wehub-resource-sync
766 lines
50 KiB
C#
766 lines
50 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.Collections.Generic;
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using System.Linq;
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using System.Threading;
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using System.Threading.Tasks;
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using NodaTime;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Logging;
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using QuantConnect.Statistics;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class SubscriptionManagerTests
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{
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[TestCase(SecurityType.Forex, Resolution.Daily, 1, TickType.Quote)]
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[TestCase(SecurityType.Forex, Resolution.Hour, 1, TickType.Quote)]
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[TestCase(SecurityType.Cfd, Resolution.Daily, 1, TickType.Quote)]
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[TestCase(SecurityType.Cfd, Resolution.Hour, 1, TickType.Quote)]
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[TestCase(SecurityType.Crypto, Resolution.Daily, 2, TickType.Trade, TickType.Quote)]
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[TestCase(SecurityType.Crypto, Resolution.Hour, 2, TickType.Trade, TickType.Quote)]
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[TestCase(SecurityType.Equity, Resolution.Daily, 1, TickType.Trade)]
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[TestCase(SecurityType.Equity, Resolution.Hour, 1, TickType.Trade)]
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public void GetsSubscriptionDataTypesLowResolution(SecurityType securityType, Resolution resolution, int count, params TickType[] expectedTickTypes)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution);
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Assert.AreEqual(count, types.Count);
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for (var i = 0; i < expectedTickTypes.Length; i++)
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{
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Assert.IsTrue(types[i].Item2 == expectedTickTypes[i]);
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}
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}
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[Test]
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[TestCase(SecurityType.Base, Resolution.Minute, typeof(TradeBar), TickType.Trade)]
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[TestCase(SecurityType.Base, Resolution.Tick, typeof(Tick), TickType.Trade)]
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[TestCase(SecurityType.Forex, Resolution.Minute, typeof(QuoteBar), TickType.Quote)]
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[TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote)]
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[TestCase(SecurityType.Cfd, Resolution.Minute, typeof(QuoteBar), TickType.Quote)]
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[TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote)]
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public void GetsSubscriptionDataTypesSingle(SecurityType securityType, Resolution resolution, Type expectedDataType, TickType expectedTickType)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution);
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Assert.AreEqual(1, types.Count);
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Assert.AreEqual(expectedDataType, types[0].Item1);
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Assert.AreEqual(expectedTickType, types[0].Item2);
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}
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[Test]
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[TestCase(SecurityType.Future, Resolution.Minute, typeof(FutureUniverse), TickType.Quote)]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(FutureUniverse), TickType.Quote)]
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[TestCase(SecurityType.FutureOption, Resolution.Minute, typeof(OptionUniverse), TickType.Quote)]
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[TestCase(SecurityType.FutureOption, Resolution.Tick, typeof(OptionUniverse), TickType.Quote)]
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[TestCase(SecurityType.Option, Resolution.Minute, typeof(OptionUniverse), TickType.Quote)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(OptionUniverse), TickType.Quote)]
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[TestCase(SecurityType.IndexOption, Resolution.Minute, typeof(OptionUniverse), TickType.Quote)]
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[TestCase(SecurityType.IndexOption, Resolution.Tick, typeof(OptionUniverse), TickType.Quote)]
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public void GetsSubscriptionDataTypesCanonical(SecurityType securityType, Resolution resolution, Type expectedDataType, TickType expectedTickType)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution, true);
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Assert.AreEqual(1, types.Count);
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Assert.AreEqual(expectedDataType, types[0].Item1);
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Assert.AreEqual(expectedTickType, types[0].Item2);
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}
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[Test]
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[TestCase(SecurityType.Future, Resolution.Minute)]
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[TestCase(SecurityType.Option, Resolution.Minute)]
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public void GetsSubscriptionDataTypesFuturesOptionsMinute(SecurityType securityType, Resolution resolution)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution);
