Stefano Raggi
98 lines
3.3 KiB
C#
98 lines
3.3 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 System;
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using System.Collections.Generic;
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using System.Diagnostics;
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using System.Linq;
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using System.Threading;
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using NUnit.Framework;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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namespace QuantConnect.Tests.Common.Securities.Options
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{
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[TestFixture]
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public class OptionChainProviderTests
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{
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[Test]
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public void CachingProviderCachesSymbolsByDate()
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{
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var provider = new CachingOptionChainProvider(new DelayedOptionChainProvider(1000));
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var stopwatch = Stopwatch.StartNew();
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var symbols = provider.GetOptionContractList(Symbol.Empty, new DateTime(2017, 7, 28));
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stopwatch.Stop();
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Assert.GreaterOrEqual(stopwatch.ElapsedMilliseconds, 1000);
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Assert.AreEqual(2, symbols.Count());
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stopwatch.Restart();
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symbols = provider.GetOptionContractList(Symbol.Empty, new DateTime(2017, 7, 28));
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stopwatch.Stop();
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Assert.LessOrEqual(stopwatch.ElapsedMilliseconds, 10);
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Assert.AreEqual(2, symbols.Count());
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stopwatch.Restart();
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symbols = provider.GetOptionContractList(Symbol.Empty, new DateTime(2017, 7, 29));
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stopwatch.Stop();
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Assert.GreaterOrEqual(stopwatch.ElapsedMilliseconds, 1000);
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Assert.AreEqual(2, symbols.Count());
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}
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[Test]
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public void LiveOptionChainProviderReturnsData()
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{
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var provider = new LiveOptionChainProvider();
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foreach (var symbol in new[] { Symbols.SPY, Symbols.AAPL, Symbols.MSFT })
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{
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var result = provider.GetOptionContractList(symbol, DateTime.Today);
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Assert.IsTrue(result.Any());
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}
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}
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[Test]
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public void LiveOptionChainProviderReturnsNoDataForInvalidSymbol()
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{
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var symbol = Symbol.Create("ABCDEF123", SecurityType.Equity, Market.USA);
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var provider = new LiveOptionChainProvider();
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var result = provider.GetOptionContractList(symbol, DateTime.Today);
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Assert.IsFalse(result.Any());
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}
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}
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internal class DelayedOptionChainProvider : IOptionChainProvider
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{
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private readonly int _delayMilliseconds;
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public DelayedOptionChainProvider(int delayMilliseconds)
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{
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_delayMilliseconds = delayMilliseconds;
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}
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public IEnumerable<Symbol> GetOptionContractList(Symbol symbol, DateTime date)
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{
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Thread.Sleep(_delayMilliseconds);
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return new[] { Symbols.SPY_C_192_Feb19_2016, Symbols.SPY_P_192_Feb19_2016 };
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}
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}
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} |