quantconnect--lean/Tests/Engine/HistoricalData/HistoryProviderManagerTests.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.Linq;
using NUnit.Framework;
using QuantConnect.Data;
using QuantConnect.Packets;
using QuantConnect.Util;
using QuantConnect.Interfaces;
using QuantConnect.Tests.Brokerages;
using QuantConnect.Brokerages.Paper;
using QuantConnect.Lean.Engine.DataFeeds;
using QuantConnect.Lean.Engine.HistoricalData;

namespace QuantConnect.Tests.Engine.HistoricalData
{
    [TestFixture]
    public class HistoryProviderManagerTests
    {
        private HistoryProviderManager _historyProviderWrapper;
        private PaperBrokerage _paperBrokerage;

        [SetUp]
        public void Setup()
        {
            Setup(DeploymentTarget.LocalPlatform);
        }

        [TearDown]
        public void TearDown()
        {
            Composer.Instance.Reset();
            _paperBrokerage.DisposeSafely();
        }

        [Test]
        public void DataPointCount()
        {
            var symbol = Symbol.Create("WM", SecurityType.Equity, Market.USA);

            var request = TestsHelpers.GetHistoryRequest(symbol, new DateTime(2008, 01, 01), new DateTime(2008, 01, 05), Resolution.Daily, TickType.Trade);

            var result = _historyProviderWrapper.GetHistory(new[] { request }, TimeZones.NewYork).ToList();

            Assert.IsNotNull(result);
            Assert.IsNotEmpty(result);
            Assert.AreEqual(5, _historyProviderWrapper.DataPointCount);
        }

        [Test]
        public void TestEvents()
        {
            bool invalidConfigurationDetected = new();
            bool numericalPrecisionLimited = new();
            bool startDateLimited = new();
            bool downloadFailed = new();
            bool readerErrorDetected = new();
            _historyProviderWrapper.InvalidConfigurationDetected += (sender, args) => { invalidConfigurationDetected = true; };
            _historyProviderWrapper.NumericalPrecisionLimited += (sender, args) => { numericalPrecisionLimited = true; };
            _historyProviderWrapper.StartDateLimited += (sender, args) => { startDateLimited = true; };
            _historyProviderWrapper.DownloadFailed += (sender, args) => { downloadFailed = true; };
            _historyProviderWrapper.ReaderErrorDetected += (sender, args) => { readerErrorDetected = true; };

            var historyProvider = Composer.Instance.GetExportedValueByTypeName<IHistoryProvider>(nameof(TestHistoryProvider));
            (historyProvider as TestHistoryProvider).TriggerEvents();
            Assert.IsTrue(invalidConfigurationDetected);
            Assert.IsTrue(numericalPrecisionLimited);
            Assert.IsTrue(startDateLimited);
            Assert.IsTrue(downloadFailed);
            Assert.IsTrue(readerErrorDetected);
        }

        [Test]
        public void OptionsAreMappedCorrectly()
        {
            var symbol = Symbol.CreateOption(
                "FOXA",
                Market.USA,
                OptionStyle.American,
                OptionRight.Call,
                32,
                new DateTime(2013, 07, 20));

            var request = TestsHelpers.GetHistoryRequest(symbol, new DateTime(2013, 06, 28), new DateTime(2013, 07, 03), Resolution.Minute, TickType.Quote);

            var result = _historyProviderWrapper.GetHistory(new[] { request }, TimeZones.NewYork).ToList();

            Assert.IsNotEmpty(result);

            // assert we fetch the data for the previous and new symbol
            var firstBar = result[1].Values.Single();
            var lastBar = result.Last().Values.Single();

            Assert.IsTrue(firstBar.Symbol.Value.Contains("NWSA"));
            Assert.AreEqual(28, firstBar.Time.Date.Day);
            Assert.IsTrue(lastBar.Symbol.Value.Contains("FOXA"));
            Assert.AreEqual(2, lastBar.Time.Date.Day);
            Assert.AreEqual(425, result.Count);
            Assert.AreEqual(426, _historyProviderWrapper.DataPointCount);
        }

        [TestCase(DeploymentTarget.CloudPlatform)]
        [TestCase(DeploymentTarget.LocalPlatform)]
        public void EquitiesMergedCorrectly(DeploymentTarget deploymentTarget)
        {
            TearDown();
            Setup(deploymentTarget);
            var symbol = Symbol.Create("WM", SecurityType.Equity, Market.USA);

            var request = TestsHelpers.GetHistoryRequest(symbol, new DateTime(2008, 01, 01), new DateTime(2008, 01, 05), Resolution.Daily, TickType.Trade);

            var result = _historyProviderWrapper.GetHistory(new[] { request }, TimeZones.NewYork).ToList();

            Assert.IsNotEmpty(result);
            var firstBar = result.First().Values.Single();
            Assert.AreEqual("WMI", firstBar.Symbol.Value);
            Assert.AreEqual(deploymentTarget == DeploymentTarget.CloudPlatform ? 3 : 4, result.Count);
            Assert.AreEqual(5, _historyProviderWrapper.DataPointCount);
        }

        [Test]
        public void DataIncreasesInTime()
        {
            var symbol = Symbol.Create("WM", SecurityType.Equity, Market.USA);

            var request = TestsHelpers.GetHistoryRequest(symbol, new DateTime(2008, 01, 01), new DateTime(2008, 01, 05), Resolution.Daily, TickType.Trade);

            var result = _historyProviderWrapper.GetHistory(new[] { request }, TimeZones.NewYork).ToList();

            var initialTime = DateTime.MinValue;
            foreach (var slice in result)
            {
                Assert.That(slice.UtcTime, Is.GreaterThan(initialTime));
                initialTime = slice.UtcTime;
            }
        }

        private void Setup(DeploymentTarget deploymentTarget)
        {
            _historyProviderWrapper = new();
            var historyProviders = Newtonsoft.Json.JsonConvert.SerializeObject(new[] { nameof(SubscriptionDataReaderHistoryProvider), nameof(TestHistoryProvider) });
            var jobWithArrayHistoryProviders = new LiveNodePacket
            {
                HistoryProvider = historyProviders,
                DeploymentTarget = deploymentTarget
            };
            _paperBrokerage = new PaperBrokerage(null, null);
            _historyProviderWrapper.SetBrokerage(_paperBrokerage);
            _historyProviderWrapper.Initialize(new HistoryProviderInitializeParameters(
                jobWithArrayHistoryProviders,
                null,
                TestGlobals.DataProvider,
                TestGlobals.DataCacheProvider,
                TestGlobals.MapFileProvider,
                TestGlobals.FactorFileProvider,
                null,
                false,
                new DataPermissionManager(),
                null,
                new AlgorithmSettings()));
        }
    }
}