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Assert.AreEqual(3, types.Count);
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Assert.AreEqual(typeof(QuoteBar), types[0].Item1);
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Assert.AreEqual(TickType.Quote, types[0].Item2);
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Assert.AreEqual(typeof(TradeBar), types[1].Item1);
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Assert.AreEqual(TickType.Trade, types[1].Item2);
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Assert.AreEqual(typeof(OpenInterest), types[2].Item1);
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Assert.AreEqual(TickType.OpenInterest, types[2].Item2);
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}
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[Test]
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[TestCase(SecurityType.Future, Resolution.Tick)]
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[TestCase(SecurityType.Option, Resolution.Tick)]
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public void GetsSubscriptionDataTypesFuturesOptionsTick(SecurityType securityType, Resolution resolution)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution);
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Assert.AreEqual(3, types.Count);
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Assert.AreEqual(typeof(Tick), types[0].Item1);
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Assert.AreEqual(TickType.Quote, types[0].Item2);
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Assert.AreEqual(typeof(Tick), types[1].Item1);
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Assert.AreEqual(TickType.Trade, types[1].Item2);
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Assert.AreEqual(typeof(Tick), types[2].Item1);
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Assert.AreEqual(TickType.OpenInterest, types[2].Item2);
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}
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[Test]
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[TestCase(SecurityType.Equity, Resolution.Minute)]
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[TestCase(SecurityType.Equity, Resolution.Second)]
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[TestCase(SecurityType.Equity, Resolution.Tick)]
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[TestCase(SecurityType.Crypto, Resolution.Minute)]
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[TestCase(SecurityType.Crypto, Resolution.Second)]
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[TestCase(SecurityType.Crypto, Resolution.Tick)]
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public void GetsSubscriptionDataTypes(SecurityType securityType, Resolution resolution)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution);
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Assert.AreEqual(2, types.Count);
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if (resolution == Resolution.Tick)
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{
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Assert.AreEqual(typeof(Tick), types[0].Item1);
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Assert.AreEqual(typeof(Tick), types[1].Item1);
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}
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else
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{
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Assert.AreEqual(typeof(TradeBar), types[0].Item1);
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Assert.AreEqual(typeof(QuoteBar), types[1].Item1);
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}
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Assert.AreEqual(TickType.Trade, types[0].Item2);
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Assert.AreEqual(TickType.Quote, types[1].Item2);
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}
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[Test]
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public void SubscriptionsMemberIsThreadSafe()
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{
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var subscriptionManager = new SubscriptionManager(NullTimeKeeper.Instance);
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subscriptionManager.SetDataManager(new DataManagerStub());
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var start = DateTime.UtcNow;
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var end = start.AddSeconds(5);
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var tickers = QuantConnect.Algorithm.CSharp.StressSymbols.StockSymbols.ToList();
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var symbols = tickers.Select(ticker => Symbol.Create(ticker, SecurityType.Equity, QuantConnect.Market.USA)).ToList();
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var readTask = new TaskFactory().StartNew(() =>
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{
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Log.Trace("Read task started");
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while (DateTime.UtcNow < end)
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{
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subscriptionManager.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
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Thread.Sleep(1);
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}
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Log.Trace("Read task ended");
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});
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while (readTask.Status != TaskStatus.Running) Thread.Sleep(1);
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var addTask = new TaskFactory().StartNew(() =>
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{
