wehub-resource-sync
338 lines
17 KiB
C#
338 lines
17 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.Generic;
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using System.IO;
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using NUnit.Framework;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class SecurityDefinitionSymbolResolverTests
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{
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private DirectoryInfo _testingDataDirectory;
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private SecurityDefinitionSymbolResolver _instance;
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private static readonly Dictionary<string, string> _tickerToSecurityIdentifier = new Dictionary<string, string>
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{
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{"AAPL", "AAPL R735QTJ8XC9X"},
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{"GOOG", "GOOCV VP83T1ZUHROL"},
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{"GOOCV", "GOOCV VP83T1ZUHROL"},
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{"QQQ", "QQQ RIWIV7K5Z9LX"},
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{"QQQQ", "QQQ RIWIV7K5Z9LX"}
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};
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[OneTimeSetUp]
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public void SetUp()
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{
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_testingDataDirectory = Directory.CreateDirectory(Path.Combine(Directory.GetCurrentDirectory(), "testing_data"));
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var symbolPropertiesDirectory = Directory.CreateDirectory(Path.Combine(_testingDataDirectory.FullName, "symbol-properties"));
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var securityDatabaseFilePath = Path.Combine(symbolPropertiesDirectory.FullName, "security-database.csv");
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SecurityDefinitionSymbolResolver.Reset();
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_instance = SecurityDefinitionSymbolResolver.GetInstance(TestGlobals.DataProvider, securityDatabaseFilePath);
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var securityDatabaseLines = string.Join("\n",
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"AAPL R735QTJ8XC9X,03783310,BBG000B9XRY4,2046251,US0378331005,320193",
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"GOOG T1AZ164W5VTX,38259P50,BBG000BHSKN9,B020QX2,US38259P5089,",
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"GOOCV VP83T1ZUHROL,38259P70,BBG002W96FT9,BKM4JZ7,US38259P7069,",
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"QQQ RIWIV7K5Z9LX,73935A10,BBG000BSWKH7,BDQYP67,US46090E1038,");
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File.WriteAllText(securityDatabaseFilePath,securityDatabaseLines);
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}
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[OneTimeTearDown]
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public void TearDown()
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{
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SecurityDefinitionSymbolResolver.Reset();
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_testingDataDirectory.Delete(true);
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}
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[Test]
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public void NoExistingSecurityDefinitions()
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{
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var date = DateTime.UtcNow;
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// SPY
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Assert.IsNull(_instance.ISIN("US78462F1030", date));
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Assert.IsNull(_instance.CUSIP("78462F103", date));
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Assert.IsNull(_instance.CompositeFIGI("BBG001S72SM3", date));
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Assert.IsNull(_instance.SEDOL("BDDXTY3", date));
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Assert.IsEmpty(_instance.CIK(-9999, date));
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}
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[Test]
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public void ResolveCIK()
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{
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var aaplCik = 320193;
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var date = DateTime.UtcNow;
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// AAPL
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var aapl = _instance.CIK(aaplCik, date);
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Assert.IsNotNull(aapl[0]);
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Assert.AreEqual(Symbol.Create("AAPL", SecurityType.Equity, Market.USA), aapl[0]);
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var cik = _instance.CIK(aapl[0]);
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Assert.AreEqual(aaplCik, cik);
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}
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[TestCase("03783310", 2021, 9, 9, "AAPL", Market.USA)]
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[TestCase("03783310", 2002, 9, 9, "AAPL", Market.USA)]
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[TestCase("03783310", 1995, 1, 1, "AAPL", Market.USA)]
