wehub-resource-sync
248 lines
9.5 KiB
C#
248 lines
9.5 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 NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.Consolidators;
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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture]
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public class ConsolidatorWrapperTests
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{
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[TestCase(0)]
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[TestCase(1)]
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[TestCase(100)]
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public void InitialScanTime(int seconds)
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{
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var time = new DateTime(2024, 2, 16);
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var timeKeeper = new TimeKeeper(time, TimeZones.NewYork);
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var localtime = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
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var increment = TimeSpan.FromSeconds(seconds);
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using var consolidator = new TestConsolidator();
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using var wrapper = new ConsolidatorWrapper(consolidator, increment, timeKeeper, localtime);
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wrapper.AdvanceScanTime();
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Assert.AreEqual(time.Add(increment < Time.OneSecond ? Time.OneSecond : increment), wrapper.UtcScanTime);
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}
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[TestCase(2)]
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[TestCase(100)]
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public void ScanTimeAfterScanUtcTimeInPast(int seconds)
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{
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var time = new DateTime(2024, 2, 16);
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var timeKeeper = new TimeKeeper(time, TimeZones.NewYork);
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var localtime = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
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var increment = TimeSpan.FromSeconds(seconds);
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using var consolidator = new TestConsolidator();
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using var wrapper = new ConsolidatorWrapper(consolidator, increment, timeKeeper, localtime);
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wrapper.AdvanceScanTime();
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var expected = time.Add(increment < Time.OneSecond ? Time.OneSecond : increment);
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Assert.AreEqual(expected, wrapper.UtcScanTime);
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timeKeeper.SetUtcDateTime(time.Add(Time.OneSecond));
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wrapper.Scan();
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Assert.AreEqual(expected, wrapper.UtcScanTime);
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}
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[TestCase(2)]
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[TestCase(100)]
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public void ScanTimeAfterScanUtcTimeInFuture(int seconds)
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{
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var time = new DateTime(2024, 2, 16);
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var timeKeeper = new TimeKeeper(time, TimeZones.NewYork);
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var localtime = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
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var increment = TimeSpan.FromSeconds(seconds);
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using var consolidator = new TestConsolidator();
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using var wrapper = new ConsolidatorWrapper(consolidator, increment, timeKeeper, localtime);
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wrapper.AdvanceScanTime();
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var expected = time.Add(increment < Time.OneSecond ? Time.OneSecond : increment);
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Assert.AreEqual(expected, wrapper.UtcScanTime);
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timeKeeper.SetUtcDateTime(time.Add(Time.OneDay));
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wrapper.Scan();
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Assert.AreEqual(expected.Add(Time.OneDay), wrapper.UtcScanTime);
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}
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[TestCase(-1, true)]
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[TestCase(0, true)]
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[TestCase(1, true)]
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[TestCase(2, true)]
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[TestCase(3, true)]
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[TestCase(24, true)]
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[TestCase(-24, true)]
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[TestCase(-1, false)]
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[TestCase(0, false)]
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[TestCase(1, false)]
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[TestCase(2, false)]
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[TestCase(3, false)]
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[TestCase(24, false)]
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[TestCase(-24, false)]
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public void ScanTimeAfterConsolidationDayLightSavings(int hoursShift, bool savingsStart)
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{
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var tz = TimeZones.NewYork;
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DateTime time;
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if (savingsStart)
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{
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time = new DateTime(2024, 3, 10).AddHours(hoursShift).ConvertToUtc(tz);
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}
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else
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{
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time = new DateTime(2024, 11, 3).AddHours(hoursShift).ConvertToUtc(tz);
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}
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var timeKeeper = new TimeKeeper(time, tz);
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var localtime = timeKeeper.GetLocalTimeKeeper(tz);
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var increment = Time.OneHour;
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using var consolidator = new TestConsolidator();
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using var wrapper = new ConsolidatorWrapper(consolidator, increment, timeKeeper, localtime);
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wrapper.AdvanceScanTime();
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var expected = time.Add(Time.OneHour);
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Assert.AreEqual(expected, wrapper.UtcScanTime);
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consolidator.Consolidate(new TradeBar { Time = time.AddMinutes(100), Period = Time.OneDay });
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Assert.AreEqual(consolidator.Consolidated.EndTime.ConvertToUtc(tz) + Time.OneDay, wrapper.UtcScanTime);
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}
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[TestCase(-1, true)]
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[TestCase(0, true)]
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[TestCase(1, true)]
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[TestCase(2, true)]
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[TestCase(3, true)]