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Log.Trace("Add task started");
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foreach (var symbol in symbols)
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{
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subscriptionManager.Add(symbol, Resolution.Minute, DateTimeZone.Utc, DateTimeZone.Utc, true, false);
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}
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Log.Trace("Add task ended");
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});
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Task.WaitAll(addTask, readTask);
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}
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[Test]
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public void ScanPastConsolidatorsIsThreadSafe()
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{
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var subscriptionManager = new SubscriptionManager(new TimeKeeper(DateTime.UtcNow));
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var algorithm = new AlgorithmStub();
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subscriptionManager.SetDataManager(new DataManagerStub());
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var start = DateTime.UtcNow;
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var end = start.AddSeconds(5);
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var tickers = QuantConnect.Algorithm.CSharp.StressSymbols.StockSymbols.Take(100).ToList();
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var symbols = tickers.Select(ticker => Symbol.Create(ticker, SecurityType.Equity, QuantConnect.Market.USA)).ToList();
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var consolidators = new Queue<Tuple<Symbol, IDataConsolidator>>();
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foreach (var symbol in symbols)
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{
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subscriptionManager.Add(symbol, Resolution.Minute, DateTimeZone.Utc, DateTimeZone.Utc, true, false);
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}
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var scanTask = Task.Factory.StartNew(() =>
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{
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Log.Debug("ScanPastConsolidators started");
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while (DateTime.UtcNow < end)
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{
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subscriptionManager.ScanPastConsolidators(end.AddDays(1), algorithm);
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}
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Log.Debug("ScanPastConsolidators finished");
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});
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var addTask = Task.Factory.StartNew(() =>
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{
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while (scanTask.Status == TaskStatus.Running)
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{
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Log.Debug("AddConsolidators started");
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foreach (var symbol in symbols)
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{
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var consolidator = new IdentityDataConsolidator<BaseData>();
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subscriptionManager.AddConsolidator(symbol, consolidator);
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consolidators.Enqueue(new Tuple<Symbol, IDataConsolidator>(symbol, consolidator));
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}
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Log.Debug("AddConsolidators finished");
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Assert.AreEqual(100, consolidators.Count);
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Log.Debug("RemoveConsolidators started");
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while (consolidators.TryDequeue(out var pair))
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{
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subscriptionManager.RemoveConsolidator(pair.Item1, pair.Item2);
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}
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Log.Debug("RemoveConsolidators finished");
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}
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});
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Task.WaitAll(scanTask, addTask);
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Assert.AreEqual(100, subscriptionManager.Count);
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Assert.AreEqual(0, consolidators.Count);
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}
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[Test]
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public void GetsCustomSubscriptionDataTypes()
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{
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var subscriptionManager = new SubscriptionManager(NullTimeKeeper.Instance);
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subscriptionManager.SetDataManager(new DataManagerStub());
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subscriptionManager.AvailableDataTypes[SecurityType.Commodity] = new List<TickType> { TickType.OpenInterest, TickType.Quote, TickType.Trade };
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var types = subscriptionManager.LookupSubscriptionConfigDataTypes(SecurityType.Commodity, Resolution.Daily, false);
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Assert.AreEqual(3, types.Count);
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Assert.AreEqual(typeof(OpenInterest), types[0].Item1);
