Stefano Raggi
ce45493d38
With subscriptions at non-Tick resolution, suspicious ticks are filtered at the live data feed level for bar aggregations, while at Tick resolution they are never filtered (intentionally). This change prevents ticks from being added to the consolidator update data, used by the AlgorithmManager to update tick consolidators (and indicators).
250 lines
10 KiB
C#
250 lines
10 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 NodaTime;
|
|
using NUnit.Framework;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.Auxiliary;
|
|
using QuantConnect.Data.Custom;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Data.UniverseSelection;
|
|
using QuantConnect.Lean.Engine.DataFeeds;
|
|
using QuantConnect.Securities;
|
|
using QuantConnect.Securities.Equity;
|
|
using QuantConnect.Securities.Option;
|
|
using QuandlFuture = QuantConnect.Algorithm.CSharp.QCUQuandlFutures.QuandlFuture;
|
|
|
|
namespace QuantConnect.Tests.Engine.DataFeeds
|
|
{
|
|
[TestFixture]
|
|
public class TimeSliceTests
|
|
{
|
|
private TimeSliceFactory _timeSliceFactory;
|
|
[SetUp]
|
|
public void SetUp()
|
|
{
|
|
_timeSliceFactory = new TimeSliceFactory(TimeZones.Utc);
|
|
}
|
|
|
|
[Test]
|
|
public void HandlesTicks_ExpectInOrderWithNoDuplicates()
|
|
{
|
|
var subscriptionDataConfig = new SubscriptionDataConfig(
|
|
typeof(Tick),
|
|
Symbols.EURUSD,
|
|
Resolution.Tick,
|
|
TimeZones.Utc,
|
|
TimeZones.Utc,
|
|
true,
|
|
true,
|
|
false);
|
|
|
|
var security = new Security(
|
|
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
|
|
subscriptionDataConfig,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance
|
|
);
|
|
|
|
DateTime refTime = DateTime.UtcNow;
|
|
|
|
Tick[] rawTicks = Enumerable
|
|
.Range(0, 10)
|
|
.Select(i => new Tick(refTime.AddSeconds(i), Symbols.EURUSD, 1.3465m, 1.34652m))
|
|
.ToArray();
|
|
|
|
IEnumerable<TimeSlice> timeSlices = rawTicks.Select(t => _timeSliceFactory.Create(
|
|
t.Time,
|
|
new List<DataFeedPacket> { new DataFeedPacket(security, subscriptionDataConfig, new List<BaseData>() { t }) },
|
|
new SecurityChanges(Enumerable.Empty<Security>(), Enumerable.Empty<Security>()),
|
|
new Dictionary<Universe, BaseDataCollection>()));
|
|
|
|
Tick[] timeSliceTicks = timeSlices.SelectMany(ts => ts.Slice.Ticks.Values.SelectMany(x => x)).ToArray();
|
|
|
|
Assert.AreEqual(rawTicks.Length, timeSliceTicks.Length);
|
|
for (int i = 0; i < rawTicks.Length; i++)
|
|
{
|
|
Assert.IsTrue(Compare(rawTicks[i], timeSliceTicks[i]));
|
|
}
|
|
}
|
|
|
|
private bool Compare(Tick expected, Tick actual)
|
|
{
|
|
return expected.Time == actual.Time
|
|
&& expected.BidPrice == actual.BidPrice
|
|
&& expected.AskPrice == actual.AskPrice
|
|
&& expected.Quantity == actual.Quantity;
|
|
}
|
|
|
|
[Test]
|
|
public void HandlesMultipleCustomDataOfSameTypeWithDifferentSymbols()
|
|
{
|
|
var symbol1 = Symbol.Create("SCF/CBOE_VX1_EW", SecurityType.Base, Market.USA);
|
|
var symbol2 = Symbol.Create("SCF/CBOE_VX2_EW", SecurityType.Base, Market.USA);
|
|
|
|
var subscriptionDataConfig1 = new SubscriptionDataConfig(
|
|
typeof(QuandlFuture), symbol1, Resolution.Daily, TimeZones.Utc, TimeZones.Utc, true, true, false, isCustom: true);
|
|
var subscriptionDataConfig2 = new SubscriptionDataConfig(
|
|
typeof(QuandlFuture), symbol2, Resolution.Daily, TimeZones.Utc, TimeZones.Utc, true, true, false, isCustom: true);
|
|
|
|
var security1 = new Security(
