wehub-resource-sync
347 lines
12 KiB
C#
347 lines
12 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 System.Linq;
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using System.Threading;
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using Moq;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Engine.DataFeeds
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class SubscriptionUtilsTests
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{
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private Security _security;
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private SubscriptionDataConfig _config;
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private IFactorFileProvider _factorFileProvider;
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[SetUp]
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public void SetUp()
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{
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_security = new Security(Symbols.SPY,
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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new Cash(Currencies.USD, 0, 0),
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SymbolProperties.GetDefault(Currencies.USD),
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new IdentityCurrencyConverter(Currencies.USD),
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache());
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_config = new SubscriptionDataConfig(
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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, true, false);
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_factorFileProvider = TestGlobals.FactorFileProvider;
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}
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[Test]
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public void SubscriptionIsDisposed()
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{
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var dataPoints = 10;
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using var enumerator = new TestDataEnumerator { MoveNextTrueCount = dataPoints };
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#pragma warning disable CA2000
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var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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_config,
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DateTime.UtcNow,
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Time.EndOfTime
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),
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enumerator,
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_factorFileProvider,
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false, false);
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#pragma warning restore CA2000
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var count = 0;
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while (enumerator.MoveNextTrueCount > 8)
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{
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if (count++ > 100)
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{
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Assert.Fail($"Timeout waiting for producer. {enumerator.MoveNextTrueCount}");
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}
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Thread.Sleep(1);
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}
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subscription.DisposeSafely();
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Assert.IsFalse(subscription.MoveNext());
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}
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[Test]
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public void ThrowingEnumeratorStackDisposesOfSubscription()
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{
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using var enumerator = new TestDataEnumerator { MoveNextTrueCount = 10, ThrowException = true};
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using var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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_config,
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DateTime.UtcNow,
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Time.EndOfTime
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),
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enumerator,
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_factorFileProvider,
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false, false);
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var count = 0;
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while (enumerator.MoveNextTrueCount != 9)
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{
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if (count++ > 100)
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{
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Assert.Fail("Timeout waiting for producer");
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}
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Thread.Sleep(1);
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}
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Assert.IsFalse(subscription.MoveNext());
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Assert.IsTrue(subscription.EndOfStream);
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// enumerator is disposed by the producer
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count = 0;
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while (!enumerator.Disposed)
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{
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if (count++ > 100)
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{
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Assert.Fail("Timeout waiting for producer");
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}
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Thread.Sleep(1);
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}
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}
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[Test]
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// This unit tests reproduces GH 3885 where the consumer hanged forever
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public void ConsumerDoesNotHang()
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{
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for (var i = 0; i < 10000; i++)
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{
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var dataPoints = 10;
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using var enumerator = new TestDataEnumerator {MoveNextTrueCount = dataPoints};
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#pragma warning disable CA2000
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var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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_config,
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DateTime.UtcNow,
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Time.EndOfTime
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),
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enumerator,
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_factorFileProvider,
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false, false);
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#pragma warning restore CA2000
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for (var j = 0; j < dataPoints; j++)
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{
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Assert.IsTrue(subscription.MoveNext());
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}
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Assert.IsFalse(subscription.MoveNext());
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subscription.DisposeSafely();
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}
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}
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[Test]
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public void PriceScaleFirstFillForwardBar()
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{
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var referenceTime = new DateTime(2020, 08, 06);
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var point = new Tick(referenceTime, Symbols.SPY, 1, 2);
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var point2 = point.Clone(true);
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point2.Time = referenceTime;
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var point3 = point.Clone(false);
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point3.Time = referenceTime.AddDays(1);
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;
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var enumerator = new List<BaseData> { point2, point3 }.GetEnumerator();
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var factorFileProfider = new Mock<IFactorFileProvider>();
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var factorFile = new CorporateFactorProvider(_security.Symbol.Value, new[]
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{
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new CorporateFactorRow(referenceTime, 0.5m, 1),
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new CorporateFactorRow(referenceTime.AddDays(1), 1m, 1)
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}, referenceTime);
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factorFileProfider.Setup(s => s.Get(It.IsAny<Symbol>())).Returns(factorFile);
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#pragma warning disable CA2000
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var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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_config,
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referenceTime,
