime);
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using var enumerator = new ScheduledEnumerator(
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underlyingEnumerator,
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new List<DateTime> { new DateTime(2019, 2, 1), new DateTime(2020, 2, 1) },
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timeProvider,
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TimeZones.Utc,
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DateTime.MinValue);
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Assert.IsTrue(enumerator.MoveNext());
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// still null since frontier is still behind schedule
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Assert.IsNull(enumerator.Current);
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// frontier is now a month after the scheduled time!
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timeProvider.SetCurrentTimeUtc(new DateTime(2019, 3, 1));
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Assert.IsTrue(enumerator.MoveNext());
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// it uses the last available data point in the enumerator that is before the schedule
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Assert.AreEqual(new DateTime(2019, 2, 1), enumerator.Current.Time);
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Assert.AreEqual(3, (enumerator.Current as Tick).BidPrice);
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// the underlying enumerator hold the next data point
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Assert.AreEqual(new DateTime(2020, 1, 1), underlyingEnumerator.Current.Time);
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// now lets test fetching the last data point
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timeProvider.SetCurrentTimeUtc(new DateTime(2021, 3, 1));
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// the underlying will end but should still emit the data point it has
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underlyingEnumerator.MoveNextReturn = false;
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(new DateTime(2020, 2, 1), enumerator.Current.Time);
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Assert.AreEqual(4, (enumerator.Current as Tick).BidPrice);
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Assert.IsNull(underlyingEnumerator.Current);
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Assert.IsFalse(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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}
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[Test]
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public void NoTimeProvider()
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{
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using var underlyingEnumerator = new TestEnumerator
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{
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MoveNextReturn = true,
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MoveNextNewValues = new Queue<BaseData>(new List<BaseData>
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{
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new Tick(new DateTime(2019, 1, 20), Symbols.SPY, 2, 1),
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new Tick(new DateTime(2019, 1, 25), Symbols.SPY, 3, 1),
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new Tick(new DateTime(2020, 1, 1), Symbols.SPY, 4, 1)
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})
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};
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using var enumerator = new ScheduledEnumerator(
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underlyingEnumerator,
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new List<DateTime> { new DateTime(2019, 2, 1), new DateTime(2020, 2, 1) },
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null,
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TimeZones.Utc,
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DateTime.MinValue);
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Assert.IsTrue(enumerator.MoveNext());
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// it uses the last available data point in the enumerator that is before the schedule
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Assert.AreEqual(new DateTime(2019, 2, 1), enumerator.Current.Time);
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Assert.AreEqual(3, (enumerator.Current as Tick).BidPrice);
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// the underlying enumerator hold the next data point
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Assert.AreEqual(new DateTime(2020, 1, 1), underlyingEnumerator.Current.Time);
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// the underlying will end but should still emit the data point it has
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underlyingEnumerator.MoveNextReturn = false;
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Assert.IsTrue(enumerator.MoveNext());
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Assert.AreEqual(new DateTime(2020, 2, 1), enumerator.Current.Time);
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Assert.AreEqual(4, (enumerator.Current as Tick).BidPrice);
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Assert.IsNull(underlyingEnumerator.Current);
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Assert.IsFalse(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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}
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private class TestEnumerator : IEnumerator<BaseData>
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{
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public Queue<BaseData> MoveNextNewValues { get; set; }
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public BaseData Current { get; private set; }
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object IEnumerator.Current => Current;
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public bool MoveNextReturn { get; set; }
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public bool MoveNext()
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{
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if (MoveNextNewValues != null && MoveNextNewValues.Count > 0)
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{
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Current = MoveNextNewValues.Dequeue();
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}
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else
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{
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Current = null;
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}
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return MoveNextReturn;
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}
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public void Reset()
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{}
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public void Dispose()
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{}
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}
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}
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}
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