wehub-resource-sync
69 lines
3.2 KiB
C#
69 lines
3.2 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.IO;
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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.Auxiliary;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Engine.DataFeeds
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{
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[TestFixture]
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public class ZipEntryNameSubscriptionFactoryTests
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{
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[Test]
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public void ReadsZipEntryNames()
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{
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var time = new DateTime(2016, 03, 03, 12, 48, 15);
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var source = Path.Combine("TestData", "20151224_quote_american.zip");
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var config = new SubscriptionDataConfig(typeof (CustomData), Symbol.Create("XLRE", SecurityType.Option, Market.USA), Resolution.Tick,
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TimeZones.NewYork, TimeZones.NewYork, false, false, false);
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using var cacheProvider = new ZipDataCacheProvider(TestGlobals.DataProvider);
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var factory = new ZipEntryNameSubscriptionDataSourceReader(cacheProvider, config, time, false);
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var expected = new[]
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{
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Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 21m, new DateTime(2016, 08, 19)),
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Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 22m, new DateTime(2016, 08, 19)),
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Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Put, 37m, new DateTime(2016, 08, 19)),
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};
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var actual = factory.Read(new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.ZipEntryName)).ToList();
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// we only really care about the symbols
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CollectionAssert.AreEqual(expected, actual.Select(x => x.Symbol));
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Assert.IsTrue(actual.All(x => x is CustomData));
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}
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private class CustomData : BaseData
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{
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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var symbol = LeanData.ReadSymbolFromZipEntry(config.Symbol, config.Resolution, line);
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return new CustomData { Time = date, Symbol = symbol };
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}
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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var source = LeanData.GenerateZipFilePath(Globals.DataFolder, config.Symbol, date, config.Resolution, config.TickType);
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return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.ZipEntryName);
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}
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}
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}
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}
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