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Time.EndOfTime
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),
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enumerator,
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factorFileProfider.Object,
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true, false);
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#pragma warning restore CA2000
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Assert.IsTrue(subscription.MoveNext());
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// we do expect it to pick up the prev factor file scale
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Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
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Assert.IsTrue((subscription.Current.Data as Tick).IsFillForward);
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Assert.IsTrue(subscription.MoveNext());
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Assert.AreEqual(2, (subscription.Current.Data as Tick).AskPrice);
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Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
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subscription.DisposeSafely();
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}
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[Test]
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public void PriceScaleDoesNotUpdateForFillForwardBar()
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{
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var referenceTime = new DateTime(2020, 08, 06);
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var point = new Tick(referenceTime, Symbols.SPY, 1, 2);
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var point2 = point.Clone(true);
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point2.Time = referenceTime.AddDays(1);
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var point3 = point.Clone(false);
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point3.Time = referenceTime.AddDays(2);
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var enumerator = new List<BaseData> { point, point2, point3 }.GetEnumerator();
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var factorFileProfider = new Mock<IFactorFileProvider>();
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var factorFile = new CorporateFactorProvider(_security.Symbol.Value, new[]
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{
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new CorporateFactorRow(referenceTime, 0.5m, 1),
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new CorporateFactorRow(referenceTime.AddDays(1), 1m, 1)
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}, referenceTime);
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factorFileProfider.Setup(s => s.Get(It.IsAny<Symbol>())).Returns(factorFile);
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#pragma warning disable CA2000
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var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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_config,
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referenceTime,
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Time.EndOfTime
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),
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enumerator,
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factorFileProfider.Object,
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true, false);
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#pragma warning restore CA2000
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Assert.IsTrue(subscription.MoveNext());
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Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
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Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
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Assert.IsTrue(subscription.MoveNext());
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Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
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Assert.IsTrue((subscription.Current.Data as Tick).IsFillForward);
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Assert.IsTrue(subscription.MoveNext());
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Assert.AreEqual(2, (subscription.Current.Data as Tick).AskPrice);
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Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
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subscription.DisposeSafely();
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}
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[TestCase(typeof(TradeBar), true)]
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[TestCase(typeof(OpenInterest), false)]
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[TestCase(typeof(QuoteBar), false)]
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public void SubscriptionEmitsAuxData(Type typeOfConfig, bool shouldReceiveAuxData)
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{
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var config = new SubscriptionDataConfig(typeOfConfig, _security.Symbol, Resolution.Hour, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
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var totalPoints = 8;
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var time = new DateTime(2010, 1, 1);
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var enumerator = Enumerable.Range(0, totalPoints).Select(x => new Delisting { Time = time.AddHours(x) }).GetEnumerator();
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#pragma warning disable CA2000
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var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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config,
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DateTime.UtcNow,
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Time.EndOfTime
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),
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enumerator,
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_factorFileProvider,
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false, false);
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#pragma warning restore CA2000
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// Test our subscription stream to see if it emits the aux data it should be filtered
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// by the SubscriptionUtils produce function if the config isn't for a TradeBar
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int dataReceivedCount = 0;
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while (subscription.MoveNext())
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{
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dataReceivedCount++;
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if (subscription.Current != null && subscription.Current.Data.DataType == MarketDataType.Auxiliary)
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{
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Assert.IsTrue(shouldReceiveAuxData);
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}
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}
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// If it should receive aux data it should have emitted all points
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// otherwise none should have been emitted
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if (shouldReceiveAuxData)
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{
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Assert.AreEqual(totalPoints, dataReceivedCount);
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}
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else
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{
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Assert.AreEqual(0, dataReceivedCount);
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}
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}
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private class TestDataEnumerator : IEnumerator<BaseData>
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{
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public bool ThrowException { get; set; }
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public bool Disposed { get; set; }
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public int MoveNextTrueCount { get; set; }
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public void Dispose()
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{
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Disposed = true;
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}
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public bool MoveNext()
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{
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Current = new Tick(DateTime.UtcNow,Symbols.SPY, 1, 2);
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var result = --MoveNextTrueCount >= 0;
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if (ThrowException)
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{
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throw new RegressionTestException("TestDataEnumerator.MoveNext()");
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}
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return result;
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}
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public void Reset()
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{
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}
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public BaseData Current { get; set; }
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object IEnumerator.Current => Current;
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}
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}
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}
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