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[TestCase("38259P70", 2021, 9, 9, "GOOG", Market.USA)]
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[TestCase("38259P70", 2014, 4, 3, "GOOG", Market.USA)]
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[TestCase("38259P70", 2014, 4, 2, "GOOCV", Market.USA)]
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[TestCase("38259P70", 2014, 3, 10, "GOOCV", Market.USA)]
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[TestCase("38259p70", 2014, 3, 28, "GOOCV", Market.USA)]
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[TestCase("38259P70", 2014, 3, 27, "GOOCV", Market.USA)]
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[TestCase("73935a10", 2021, 9, 9, "QQQ", Market.USA)]
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[TestCase("73935A10", 2012, 12, 21, "QQQ", Market.USA)]
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[TestCase("73935A10", 2011, 3, 23, "QQQ", Market.USA)]
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[TestCase("73935A10", 2011, 3, 22, "QQQQ", Market.USA)]
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[TestCase("73935A10", 2011, 3, 21, "QQQQ", Market.USA)]
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[TestCase("73935a10", 2005, 1, 1, "QQQQ", Market.USA)]
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[TestCase("73935A10", 2004, 12, 1, "QQQQ", Market.USA)]
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[TestCase("73935A10", 2004, 11, 30, "QQQ", Market.USA)]
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[TestCase("73935a10", 2004, 11, 29, "QQQ", Market.USA)]
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[TestCase("73935A10", 1999, 5, 21, "QQQ", Market.USA)]
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[TestCase("73935A10", 1999, 3, 11, "QQQ", Market.USA)]
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[TestCase("73935A10", 1999, 3, 10, "QQQ", Market.USA)]
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[TestCase("73935A10", 1998, 5, 21, "QQQ", Market.USA)]
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[TestCase("", 2021, 9, 9, null, Market.USA)]
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[TestCase("ABCDEF99", 2021, 9, 9, null, Market.USA)]
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[TestCase(null, 2021, 9, 9, null, Market.USA)]
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[TestCase("1", 2021, 9, 9, null, Market.USA)]
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public void ResolvesCUSIP(string cusip, int year, int month, int day, string expectedTicker, string expectedMarket)
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{
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var tradingDate = new DateTime(year, month, day);
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var expectedSid = expectedTicker == null
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? null
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: _tickerToSecurityIdentifier[expectedTicker];
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var symbol = _instance.CUSIP(cusip, tradingDate);
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AssertSymbol(symbol, expectedTicker, expectedSid, expectedMarket);
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AssertSymbolIdentifier(symbol, _instance.CUSIP(symbol), cusip);
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}
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[TestCaseSource(nameof(SymbolToCUSIPTestCases))]
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public void ResolvesSymbolToCUSIP(Symbol symbol, string expectedCusip)
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{
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var cusip = _instance.CUSIP(symbol);
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Assert.AreEqual(expectedCusip, cusip);
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}
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[TestCase("BBG000B9XRY4", 2021, 9, 9, "AAPL", Market.USA)]
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[TestCase("BBG000B9XRY4", 2002, 9, 9, "AAPL", Market.USA)]
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[TestCase("BBG000B9XRY4", 1995, 1, 1, "AAPL", Market.USA)]
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[TestCase("BBG002W96FT9", 2021, 9, 9, "GOOG", Market.USA)]
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[TestCase("BBG002W96FT9", 2014, 4, 3, "GOOG", Market.USA)]
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[TestCase("BBG002W96FT9", 2014, 4, 2, "GOOCV", Market.USA)]
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[TestCase("BBG002W96FT9", 2014, 3, 10, "GOOCV", Market.USA)]
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[TestCase("BBG002W96FT9", 2014, 3, 28, "GOOCV", Market.USA)]
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[TestCase("BBG002W96FT9", 2014, 3, 27, "GOOCV", Market.USA)]
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[TestCase("BBG000BSWKH7", 2021, 9, 9, "QQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 2012, 12, 21, "QQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 2011, 3, 23, "QQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 2011, 3, 22, "QQQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 2011, 3, 21, "QQQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 2005, 1, 1, "QQQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 2004, 12, 1, "QQQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 2004, 11, 30, "QQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 2004, 11, 29, "QQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 1999, 5, 21, "QQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 1999, 3, 11, "QQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 1999, 3, 10, "QQQ", Market.USA)]
