Stefano Raggi
b026813145
Since subscriptions are enumerated in non-deterministic order, tick consolidators for multi-tick-type security types (such as Crypto, Future and Option) could end up being added to the wrong subscription, e.g. QuoteBarTickConsolidator added to a tick subscription with TickType.Trade. This was causing the Consolidated event handler to never be called. The Resolution.Tick case is now handled properly, checking the subscription tick type.
238 lines
11 KiB
C#
238 lines
11 KiB
C#
/*
|
|
* 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 System.Threading;
|
|
using System.Threading.Tasks;
|
|
using NodaTime;
|
|
using NUnit.Framework;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.Auxiliary;
|
|
using QuantConnect.Data.Consolidators;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Tests.Engine.DataFeeds;
|
|
|
|
namespace QuantConnect.Tests.Common.Data
|
|
{
|
|
[TestFixture]
|
|
public class SubscriptionManagerTests
|
|
{
|
|
[Test]
|
|
[TestCase(SecurityType.Base, Resolution.Minute, typeof(TradeBar), TickType.Trade)]
|
|
[TestCase(SecurityType.Base, Resolution.Tick, typeof(Tick), TickType.Trade)]
|
|
[TestCase(SecurityType.Equity, Resolution.Minute, typeof(TradeBar), TickType.Trade)]
|
|
[TestCase(SecurityType.Equity, Resolution.Tick, typeof(Tick), TickType.Trade)]
|
|
[TestCase(SecurityType.Forex, Resolution.Minute, typeof(QuoteBar), TickType.Quote)]
|
|
[TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote)]
|
|
[TestCase(SecurityType.Cfd, Resolution.Minute, typeof(QuoteBar), TickType.Quote)]
|
|
[TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote)]
|
|
public void GetsSubscriptionDataTypesSingle(SecurityType securityType, Resolution resolution, Type expectedDataType, TickType expectedTickType)
|
|
{
|
|
var types = GetSubscriptionDataTypes(securityType, resolution);
|
|
|
|
Assert.AreEqual(1, types.Count);
|
|
Assert.AreEqual(expectedDataType, types[0].Item1);
|
|
Assert.AreEqual(expectedTickType, types[0].Item2);
|
|
}
|
|
|
|
[Test]
|
|
[TestCase(SecurityType.Future, Resolution.Minute, typeof(ZipEntryName), TickType.Quote)]
|
|
[TestCase(SecurityType.Future, Resolution.Tick, typeof(ZipEntryName), TickType.Quote)]
|
|
[TestCase(SecurityType.Option, Resolution.Minute, typeof(ZipEntryName), TickType.Quote)]
|
|
[TestCase(SecurityType.Option, Resolution.Tick, typeof(ZipEntryName), TickType.Quote)]
|
|
public void GetsSubscriptionDataTypesCanonical(SecurityType securityType, Resolution resolution, Type expectedDataType, TickType expectedTickType)
|
|
{
|
|
var types = GetSubscriptionDataTypes(securityType, resolution, true);
|
|
|
|
Assert.AreEqual(1, types.Count);
|
|
Assert.AreEqual(expectedDataType, types[0].Item1);
|
|
Assert.AreEqual(expectedTickType, types[0].Item2);
|
|
}
|
|
|
|
[Test]
|
|
[TestCase(SecurityType.Future, Resolution.Minute)]
|
|
[TestCase(SecurityType.Option, Resolution.Minute)]
|
|
public void GetsSubscriptionDataTypesFuturesOptionsMinute(SecurityType securityType, Resolution resolution)
|
|
{
|
|
var types = GetSubscriptionDataTypes(securityType, resolution);
|
|
|
|
Assert.AreEqual(3, types.Count);
|
|
Assert.AreEqual(typeof(QuoteBar), types[0].Item1);
|
|
Assert.AreEqual(TickType.Quote, types[0].Item2);
|
|
Assert.AreEqual(typeof(TradeBar), types[1].Item1);
|
|
Assert.AreEqual(TickType.Trade, types[1].Item2);
|
|
Assert.AreEqual(typeof(OpenInterest), types[2].Item1);
|
|
Assert.AreEqual(TickType.OpenInterest, types[2].Item2);
|
|
}
|
|
|
|
[Test]
|
|
[TestCase(SecurityType.Future, Resolution.Tick)]
|
|
[TestCase(SecurityType.Option, Resolution.Tick)]
|
|
public void GetsSubscriptionDataTypesFuturesOptionsTick(SecurityType securityType, Resolution resolution)
|
|
{
|
|
var types = GetSubscriptionDataTypes(securityType, resolution);
|
|
|
|
Assert.AreEqual(3, types.Count);
|
|
Assert.AreEqual(typeof(Tick), types[0].Item1);
|
|
Assert.AreEqual(TickType.Quote, types[0].Item2);
|
|
Assert.AreEqual(typeof(Tick), types[1].Item1);
|
|
Assert.AreEqual(TickType.Trade, types[1].Item2);
|
|
Assert.AreEqual(typeof(Tick), types[2].Item1);
|
|
Assert.AreEqual(TickType.OpenInterest, types[2].Item2);
|
|
}
|
|
|
|
[Test]
|
|
[TestCase(Resolution.Minute)]
|
|
[TestCase(Resolution.Tick)]
|
|
public void GetsSubscriptionDataTypesCrypto(Resolution resolution)
|
|
{
|
|
var types = GetSubscriptionDataTypes(SecurityType.Crypto, resolution);
|
|
|
|
Assert.AreEqual(2, types.Count);
|
|
|
|
if (resolution == Resolution.Tick)
|
|
{
|
|
Assert.AreEqual(typeof(Tick), types[0].Item1);
|
|
Assert.AreEqual(typeof(Tick), types[1].Item1);
|
