Martin Molinero
0933da9303
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes. `ICurrencyConverter` will now provide the `AccountCurrency` - Adding new static `OrderFee.Zero` which will return a 0 order fee in `NullCurrency` - Adding static `Currencies.USD` value, replacing all "USD". - Addin new static `Currencies.NullCurrency` - Updating Bitfinex `FeeModel` so it return fees in quote currency. Adding unit tests
372 lines
19 KiB
C#
372 lines
19 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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*/
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using System;
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using System.Linq;
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using System.Threading;
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using System.Threading.Tasks;
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using NodaTime;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Equity;
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using QuantConnect.Securities.Future;
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using QuantConnect.Securities.Option;
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using QuantConnect.Util;
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namespace QuantConnect.Tests.Engine.DataFeeds
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{
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[TestFixture]
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public class SubscriptionCollectionTests
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{
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[Test]
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public void EnumerationWhileUpdatingDoesNotThrow()
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{
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var cts = new CancellationTokenSource();
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var subscriptions = new SubscriptionCollection();
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var start = DateTime.UtcNow;
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var end = start.AddSeconds(10);
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var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, DateTimeZone.Utc, DateTimeZone.Utc, true, false, false);
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var security = new Equity(
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Symbols.SPY,
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SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
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new Cash(Currencies.USD, 0, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance
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);
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var timeZoneOffsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, start, end);
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var enumerator = new EnqueueableEnumerator<BaseData>();
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var subscriptionDataEnumerator = SubscriptionData.Enumerator(config, security, timeZoneOffsetProvider, enumerator);
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var subscriptionRequest = new SubscriptionRequest(false, null, security, config, start, end);
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var subscription = new Subscription(subscriptionRequest, subscriptionDataEnumerator, timeZoneOffsetProvider);
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var addTask = new TaskFactory().StartNew(() =>
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{
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Console.WriteLine("Add task started");
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while (DateTime.UtcNow < end)
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{
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if (!subscriptions.Contains(config))
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{
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subscriptions.TryAdd(subscription);
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}
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Thread.Sleep(1);
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}
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Console.WriteLine("Add task ended");
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}, cts.Token);
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var removeTask = new TaskFactory().StartNew(() =>
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{
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Console.WriteLine("Remove task started");
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while (DateTime.UtcNow < end)
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{
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Subscription removed;
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subscriptions.TryRemove(config, out removed);
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Thread.Sleep(1);
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}
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Console.WriteLine("Remove task ended");
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}, cts.Token);
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var readTask = new TaskFactory().StartNew(() =>
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{
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Console.WriteLine("Read task started");
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while (DateTime.UtcNow < end)
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{
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foreach (var sub in subscriptions) { }
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Thread.Sleep(1);
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}
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Console.WriteLine("Read task ended");
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}, cts.Token);
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Task.WaitAll(addTask, removeTask, readTask);
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}
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[Test]
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public void DefaultFillForwardResolution()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var defaultFillForwardResolutio = subscriptionColletion.UpdateAndGetFillForwardResolution();
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Assert.AreEqual(defaultFillForwardResolutio.Value, new TimeSpan(0, 1, 0));
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}
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[Test]
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public void UpdatesFillForwardResolutionOverridesDefaultWhenNotAdding()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Daily);
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var fillForwardResolutio = subscriptionColletion.UpdateAndGetFillForwardResolution(subscription.Configuration);
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Assert.AreEqual(fillForwardResolutio.Value, new TimeSpan(1, 0, 0, 0));
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}
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[Test]
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public void UpdatesFillForwardResolutionSuccessfullyWhenNotAdding()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Second);
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var fillForwardResolutio = subscriptionColletion.UpdateAndGetFillForwardResolution(subscription.Configuration);
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Assert.AreEqual(fillForwardResolutio.Value, new TimeSpan(0, 0, 1));
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}
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[Test]
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public void UpdatesFillForwardResolutionSuccessfullyWhenAdding()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Second);
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subscriptionColletion.TryAdd(subscription);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
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}
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[Test]
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public void UpdatesFillForwardResolutionSuccessfullyOverridesDefaultWhenAdding()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Daily);
