wehub-resource-sync
223 lines
9.6 KiB
C#
223 lines
9.6 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.Diagnostics;
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using NUnit.Framework;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Logging;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Engine.DataFeeds.Auxiliary
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class MapFileResolverTests
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{
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private readonly MapFileResolver _resolver = CreateMapFileResolver();
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[Test]
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public void ChecksFirstDate()
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{
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var mapFileProvider = TestGlobals.MapFileProvider;
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var mapFileResolver = mapFileProvider.Get(AuxiliaryDataKey.EquityUsa);
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// QQQ started trading on 19990310
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var mapFile = mapFileResolver.ResolveMapFile("QQQ", new DateTime(1999, 3, 9));
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Assert.IsTrue(mapFile.IsNullOrEmpty());
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var mapFile2 = mapFileResolver.ResolveMapFile("QQQ", new DateTime(2015, 3, 10));
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Assert.IsFalse(mapFile2.IsNullOrEmpty());
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}
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[Test]
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public void ResolvesCorrectlyReUsedTicker()
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{
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var mapFileProvider = TestGlobals.MapFileProvider;
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var mapFileResolver = mapFileProvider.Get(AuxiliaryDataKey.EquityUsa);
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// FB.1 started trading on 19990929 and ended on 20030328
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var mapFile = mapFileResolver.ResolveMapFile("FB", new DateTime(1999, 9, 28));
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Assert.IsTrue(mapFile.IsNullOrEmpty());
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mapFile = mapFileResolver.ResolveMapFile("FB", new DateTime(1999, 9, 29));
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Assert.IsFalse(mapFile.IsNullOrEmpty());
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// FB started trading on 20120518
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mapFile = mapFileResolver.ResolveMapFile("FB", new DateTime(2012, 5, 17));
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Assert.IsTrue(mapFile.IsNullOrEmpty());
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mapFile = mapFileResolver.ResolveMapFile("FB", new DateTime(2015, 5, 18));
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Assert.IsFalse(mapFile.IsNullOrEmpty());
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}
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[Test]
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public void InitializationSpeedTest()
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{
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var mapFileProvider = TestGlobals.MapFileProvider;
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var sw = Stopwatch.StartNew();
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var mapFileresolver = mapFileProvider.Get(AuxiliaryDataKey.EquityUsa);
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sw.Stop();
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Log.Trace($"elapsed: {sw.Elapsed.TotalSeconds} seconds");
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}
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[Test]
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public void ResolvesStraightMapping()
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{
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var spyMapFile = _resolver.ResolveMapFile("SPY", new DateTime(2015, 08, 23));
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Assert.IsNotNull(spyMapFile);
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Assert.AreEqual("SPY", spyMapFile.GetMappedSymbol(new DateTime(2015, 08, 23)));
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}
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[Test]
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public void MapFileReturnDefaultValueCorrectly()
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{
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var spyMapFile = _resolver.ResolveMapFile("PEPE", new DateTime(2015, 08, 23));
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Assert.IsNotNull(spyMapFile);
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Assert.AreEqual("Pepito", spyMapFile.GetMappedSymbol(new DateTime(2015, 08, 23), "Pepito"));
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}
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[Test]
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public void ResolvesMapFilesOnNonSpecifiedDates()
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{
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var mapFile = _resolver.ResolveMapFile("GOOG", new DateTime(2014, 04, 01));
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Assert.AreEqual("GOOGL", mapFile.Permtick);
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mapFile = _resolver.ResolveMapFile("GOOG", new DateTime(2014, 04, 03));
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Assert.AreEqual("GOOG", mapFile.Permtick);
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}
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[Test]
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public void ResolvesOldSymbolRemapped()
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{
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// on 2014.04.02 a symbol GOOG traded its last day, the following day it would trade under GOOGL
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var april2 = new DateTime(2014, 04, 02);
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var googMapFile = _resolver.ResolveMapFile("GOOG", april2);
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Assert.IsNotNull(googMapFile);
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Assert.AreEqual("GOOG", googMapFile.GetMappedSymbol(april2));
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Assert.AreEqual("GOOGL", googMapFile.GetMappedSymbol(april2.AddDays(1)));
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}
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[Test]
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public void ResolvesExactMapping()
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{
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var oih1 = _resolver.ResolveMapFile("OIH.1", new DateTime(2011, 12, 20));
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Assert.IsNotNull(oih1);
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Assert.AreEqual("OIH", oih1.GetMappedSymbol(new DateTime(2010, 02, 06)));
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Assert.AreEqual("OIH", oih1.GetMappedSymbol(new DateTime(2010, 02, 07)));
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Assert.AreEqual("OIH", oih1.GetMappedSymbol(new DateTime(2011, 12, 20)));