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Assert.AreEqual(typeof(QuoteBar), types[1].Item1);
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Assert.AreEqual(typeof(TradeBar), types[2].Item1);
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Assert.AreEqual(TickType.OpenInterest, types[0].Item2);
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Assert.AreEqual(TickType.Quote, types[1].Item2);
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Assert.AreEqual(TickType.Trade, types[2].Item2);
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}
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[TestCase(SecurityType.Future, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Future, TickType.Trade, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Future, TickType.Trade, typeof(Tick), typeof(TradeBar), true)]
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[TestCase(SecurityType.Future, TickType.Trade, typeof(IBaseData), typeof(Tick), true)]
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[TestCase(SecurityType.Future, TickType.Trade, typeof(Tick), typeof(QuoteBar), false)]
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[TestCase(SecurityType.Future, TickType.Trade, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Future, TickType.Quote, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Future, TickType.Quote, typeof(Tick), typeof(TradeBar), false)]
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[TestCase(SecurityType.Future, TickType.Quote, typeof(Tick), typeof(QuoteBar), true)]
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[TestCase(SecurityType.Future, TickType.Quote, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Future, TickType.Quote, typeof(IBaseData), typeof(Tick), false)]
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[TestCase(SecurityType.Future, TickType.Quote, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Future, TickType.OpenInterest, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Future, TickType.OpenInterest, typeof(Tick), typeof(TradeBar), false)]
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[TestCase(SecurityType.Future, TickType.OpenInterest, typeof(Tick), typeof(QuoteBar), false)]
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[TestCase(SecurityType.Future, TickType.OpenInterest, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Future, TickType.OpenInterest, typeof(IBaseData), typeof(Tick), false)]
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[TestCase(SecurityType.Future, TickType.OpenInterest, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Equity, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Equity, TickType.Trade, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Equity, TickType.Trade, typeof(Tick), typeof(TradeBar), true)]
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[TestCase(SecurityType.Equity, TickType.Trade, typeof(IBaseData), typeof(Tick), true)]
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[TestCase(SecurityType.Equity, TickType.Trade, typeof(Tick), typeof(QuoteBar), false)]
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[TestCase(SecurityType.Equity, TickType.Trade, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Equity, TickType.Quote, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Equity, TickType.Quote, typeof(Tick), typeof(TradeBar), false)]
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[TestCase(SecurityType.Equity, TickType.Quote, typeof(Tick), typeof(QuoteBar), true)]
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[TestCase(SecurityType.Equity, TickType.Quote, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Equity, TickType.Quote, typeof(IBaseData), typeof(Tick), false)]
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[TestCase(SecurityType.Equity, TickType.Quote, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Equity, TickType.OpenInterest, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Equity, TickType.OpenInterest, typeof(Tick), typeof(TradeBar), false)]
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[TestCase(SecurityType.Equity, TickType.OpenInterest, typeof(Tick), typeof(QuoteBar), false)]
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[TestCase(SecurityType.Equity, TickType.OpenInterest, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Equity, TickType.OpenInterest, typeof(IBaseData), typeof(Tick), false)]
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[TestCase(SecurityType.Equity, TickType.OpenInterest, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Cfd, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Cfd, TickType.Trade, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Cfd, TickType.Trade, typeof(Tick), typeof(TradeBar), true)]
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[TestCase(SecurityType.Cfd, TickType.Trade, typeof(IBaseData), typeof(Tick), false)]
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[TestCase(SecurityType.Cfd, TickType.Trade, typeof(Tick), typeof(QuoteBar), false)]
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[TestCase(SecurityType.Cfd, TickType.Trade, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Cfd, TickType.Quote, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Cfd, TickType.Quote, typeof(Tick), typeof(TradeBar), false)]
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[TestCase(SecurityType.Cfd, TickType.Quote, typeof(Tick), typeof(QuoteBar), true)]
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[TestCase(SecurityType.Cfd, TickType.Quote, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Cfd, TickType.Quote, typeof(IBaseData), typeof(Tick), true)]
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[TestCase(SecurityType.Cfd, TickType.Quote, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Cfd, TickType.OpenInterest, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Cfd, TickType.OpenInterest, typeof(Tick), typeof(TradeBar), false)]
