Track OHLCV for Current Trading Day (#8922)

* Implement Session class * Use MarketHourAwareConsolidator inside Session * Delete SecurityCacheSessionConfig * Refactor session class * Solve review comments * Fix regression algorithms * Add null check to AvailableDataTypes * Update session class * Solve new review comments * Add new test for futures and update regression test to PEP8 * Add new regression algorithm for Session with futures * Resolve review comments * Add local time keeper to SecurityCache * Scan on consolidator updates and time updates * Add new regression algorithms and unit tests * Add unit tests and improve comments * Fix syntax test * Solve review comments * Add regression algorithms * Resolve review comments * Make SessionConsolidator implement IDataConsolidator * Add caching to avoid recreating SessionBar instances on every access * Solve review comments * Make SessionConsolidator inherit from MarketHourAwareConsolidator * Add unit test to verify Session preserves previous day values * Update regression algorithms * Solve review comments * Resolve review comments * Solve new review comments * Add unit test for Session class * Refactor SessionBar properties and Update method * Use WorkingDataInstance reference instead of _workingData.Clone() * Use a delegate to get the workingBar instance * Fix bug in MarketHourAwareConsolidator * Solve review comments * Handle OI values * Add regression algorithms for future contracts and options * Solve review comments * Refactor SessionConsolidator to inherit PeriodCountConsolidatorBase * Prevent overlapping higher resolution data * Update tests * Solve review comments * Minor tweaks
2025-09-19 12:25:24 -05:00
parent 36404a6187
commit f7ce35ae82
28 changed files with 2295 additions and 19 deletions
@@ -0,0 +1,42 @@
+# QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+# Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from AlgorithmImports import *
+
+from SecuritySessionRegressionAlgorithm import SecuritySessionRegressionAlgorithm
+
+### <summary>
+### Regression algorithm to validate SecurityCache.Session functionality.
+### Verifies that daily session bars (Open, High, Low, Close, Volume) are correctly after resolution change
+### </summary>
+class SecuritySessionWithChangeOfResolutionRegressionAlgorithm(SecuritySessionRegressionAlgorithm):
+    def on_securities_changed(self, changes: SecurityChanges):
+        if changes.removed_securities:
+            self.security = self.add_equity("SPY", Resolution.MINUTE)
+
+    def on_end_of_day(self, symbol: Symbol):
+        if self.utc_time.date() == datetime(2013, 10, 7).date():
+            session = self.security.session
+
+            # Check before removal
+            if (
+                session.open != self.open
+                or session.high != self.high
+                or session.low != self.low
+                or session.close != self.close
+                or session.volume != self.volume
+            ):
+                raise RegressionTestException("Mismatch in current session bar (OHLCV)")
+
+            self.remove_security(symbol)
+            self.security_was_removed = True