Address self review and mchandschuh's review

This commit is contained in:
Gerardo Salazar
2019-07-08 13:41:47 -07:00
committed by Martin Molinero
parent 1494603cf8
commit c25bdc6a07
4 changed files with 63 additions and 52 deletions
@@ -13,13 +13,13 @@
* limitations under the License.
*/
using Newtonsoft.Json;
using System;
using System.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Data.Custom.SEC;
using QuantConnect.Data.Market;
using QuantConnect.Interfaces;
using QuantConnect.Orders.Fees;
namespace QuantConnect.Algorithm.CSharp
{
@@ -38,8 +38,7 @@ namespace QuantConnect.Algorithm.CSharp
{
private Symbol _symbol;
private bool _changedSymbol;
private bool _properSymbolBeforeRename;
private bool _properSymbolAfterRename;
private Dictionary<DateTime, string> _tickers = new Dictionary<DateTime, string>();
/// <summary>
/// Ticker we use for testing
@@ -75,19 +74,18 @@ namespace QuantConnect.Algorithm.CSharp
foreach (var report in slice.Get<SECReport8K>())
{
if (!_properSymbolBeforeRename)
var ticker = report.Key.Value;
var date = Time.Date;
if (date == new DateTime(2001, 1, 26) || date == new DateTime(2003, 10, 22))
{
_properSymbolBeforeRename = report.Key.Value == "AOL" && Time < new DateTime(2003, 10, 16);
}
if (!_properSymbolAfterRename)
{
_properSymbolAfterRename = report.Key.Value == "TWX" && Time >= new DateTime(2003, 10, 16);
_tickers[date] = ticker;
}
Log($"{Time} - Received 8-K report for {report.Key.Value}");
Log($"{Time} - Received 8-K report for {ticker}");
}
}
/// <summary>
/// Final step of the algorithm
/// </summary>
@@ -97,13 +95,19 @@ namespace QuantConnect.Algorithm.CSharp
{
throw new Exception("The ticker did not rename throughout the course of its life even though it should have");
}
if (!_properSymbolBeforeRename)
var expectedTickers = new Dictionary<DateTime, string>
{
throw new Exception("The SEC report data never renamed to its old ticker");
}
if (!_properSymbolAfterRename)
{ new DateTime(2001, 1, 26), "AOL" },
{ new DateTime(2003, 10, 22), "TWX" },
};
// Check for dictionary equality: https://stackoverflow.com/a/3804852
if (_tickers.Count != expectedTickers.Count && _tickers.Except(expectedTickers).Any())
{
throw new Exception("The SEC report data never renamed back to its present-day ticker");
Log($"Found: {JsonConvert.SerializeObject(_tickers, Formatting.None)}");
Log($"Expected: {JsonConvert.SerializeObject(expectedTickers, Formatting.None)}");
throw new Exception("SEC data event tickers do not match test case");
}
}