wehub-resource-sync
316 lines
11 KiB
C#
316 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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*/
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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;
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using QuantConnect.Securities;
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using System;
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namespace QuantConnect.Tests.Engine.DataFeeds
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{
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[TestFixture]
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public class SubscriptionDataTests
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{
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[Test]
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public void CreatedSubscriptionRoundsTimeDownForDataWithPeriod()
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{
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var tb = new TradeBar
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Period = TimeSpan.FromHours(1),
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Symbol = Symbols.SPY
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};
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var config = new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Hour,
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TimeZones.Utc,
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TimeZones.Utc,
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false,
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false,
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false
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);
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var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc);
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var offsetProvider = new TimeZoneOffsetProvider(TimeZones.Utc, new DateTime(2020, 5, 21), new DateTime(2020, 5, 22));
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var subscription = SubscriptionData.Create(false, config, exchangeHours, offsetProvider, tb, config.DataNormalizationMode);
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Assert.AreEqual(new DateTime(2020, 5, 21, 8, 0, 0), subscription.Data.Time);
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Assert.AreEqual(new DateTime(2020, 5, 21, 9, 0, 0), subscription.Data.EndTime);
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}
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[Test]
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public void CreatedSubscriptionDoesNotRoundDownForPeriodLessData()
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{
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var data = new MyCustomData
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Symbol = Symbols.SPY
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};
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var config = new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Hour,
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TimeZones.Utc,
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TimeZones.Utc,
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false,
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false,
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false
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);
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var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc);
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var offsetProvider = new TimeZoneOffsetProvider(TimeZones.Utc, new DateTime(2020, 5, 21), new DateTime(2020, 5, 22));
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var subscription = SubscriptionData.Create(false, config, exchangeHours, offsetProvider, data, config.DataNormalizationMode);
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Assert.AreEqual(new DateTime(2020, 5, 21, 8, 9, 0), subscription.Data.Time);
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Assert.AreEqual(new DateTime(2020, 5, 21, 8, 9, 0), subscription.Data.EndTime);
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}
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[TestCase(1, 0)]
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[TestCase(null, 0)]
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[TestCase(null, 1000)]
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public void CreateDefaults(decimal? scale, decimal dividends)
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{
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var config = new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Hour,
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TimeZones.Utc,
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TimeZones.Utc,
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false,
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false,
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false
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);
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config.SumOfDividends = dividends;
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var tb = new TradeBar
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Period = TimeSpan.FromHours(1),
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Symbol = Symbols.SPY,
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Open = 100,
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High = 200,
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Low = 300,
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Close = 400
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};
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var data = SubscriptionData.Create(false,
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config,
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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new TimeZoneOffsetProvider(TimeZones.NewYork, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1)),
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tb,
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config.DataNormalizationMode,
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scale);
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Assert.True(data.GetType() == typeof(SubscriptionData));
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Assert.AreEqual(tb.Open, (data.Data as TradeBar).Open);
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Assert.AreEqual(tb.High, (data.Data as TradeBar).High);
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Assert.AreEqual(tb.Low, (data.Data as TradeBar).Low);
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Assert.AreEqual(tb.Close, (data.Data as TradeBar).Close);
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}
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[TestCase(typeof(SubscriptionData), 1)]
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[TestCase(typeof(PrecalculatedSubscriptionData), 2)]
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[TestCase(typeof(PrecalculatedSubscriptionData), 0.5)]
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public void CreateZeroDividends(Type type, decimal? scale)
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{
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var config = new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Hour,
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TimeZones.Utc,
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TimeZones.Utc,
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false,
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false,
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false
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);
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config.SumOfDividends = 0;
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var tb = new TradeBar
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Period = TimeSpan.FromHours(1),
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Symbol = Symbols.SPY,
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Open = 100,
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High = 200,
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Low = 300,
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Close = 400
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};
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var data = SubscriptionData.Create(false,
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config,
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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new TimeZoneOffsetProvider(TimeZones.NewYork, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1)),
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tb,
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config.DataNormalizationMode,
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scale);
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Assert.True(data.GetType() == type);
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Assert.AreEqual(tb.Open * scale, (data.Data as TradeBar).Open);
