wehub-resource-sync
183 lines
11 KiB
C#
183 lines
11 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.Linq;
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using NUnit.Framework;
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using QuantConnect.Util;
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using QuantConnect.Data;
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using System.Globalization;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Brokerages;
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namespace QuantConnect.Tests.Common.Util
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{
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[TestFixture]
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public class HistoryExtensionsTests
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{
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[TestCase("GOOGL", "2010/01/01", "2014/02/04", 1, "GOOG", Description = "[GOOG: 2004/08/19 - 2014/04/02][GOOGL: 2014/04/03 - ...)")]
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[TestCase("GOOGL", "2004/08/19", "2014/04/02", 1, "GOOG", Description = "[GOOG: 2004/08/19 - 2014/04/02][GOOGL: 2014/04/03 - ...)")]
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[TestCase("GOOGL", "2000/01/01", "2002/02/04", 1, "GOOG", Description = "Before founded date [GOOG: 2004/08/19 - ...")]
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[TestCase("GOOGL", "2010/01/01", "2015/02/16", 2, "GOOG,GOOGL")]
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[TestCase("GOOGL", "2020/01/01", "2024/01/01", 1, "GOOGL")]
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[TestCase("GOOG", "2013/04/03", "2023/01/01", 2, "GOOCV,GOOG")]
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[TestCase("SPWR", "2007/11/17", "2023/01/01", 3, "SPWR,SPWRA,SPWR", Description = "[SPWR: 2005/11/17 - 2008/09/29][SPWRA: 2008/09/30 - 2011/11/16][SPWR: 2011/11/17 - ...)")]
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[TestCase("SPWR", "2005/11/17", "2011/11/16", 2, "SPWR,SPWRA")]
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[TestCase("SPWR", "2011/11/17", "2023/01/01", 1, "SPWR")]
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[TestCase("AAPL", "2008/02/01", "2024/03/01", 1, "AAPL")]
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[TestCase("NFLX", "2022/02/01", "2024/03/01", 1, "NFLX", Description = "The Symbol is not presented in map files")]
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public void GetSplitHistoricalRequestWithTheSameSymbolButDifferentTicker(string ticker, DateTime startDateTime, DateTime endDateTime, int expectedAmount, string expectedTickers)
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{
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var symbol = Symbol.Create(ticker, SecurityType.Equity, Market.USA);
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var historyRequest = TestsHelpers.GetHistoryRequest(symbol, startDateTime, endDateTime, Resolution.Daily, TickType.Trade);
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var historyRequests = historyRequest.SplitHistoryRequestWithUpdatedMappedSymbol(TestGlobals.MapFileProvider).ToList();
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Assert.IsNotNull(historyRequests);
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Assert.IsNotEmpty(historyRequests);
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Assert.That(historyRequests.Count, Is.EqualTo(expectedAmount));
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if (expectedAmount >= 2)
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{
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var (firstHistoryRequest, secondHistoryRequest) = (historyRequests[0], historyRequests[1]);
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Assert.IsTrue(firstHistoryRequest.Symbol.Value != secondHistoryRequest.Symbol.Value);
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Assert.That(startDateTime, Is.EqualTo(firstHistoryRequest.StartTimeUtc));
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Assert.That(startDateTime, Is.Not.EqualTo(secondHistoryRequest.StartTimeUtc));
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Assert.That(firstHistoryRequest.EndTimeLocal, Is.EqualTo(secondHistoryRequest.StartTimeLocal));
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Assert.That(firstHistoryRequest.EndTimeUtc, Is.EqualTo(secondHistoryRequest.StartTimeUtc));
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Assert.That(endDateTime, Is.Not.EqualTo(firstHistoryRequest.EndTimeUtc));
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Assert.That(endDateTime, Is.EqualTo(historyRequests[expectedAmount - 1].EndTimeUtc));
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Assert.That(firstHistoryRequest.StartTimeUtc, Is.Not.EqualTo(secondHistoryRequest.StartTimeUtc));
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Assert.That(firstHistoryRequest.EndTimeUtc, Is.Not.EqualTo(secondHistoryRequest.EndTimeUtc));
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Assert.That(firstHistoryRequest.StartTimeLocal, Is.Not.EqualTo(secondHistoryRequest.StartTimeLocal));
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Assert.That(firstHistoryRequest.EndTimeLocal, Is.Not.EqualTo(secondHistoryRequest.EndTimeLocal));
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}
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if (expectedTickers != null)
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{
