wehub-resource-sync
133 lines
4.7 KiB
C#
133 lines
4.7 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.Linq;
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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.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.HistoricalData;
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using QuantConnect.Lean.Engine.Storage;
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using QuantConnect.Securities;
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using QuantConnect.Storage;
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using QuantConnect.Util;
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using HistoryRequest = QuantConnect.Data.HistoryRequest;
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namespace QuantConnect.Tests.Engine.HistoricalData
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{
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[TestFixture]
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public class SubscriptionDataReaderHistoryProviderTests
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{
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[Test]
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public void OptionsAreMappedCorrectly()
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{
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var historyProvider = new SubscriptionDataReaderHistoryProvider();
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historyProvider.Initialize(new HistoryProviderInitializeParameters(
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null,
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null,
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TestGlobals.DataProvider,
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TestGlobals.DataCacheProvider,
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TestGlobals.MapFileProvider,
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TestGlobals.FactorFileProvider,
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null,
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false,
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new DataPermissionManager(),
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null,
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new AlgorithmSettings()));
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var symbol = Symbol.CreateOption(
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"FOXA",
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Market.USA,
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OptionStyle.American,
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OptionRight.Call,
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32,
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new DateTime(2013, 07, 20));
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var result = historyProvider.GetHistory(
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new[]
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{
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new HistoryRequest(new DateTime(2013, 06,28),
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new DateTime(2013, 07,03),
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typeof(QuoteBar),
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symbol,
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Resolution.Minute,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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TimeZones.NewYork,
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null,
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false,
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false,
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DataNormalizationMode.Raw,
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TickType.Quote)
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},
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TimeZones.NewYork).ToList();
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Assert.IsNotEmpty(result);
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// assert we fetch the data for the previous and new symbol
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var firstBar = result.First().Values.Single();
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var lastBar = result.Last().Values.Single();
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Assert.IsTrue(firstBar.Symbol.Value.Contains("NWSA"));
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Assert.AreEqual(28, firstBar.Time.Date.Day);
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Assert.IsTrue(lastBar.Symbol.Value.Contains("FOXA"));
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Assert.AreEqual(2, lastBar.Time.Date.Day);
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}
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[Test]
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public void EquitiesAreMappedCorrectly()
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{
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var historyProvider = new SubscriptionDataReaderHistoryProvider();
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historyProvider.Initialize(new HistoryProviderInitializeParameters(
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null,
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null,
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TestGlobals.DataProvider,
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TestGlobals.DataCacheProvider,
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TestGlobals.MapFileProvider,
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TestGlobals.FactorFileProvider,
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null,
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false,
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new DataPermissionManager(),
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null,
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new AlgorithmSettings()));
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var symbol = Symbol.Create("WM",SecurityType.Equity,Market.USA);
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var result = historyProvider.GetHistory(
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new[]
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{
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new HistoryRequest(new DateTime(2008, 01,01),
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new DateTime(2008, 01,05),
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typeof(TradeBar),
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symbol,
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Resolution.Daily,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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TimeZones.NewYork,
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null,
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false,
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false,
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DataNormalizationMode.Raw,
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TickType.Trade)
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},
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TimeZones.NewYork).ToList();
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var firstBar = result.First().Values.Single();
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Assert.AreEqual("WMI", firstBar.Symbol.Value);
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Assert.IsNotEmpty(result);
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}
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}
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}
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