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[TestCase(SecurityType.Cfd, TickType.OpenInterest, typeof(Tick), typeof(QuoteBar), false)]
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[TestCase(SecurityType.Cfd, TickType.OpenInterest, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Cfd, TickType.OpenInterest, typeof(IBaseData), typeof(Tick), false)]
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[TestCase(SecurityType.Cfd, TickType.OpenInterest, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Forex, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Forex, TickType.Trade, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Forex, TickType.Trade, typeof(Tick), typeof(TradeBar), true)]
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[TestCase(SecurityType.Forex, TickType.Trade, typeof(IBaseData), typeof(Tick), false)]
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[TestCase(SecurityType.Forex, TickType.Trade, typeof(Tick), typeof(QuoteBar), false)]
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[TestCase(SecurityType.Forex, TickType.Trade, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Forex, TickType.Quote, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Forex, TickType.Quote, typeof(Tick), typeof(TradeBar), false)]
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[TestCase(SecurityType.Forex, TickType.Quote, typeof(Tick), typeof(QuoteBar), true)]
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[TestCase(SecurityType.Forex, TickType.Quote, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Forex, TickType.Quote, typeof(IBaseData), typeof(Tick), true)]
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[TestCase(SecurityType.Forex, TickType.Quote, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Forex, TickType.OpenInterest, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Forex, TickType.OpenInterest, typeof(Tick), typeof(TradeBar), false)]
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[TestCase(SecurityType.Forex, TickType.OpenInterest, typeof(Tick), typeof(QuoteBar), false)]
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[TestCase(SecurityType.Forex, TickType.OpenInterest, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Forex, TickType.OpenInterest, typeof(IBaseData), typeof(Tick), false)]
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[TestCase(SecurityType.Forex, TickType.OpenInterest, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Crypto, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Crypto, TickType.Trade, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Crypto, TickType.Trade, typeof(Tick), typeof(TradeBar), true)]
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[TestCase(SecurityType.Crypto, TickType.Trade, typeof(IBaseData), typeof(Tick), false)]
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[TestCase(SecurityType.Crypto, TickType.Trade, typeof(Tick), typeof(QuoteBar), false)]
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[TestCase(SecurityType.Crypto, TickType.Trade, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Crypto, TickType.Quote, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Crypto, TickType.Quote, typeof(Tick), typeof(TradeBar), false)]
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[TestCase(SecurityType.Crypto, TickType.Quote, typeof(Tick), typeof(QuoteBar), true)]
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[TestCase(SecurityType.Crypto, TickType.Quote, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Crypto, TickType.Quote, typeof(IBaseData), typeof(Tick), true)]
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[TestCase(SecurityType.Crypto, TickType.Quote, typeof(RenkoBar), typeof(Tick), false)]
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[TestCase(SecurityType.Crypto, TickType.OpenInterest, typeof(Tick), typeof(RenkoBar), true)]
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[TestCase(SecurityType.Crypto, TickType.OpenInterest, typeof(Tick), typeof(TradeBar), false)]
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[TestCase(SecurityType.Crypto, TickType.OpenInterest, typeof(Tick), typeof(QuoteBar), false)]
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[TestCase(SecurityType.Crypto, TickType.OpenInterest, typeof(TradeBar), typeof(TradeBar), false)]
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[TestCase(SecurityType.Crypto, TickType.OpenInterest, typeof(IBaseData), typeof(Tick), false)]
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[TestCase(SecurityType.Crypto, TickType.OpenInterest, typeof(RenkoBar), typeof(Tick), false)]
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public void ValidatesSubscriptionTickTypesForConsolidators(
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SecurityType securityType,
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TickType? subscriptionTickType,
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Type consolidatorInputType,
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Type consolidatorOutputType,
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bool expected)
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{
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var subscription = new SubscriptionDataConfig(
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typeof(Tick),
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Symbol.Create("XYZ", securityType, QuantConnect.Market.USA),
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Resolution.Tick,
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DateTimeZone.Utc,
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DateTimeZone.Utc,
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true,
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false,
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false,
|
|
false,
|
|
subscriptionTickType);
|
|
using var consolidator = new TestConsolidator(consolidatorInputType, consolidatorOutputType);
|
|
Assert.AreEqual(expected, SubscriptionManager.IsSubscriptionValidForConsolidator(subscription, consolidator));