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foreach (var (actualTicker, expectedTicker) in historyRequests.Zip(expectedTickers.Split(','), (t, et) => (t.Symbol.Value, et)))
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{
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Assert.That(actualTicker, Is.EqualTo(expectedTicker));
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}
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}
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}
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[TestCase(Futures.Metals.Gold, 1)]
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[TestCase(Futures.Indices.SP500EMini, 1)]
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public void GetSplitHistoricalRequestFutureSymbol(string ticker, int expectedAmount)
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{
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var futureSymbol = Symbols.CreateFutureSymbol(ticker, new DateTime(2024, 3, 29));
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var historyRequest = TestsHelpers.GetHistoryRequest(futureSymbol, new DateTime(2024, 3, 4), new DateTime(2024, 3, 5), Resolution.Daily, TickType.Trade);
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var historyRequests = historyRequest.SplitHistoryRequestWithUpdatedMappedSymbol(TestGlobals.MapFileProvider).ToList();
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Assert.IsNotNull(historyRequests);
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Assert.IsNotEmpty(historyRequests);
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Assert.That(historyRequests.Count, Is.EqualTo(expectedAmount));
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}
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[TestCase("GOOGL", "2010/01/01", "2014/02/04")]
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[TestCase("GOOGL", "2000/01/01", "2002/02/04")]
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[TestCase("GOOGL", "2010/01/01", "2015/02/16")]
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[TestCase("GOOGL", "2020/01/01", "2024/01/01")]
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[TestCase("GOOG", "2013/04/03", "2023/01/01")]
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[TestCase("SPWR", "2007/11/17", "2023/01/01")]
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[TestCase("SPWR", "2011/11/17", "2023/01/01")]
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[TestCase("AAPL", "2008/02/01", "2024/03/01")]
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[TestCase("NFLX", "2022/02/01", "2024/03/01")]
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[TestCase("SPWR", "2005/11/17", "2011/11/16", Description = "[SPWR: 2005/11/17 - 2008/09/29][SPWRA: 2008/09/30 - 2011/11/16][SPWR: 2011/11/17 - ...)")]
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[TestCase("SPWR", "2005/11/17", "2008/09/29")]
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[TestCase("SPWR", "2008/09/30", "2011/11/16")]
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[TestCase("SPWR", "2008/09/29", "2011/11/16")]
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[TestCase("SPWR", "2008/09/28", "2011/11/18")]
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[TestCase("SPWR", "2008/09/29", "2011/11/17")]
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[TestCase("SPWR", "2011/11/17", "2022/11/16")]
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public void GetSplitHistoricalRequestAndValidateEndDateInDifferentTimeZones(
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string ticker,
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DateTime userRequestedStartDateTime,
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DateTime userRequestedEndDateTime
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)
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{
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var symbol = Symbol.Create(ticker, SecurityType.Equity, Market.USA);
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foreach (var timeZone in TestsHelpers.GetTimeZones())
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{
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var historyRequest = TestsHelpers.GetHistoryRequest(symbol, userRequestedStartDateTime, userRequestedEndDateTime, Resolution.Daily, TickType.Trade, timeZone);
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var historyRequests = historyRequest.SplitHistoryRequestWithUpdatedMappedSymbol(TestGlobals.MapFileProvider).ToList();
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// Ensure that the user-requested end date time matches the end time of the last history request.
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Assert.That(userRequestedEndDateTime, Is.EqualTo(historyRequests.Last().EndTimeUtc));
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Assert.That(userRequestedEndDateTime.ConvertFromUtc(timeZone), Is.EqualTo(historyRequests.Last().EndTimeLocal));
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Assert.That(userRequestedStartDateTime, Is.EqualTo(historyRequests.First().StartTimeUtc));
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Assert.That(userRequestedStartDateTime.ConvertFromUtc(timeZone), Is.EqualTo(historyRequests.First().StartTimeLocal));
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// Ensure that the end time of the previous history request matches the start time of the next one.
