wehub-resource-sync
312 lines
13 KiB
C#
312 lines
13 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.Collections.Generic;
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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.Custom.IconicTypes;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Common.Data.UniverseSelection;
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using QuantConnect.Securities.Option;
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using QuantConnect.Securities.Future;
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using QuantConnect.Securities.Equity;
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namespace QuantConnect.Tests.Engine.DataFeeds
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{
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[TestFixture]
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public class TimeSliceTests
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{
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private TimeSliceFactory _timeSliceFactory;
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[SetUp]
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public void SetUp()
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{
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_timeSliceFactory = new TimeSliceFactory(TimeZones.Utc);
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}
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[Test]
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public void HandlesTicks_ExpectInOrderWithNoDuplicates()
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{
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var subscriptionDataConfig = new SubscriptionDataConfig(
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typeof(Tick),
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Symbols.EURUSD,
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Resolution.Tick,
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TimeZones.Utc,
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TimeZones.Utc,
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true,
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true,
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false);
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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subscriptionDataConfig,
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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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DateTime refTime = DateTime.UtcNow;
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Tick[] rawTicks = Enumerable
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.Range(0, 10)
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.Select(i => new Tick(refTime.AddSeconds(i), Symbols.EURUSD, 1.3465m, 1.34652m))
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.ToArray();
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IEnumerable<TimeSlice> timeSlices = rawTicks.Select(t => _timeSliceFactory.Create(
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t.Time,
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new List<DataFeedPacket> { new DataFeedPacket(security, subscriptionDataConfig, new List<BaseData>() { t }) },
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SecurityChangesTests.CreateNonInternal(Enumerable.Empty<Security>(), Enumerable.Empty<Security>()),
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new Dictionary<Universe, BaseDataCollection>()));
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Tick[] timeSliceTicks = timeSlices.SelectMany(ts => ts.Slice.Ticks.Values.SelectMany(x => x)).ToArray();
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Assert.AreEqual(rawTicks.Length, timeSliceTicks.Length);
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for (int i = 0; i < rawTicks.Length; i++)
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{
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Assert.IsTrue(Compare(rawTicks[i], timeSliceTicks[i]));
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}
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}
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private bool Compare(Tick expected, Tick actual)
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{
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return expected.Time == actual.Time
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&& expected.BidPrice == actual.BidPrice
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&& expected.AskPrice == actual.AskPrice
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&& expected.Quantity == actual.Quantity;
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}
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[Test]
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public void HandlesMultipleCustomDataOfSameTypeWithDifferentSymbols()
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{
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var symbol1 = Symbol.Create("SCF/CBOE_VX1_EW", SecurityType.Base, Market.USA);
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var symbol2 = Symbol.Create("SCF/CBOE_VX2_EW", SecurityType.Base, Market.USA);
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var subscriptionDataConfig1 = new SubscriptionDataConfig(
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typeof(UnlinkedData), symbol1, Resolution.Daily, TimeZones.Utc, TimeZones.Utc, true, true, false, isCustom: true);
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var subscriptionDataConfig2 = new SubscriptionDataConfig(
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typeof(UnlinkedData), symbol2, Resolution.Daily, TimeZones.Utc, TimeZones.Utc, true, true, false, isCustom: true);
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var security1 = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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subscriptionDataConfig1,
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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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var security2 = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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subscriptionDataConfig1,
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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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var timeSlice = _timeSliceFactory.Create(DateTime.UtcNow,
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new List<DataFeedPacket>
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{
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new DataFeedPacket(security1, subscriptionDataConfig1, new List<BaseData> {new UnlinkedData { Symbol = symbol1, Time = DateTime.UtcNow.Date, Value = 15 } }),
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new DataFeedPacket(security2, subscriptionDataConfig2, new List<BaseData> {new UnlinkedData { Symbol = symbol2, Time = DateTime.UtcNow.Date, Value = 20 } }),
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},
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SecurityChangesTests.CreateNonInternal(Enumerable.Empty<Security>(), Enumerable.Empty<Security>()),
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new Dictionary<Universe, BaseDataCollection>());
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Assert.AreEqual(2, timeSlice.CustomData.Count);
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var data1 = timeSlice.CustomData[0].Data[0];
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var data2 = timeSlice.CustomData[1].Data[0];
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Assert.IsInstanceOf(typeof(UnlinkedData), data1);
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Assert.IsInstanceOf(typeof(UnlinkedData), data2);
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Assert.AreEqual(symbol1, data1.Symbol);
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Assert.AreEqual(symbol2, data2.Symbol);
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Assert.AreEqual(15, data1.Value);
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Assert.AreEqual(20, data2.Value);
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}
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[Test]
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public void FutureDataHasVolume()
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{
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var initialVolume = 100;
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var slices = GetSlices(Symbols.Fut_SPY_Mar19_2016, initialVolume).ToArray();
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for (var i = 0; i < 10; i++)
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{
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var chain = slices[i].FutureChains.FirstOrDefault().Value;
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var contract = chain.FirstOrDefault();
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var expected = (i + 1) * initialVolume;
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Assert.AreEqual(expected, contract.Volume);