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[TestCase("BBG000BSWKH7", 1998, 5, 21, "QQQ", Market.USA)]
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[TestCase("", 2021, 9, 9, null, Market.USA)]
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[TestCase("ABCDEF99", 2021, 9, 9, null, Market.USA)]
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[TestCase(null, 2021, 9, 9, null, Market.USA)]
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[TestCase("1", 2021, 9, 9, null, Market.USA)]
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[TestCase("bbg000BSWKH7", 1998, 5, 21, "QQQ", Market.USA)]
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[TestCase("BBG000BSwKH7", 1998, 5, 21, "QQQ", Market.USA)]
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public void ResolvesCompositeFIGI(string compositeFigi, int year, int month, int day, string expectedTicker, string expectedMarket)
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{
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var tradingDate = new DateTime(year, month, day);
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var expectedSid = expectedTicker == null
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? null
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: _tickerToSecurityIdentifier[expectedTicker];
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var symbol = _instance.CompositeFIGI(compositeFigi, tradingDate);
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AssertSymbol(symbol, expectedTicker, expectedSid, expectedMarket);
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AssertSymbolIdentifier(symbol, _instance.CompositeFIGI(symbol), compositeFigi);
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}
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[TestCaseSource(nameof(SymbolToCompositeFIGITestCases))]
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public void ResolvesSymbolToCompositeFIGI(Symbol symbol, string expectedCompositeFigi)
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{
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var compositeFigi = _instance.CompositeFIGI(symbol);
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Assert.AreEqual(expectedCompositeFigi, compositeFigi);
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}
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[TestCase("2046251", 2021, 9, 9, "AAPL", Market.USA)]
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[TestCase("2046251", 2002, 9, 9, "AAPL", Market.USA)]
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[TestCase("2046251", 1995, 1, 1, "AAPL", Market.USA)]
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[TestCase("BKM4JZ7", 2021, 9, 9, "GOOG", Market.USA)]
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[TestCase("BKM4JZ7", 2014, 4, 3, "GOOG", Market.USA)]
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[TestCase("BKM4JZ7", 2014, 4, 2, "GOOCV", Market.USA)]
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[TestCase("BKM4JZ7", 2014, 3, 10, "GOOCV", Market.USA)]
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[TestCase("BKM4JZ7", 2014, 3, 28, "GOOCV", Market.USA)]
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[TestCase("BKM4JZ7", 2014, 3, 27, "GOOCV", Market.USA)]
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[TestCase("BDQYp67", 2021, 9, 9, "QQQ", Market.USA)]
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[TestCase("BDQYP67", 2012, 12, 21, "QQQ", Market.USA)]
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[TestCase("BDQYP67", 2011, 3, 23, "QQQ", Market.USA)]
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[TestCase("BDqYP67", 2011, 3, 22, "QQQQ", Market.USA)]
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[TestCase("BDQYP67", 2011, 3, 21, "QQQQ", Market.USA)]
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[TestCase("BDQYP67", 2005, 1, 1, "QQQQ", Market.USA)]
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[TestCase("BDQYP67", 2004, 12, 1, "QQQQ", Market.USA)]
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[TestCase("bDQYP67", 2004, 11, 30, "QQQ", Market.USA)]
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[TestCase("BDQYP67", 2004, 11, 29, "QQQ", Market.USA)]
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[TestCase("bdqyp67", 1999, 5, 21, "QQQ", Market.USA)]
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[TestCase("BDQYP67", 1999, 3, 11, "QQQ", Market.USA)]
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[TestCase("BDQYP67", 1999, 3, 10, "QQQ", Market.USA)]
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[TestCase("BDQYP67", 1998, 5, 21, "QQQ", Market.USA)]
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[TestCase("", 2021, 9, 9, null, Market.USA)]
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[TestCase("ABCDEF99", 2021, 9, 9, null, Market.USA)]
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[TestCase(null, 2021, 9, 9, null, Market.USA)]
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[TestCase("1", 2021, 9, 9, null, Market.USA)]
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public void ResolvesSEDOL(string sedol, int year, int month, int day, string expectedTicker, string expectedMarket)
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{
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var tradingDate = new DateTime(year, month, day);
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var expectedSid = expectedTicker == null