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subscriptionColletion.TryAdd(subscription);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(1, 0, 0, 0));
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}
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[Test]
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public void DoesNotUpdateFillForwardResolutionWhenAddingBiggerResolution()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Second);
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var subscription2 = CreateSubscription(Resolution.Minute);
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subscriptionColletion.TryAdd(subscription);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
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subscriptionColletion.TryAdd(subscription2);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
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}
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[Test]
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public void UpdatesFillForwardResolutionWhenRemoving()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Second);
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var subscription2 = CreateSubscription(Resolution.Daily);
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subscriptionColletion.TryAdd(subscription);
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subscriptionColletion.TryAdd(subscription2);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
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subscriptionColletion.TryRemove(subscription.Configuration, out subscription);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(1, 0, 0, 0));
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subscriptionColletion.TryRemove(subscription2.Configuration, out subscription2);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
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}
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[Test]
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public void FillForwardResolutionIgnoresTick()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Tick);
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subscriptionColletion.TryAdd(subscription);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
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subscriptionColletion.TryRemove(subscription.Configuration, out subscription);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
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}
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[Test]
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public void FillForwardResolutionIgnoresInternalFeed()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Second, "AAPL", true);
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subscriptionColletion.TryAdd(subscription);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
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subscriptionColletion.TryRemove(subscription.Configuration, out subscription);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
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}
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[Test]
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public void DoesNotUpdateFillForwardResolutionWhenRemovingDuplicateResolution()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Second);
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var subscription2 = CreateSubscription(Resolution.Second, "SPY");
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subscriptionColletion.TryAdd(subscription);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
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subscriptionColletion.TryAdd(subscription2);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
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subscriptionColletion.TryRemove(subscription.Configuration, out subscription);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 0, 1));
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subscriptionColletion.TryRemove(subscription2.Configuration, out subscription2);
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Assert.AreEqual(subscriptionColletion.UpdateAndGetFillForwardResolution().Value, new TimeSpan(0, 1, 0));
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}
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[Test]
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public void SubscriptionsAreSortedWhenAdding()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Second, "GC", false, SecurityType.Future);
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var subscription2 = CreateSubscription(Resolution.Second, "SPY");
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var subscription3 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option);
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var subscription4 = CreateSubscription(Resolution.Second, "EURGBP");
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var subscription5 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option, TickType.OpenInterest);
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var subscription6 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option, TickType.Quote);
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subscriptionColletion.TryAdd(subscription);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription });
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subscriptionColletion.TryAdd(subscription2);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription2, subscription });
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subscriptionColletion.TryAdd(subscription3);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription2, subscription3, subscription });
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subscriptionColletion.TryAdd(subscription4);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription2, subscription3, subscription });
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subscriptionColletion.TryAdd(subscription5);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription2, subscription3, subscription5, subscription });
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subscriptionColletion.TryAdd(subscription6);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription2, subscription3, subscription6, subscription5, subscription });
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Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Equity, SecurityType.Option,
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SecurityType.Option, SecurityType.Option, SecurityType.Future });
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}
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[Test]
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public void SubscriptionsAreSortedWhenAdding2()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Second, "GC", false, SecurityType.Future);
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var subscription2 = CreateSubscription(Resolution.Second, "SPY");
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var subscription3 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option);
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var subscription4 = CreateSubscription(Resolution.Second, "EURGBP");
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subscriptionColletion.TryAdd(subscription);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription });
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subscriptionColletion.TryAdd(subscription2);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription2, subscription });
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subscriptionColletion.TryAdd(subscription3);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription2, subscription3, subscription });
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subscriptionColletion.TryAdd(subscription4);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription2, subscription3, subscription });
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Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Equity, SecurityType.Option, SecurityType.Future });
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}
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[Test]
