wehub-resource-sync
111 lines
4.6 KiB
C#
111 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.Linq;
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using NUnit.Framework;
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using QuantConnect.Util;
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using static QuantConnect.StringExtensions;
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namespace QuantConnect.Tests.Common.Util
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{
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[TestFixture]
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public class LeanDataPathComponentsTests
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{
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public sealed class Arguments
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{
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public Symbol Symbol { get; set; }
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public DateTime Date { get; set; }
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public Resolution Resolution { get; set; }
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public TickType TickType { get; set; }
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public string Market { get; set; }
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public Arguments(Symbol symbol, DateTime date, Resolution resolution, string market, TickType tickType)
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{
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Symbol = symbol;
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Date = date;
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Resolution = resolution;
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TickType = tickType;
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Market = market;
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if (symbol.ID.SecurityType != SecurityType.Option && (resolution == Resolution.Hour || resolution == Resolution.Daily))
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{
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// for the time being this is true, eventually I'm sure we'd like to support hourly/daily quote data in other security types
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TickType = TickType.Trade;
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}
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}
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}
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private static TestCaseData[] GetTestCases()
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{
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var referenceDate = new DateTime(2016, 11, 1);
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var tickTypes = Enum.GetValues(typeof(TickType)).Cast<TickType>();
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var resolutions = Enum.GetValues(typeof (Resolution)).Cast<Resolution>();
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var securityTypes = Enum.GetValues(typeof (SecurityType)).Cast<SecurityType>();
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var markets = typeof (Market).GetFields().Where(f => f.IsLiteral && !f.IsInitOnly)
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.Select(f => (string) f.GetValue(null));
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var results = (
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from securityType in securityTypes
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where securityType != SecurityType.Commodity
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from market in markets
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from resolution in resolutions
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from tickType in tickTypes
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let date = resolution == Resolution.Hour || resolution == Resolution.Daily ? DateTime.MinValue : referenceDate
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let name = Invariant($"{securityType}-{market}-{resolution}-{tickType}").ToLowerInvariant()
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where TryInvoke(() => Symbol.Create(name, securityType, market))
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let symbol = securityType != SecurityType.Option
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? Symbol.Create(name, securityType, market)
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: Symbol.CreateOption(name, market, OptionStyle.American, default, 0, SecurityIdentifier.DefaultDate)
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select new TestCaseData(new Arguments(symbol, date, resolution, market, tickType))
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.SetName(name)
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).ToArray();
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return results;
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}
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[Test, TestCaseSource(nameof(GetTestCases))]
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public void DecomposesAccordingToLeanDataFileGeneration(Arguments args)
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{
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var sourceString = LeanData.GenerateRelativeZipFilePath(args.Symbol, args.Date, args.Resolution, args.TickType);
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var decomposed = LeanDataPathComponents.Parse(sourceString);
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var expectedFileName = LeanData.GenerateZipFileName(args.Symbol, args.Date, args.Resolution, args.TickType);
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Assert.AreEqual(args.Symbol, decomposed.Symbol);
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Assert.AreEqual(args.Date, decomposed.Date);
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Assert.AreEqual(expectedFileName, decomposed.Filename);
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Assert.AreEqual(args.Symbol.ID.SecurityType, decomposed.SecurityType);
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Assert.AreEqual(args.Symbol.ID.Market, decomposed.Market);
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Assert.AreEqual(args.TickType, decomposed.TickType);
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Assert.AreEqual(args.Market, decomposed.Market);
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}
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private static bool TryInvoke(Action action)
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{
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try
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{
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action();
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return true;
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}
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catch
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{
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return false;
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throw;
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}
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}
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}
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}
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