wehub-resource-sync
127 lines
4.6 KiB
C#
127 lines
4.6 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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using System;
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using System.Collections.Generic;
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using System.Reflection;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Brokerages.Backtesting;
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using QuantConnect.Data.Market;
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using QuantConnect.Lean.Engine;
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using QuantConnect.Lean.Engine.TransactionHandlers;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Engine
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{
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/// <summary>
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/// Tests the ProcessSplitSymbols method directly via reflection to ensure
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/// it properly skips processing during warmup in live mode.
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/// </summary>
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[TestFixture]
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public class ProcessSplitSymbolsDuringWarmupTests
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{
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private QCAlgorithm _algorithm;
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private AlgorithmManager _algorithmManager;
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private BrokerageTransactionHandler _transactionHandler;
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private TestResultHandler _resultHandler;
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private BacktestingBrokerage _brokerage;
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private MethodInfo _processSplitSymbolsMethod;
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[SetUp]
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public void SetUp()
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{
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// Create algorithm instance
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_algorithm = new QCAlgorithm();
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// Initialize data manager
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_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
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_algorithm.SetDateTime(new DateTime(2025, 10, 10, 19, 0, 0));
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// Add equity with market price
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var spy = _algorithm.AddEquity("SPY", Resolution.Daily);
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spy.SetMarketPrice(new Tick { Value = 100m, Symbol = spy.Symbol, Time = _algorithm.Time });
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// Initialize transaction components
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_transactionHandler = new BrokerageTransactionHandler();
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_resultHandler = new TestResultHandler();
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_brokerage = new BacktestingBrokerage(_algorithm);
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_transactionHandler.Initialize(_algorithm, _brokerage, _resultHandler);
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_algorithm.Transactions.SetOrderProcessor(_transactionHandler);
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// Create AlgorithmManager and get ProcessSplitSymbols method via reflection
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_algorithmManager = new AlgorithmManager(false);
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_processSplitSymbolsMethod = typeof(AlgorithmManager).GetMethod(
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"ProcessSplitSymbols",
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BindingFlags.NonPublic | BindingFlags.Instance
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);
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Assert.IsNotNull(_processSplitSymbolsMethod, "ProcessSplitSymbols method should be found via reflection");
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}
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[TearDown]
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public void TearDown()
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{
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_transactionHandler?.Exit();
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_brokerage?.Dispose();
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_resultHandler?.Exit();
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}
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[TestCase(false, false, true)]
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[TestCase(true, false, true)]
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[TestCase(false, true, true)]
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[TestCase(true, true, true)]
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[TestCase(false, false, false)]
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[TestCase(true, false, false)]
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[TestCase(false, true, false)]
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[TestCase(true, true, false)]
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public void ProcessSplitSymbolsDoesNotThrow(bool liveMode, bool isWarmingUp, bool hasHoldings)
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{
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_algorithm.SetLiveMode(liveMode);
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if (!isWarmingUp)
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{
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_algorithm.SetFinishedWarmingUp();
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}
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Assert.AreEqual(isWarmingUp, _algorithm.IsWarmingUp, $"Algorithm should be warming up: {isWarmingUp}");
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var splitWarnings = new List<Split>
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{
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new Split(
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Symbols.SPY,
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_algorithm.Time,
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100m,
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0.5m,
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SplitType.Warning
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)
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};
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if (hasHoldings)
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{
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_algorithm.Securities[Symbols.SPY].Holdings.SetHoldings(350, 100);
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}
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Assert.DoesNotThrow(() =>
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{
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_processSplitSymbolsMethod.Invoke(
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_algorithmManager,
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new object[] { _algorithm, splitWarnings, new List<Delisting>() }
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);
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});
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Assert.AreEqual(0, splitWarnings.Count, "Split warning should be removed");
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}
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}
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}
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