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Assert.AreEqual(tb.High * scale, (data.Data as TradeBar).High);
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Assert.AreEqual(tb.Low * scale, (data.Data as TradeBar).Low);
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Assert.AreEqual(tb.Close * scale, (data.Data as TradeBar).Close);
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}
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[TestCase(typeof(PrecalculatedSubscriptionData), 1)]
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[TestCase(typeof(PrecalculatedSubscriptionData), 2)]
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[TestCase(typeof(PrecalculatedSubscriptionData), 0.5)]
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public void CreateAdjustedNotZeroDividends(Type type, decimal? scale)
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{
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var config = new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Hour,
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TimeZones.Utc,
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TimeZones.Utc,
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false,
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false,
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false
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);
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config.SumOfDividends = 100;
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var tb = new TradeBar
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Period = TimeSpan.FromHours(1),
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Symbol = Symbols.SPY,
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Open = 100,
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High = 200,
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Low = 300,
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Close = 400
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};
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var data = SubscriptionData.Create(false,
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config,
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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new TimeZoneOffsetProvider(TimeZones.NewYork, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1)),
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tb,
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config.DataNormalizationMode,
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scale);
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Assert.True(data.GetType() == type);
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Assert.AreEqual(tb.Open * scale, (data.Data as TradeBar).Open);
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Assert.AreEqual(tb.High * scale, (data.Data as TradeBar).High);
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Assert.AreEqual(tb.Low * scale, (data.Data as TradeBar).Low);
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Assert.AreEqual(tb.Close * scale, (data.Data as TradeBar).Close);
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}
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[TestCase(typeof(PrecalculatedSubscriptionData), 1)]
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[TestCase(typeof(PrecalculatedSubscriptionData), 2)]
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[TestCase(typeof(PrecalculatedSubscriptionData), 0.5)]
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public void CreateTotalNotZeroDividends(Type type, decimal? scale)
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{
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var config = new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Hour,
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TimeZones.Utc,
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TimeZones.Utc,
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false,
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false,
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false
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);
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config.SumOfDividends = 100;
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config.DataNormalizationMode = DataNormalizationMode.TotalReturn;
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var tb = new TradeBar
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Period = TimeSpan.FromHours(1),
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Symbol = Symbols.SPY,
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Open = 100,
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High = 200,
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Low = 300,
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Close = 400
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};
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var data = SubscriptionData.Create(false,
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config,
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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new TimeZoneOffsetProvider(TimeZones.NewYork, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1)),
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tb,
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config.DataNormalizationMode,
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scale);
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Assert.True(data.GetType() == type);
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Assert.AreEqual(tb.Open * scale + config.SumOfDividends, (data.Data as TradeBar).Open);
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Assert.AreEqual(tb.High * scale + config.SumOfDividends, (data.Data as TradeBar).High);
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Assert.AreEqual(tb.Low * scale + config.SumOfDividends, (data.Data as TradeBar).Low);
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Assert.AreEqual(tb.Close * scale + config.SumOfDividends, (data.Data as TradeBar).Close);
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}
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[TestCase(true, typeof(TradeBar))]
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[TestCase(false, typeof(TradeBar))]
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[TestCase(true, typeof(QuoteBar))]
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[TestCase(false, typeof(QuoteBar))]
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[TestCase(true, typeof(Tick))]
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[TestCase(false, typeof(Tick))]
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public void FillForwardFlagIsCorrectlySet(bool isFillForward, Type type)
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{
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var config = new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Hour,
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TimeZones.Utc,
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TimeZones.Utc,
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false,
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false,
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false
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);
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var scale = 0.5m;
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config.DataNormalizationMode = DataNormalizationMode.Adjusted;
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var data = (BaseData)Activator.CreateInstance(type);
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if (isFillForward)
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{
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data = data.Clone(isFillForward);
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}
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var subscriptionData = (PrecalculatedSubscriptionData) SubscriptionData.Create(false, config,
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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new TimeZoneOffsetProvider(TimeZones.NewYork, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1)),
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data,
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config.DataNormalizationMode,
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scale);
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config.DataNormalizationMode = DataNormalizationMode.Raw;
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Assert.AreEqual(isFillForward, subscriptionData.Data.IsFillForward);
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config.DataNormalizationMode = DataNormalizationMode.Adjusted;
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Assert.AreEqual(isFillForward, subscriptionData.Data.IsFillForward);
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}
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internal class MyCustomData : BaseData
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{
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}
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}
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}
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