quantconnect--lean/Tests/Common/TimeTests.cs

/*
 * 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.Securities;
using QuantConnect.Tests.Common.Securities;

namespace QuantConnect.Tests.Common
{
    [TestFixture]
    public class TimeTests
    {
        [Test]
        public void UnixTimeStampSecondsToDateTimeHasSubMillisecondPrecision()
        {
            const double stamp = 1520711961.00055;
            var expected = new DateTime(2018, 3, 10, 19, 59, 21, 0).AddTicks(5500);
            var time = Time.UnixTimeStampToDateTime(stamp);
            Assert.AreEqual(expected, time);
        }

        [Test]
        public void UnixTimeStampMillisecondsToDateTimeHasSubMillisecondPrecision()
        {
            const double stamp = 1520711961000.55;
            var expected = new DateTime(2018, 3, 10, 19, 59, 21, 0).AddTicks(5500);
            var time = Time.UnixMillisecondTimeStampToDateTime(stamp);
            Assert.AreEqual(expected, time);
        }

        [Test]
        public void GetStartTimeForTradeBarsRoundsDown()
        {
            // 2015.09.01 @ noon
            var end = new DateTime(2015, 09, 01, 12, 0, 1);
            var barSize = TimeSpan.FromMinutes(1);
            var hours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
            var start = Time.GetStartTimeForTradeBars(hours, end, barSize, 1, false);
            // round down and back up a single bar
            Assert.AreEqual(end.RoundDown(barSize).Subtract(barSize), start);
        }

        [Test]
        public void GetStartTimeForTradeBarsHandlesOverNight()
        {
            // 2015.09.01 @ noon
            var end = new DateTime(2015, 09, 01, 12, 0, 0);
            var barSize = TimeSpan.FromHours(1);
            var hours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours();
            var start = Time.GetStartTimeForTradeBars(hours, end, barSize, 7, false);
            // from noon, back up to 9am (3 hours) then skip night, so from 4pm, back up to noon, 4 more hours
            Assert.AreEqual(end.AddDays(-1), start);
        }

        [Test]
        public void GetStartTimeForTradeBarsHandlesWeekends()
        {
            // 2015.09.01 @ noon
            var end = new DateTime(2015, 09, 01, 12, 0, 0);
            var expectedStart = new DateTime(2015, 08, 21);
            var barSize = TimeSpan.FromDays(1);
            var hours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours();
            var start = Time.GetStartTimeForTradeBars(hours, end, barSize, 7, false);
            // from noon, back up to 9am (3 hours) then skip night, so from 4pm, back up to noon, 4 more hours
            Assert.AreEqual(expectedStart, start);
        }

        [Test]
        public void EachTradeableDayInTimeZoneIsSameForEqualTimeZones()
        {
            var start = new DateTime(2010, 01, 01);
            var end = new DateTime(2016, 02, 12);
            var entry = MarketHoursDatabase.FromDataFolder().ExchangeHoursListing.First().Value;
            var expected = Time.EachTradeableDay(entry.ExchangeHours, start, end);
            var actual = Time.EachTradeableDayInTimeZone(entry.ExchangeHours, start, end, entry.ExchangeHours.TimeZone, true);
            CollectionAssert.AreEqual(expected, actual);
        }

        [Test]
        public void EachTradeableDayInTimeZoneWithOffsetPlus12()
        {
            var start = new DateTime(2016, 2, 11);
            var end = new DateTime(2016, 2, 12);
            var equityExchange = SecurityExchangeHours.AlwaysOpen(DateTimeZone.ForOffset(Offset.FromHours(-5)));
            var dataTimeZone = DateTimeZone.ForOffset(Offset.FromHours(7));

            // given this arrangement we should still start on the same date and end a day late
            var expected = new[] {start, end, end.AddDays(1)};
            var actual = Time.EachTradeableDayInTimeZone(equityExchange, start, end, dataTimeZone, true);
            CollectionAssert.AreEqual(expected, actual);
        }

