snugs
6bd38ece77
Time sync: * Data feeds are required to time sync in UTC time * TimeSlice.Time is now in UTC IAlgorithm * Time is now exclusively the algorithm's local time zone * Added UtcTime * SetDateTime( DateTime ) accepts a UTC time and is internally converted SubscriptionDataConfig * Adds market and time zone as required ctor parameters SecurityExchange * Now passes most calls directly through to SecurityExchangeHours class SecurityExchangeHours * Holds market hours for each day of week (LocalMarketHours) * Talks in terms of local times in the SecurityExchangeHours.TimeZone time zone Data/market-hours/ * New data folder to hold market hour information * Includes market-hours-database.csv to hold market hours per market/symbol/security (see doc in file) * Includes holidays-usa.csv to hold holidays for 'usa' market + The holiday files follow the pattern 'holidays-*.csv' where * is the market TimeKeeper * Receives updates in UTC time * Passes that to LocalTimeKeeper's who lazily evaluate the time in their respective time zones * Eventually this can grow to be the sole source of time in the algorithm's scope MISC: * Fixes exception thrown when exiting LiveTradingDataFeed * Fixes exception thrown when exiting FileSystemDataFeed * Fixes exception thrown when exiting StatusPing * Simplify FillForwardEnumerator logic with GetNextMarketOpen * Adds many time zones, see TimeZones.cs
78 lines
2.8 KiB
C#
78 lines
2.8 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 NUnit.Framework;
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namespace QuantConnect.Tests.Common
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{
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[TestFixture]
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public class TimeKeeperTests
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{
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[Test]
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public void ConstructsLocalTimeKeepers()
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{
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var reference = new DateTime(2000, 01, 01);
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var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
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Assert.IsNotNull(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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}
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[Test]
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public void TimeKeeperReportsUpdatedLocalTimes()
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{
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var reference = new DateTime(2000, 01, 01);
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var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
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var localTime = timeKeeper.GetTimeIn(TimeZones.NewYork);
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timeKeeper.SetUtcDateTime(reference.AddDays(1));
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Assert.AreEqual(localTime.AddDays(1), timeKeeper.GetTimeIn(TimeZones.NewYork));
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timeKeeper.SetUtcDateTime(reference.AddDays(2));
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Assert.AreEqual(localTime.AddDays(2), timeKeeper.GetTimeIn(TimeZones.NewYork));
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}
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[Test]
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public void LocalTimeKeepersGetTimeUpdates()
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{
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var reference = new DateTime(2000, 01, 01);
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var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
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var localTimeKeeper = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
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var localTime = localTimeKeeper.LocalTime;
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timeKeeper.SetUtcDateTime(reference.AddDays(1));
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Assert.AreEqual(localTime.AddDays(1), localTimeKeeper.LocalTime);
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timeKeeper.SetUtcDateTime(reference.AddDays(2));
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Assert.AreEqual(localTime.AddDays(2), localTimeKeeper.LocalTime);
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}
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[Test]
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public void AddingDuplicateTimeZoneDoesntAdd()
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{
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var reference = new DateTime(2000, 01, 01);
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var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
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var localTimeKeeper = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
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timeKeeper.AddTimeZone(TimeZones.NewYork);
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Assert.AreEqual(localTimeKeeper, timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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}
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}
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}
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