wehub-resource-sync
117 lines
4.5 KiB
C#
117 lines
4.5 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 NodaTime;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Packets;
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using QuantConnect.Interfaces;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class LiveSubscriptionEnumeratorTests
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{
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[Test]
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public void HandlesSymbolMapping()
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{
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var canonical = Symbols.Fut_SPY_Feb19_2016.Canonical;
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var dataQueue = new TestDataQueueHandler
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{
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DataPerSymbol = new Dictionary<Symbol, List<BaseData>>
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{
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{ Symbols.Fut_SPY_Feb19_2016,
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new List<BaseData>{ new Tick(Time.BeginningOfTime, Symbols.Fut_SPY_Feb19_2016, 1, 1)} },
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{ Symbols.Fut_SPY_Mar19_2016,
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new List<BaseData>{ new Tick(Time.BeginningOfTime, Symbols.Fut_SPY_Mar19_2016, 2, 2)} },
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}
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};
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var config = new SubscriptionDataConfig(typeof(Tick), canonical, Resolution.Tick,
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DateTimeZone.Utc, DateTimeZone.Utc, false, false, false)
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{
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MappedSymbol = Symbols.Fut_SPY_Feb19_2016.ID.ToString()
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};
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var compositeDataQueueHandler = new TestDataQueueHandlerManager(new AlgorithmSettings());
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compositeDataQueueHandler.ExposedDataHandlers.Add(dataQueue);
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var data = new LiveSubscriptionEnumerator(config, compositeDataQueueHandler, (_, _) => {}, (_) => false);
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Assert.IsTrue(data.MoveNext());
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Assert.AreEqual(1, (data.Current as Tick).AskPrice);
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Assert.AreEqual(canonical, (data.Current as Tick).Symbol);
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Assert.IsFalse(data.MoveNext());
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Assert.IsNull(data.Current);
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Assert.AreEqual(2, dataQueue.DataPerSymbol.Count);
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config.MappedSymbol = Symbols.Fut_SPY_Mar19_2016.ID.ToString();
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Assert.AreEqual(1, dataQueue.DataPerSymbol.Count);
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Assert.IsTrue(data.MoveNext());
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Assert.AreEqual(2, (data.Current as Tick).AskPrice);
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Assert.AreEqual(canonical, (data.Current as Tick).Symbol);
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Assert.AreNotEqual(canonical, dataQueue.DataPerSymbol[Symbols.Fut_SPY_Mar19_2016].Single().Symbol);
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Assert.IsFalse(data.MoveNext());
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Assert.IsNull(data.Current);
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Assert.AreEqual(1, dataQueue.DataPerSymbol.Count);
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data.Dispose();
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compositeDataQueueHandler.Dispose();
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}
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internal class TestDataQueueHandler : IDataQueueHandler
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{
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public bool IsConnected => true;
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public Dictionary<Symbol, List<BaseData>> DataPerSymbol;
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public IEnumerator<BaseData> Subscribe(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
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{
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if (DataPerSymbol.TryGetValue(dataConfig.Symbol, out var baseDatas))
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{
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return baseDatas.GetEnumerator();
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}
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throw new Exception($"Failed to find a data enumerator for symbol {dataConfig.Symbol}!");
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}
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public void Unsubscribe(SubscriptionDataConfig dataConfig)
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{
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DataPerSymbol.Remove(dataConfig.Symbol);
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}
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public void SetJob(LiveNodePacket job)
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{
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}
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public void Dispose()
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{
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}
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}
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private class TestDataQueueHandlerManager : DataQueueHandlerManager
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{
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public List<IDataQueueHandler> ExposedDataHandlers => DataHandlers;
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public TestDataQueueHandlerManager(IAlgorithmSettings settings) : base(settings)
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{
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}
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}
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}
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}
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