Martin Molinero
a288648929
- Adding new ISecurityService and its implementation SecurityService. Expose by SecurityManager. This class will expose a method for creating new securities. The SecurityManager is exposing this new interface, calling _securityService internally, so Future/OptionUniverseSelectionModel.cs can use it - Replacing all usages of SecurityManager.CreateSecurity for new ISecurityService - Modifying `Cash.cs` and `CashBook.cs` `EnsureCurrencyDataFeeds()` to return newly added `SubscriptionDataConfig` instead of `Security`. This will avoid using `Security.Subscriptions` at call site. - Moving old SecurityManager.CreateSecurity into new SecurityServiceTests.cs
117 lines
4.5 KiB
C#
117 lines
4.5 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 NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Data.Market;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Algorithm
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{
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[TestFixture]
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public class AlgorithmResolveConsolidatorTests
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{
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[Test]
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public void TradeBarToTradeBar()
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var security = algorithm.AddEquity("SPY");
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var consolidator = algorithm.ResolveConsolidator("SPY", Resolution.Minute);
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var inputType = security.SubscriptionDataConfig.Type;
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var outputType = consolidator.OutputType;
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Assert.AreEqual(inputType, outputType);
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}
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[Test]
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public void QuoteBarToQuoteBar()
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var security = algorithm.AddForex("EURUSD");
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var consolidator = algorithm.ResolveConsolidator("EURUSD", Resolution.Minute);
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var inputType = security.SubscriptionDataConfig.Type;
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var outputType = consolidator.OutputType;
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Assert.AreEqual(inputType, outputType);
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}
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[Test]
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public void TickTypeTradeToTradeBar()
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var security = algorithm.AddEquity("SPY", Resolution.Tick);
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var consolidator = algorithm.ResolveConsolidator("SPY", Resolution.Minute);
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var tickType = security.SubscriptionDataConfig.TickType;
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var outputType = consolidator.OutputType;
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Assert.AreEqual(TickType.Trade, tickType);
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Assert.AreEqual(typeof(TradeBar), outputType);
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}
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[Test]
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public void TickTypeQuoteToQuoteBar()
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var security = algorithm.AddForex("EURUSD", Resolution.Tick);
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var consolidator = algorithm.ResolveConsolidator("EURUSD", Resolution.Minute);
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var tickType = security.SubscriptionDataConfig.TickType;
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var outputType = consolidator.OutputType;
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Assert.AreEqual(TickType.Quote, tickType);
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Assert.AreEqual(typeof(QuoteBar), outputType);
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}
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[Test]
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public void TickTypeTradeToTick()
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var security = algorithm.AddEquity("SPY", Resolution.Tick);
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var consolidator = algorithm.ResolveConsolidator("SPY", Resolution.Tick);
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var tickType = security.SubscriptionDataConfig.TickType;
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var inputType = security.SubscriptionDataConfig.Type;
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var outputType = consolidator.OutputType;
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Assert.AreEqual(TickType.Trade, tickType);
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Assert.AreEqual(inputType, outputType);
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}
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[Test]
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public void TickTypeQuoteToTick()
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var security = algorithm.AddForex("EURUSD", Resolution.Tick);
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var consolidator = algorithm.ResolveConsolidator("EURUSD", Resolution.Tick);
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var tickType = security.SubscriptionDataConfig.TickType;
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var inputType = security.SubscriptionDataConfig.Type;
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var outputType = consolidator.OutputType;
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Assert.AreEqual(TickType.Quote, tickType);
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Assert.AreEqual(inputType, outputType);
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}
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}
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}
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