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Assert.AreEqual(string.Empty, oih1.GetMappedSymbol(new DateTime(2011, 12, 21)));
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}
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[Test]
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public void ResolvesRemappedSymbolWithBothMapFiles()
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{
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var date = new DateTime(2012, 06, 28);
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var mapFile = _resolver.ResolveMapFile("SPXL", date);
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Assert.IsNotNull(mapFile);
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Assert.AreEqual("BGU", mapFile.GetMappedSymbol(date));
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Assert.AreEqual("SPXL", mapFile.GetMappedSymbol(date.AddDays(1)));
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}
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[Test]
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public void ResolvesRemappedAndDelistedSymbol()
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{
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var date = new DateTime(2018, 7, 23);
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var mapFile = _resolver.ResolveMapFile("TWX", date);
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Assert.IsNotNull(mapFile);
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Assert.AreEqual("AOL", mapFile.GetMappedSymbol(new DateTime(2000, 1, 1)));
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Assert.AreEqual("TWX", mapFile.GetMappedSymbol(new DateTime(2014, 1, 1)));
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}
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[Test]
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public void ContinuousFuturesMappingMode()
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{
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var date = new DateTime(2018, 7, 23);
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var mapFile = _resolver.ResolveMapFile("NG", date);
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Assert.IsNotNull(mapFile);
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Assert.AreEqual("NG UNT495KXTOLD", mapFile.GetMappedSymbol(new DateTime(2010, 6, 15), dataMappingMode: DataMappingMode.LastTradingDay));
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Assert.AreEqual("NG UOMNNYK04BEP", mapFile.GetMappedSymbol(new DateTime(2010, 6, 15), dataMappingMode: DataMappingMode.FirstDayMonth));
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Assert.AreEqual("NG UMWMI2IDASAP", mapFile.GetMappedSymbol(new DateTime(2010, 6, 15), dataMappingMode: DataMappingMode.OpenInterest));
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}
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private static MapFileResolver CreateMapFileResolver()
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{
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return new MapFileResolver(new List<MapFile>
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{
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// remapped
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new MapFile("goog", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(2014, 03, 27), "goocv"),
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new MapFileRow(new DateTime(2014, 04, 02), "goocv"),
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new MapFileRow(new DateTime(2050, 12, 31), "goog")
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}),
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new MapFile("googl", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(2004, 08, 19), "goog"),
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new MapFileRow(new DateTime(2014, 04, 02), "goog"),
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new MapFileRow(new DateTime(2050, 12, 31), "googl")
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}),
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// remapped (with both map files)
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new MapFile("bgu", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(2008, 11, 05), "bgu"),
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new MapFileRow(new DateTime(2012, 06, 28), "bgu")
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}),
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new MapFile("spxl", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(2008, 11, 05), "bgu"),
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new MapFileRow(new DateTime(2012, 06, 28), "bgu"),
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new MapFileRow(new DateTime(2050, 12, 31), "spxl")
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}),
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// straight mapping
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new MapFile("spy", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(1998, 01, 02), "spy"),
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new MapFileRow(new DateTime(2050, 12, 31), "spy")
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}),
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// new share class overtakes old share class same symbol
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new MapFile("oih.1", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(2010, 02, 07), "oih"),
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new MapFileRow(new DateTime(2011, 12, 20), "oih")
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}),
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new MapFile("oih", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(2011, 12, 21), "oih"),
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new MapFileRow(new DateTime(2050, 12, 31), "oih")
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}),
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// remapped + delisted
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new MapFile("twx.1", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(1998, 1, 2), "twx"),
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new MapFileRow(new DateTime(2001, 1, 11), "twx")
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}),
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new MapFile("twx", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(1998, 1, 2), "aol"),
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new MapFileRow(new DateTime(2003, 10, 15), "aol"),
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new MapFileRow(new DateTime(2018, 6, 15), "twx")
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}),
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new MapFile("ng", new List<MapFileRow>
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{
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new MapFileRow(new DateTime(2010, 6, 15), "ng unt495kxtold", Exchange.NYMEX, DataMappingMode.LastTradingDay),
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new MapFileRow(new DateTime(2010, 6, 15), "ng uomnnyk04bep", Exchange.NYMEX, DataMappingMode.FirstDayMonth),
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new MapFileRow(new DateTime(2010, 6, 15), "ng umwmi2idasap", Exchange.NYMEX, DataMappingMode.OpenInterest),
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}),
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});
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}
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}
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}
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