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? null
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: _tickerToSecurityIdentifier[expectedTicker];
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var symbol = _instance.SEDOL(sedol, tradingDate);
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AssertSymbol(symbol, expectedTicker, expectedSid, expectedMarket);
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AssertSymbolIdentifier(symbol, _instance.SEDOL(symbol), sedol);
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}
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[TestCaseSource(nameof(SymbolToSEDOLTestCases))]
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public void ResolvesSymbolToSEDOL(Symbol symbol, string expectedSedol)
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{
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var sedol = _instance.SEDOL(symbol);
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Assert.AreEqual(expectedSedol, sedol);
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}
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[TestCase("US0378331005", 2021, 9, 9, "AAPL", Market.USA)]
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[TestCase("US0378331005", 2002, 9, 9, "AAPL", Market.USA)]
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[TestCase("US0378331005", 1995, 1, 1, "AAPL", Market.USA)]
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[TestCase("US38259P7069", 2021, 9, 9, "GOOG", Market.USA)]
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[TestCase("US38259P7069", 2014, 4, 3, "GOOG", Market.USA)]
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[TestCase("US38259P7069", 2014, 4, 2, "GOOCV", Market.USA)]
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[TestCase("US38259P7069", 2014, 3, 10, "GOOCV", Market.USA)]
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[TestCase("US38259P7069", 2014, 3, 28, "GOOCV", Market.USA)]
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[TestCase("US38259P7069", 2014, 3, 27, "GOOCV", Market.USA)]
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[TestCase("US46090E1038", 2021, 9, 9, "QQQ", Market.USA)]
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[TestCase("US46090E1038", 2012, 12, 21, "QQQ", Market.USA)]
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[TestCase("US46090E1038", 2011, 3, 23, "QQQ", Market.USA)]
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[TestCase("US46090E1038", 2011, 3, 22, "QQQQ", Market.USA)]
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[TestCase("US46090E1038", 2011, 3, 21, "QQQQ", Market.USA)]
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[TestCase("US46090E1038", 2005, 1, 1, "QQQQ", Market.USA)]
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[TestCase("US46090E1038", 2004, 12, 1, "QQQQ", Market.USA)]
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[TestCase("us46090E1038", 2004, 11, 30, "QQQ", Market.USA)]
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[TestCase("US46090E1038", 2004, 11, 29, "QQQ", Market.USA)]
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[TestCase("US46090E1038", 1999, 5, 21, "QQQ", Market.USA)]
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[TestCase("US46090e1038", 1999, 3, 11, "QQQ", Market.USA)]
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[TestCase("US46090E1038", 1999, 3, 10, "QQQ", Market.USA)]
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[TestCase("US46090E1038", 1998, 5, 21, "QQQ", Market.USA)]
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[TestCase("", 2021, 9, 9, null, Market.USA)]
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[TestCase("ABCDEF99", 2021, 9, 9, null, Market.USA)]
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[TestCase(null, 2021, 9, 9, null, Market.USA)]
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[TestCase("1", 2021, 9, 9, null, Market.USA)]
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public void ResolvesISIN(string isin, int year, int month, int day, string expectedTicker, string expectedMarket)
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{
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var tradingDate = new DateTime(year, month, day);
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var expectedSid = expectedTicker == null
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? null
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: _tickerToSecurityIdentifier[expectedTicker];
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var symbol = _instance.ISIN(isin, tradingDate);
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AssertSymbol(symbol, expectedTicker, expectedSid, expectedMarket);
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AssertSymbolIdentifier(symbol, _instance.ISIN(symbol), isin);
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}
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[TestCaseSource(nameof(SymbolToISINTestCases))]
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public void ResolvesSymbolToISIN(Symbol symbol, string expectedIsin)
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{
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var isin = _instance.ISIN(symbol);
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Assert.AreEqual(expectedIsin, isin);
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}
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private static void AssertSymbol(Symbol actual, string expectedTicker, string expectedSid, string expectedMarket)
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{
