/* * 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. */ using System; using System.Collections.Generic; using System.Linq; using NodaTime; using NUnit.Framework; using QuantConnect.Algorithm; using QuantConnect.Data; using QuantConnect.Tests.Engine.DataFeeds; using HistoryRequest = QuantConnect.Data.HistoryRequest; namespace QuantConnect.Tests.Algorithm { public class AlgorithmHistoryTests { private QCAlgorithm _algorithm; private TestHistoryProvider _testHistoryProvider; [SetUp] public void Setup() { _algorithm = new QCAlgorithm(); _algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm)); _algorithm.HistoryProvider = _testHistoryProvider = new TestHistoryProvider(); } [Test] [TestCase(Resolution.Tick)] [TestCase(Resolution.Second)] [TestCase(Resolution.Minute)] [TestCase(Resolution.Hour)] [TestCase(Resolution.Daily)] public void TimeSpanHistoryRequestIsCorrectlyBuilt(Resolution resolution) { _algorithm.SetStartDate(2013, 10, 07); _algorithm.History(Symbols.SPY, TimeSpan.FromSeconds(2), resolution); Resolution? fillForwardResolution = null; if (resolution != Resolution.Tick) { fillForwardResolution = resolution; } Assert.AreEqual(1, _testHistoryProvider.HistryRequests.Count); Assert.AreEqual(Symbols.SPY, _testHistoryProvider.HistryRequests.First().Symbol); Assert.AreEqual(resolution, _testHistoryProvider.HistryRequests.First().Resolution); Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IncludeExtendedMarketHours); Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IsCustomData); Assert.AreEqual(fillForwardResolution, _testHistoryProvider.HistryRequests.First().FillForwardResolution); Assert.AreEqual(DataNormalizationMode.Adjusted, _testHistoryProvider.HistryRequests.First().DataNormalizationMode); Assert.AreEqual(TickType.Trade, _testHistoryProvider.HistryRequests.First().TickType); } [Test] [TestCase(Resolution.Tick)] [TestCase(Resolution.Second)] [TestCase(Resolution.Minute)] [TestCase(Resolution.Hour)] [TestCase(Resolution.Daily)] public void BarCountHistoryRequestIsCorrectlyBuilt(Resolution resolution) { _algorithm.SetStartDate(2013, 10, 07); _algorithm.History(Symbols.SPY, 10, resolution); Resolution? fillForwardResolution = null; if (resolution != Resolution.Tick) { fillForwardResolution = resolution; } Assert.AreEqual(1, _testHistoryProvider.HistryRequests.Count); Assert.AreEqual(Symbols.SPY, _testHistoryProvider.HistryRequests.First().Symbol); Assert.AreEqual(resolution, _testHistoryProvider.HistryRequests.First().Resolution); Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IncludeExtendedMarketHours); Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IsCustomData); Assert.AreEqual(fillForwardResolution, _testHistoryProvider.HistryRequests.First().FillForwardResolution); Assert.AreEqual(DataNormalizationMode.Adjusted, _testHistoryProvider.HistryRequests.First().DataNormalizationMode); Assert.AreEqual(TickType.Trade, _testHistoryProvider.HistryRequests.First().TickType); } [Test] public void TickHistoryRequestIgnoresFillForward() { _algorithm.SetStartDate(2013, 10, 07); _algorithm.History(new [] {Symbols.SPY}, new DateTime(1,1,1,1,1,1), new DateTime(1, 1, 1, 1, 1, 2), Resolution.Tick, fillForward: true); Assert.AreEqual(1, _testHistoryProvider.HistryRequests.Count); Assert.AreEqual(Symbols.SPY, _testHistoryProvider.HistryRequests.First().Symbol); Assert.AreEqual(Resolution.Tick, _testHistoryProvider.HistryRequests.First().Resolution); Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IncludeExtendedMarketHours); Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IsCustomData); Assert.AreEqual(null, _testHistoryProvider.HistryRequests.First().FillForwardResolution); Assert.AreEqual(DataNormalizationMode.Adjusted, _testHistoryProvider.HistryRequests.First().DataNormalizationMode); Assert.AreEqual(TickType.Trade, _testHistoryProvider.HistryRequests.First().TickType); } private class TestHistoryProvider : HistoryProviderBase { public override int DataPointCount { get; } public List HistryRequests { get; } = new List(); public override void Initialize(HistoryProviderInitializeParameters parameters) { throw new NotImplementedException(); } public override IEnumerable GetHistory(IEnumerable requests, DateTimeZone sliceTimeZone) { foreach (var request in requests) { HistryRequests.Add(request); } return new List(); } } } }