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[TestCase(24, true)]
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[TestCase(-24, true)]
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[TestCase(-1, false)]
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[TestCase(0, false)]
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[TestCase(1, false)]
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[TestCase(2, false)]
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[TestCase(3, false)]
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[TestCase(24, false)]
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[TestCase(-24, false)]
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public void ScanTimeOnWorkingBarDayLightSavings(int hoursShift, bool savingsStart)
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{
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var tz = TimeZones.NewYork;
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DateTime time;
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if (savingsStart)
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{
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time = new DateTime(2024, 3, 10).AddHours(hoursShift).ConvertToUtc(tz);
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}
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else
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{
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time = new DateTime(2024, 11, 3).AddHours(hoursShift).ConvertToUtc(tz);
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}
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var timeKeeper = new TimeKeeper(time, tz);
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var localtime = timeKeeper.GetLocalTimeKeeper(tz);
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var increment = Time.OneHour;
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using var consolidator = new TestConsolidator();
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using var wrapper = new ConsolidatorWrapper(consolidator, increment, timeKeeper, localtime);
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wrapper.AdvanceScanTime();
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var expected = time.Add(Time.OneHour);
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Assert.AreEqual(expected, wrapper.UtcScanTime);
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timeKeeper.SetUtcDateTime(wrapper.UtcScanTime);
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// set a working bars
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consolidator.WorkingData = new TradeBar { Time = time.AddMinutes(100), Period = Time.OneDay };
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wrapper.Scan();
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// after the scan we adjust the expected end time to the working bar
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Assert.AreEqual(consolidator.WorkingData.EndTime.ConvertToUtc(tz), wrapper.UtcScanTime);
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}
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[Test]
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public void ConsolidatorScanPriorityComparerComparesByUtcScanDate()
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{
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const int id = 1;
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var utcScanTime = new DateTime(2024, 12, 10, 0, 0, 0, DateTimeKind.Utc);
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var priority1 = new ConsolidatorScanPriority(utcScanTime, id);
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var priority2 = new ConsolidatorScanPriority(utcScanTime.AddSeconds(1), id + 1);
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var priority3 = new ConsolidatorScanPriority(utcScanTime, id + 1);
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Assert.AreEqual(-1, ConsolidatorScanPriority.Comparer.Compare(priority1, priority2));
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Assert.AreEqual(1, ConsolidatorScanPriority.Comparer.Compare(priority2, priority1));
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Assert.AreEqual(1, ConsolidatorScanPriority.Comparer.Compare(priority3, priority1));
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Assert.AreEqual(-1, ConsolidatorScanPriority.Comparer.Compare(priority3, priority2));
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Assert.AreEqual(0, ConsolidatorScanPriority.Comparer.Compare(priority1, priority1));
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}
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[Test]
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public void ConsolidatorScanPriorityComparerComparesByIdIfUtcScanTimesAreEqual()
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{
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const int id = 1;
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var utcScanTime = new DateTime(2024, 12, 10, 0, 0, 0, DateTimeKind.Utc);
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var priority1 = new ConsolidatorScanPriority(utcScanTime, id);
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var priority2 = new ConsolidatorScanPriority(utcScanTime, id + 1);
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Assert.AreEqual(1, ConsolidatorScanPriority.Comparer.Compare(priority2, priority1));
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}
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[Test]
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public void ConsolidatorScanPriorityComparerTreatsNullsRight()
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{
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const int id = 1;
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var utcScanTime = new DateTime(2024, 12, 10, 0, 0, 0, DateTimeKind.Utc);
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var priority1 = new ConsolidatorScanPriority(utcScanTime, id);
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Assert.AreEqual(1, ConsolidatorScanPriority.Comparer.Compare(priority1, null));
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Assert.AreEqual(-1, ConsolidatorScanPriority.Comparer.Compare(null, priority1));
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Assert.AreEqual(0, ConsolidatorScanPriority.Comparer.Compare(null, null));
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}
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private class TestConsolidator : IDataConsolidator
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{
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public IBaseData Consolidated { get; set; }
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public IBaseData WorkingData { get; set; }
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public Type InputType => typeof(BaseData);
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public Type OutputType => typeof(BaseData);
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public event DataConsolidatedHandler DataConsolidated;
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public void Dispose()
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{
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}
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public void Scan(DateTime currentLocalTime)
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{
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}
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public void Update(IBaseData data)
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{
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}
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public void Consolidate(BaseData dataPoint)
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{
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Consolidated = dataPoint;
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DataConsolidated?.Invoke(this, dataPoint);
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}
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public void Reset()
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{
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}
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}
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}
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}
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