|
}
|
|
else
|
|
{
|
|
Assert.AreEqual(typeof(TradeBar), types[0].Item1);
|
|
Assert.AreEqual(typeof(QuoteBar), types[1].Item1);
|
|
}
|
|
|
|
Assert.AreEqual(TickType.Trade, types[0].Item2);
|
|
Assert.AreEqual(TickType.Quote, types[1].Item2);
|
|
}
|
|
|
|
[Test]
|
|
public void SubscriptionsMemberIsThreadSafe()
|
|
{
|
|
var subscriptionManager = new SubscriptionManager();
|
|
subscriptionManager.SetDataManager(new DataManagerStub());
|
|
var start = DateTime.UtcNow;
|
|
var end = start.AddSeconds(5);
|
|
var tickers = QuantConnect.Algorithm.CSharp.StressSymbols.StockSymbols.ToList();
|
|
var symbols = tickers.Select(ticker => Symbol.Create(ticker, SecurityType.Equity, QuantConnect.Market.USA)).ToList();
|
|
|
|
var readTask = new TaskFactory().StartNew(() =>
|
|
{
|
|
Console.WriteLine("Read task started");
|
|
while (DateTime.UtcNow < end)
|
|
{
|
|
subscriptionManager.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
|
|
Thread.Sleep(1);
|
|
}
|
|
Console.WriteLine("Read task ended");
|
|
});
|
|
|
|
while (readTask.Status != TaskStatus.Running) Thread.Sleep(1);
|
|
|
|
var addTask = new TaskFactory().StartNew(() =>
|
|
{
|
|
Console.WriteLine("Add task started");
|
|
foreach (var symbol in symbols)
|
|
{
|
|
subscriptionManager.Add(symbol, Resolution.Minute, DateTimeZone.Utc, DateTimeZone.Utc, true, false);
|
|
}
|
|
Console.WriteLine("Add task ended");
|
|
});
|
|
|
|
Task.WaitAll(addTask, readTask);
|
|
}
|
|
|
|
[Test]
|
|
public void GetsCustomSubscriptionDataTypes()
|
|
{
|
|
var subscriptionManager = new SubscriptionManager();
|
|
subscriptionManager.SetDataManager(new DataManagerStub());
|
|
subscriptionManager.AvailableDataTypes[SecurityType.Commodity] = new List<TickType> { TickType.OpenInterest, TickType.Quote, TickType.Trade };
|
|
var types = subscriptionManager.LookupSubscriptionConfigDataTypes(SecurityType.Commodity, Resolution.Daily, false);
|
|
|
|
Assert.AreEqual(3, types.Count);
|
|
|
|
Assert.AreEqual(typeof(OpenInterest), types[0].Item1);
|
|
Assert.AreEqual(typeof(QuoteBar), types[1].Item1);
|
|
Assert.AreEqual(typeof(TradeBar), types[2].Item1);
|
|
|
|
Assert.AreEqual(TickType.OpenInterest, types[0].Item2);
|
|
Assert.AreEqual(TickType.Quote, types[1].Item2);
|
|
Assert.AreEqual(TickType.Trade, types[2].Item2);
|
|
}
|
|
|
|
[Test]
|
|
[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(TradeBar), true)]
|
|
[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(OpenInterest), false)]
|
|
[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(QuoteBar), true)]
|
|
[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(OpenInterest), false)]
|
|
[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(TradeBar), false)]
|
|
[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(QuoteBar), false)]
|
|
[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(OpenInterest), true)]
|
|
public void ValidatesSubscriptionTickTypesForConsolidators(
|
|
SecurityType securityType,
|
|
Resolution subscriptionResolution,
|
|
Type subscriptionDataType,
|
|
TickType? subscriptionTickType,
|
|
Type consolidatorOutputType,
|
|
bool expected)
|
|
{
|
|
var subscription = new SubscriptionDataConfig(
|
|
subscriptionDataType,
|
|
Symbol.Create("XYZ", securityType, QuantConnect.Market.USA),
|
|
subscriptionResolution,
|
|
DateTimeZone.Utc,
|
|
DateTimeZone.Utc,
|
|
true,
|
|
false,
|
|
false,
|
|
false,
|
|
subscriptionTickType);
|
|
|
|
var consolidator = new TestConsolidator(subscriptionDataType, consolidatorOutputType);
|
|
|
|
Assert.AreEqual(expected, SubscriptionManager.IsSubscriptionValidForConsolidator(subscription, consolidator));
|
|
}
|
|
|
|
private class TestConsolidator : IDataConsolidator
|
|
{
|
|
public event DataConsolidatedHandler DataConsolidated;
|
|
public IBaseData Consolidated { get; }
|
|
public IBaseData WorkingData { get; }
|
|
public Type InputType { get; }
|
|
public Type OutputType { get; }
|
|
public void Update(IBaseData data) { }
|
|
public void Scan(DateTime currentLocalTime) { }
|
|
public void Dispose() { }
|
|
|
|
public TestConsolidator(Type inputType, Type outputType)
|
|
{
|
|
InputType = inputType;
|
|
OutputType = outputType;
|
|
}
|
|
}
|
|
|
|
private static List<Tuple<Type, TickType>> GetSubscriptionDataTypes(SecurityType securityType, Resolution resolution, bool isCanonical = false)
|
|
{
|
|
var subscriptionManager = new SubscriptionManager();
|
|
subscriptionManager.SetDataManager(new DataManagerStub());
|
|
return subscriptionManager.LookupSubscriptionConfigDataTypes(securityType, resolution, isCanonical);
|
|
}
|
|
}
|
|
}
|