        [Test]
        public void EachTradeableDayInTimeZoneWithOffsetMinus12()
        {
            var start = new DateTime(2016, 2, 11);
            var end = new DateTime(2016, 2, 12);
            var exchange = SecurityExchangeHours.AlwaysOpen(DateTimeZone.ForOffset(Offset.FromHours(5)));
            var dataTimeZone = DateTimeZone.ForOffset(Offset.FromHours(-7));

            // given this arrangement we should still start a day early but still end on the same date
            var expected = new[] {start.AddDays(-1), start, end};
            var actual = Time.EachTradeableDayInTimeZone(exchange, start, end, dataTimeZone, true);
            CollectionAssert.AreEqual(expected, actual);
        }

        [Test]
        public void EachTradeableDayInTimeZoneWithOffset25()
        {
            var start = new DateTime(2016, 2, 11);
            var end = new DateTime(2016, 2, 12);
            var exchange = SecurityExchangeHours.AlwaysOpen(DateTimeZone.ForOffset(Offset.FromHours(12)));
            var dataTimeZone = DateTimeZone.ForOffset(Offset.FromHours(-13));

            // given this arrangement we should still start a day early but still end on the same date
            var expected = new[] {start.AddDays(-2), start.AddDays(-1), start};
            var actual = Time.EachTradeableDayInTimeZone(exchange, start, end, dataTimeZone, true);
            CollectionAssert.AreEqual(expected, actual);
        }

        [Test]
        public void MultipliesTimeSpans()
        {
            var interval = TimeSpan.FromSeconds(1);
            var expected = TimeSpan.FromSeconds(5);
            var actual = interval.Multiply(5d);
            Assert.AreEqual(expected, actual);
        }

        [Test]
        [TestCase(2, 7, 3)]
        [TestCase(2, 4, 2)]
        [TestCase(6, 7, 1)]
        public void GetNumberOfTradeBarsForIntervalUsingDailyStepSize(int startDay, int endDay, int expected)
        {
            var start = new DateTime(2018, 08, startDay);
            var end = new DateTime(2018, 08, endDay);
            var exchangeHours = CreateUsEquitySecurityExchangeHours();
            var actual = Time.GetNumberOfTradeBarsInInterval(exchangeHours, start, end, Time.OneDay);
            Assert.AreEqual(expected, actual);
        }

        [Test]
        [TestCase(2, 7, 21)]
        [TestCase(2, 4, 14)]
        [TestCase(6, 7, 07)]
        public void GetNumberOfTradeBarsForIntervalUsingHourlyStepSize(int startDay, int endDay, int expected)
        {
            var start = new DateTime(2018, 08, startDay);
            var end = new DateTime(2018, 08, endDay);
            var exchangeHours = CreateUsEquitySecurityExchangeHours();
            var actual = Time.GetNumberOfTradeBarsInInterval(exchangeHours, start, end, Time.OneHour);
            Assert.AreEqual(expected, actual);
        }


        private static readonly TimeSpan USEquityPreOpen = new TimeSpan(4, 0, 0);
        private static readonly TimeSpan USEquityOpen = new TimeSpan(9, 30, 0);
        private static readonly TimeSpan USEquityClose = new TimeSpan(16, 0, 0);
        private static readonly TimeSpan USEquityPostClose = new TimeSpan(20, 0, 0);
        private static SecurityExchangeHours CreateUsEquitySecurityExchangeHours()
        {
            var sunday = LocalMarketHours.ClosedAllDay(DayOfWeek.Sunday);
            var monday = new LocalMarketHours(DayOfWeek.Monday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
            var tuesday = new LocalMarketHours(DayOfWeek.Tuesday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
            var wednesday = new LocalMarketHours(DayOfWeek.Wednesday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
            var thursday = new LocalMarketHours(DayOfWeek.Thursday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
            var friday = new LocalMarketHours(DayOfWeek.Friday, USEquityPreOpen, USEquityOpen, USEquityClose, USEquityPostClose);
            var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);

            var earlyCloses = new Dictionary<DateTime, TimeSpan>();
            return new SecurityExchangeHours(TimeZones.NewYork, USHoliday.Dates.Select(x => x.Date), new[]
            {
                sunday, monday, tuesday, wednesday, thursday, friday, saturday
            }.ToDictionary(x => x.DayOfWeek), earlyCloses);
        }
    }
}