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}
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}
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[Test]
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public void OptionsDataHasVolume()
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{
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var initialVolume = 150;
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var slices = GetSlices(Symbols.SPY_C_192_Feb19_2016, initialVolume).ToArray();
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for (var i = 0; i < 10; i++)
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{
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var chain = slices[i].OptionChains.FirstOrDefault().Value;
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var contract = chain.FirstOrDefault();
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var expected = (i + 1) * initialVolume;
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Assert.AreEqual(expected, contract.Volume);
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}
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}
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[Test]
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public void SuspiciousTicksAreNotAddedToConsolidatorUpdateData()
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{
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var symbol = Symbols.SPY;
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var subscriptionDataConfig = new SubscriptionDataConfig(
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typeof(Tick), symbol, Resolution.Tick, TimeZones.Utc, TimeZones.Utc, true, true, false);
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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subscriptionDataConfig,
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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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var timeSlice = _timeSliceFactory.Create(DateTime.UtcNow,
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new List<DataFeedPacket>
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{
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new DataFeedPacket(security, subscriptionDataConfig, new List<BaseData>
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{
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new Tick(DateTime.UtcNow, symbol, 280, 0, 0),
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new Tick(DateTime.UtcNow, symbol, 500, 0, 0) { Suspicious = true },
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new Tick(DateTime.UtcNow, symbol, 281, 0, 0)
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})
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},
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SecurityChangesTests.CreateNonInternal(Enumerable.Empty<Security>(), Enumerable.Empty<Security>()),
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new Dictionary<Universe, BaseDataCollection>());
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Assert.AreEqual(1, timeSlice.ConsolidatorUpdateData.Count);
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var data = timeSlice.ConsolidatorUpdateData[0].Data;
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Assert.AreEqual(2, data.Count);
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Assert.AreEqual(280, data[0].Value);
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Assert.AreEqual(281, data[1].Value);
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}
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private IEnumerable<Slice> GetSlices(Symbol symbol, int initialVolume)
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{
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var dataType = symbol.SecurityType.IsOption() ? typeof(OptionUniverse) : typeof(FutureUniverse);
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var subscriptionDataConfig = new SubscriptionDataConfig(dataType, symbol, Resolution.Second, TimeZones.Utc, TimeZones.Utc, true, true, false);
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var security = GetSecurity(subscriptionDataConfig);
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var refTime = DateTime.UtcNow;
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return Enumerable
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.Range(0, 10)
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.Select(i =>
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{
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var time = refTime.AddSeconds(i);
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var bid = new Bar(100, 100, 100, 100);
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var ask = new Bar(110, 110, 110, 110);
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var volume = (i + 1) * initialVolume;
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var packets = new List<DataFeedPacket>();
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var packet = new DataFeedPacket(security, subscriptionDataConfig, new List<BaseData>
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{
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new QuoteBar(time, symbol, bid, i*10, ask, (i + 1) * 11),
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new TradeBar(time, symbol, 100, 100, 110, 106, volume)
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});
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if (symbol.SecurityType == SecurityType.Option)
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{
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var underlying = (security as Option).Underlying;
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packets.Add(new DataFeedPacket(underlying, underlying.SubscriptionDataConfig, new List<BaseData>
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{
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new QuoteBar(time, underlying.Symbol, bid, i*10, ask, (i + 1) * 11),
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new TradeBar(time, underlying.Symbol, 100, 100, 110, 106, volume)
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}));
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}
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packets.Add(packet);
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return _timeSliceFactory.Create(
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time,
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packets,
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SecurityChangesTests.CreateNonInternal(Enumerable.Empty<Security>(), Enumerable.Empty<Security>()),
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new Dictionary<Universe, BaseDataCollection>())
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.Slice;
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});
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}
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private Security GetSecurity(SubscriptionDataConfig config)
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{
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if (config.Symbol.SecurityType == SecurityType.Option)
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{
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var option = new Option(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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config,
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null);
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var underlyingConfig = new SubscriptionDataConfig(typeof(TradeBar), config.Symbol.Underlying, Resolution.Second,
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TimeZones.Utc, TimeZones.Utc, true, true, false);
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var equity = new Equity(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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underlyingConfig,
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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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option.Underlying = equity;
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return option;
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}
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if (config.Symbol.SecurityType == SecurityType.Future)
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{
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return new Future(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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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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}
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return new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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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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}
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}
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