|
|
}
|
|
|
|
[TestCase(TickType.Trade, TickType.Trade, true)]
|
|
[TestCase(TickType.Trade, TickType.Quote, false)]
|
|
[TestCase(TickType.Trade, TickType.OpenInterest, false)]
|
|
|
|
[TestCase(TickType.Quote, TickType.Quote, true)]
|
|
[TestCase(TickType.Quote, TickType.Trade, false)]
|
|
[TestCase(TickType.Quote, TickType.OpenInterest, false)]
|
|
|
|
[TestCase(TickType.OpenInterest, TickType.OpenInterest, true)]
|
|
[TestCase(TickType.OpenInterest, TickType.Quote, false)]
|
|
[TestCase(TickType.OpenInterest, TickType.Trade, false)]
|
|
public void ValidatesSubscriptionTickTypesForClassicRenkoConsolidators(TickType subscriptionTickType, TickType desiredTickType, bool expected)
|
|
{
|
|
var subscription = new SubscriptionDataConfig(
|
|
typeof(Tick),
|
|
Symbol.Create("XYZ", SecurityType.Future, QuantConnect.Market.USA),
|
|
Resolution.Tick,
|
|
DateTimeZone.Utc,
|
|
DateTimeZone.Utc,
|
|
true,
|
|
false,
|
|
false,
|
|
false,
|
|
subscriptionTickType);
|
|
Func<IBaseData, decimal> selector = data =>
|
|
{
|
|
var tick = data as Tick;
|
|
return tick.Quantity * tick.Price;
|
|
};
|
|
using var consolidator = new ClassicRenkoConsolidator(2000m, selector);
|
|
Assert.AreEqual(expected, SubscriptionManager.IsSubscriptionValidForConsolidator(subscription, consolidator, desiredTickType));
|
|
}
|
|
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Trade, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Trade, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(IBaseData), TickType.Trade, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Trade, null, typeof(IBaseData), typeof(Tick), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(OpenInterest), TickType.Trade, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(OpenInterest), TickType.Trade, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Trade, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Trade, TickType.Quote, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Trade, TickType.Trade, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(QuoteBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Quote, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(IBaseData), TickType.Quote, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Quote, null, typeof(IBaseData), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Quote, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Future, typeof(OpenInterest), TickType.Quote, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(OpenInterest), TickType.Quote, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Quote, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Quote, TickType.Trade, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.Quote, TickType.Quote, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.OpenInterest, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Future, typeof(IBaseData), TickType.OpenInterest, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Future, typeof(Tick), TickType.OpenInterest, null, typeof(IBaseData), typeof(Tick), false)]
|
|
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Trade, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Trade, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(IBaseData), TickType.Trade, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Trade, null, typeof(IBaseData), typeof(Tick), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(OpenInterest), TickType.Trade, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(OpenInterest), TickType.Trade, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Trade, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Trade, TickType.Quote, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Trade, TickType.Trade, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(QuoteBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Quote, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(IBaseData), TickType.Quote, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Quote, null, typeof(IBaseData), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Quote, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Equity, typeof(OpenInterest), TickType.Quote, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(OpenInterest), TickType.Quote, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Quote, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Quote, TickType.Trade, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.Quote, TickType.Quote, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.OpenInterest, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Equity, typeof(IBaseData), TickType.OpenInterest, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Equity, typeof(Tick), TickType.OpenInterest, null, typeof(IBaseData), typeof(Tick), false)]
|
|
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Trade, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Trade, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(IBaseData), TickType.Trade, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Trade, null, typeof(IBaseData), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(OpenInterest), TickType.Trade, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(OpenInterest), TickType.Trade, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Trade, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Trade, TickType.Quote, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Trade, TickType.Trade, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(QuoteBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Quote, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(IBaseData), TickType.Quote, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Quote, null, typeof(IBaseData), typeof(Tick), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Quote, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(OpenInterest), TickType.Quote, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(OpenInterest), TickType.Quote, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Quote, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Quote, TickType.Trade, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.Quote, TickType.Quote, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.OpenInterest, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(IBaseData), TickType.OpenInterest, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.OpenInterest, null, typeof(IBaseData), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.OpenInterest, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(OpenInterest), TickType.OpenInterest, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(OpenInterest), TickType.OpenInterest, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.OpenInterest, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.OpenInterest, TickType.Quote, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Cfd, typeof(Tick), TickType.OpenInterest, TickType.OpenInterest, typeof(Tick), typeof(RenkoBar), true)]
|
|
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Trade, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Trade, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(IBaseData), TickType.Trade, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Trade, null, typeof(IBaseData), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(OpenInterest), TickType.Trade, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(OpenInterest), TickType.Trade, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Trade, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Trade, TickType.Quote, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Trade, TickType.Trade, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(QuoteBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Quote, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(IBaseData), TickType.Quote, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Quote, null, typeof(IBaseData), typeof(Tick), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Quote, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Forex, typeof(OpenInterest), TickType.Quote, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(OpenInterest), TickType.Quote, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Quote, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Quote, TickType.Trade, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.Quote, TickType.Quote, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.OpenInterest, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(IBaseData), TickType.OpenInterest, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.OpenInterest, null, typeof(IBaseData), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.OpenInterest, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Forex, typeof(OpenInterest), TickType.OpenInterest, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(OpenInterest), TickType.OpenInterest, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.OpenInterest, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.OpenInterest, TickType.Quote, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Forex, typeof(Tick), TickType.OpenInterest, TickType.OpenInterest, typeof(Tick), typeof(RenkoBar), true)]
|
|
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Trade, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Trade, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(IBaseData), TickType.Trade, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Trade, null, typeof(IBaseData), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Trade, null, typeof(Tick), typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(OpenInterest), TickType.Trade, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(OpenInterest), TickType.Trade, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Trade, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Trade, TickType.Quote, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Trade, TickType.Trade, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(QuoteBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Quote, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Quote, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(IBaseData), TickType.Quote, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Quote, null, typeof(IBaseData), typeof(Tick), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Quote, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(OpenInterest), TickType.Quote, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(OpenInterest), TickType.Quote, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Quote, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Quote, TickType.Trade, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.Quote, TickType.Quote, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.OpenInterest, null, typeof(Tick), typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.OpenInterest, null, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(IBaseData), TickType.OpenInterest, null, typeof(IBaseData), typeof(RenkoBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.OpenInterest, null, typeof(IBaseData), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.OpenInterest, null, typeof(RenkoBar), typeof(Tick), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(OpenInterest), TickType.OpenInterest, null, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(OpenInterest), TickType.OpenInterest, TickType.Trade, typeof(OpenInterest), typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.OpenInterest, TickType.Trade, typeof(TradeBar), typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.OpenInterest, TickType.Quote, typeof(Tick), typeof(RenkoBar), false)]
|
|
[TestCase(SecurityType.Crypto, typeof(Tick), TickType.OpenInterest, TickType.OpenInterest, typeof(Tick), typeof(RenkoBar), true)]
|
|
public void GetsExpectedSubscriptionsGivenATickType(SecurityType securityType,
|
|
Type subscriptionType,
|
|
TickType? subscriptionTickType,
|
|
TickType? desiredTickType,
|
|
Type consolidatorInputType,
|
|
Type consolidatorOutputType,
|
|
bool expected)
|