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public void SubscriptionsAreSortedWhenRemoving()
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{
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var subscriptionColletion = new SubscriptionCollection();
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var subscription = CreateSubscription(Resolution.Second, "BTCEUR", false, SecurityType.Future);
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var subscription2 = CreateSubscription(Resolution.Second, "SPY");
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var subscription3 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option);
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var subscription4 = CreateSubscription(Resolution.Second, "EURGBP");
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var subscription5 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option, TickType.OpenInterest);
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var subscription6 = CreateSubscription(Resolution.Second, "AAPL", false, SecurityType.Option, TickType.Quote);
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subscriptionColletion.TryAdd(subscription);
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subscriptionColletion.TryAdd(subscription2);
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subscriptionColletion.TryAdd(subscription3);
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subscriptionColletion.TryAdd(subscription4);
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subscriptionColletion.TryAdd(subscription5);
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subscriptionColletion.TryAdd(subscription6);
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription2, subscription3, subscription6, subscription5, subscription });
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subscriptionColletion.TryRemove(subscription2.Configuration, out subscription2);
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Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Option,
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SecurityType.Option, SecurityType.Option, SecurityType.Future });
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subscriptionColletion.TryRemove(subscription3.Configuration, out subscription3);
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Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Option, SecurityType.Option, SecurityType.Future });
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subscriptionColletion.TryRemove(subscription.Configuration, out subscription);
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Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Option, SecurityType.Option });
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription6, subscription5 });
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subscriptionColletion.TryRemove(subscription6.Configuration, out subscription6);
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Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] { SecurityType.Equity, SecurityType.Option });
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Assert.AreEqual(subscriptionColletion.ToList(), new[] { subscription4, subscription5 });
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subscriptionColletion.TryRemove(subscription5.Configuration, out subscription5);
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Assert.AreEqual(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList(), new[] {SecurityType.Equity});
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subscriptionColletion.TryRemove(subscription4.Configuration, out subscription4);
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Assert.IsTrue(subscriptionColletion.Select(x => x.Configuration.SecurityType).ToList().IsNullOrEmpty());
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}
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private Subscription CreateSubscription(Resolution resolution, string symbol = "AAPL", bool isInternalFeed = false,
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SecurityType type = SecurityType.Equity, TickType tickType = TickType.Trade)
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{
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var start = DateTime.UtcNow;
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var end = start.AddSeconds(10);
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Security security;
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Symbol _symbol;
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if (type == SecurityType.Equity)
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{
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_symbol = new Symbol(SecurityIdentifier.GenerateEquity(DateTime.Now, symbol, Market.USA), symbol);
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security = new Equity(
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_symbol,
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SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
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new Cash(Currencies.USD, 0, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance
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);
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}
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else if (type == SecurityType.Option)
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{
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_symbol = new Symbol(SecurityIdentifier.GenerateOption(DateTime.Now,
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SecurityIdentifier.GenerateEquity(DateTime.Now, symbol, Market.USA),
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Market.USA, 0.0m, OptionRight.Call, OptionStyle.American), symbol);
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security = new Option(
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_symbol,
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SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
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new Cash(Currencies.USD, 0, 1),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance
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);
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}
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else if (type == SecurityType.Future)
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{
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_symbol = new Symbol(SecurityIdentifier.GenerateFuture(DateTime.Now, symbol, Market.USA), symbol);
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security = new Future(
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_symbol,
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SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
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new Cash(Currencies.USD, 0, 1),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance
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);
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}
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else
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{
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throw new Exception("SecurityType not implemented");
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}
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var config = new SubscriptionDataConfig(typeof(TradeBar), _symbol, resolution, DateTimeZone.Utc, DateTimeZone.Utc, true, false, isInternalFeed, false, tickType);
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var timeZoneOffsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, start, end);
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var enumerator = new EnqueueableEnumerator<BaseData>();
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var subscriptionDataEnumerator = SubscriptionData.Enumerator(config, security, timeZoneOffsetProvider, enumerator);
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var subscriptionRequest = new SubscriptionRequest(false, null, security, config, start, end);
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return new Subscription(subscriptionRequest, subscriptionDataEnumerator, timeZoneOffsetProvider);
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}
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}
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}
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