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for (int i = 0; i < historyRequests.Count - 1; i++)
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{
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Assert.That(historyRequests[i].EndTimeLocal, Is.EqualTo(historyRequests[i + 1].StartTimeLocal));
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Assert.That(historyRequests[i].EndTimeUtc, Is.EqualTo(historyRequests[i + 1].StartTimeUtc));
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}
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}
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}
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[TestCase("GOOGL", "2010/01/01", "2015/02/16", "2010/01/01-2014/04/03,2014/04/03-2015/02/16", Description = "[GOOG:2004/08/19 - 2014/04/02][GOOGL: 2014/04/03 - ...)")]
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[TestCase("GOOG", "2013/04/03", "2023/01/01", "2013/04/03-2014/04/03,2014/04/03-2023/01/01")]
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[TestCase("SPWR", "2007/11/17", "2023/01/01", "2007/11/17-2008/09/30,2008/09/30-2011/11/17,2011/11/17-2023/01/01", Description = "[SPWR: 2005/11/17 - 2008/09/29][SPWRA: 2008/09/30 - 2011/11/16][SPWR: 2011/11/17 - ...)")]
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[TestCase("SPWR", "2005/11/17", "2011/11/16", "2005/11/17-2008/09/30,2008/09/30-2011/11/16")]
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public void GetSplitHistoricalRequestReturnExpectedDateTimeRanges(
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string ticker, DateTime startDateTime, DateTime endDateTime, string expectedDateTimeRanges)
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{
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var symbol = Symbol.Create(ticker, SecurityType.Equity, Market.USA);
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var dateRanges = expectedDateTimeRanges?.Split(',').Select(x => x.Split('-'))
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.ToList(x => (startDateTime: DateTime.Parse(x[0],CultureInfo.InvariantCulture), endDateTime: DateTime.Parse(x[1],CultureInfo.InvariantCulture)));
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foreach (var timeZone in TestsHelpers.GetTimeZones())
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{
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var historyRequest = TestsHelpers.GetHistoryRequest(symbol, startDateTime, endDateTime, Resolution.Daily, TickType.Trade, timeZone);
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var historyRequests = historyRequest.SplitHistoryRequestWithUpdatedMappedSymbol(TestGlobals.MapFileProvider).ToList();
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if (historyRequests.Count == 2)
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{
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Assert.That(historyRequests[0].StartTimeUtc, Is.EqualTo(dateRanges[0].startDateTime));
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Assert.That(historyRequests[0].EndTimeUtc, Is.EqualTo(dateRanges[0].endDateTime.ConvertToUtc(timeZone)));
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Assert.That(historyRequests[1].StartTimeUtc, Is.EqualTo(dateRanges[1].startDateTime.ConvertToUtc(timeZone)));
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Assert.That(historyRequests[1].EndTimeUtc, Is.EqualTo(dateRanges[1].endDateTime));
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}
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if (historyRequests.Count == 3)
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{
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Assert.That(historyRequests[0].StartTimeUtc, Is.EqualTo(dateRanges[0].startDateTime));
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Assert.That(historyRequests[0].EndTimeUtc, Is.EqualTo(dateRanges[0].endDateTime.ConvertToUtc(timeZone)));
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Assert.That(historyRequests[1].StartTimeUtc, Is.EqualTo(dateRanges[1].startDateTime.ConvertToUtc(timeZone)));
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Assert.That(historyRequests[1].EndTimeUtc, Is.EqualTo(dateRanges[1].endDateTime.ConvertToUtc(timeZone)));
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Assert.That(historyRequests[2].StartTimeUtc, Is.EqualTo(dateRanges[2].startDateTime.ConvertToUtc(timeZone)));
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Assert.That(historyRequests[2].EndTimeUtc, Is.EqualTo(dateRanges[2].endDateTime));
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}
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}
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}
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}
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}
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