|
{
|
|
var subscription = new SubscriptionDataConfig(
|
|
subscriptionType,
|
|
Symbol.Create("XYZ", securityType, QuantConnect.Market.USA),
|
|
Resolution.Tick,
|
|
DateTimeZone.Utc,
|
|
DateTimeZone.Utc,
|
|
true,
|
|
false,
|
|
false,
|
|
false,
|
|
subscriptionTickType);
|
|
using var consolidator = new TestConsolidator(consolidatorInputType, consolidatorOutputType);
|
|
Assert.AreEqual(expected, SubscriptionManager.IsSubscriptionValidForConsolidator(subscription, consolidator, desiredTickType));
|
|
}
|
|
|
|
[Test]
|
|
public void CanAddAndRemoveCSharpConsolidatorFromPython()
|
|
{
|
|
// NOTE: we use the IdentityDataConsolidator here because it's a generic class, which reproduces the bug.
|
|
// pyConsolidator.TryConvert(out IDataConsolidator consolidator) will return false, because the python type name
|
|
// and the C# type name don't match for generic types (e.g. IdentityDataConsolidator[TradeBar] != IdentityDataConsolidator`1)
|
|
|
|
using var _ = Py.GIL();
|
|
var module = PyModule.FromString("testModule",
|
|
@"
|
|
from AlgorithmImports import *
|
|
|
|
def get_consolidator():
|
|
return IdentityDataConsolidator[TradeBar]()
|
|
");
|
|
|
|
var algorithm = new AlgorithmStub();
|
|
var symbol = algorithm.AddEquity("SPY").Symbol;
|
|
|
|
var consolidator = module.GetAttr("get_consolidator").Invoke();
|
|
|
|
algorithm.SubscriptionManager.AddConsolidator(symbol, consolidator);
|
|
Assert.AreEqual(1, algorithm.SubscriptionManager.Subscriptions.Sum(x => x.Consolidators.Count));
|
|
|
|
algorithm.SubscriptionManager.RemoveConsolidator(symbol, consolidator);
|
|
Assert.AreEqual(0, algorithm.SubscriptionManager.Subscriptions.Sum(x => x.Consolidators.Count));
|
|
}
|
|
|
|
[Test]
|
|
public void CanAddAndRemoveCSharpConsolidatorFromPythonWithWrapper()
|
|
{
|
|
using var _ = Py.GIL();
|
|
var module = PyModule.FromString("testModule",
|
|
@"
|
|
from AlgorithmImports import *
|
|
|
|
def get_consolidator():
|
|
return IdentityDataConsolidator[TradeBar]()
|
|
");
|
|
|
|
var algorithm = new AlgorithmStub();
|
|
var symbol = algorithm.AddEquity("SPY").Symbol;
|
|
|
|
var pyConsolidator = module.GetAttr("get_consolidator").Invoke();
|
|
|
|
algorithm.SubscriptionManager.AddConsolidator(Symbols.SPY, pyConsolidator);
|
|
Assert.AreEqual(1, algorithm.SubscriptionManager.Subscriptions.Sum(x => x.Consolidators.Count));
|
|
|
|
algorithm.SubscriptionManager.RemoveConsolidator(Symbols.SPY, pyConsolidator);
|
|
Assert.AreEqual(0, algorithm.SubscriptionManager.Subscriptions.Sum(x => x.Consolidators.Count));
|
|
}
|
|
|
|
[Test]
|
|
public void CanAddAndRemovePythonConsolidator()
|
|
{
|
|
using var _ = Py.GIL();
|
|
var module = PyModule.FromString("testModule",
|
|
@"
|
|
from AlgorithmImports import *
|
|
|
|
class CustomQuoteBarConsolidator(PythonConsolidator):
|
|
|
|
def __init__(self):
|
|
|
|
#IDataConsolidator required vars for all consolidators
|
|
self.consolidated = None
|
|
self.working_data = None
|
|
self.input_type = QuoteBar
|
|
self.output_type = QuoteBar
|
|
|
|
def update(self, data):
|
|
pass
|
|
|
|
def scan(self, time):
|
|
pass
|
|
|
|
def get_consolidator():
|
|
return CustomQuoteBarConsolidator()
|
|
");
|
|
|
|
var algorithm = new AlgorithmStub();
|
|
var symbol = algorithm.AddEquity("SPY").Symbol;
|
|
|
|
var pyConsolidator = module.GetAttr("get_consolidator").Invoke();
|
|
|
|
algorithm.SubscriptionManager.AddConsolidator(Symbols.SPY, pyConsolidator);
|
|
Assert.AreEqual(1, algorithm.SubscriptionManager.Subscriptions.Sum(x => x.Consolidators.Count));
|
|
|
|
algorithm.SubscriptionManager.RemoveConsolidator(Symbols.SPY, pyConsolidator);
|
|
Assert.AreEqual(0, algorithm.SubscriptionManager.Subscriptions.Sum(x => x.Consolidators.Count));
|
|
}
|
|
|
|
[Test, Parallelizable(ParallelScope.None)]
|
|
public void RunRemoveConsolidatorsRegressionAlgorithm()
|
|
{
|
|
var parameter = new RegressionTests.AlgorithmStatisticsTestParameters("ManuallyRemovedConsolidatorsAlgorithm",
|
|
new Dictionary<string, string> {
|
|
{PerformanceMetrics.TotalOrders, "0"},
|
|
{"Average Win", "0%"},
|
|
{"Average Loss", "0%"},
|
|
{"Compounding Annual Return", "0%"},
|
|
{"Drawdown", "0%"},
|
|
{"Expectancy", "0"},
|
|
{"Net Profit", "0%"},
|
|
{"Sharpe Ratio", "0"},
|
|
{"Probabilistic Sharpe Ratio", "0%"},
|
|
{"Loss Rate", "0%"},
|
|
{"Win Rate", "0%"},
|
|
{"Profit-Loss Ratio", "0"},
|
|
{"Alpha", "0"},
|
|
{"Beta", "0"},
|
|
{"Annual Standard Deviation", "0"},
|
|
{"Annual Variance", "0"},
|
|
{"Information Ratio", "-8.91"},
|
|
{"Tracking Error", "0.223"},
|
|
{"Treynor Ratio", "0"},
|
|
{"Total Fees", "$0.00"}
|
|
},
|
|
Language.Python,
|
|
AlgorithmStatus.Completed);
|
|
|
|
AlgorithmRunner.RunLocalBacktest(parameter.Algorithm,
|
|
parameter.Statistics,
|
|
parameter.Language,
|
|
parameter.ExpectedFinalStatus);
|
|
}
|
|
|
|
private class TestConsolidator : IDataConsolidator
|
|
{
|
|
#pragma warning disable 0067 // TestConsolidator never uses this event; just ignore the warning
|
|
public event DataConsolidatedHandler DataConsolidated;
|
|
#pragma warning restore 0067
|
|
|
|
public IBaseData Consolidated { get; }
|
|
public IBaseData WorkingData { get; }
|
|
public Type InputType { get; }
|
|
public Type OutputType { get; }
|
|
public void Update(IBaseData data) { }
|
|
public void Scan(DateTime currentLocalTime) { }
|
|
public void Dispose() { }
|
|
|
|
public TestConsolidator(Type inputType, Type outputType)
|
|
{
|
|
InputType = inputType;
|
|
OutputType = outputType;
|
|
}
|
|
|
|
public TestConsolidator(Type inputType)
|
|
{
|
|
InputType = inputType;
|
|
}
|
|
|
|
public void Reset()
|
|
{
|
|
}
|
|
}
|
|
|
|
private static List<Tuple<Type, TickType>> GetSubscriptionDataTypes(SecurityType securityType, Resolution resolution, bool isCanonical = false)
|
|
{
|
|
var subscriptionManager = new SubscriptionManager(NullTimeKeeper.Instance);
|
|
subscriptionManager.SetDataManager(new DataManagerStub());
|
|
return subscriptionManager.LookupSubscriptionConfigDataTypes(securityType, resolution, isCanonical);
|
|
}
|
|
}
|
|
}
|