wehub-resource-sync
90 lines
3.4 KiB
C#
90 lines
3.4 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.Linq;
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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.Lean.Engine.DataFeeds.Enumerators;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
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{
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[TestFixture]
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public class SubscriptionDataEnumeratorTests
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{
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[TestCase(typeof(TradeBar), true)]
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[TestCase(typeof(OpenInterest), false)]
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[TestCase(typeof(QuoteBar), false)]
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public void EnumeratorEmitsAuxData(Type typeOfConfig, bool shouldReceiveAuxData)
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{
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var config = CreateConfig(Resolution.Hour, typeOfConfig);
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var security = GetSecurity(config);
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var time = new DateTime(2010, 1, 1);
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var tzOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, time, time.AddDays(1));
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// Make a aux data stream; for this testing case we will just use delisting data points
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var totalPoints = 8;
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var stream = Enumerable.Range(0, totalPoints).Select(x => new Delisting { Time = time.AddHours(x) }).GetEnumerator();
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using var enumerator = new SubscriptionDataEnumerator(config, security.Exchange.Hours, tzOffsetProvider, stream, false, false);
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// Test our SubscriptionDataEnumerator to see if it emits the aux data
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int dataReceivedCount = 0;
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while (enumerator.MoveNext())
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{
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dataReceivedCount++;
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if (enumerator.Current != null && enumerator.Current.Data.DataType == MarketDataType.Auxiliary)
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{
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Assert.IsTrue(shouldReceiveAuxData);
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}
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}
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// If it should receive aux data it should have emitted all points
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// otherwise none should have been emitted
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if (shouldReceiveAuxData)
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{
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Assert.AreEqual(totalPoints, dataReceivedCount);
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}
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else
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{
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Assert.AreEqual(0, dataReceivedCount);
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}
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}
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private static Security GetSecurity(SubscriptionDataConfig config)
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{
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return new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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config,
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new Cash(Currencies.USD, 0, 1m),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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}
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private static SubscriptionDataConfig CreateConfig(Resolution resolution, Type type)
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{
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return new SubscriptionDataConfig(type, Symbols.SPY, resolution, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
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}
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}
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}
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