quantconnect--lean/Tests/Engine/DataFeeds/Enumerators/SynchronizingBaseDataEnumeratorTests.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
 *
*/

using System;
using System.Collections;
using System.Collections.Generic;
using System.Linq;
using NUnit.Framework;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Lean.Engine.DataFeeds.Enumerators;

namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
{
    [TestFixture]
    public class SynchronizingBaseDataEnumeratorTests
    {
        [Test]
        public void SynchronizesData()
        {
            var time = new DateTime(2016, 03, 03, 12, 05, 00);
            var stream1 = Enumerable.Range(0, 10).Select(x => new Tick {Time = time.AddSeconds(x * 1)}).GetEnumerator();
            var stream2 = Enumerable.Range(0, 5).Select(x => new Tick {Time = time.AddSeconds(x * 2)}).GetEnumerator();
            var stream3 = Enumerable.Range(0, 20).Select(x => new Tick {Time = time.AddSeconds(x * 0.5)}).GetEnumerator();

            var previous = DateTime.MinValue;
            var synchronizer = new SynchronizingBaseDataEnumerator(stream1, stream2, stream3);
            while (synchronizer.MoveNext())
            {
                Assert.That(synchronizer.Current.EndTime, Is.GreaterThanOrEqualTo(previous));
                previous = synchronizer.Current.EndTime;
            }

            synchronizer.Dispose();
        }

        [Test]
        public void WontRemoveEnumeratorsReturningTrueWithCurrentNull()
        {
            var time = new DateTime(2016, 03, 03, 12, 05, 00);
            var stream1 = Enumerable.Range(0, 20)
                // return null except the last value and check if its emitted
                .Select(x => x == 19 ? new Tick {Time = time.AddSeconds(x * 100), Quantity = 998877} : null
            ).GetEnumerator();
            var stream2 = Enumerable.Range(0, 5).Select(x => new Tick { Time = time.AddSeconds(x * 2) }).GetEnumerator();
            var stream3 = Enumerable.Range(0, 20).Select(x => new Tick { Time = time.AddSeconds(x * 0.5) }).GetEnumerator();

            var previous = new Tick { Time = DateTime.MinValue };
            var synchronizer = new SynchronizingBaseDataEnumerator(stream1, stream2, stream3);
            while (synchronizer.MoveNext())
            {
                Assert.That(synchronizer.Current.EndTime, Is.GreaterThanOrEqualTo(previous.EndTime));
                previous = synchronizer.Current as Tick;
            }
            Assert.AreEqual(998877, previous.Quantity);

            synchronizer.Dispose();
        }

        [Test]
        public void WillRemoveEnumeratorsReturningFalse()
        {
            var time = new DateTime(2016, 03, 03, 12, 05, 00);
            var stream1 = new TestEnumerator { MoveNextReturnValue = false };
            var stream2 = Enumerable.Range(0, 10).Select(x => new Tick { Time = time.AddSeconds(x * 2) }).GetEnumerator();
            var synchronizer = new SynchronizingBaseDataEnumerator(stream1, stream2);
            var emitted = false;
            while (synchronizer.MoveNext())
            {
                emitted = true;
            }
            Assert.IsTrue(emitted);
            Assert.IsTrue(stream1.MoveNextWasCalled);
            Assert.AreEqual(1, stream1.MoveNextCallCount);

            synchronizer.Dispose();
        }

        [Test]
        public void WillStopIfAllEnumeratorsCurrentIsNullAndReturningTrue()
        {
            var stream1 = new TestEnumerator { MoveNextReturnValue = true };
            var synchronizer = new SynchronizingBaseDataEnumerator(stream1);
            while (synchronizer.MoveNext())
            {
                Assert.Fail();
            }
            Assert.IsTrue(stream1.MoveNextWasCalled);
            Assert.Pass();

            synchronizer.Dispose();
        }

        [Test]
        public void WillStopIfAllEnumeratorsCurrentIsNullAndReturningFalse()
        {
            var stream1 = new TestEnumerator { MoveNextReturnValue = false };
            var synchronizer = new SynchronizingBaseDataEnumerator(stream1);
            while (synchronizer.MoveNext())
            {
                Assert.Fail();
            }
            Assert.IsTrue(stream1.MoveNextWasCalled);
            Assert.Pass();

            synchronizer.Dispose();
        }

        private class TestEnumerator : IEnumerator<BaseData>
        {
            public int MoveNextCallCount { get; set; }
            public bool MoveNextReturnValue { get; set; }
            public bool MoveNextWasCalled { get; set; }

            public TestEnumerator()
            {
                MoveNextWasCalled = false;
            }

            public bool MoveNext()
            {
                MoveNextCallCount++;
                MoveNextWasCalled = true;
                return MoveNextReturnValue;
            }

            public BaseData Current { get; }

            object IEnumerator.Current => Current;
            public void Dispose() { }
            public void Reset() { }
        }
    }
}