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Assert.AreEqual(expectedTicker, actual?.Value);
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Assert.AreEqual(expectedSid, actual?.ID.ToString());
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Assert.AreEqual(expectedMarket, actual?.ID.Market ?? expectedMarket);
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}
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private static void AssertSymbolIdentifier(Symbol symbol, string reconvertedIdentifier, string expectedIdentifier)
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{
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var expected = symbol != null ? expectedIdentifier.ToUpperInvariant() : null;
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Assert.AreEqual(expected, reconvertedIdentifier);
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}
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private static TestCaseData[] SymbolToCUSIPTestCases => new[]
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{
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new TestCaseData(Symbol.Create("AAPL", SecurityType.Equity, Market.USA), "03783310"),
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new TestCaseData(Symbol.Create("GOOG", SecurityType.Equity, Market.USA), "38259P70"),
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new TestCaseData(Symbol.Create("GOOCV", SecurityType.Equity, Market.USA), "38259P70"),
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new TestCaseData(Symbol.Create("QQQ", SecurityType.Equity, Market.USA), "73935A10"),
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new TestCaseData(Symbol.Create("QQQQ", SecurityType.Equity, Market.USA), "73935A10"),
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new TestCaseData(Symbol.Create("ABCD", SecurityType.Equity, Market.USA), null),
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new TestCaseData(null, null)
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};
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private static TestCaseData[] SymbolToCompositeFIGITestCases => new[]
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{
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new TestCaseData(Symbol.Create("AAPL", SecurityType.Equity, Market.USA), "BBG000B9XRY4"),
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new TestCaseData(Symbol.Create("GOOG", SecurityType.Equity, Market.USA), "BBG002W96FT9"),
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new TestCaseData(Symbol.Create("GOOCV", SecurityType.Equity, Market.USA), "BBG002W96FT9"),
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new TestCaseData(Symbol.Create("QQQ", SecurityType.Equity, Market.USA), "BBG000BSWKH7"),
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new TestCaseData(Symbol.Create("QQQQ", SecurityType.Equity, Market.USA), "BBG000BSWKH7"),
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new TestCaseData(Symbol.Create("ABCD", SecurityType.Equity, Market.USA), null),
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new TestCaseData(null, null)
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};
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private static TestCaseData[] SymbolToSEDOLTestCases => new[]
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{
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new TestCaseData(Symbol.Create("AAPL", SecurityType.Equity, Market.USA), "2046251"),
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new TestCaseData(Symbol.Create("GOOG", SecurityType.Equity, Market.USA), "BKM4JZ7"),
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new TestCaseData(Symbol.Create("GOOCV", SecurityType.Equity, Market.USA), "BKM4JZ7"),
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new TestCaseData(Symbol.Create("QQQ", SecurityType.Equity, Market.USA), "BDQYP67"),
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new TestCaseData(Symbol.Create("QQQQ", SecurityType.Equity, Market.USA), "BDQYP67"),
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new TestCaseData(Symbol.Create("ABCD", SecurityType.Equity, Market.USA), null),
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new TestCaseData(null, null)
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};
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private static TestCaseData[] SymbolToISINTestCases => new[]
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{
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new TestCaseData(Symbol.Create("AAPL", SecurityType.Equity, Market.USA), "US0378331005"),
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new TestCaseData(Symbol.Create("GOOG", SecurityType.Equity, Market.USA), "US38259P7069"),
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new TestCaseData(Symbol.Create("GOOCV", SecurityType.Equity, Market.USA), "US38259P7069"),
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new TestCaseData(Symbol.Create("QQQ", SecurityType.Equity, Market.USA), "US46090E1038"),
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new TestCaseData(Symbol.Create("QQQQ", SecurityType.Equity, Market.USA), "US46090E1038"),
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new TestCaseData(Symbol.Create("ABCD", SecurityType.Equity, Market.USA), null),
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new TestCaseData(null, null)
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};
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}
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}
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