|
|
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
|
|
subscriptionDataConfig1,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance
|
|
);
|
|
|
|
var security2 = new Security(
|
|
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
|
|
subscriptionDataConfig1,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance
|
|
);
|
|
|
|
var timeSlice = _timeSliceFactory.Create(DateTime.UtcNow,
|
|
new List<DataFeedPacket>
|
|
{
|
|
new DataFeedPacket(security1, subscriptionDataConfig1, new List<BaseData> {new QuandlFuture { Symbol = symbol1, Time = DateTime.UtcNow.Date, Value = 15 } }),
|
|
new DataFeedPacket(security2, subscriptionDataConfig2, new List<BaseData> {new QuandlFuture { Symbol = symbol2, Time = DateTime.UtcNow.Date, Value = 20 } }),
|
|
},
|
|
new SecurityChanges(Enumerable.Empty<Security>(), Enumerable.Empty<Security>()),
|
|
new Dictionary<Universe, BaseDataCollection>());
|
|
|
|
Assert.AreEqual(2, timeSlice.CustomData.Count);
|
|
|
|
var data1 = timeSlice.CustomData[0].Data[0];
|
|
var data2 = timeSlice.CustomData[1].Data[0];
|
|
|
|
Assert.IsInstanceOf(typeof(QuandlFuture), data1);
|
|
Assert.IsInstanceOf(typeof(QuandlFuture), data2);
|
|
Assert.AreEqual(symbol1, data1.Symbol);
|
|
Assert.AreEqual(symbol2, data2.Symbol);
|
|
Assert.AreEqual(15, data1.Value);
|
|
Assert.AreEqual(20, data2.Value);
|
|
}
|
|
|
|
[Test]
|
|
public void FutureDataHasVolume()
|
|
{
|
|
var initialVolume = 100;
|
|
var slices = GetSlices(Symbols.Fut_SPY_Mar19_2016, initialVolume).ToArray();
|
|
|
|
for (var i = 0; i < 10; i++)
|
|
{
|
|
var chain = slices[i].FutureChains.FirstOrDefault().Value;
|
|
var contract = chain.FirstOrDefault();
|
|
var expected = (i + 1) * initialVolume;
|
|
Assert.AreEqual(expected, contract.Volume);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void OptionsDataHasVolume()
|
|
{
|
|
var initialVolume = 150;
|
|
var slices = GetSlices(Symbols.SPY_C_192_Feb19_2016, initialVolume).ToArray();
|
|
|
|
for (var i = 0; i < 10; i++)
|
|
{
|
|
var chain = slices[i].OptionChains.FirstOrDefault().Value;
|
|
var contract = chain.FirstOrDefault();
|
|
var expected = (i + 1) * initialVolume;
|
|
Assert.AreEqual(expected, contract.Volume);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void SuspiciousTicksAreNotAddedToConsolidatorUpdateData()
|
|
{
|
|
var symbol = Symbols.SPY;
|
|
|
|
var subscriptionDataConfig = new SubscriptionDataConfig(
|
|
typeof(Tick), symbol, Resolution.Tick, TimeZones.Utc, TimeZones.Utc, true, true, false);
|
|
|
|
var security = new Security(
|
|
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
|
|
subscriptionDataConfig,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance
|
|
);
|
|
|
|
var timeSlice = _timeSliceFactory.Create(DateTime.UtcNow,
|
|
new List<DataFeedPacket>
|
|
{
|
|
new DataFeedPacket(security, subscriptionDataConfig, new List<BaseData>
|
|
{
|
|
new Tick(DateTime.UtcNow, symbol, 280, 0, 0),
|
|
new Tick(DateTime.UtcNow, symbol, 500, 0, 0) { Suspicious = true },
|
|
new Tick(DateTime.UtcNow, symbol, 281, 0, 0)
|
|
})
|
|
},
|
|
new SecurityChanges(Enumerable.Empty<Security>(), Enumerable.Empty<Security>()),
|
|
new Dictionary<Universe, BaseDataCollection>());
|
|
|
|
Assert.AreEqual(1, timeSlice.ConsolidatorUpdateData.Count);
|
|
|
|
var data = timeSlice.ConsolidatorUpdateData[0].Data;
|
|
Assert.AreEqual(2, data.Count);
|
|
Assert.AreEqual(280, data[0].Value);
|
|
Assert.AreEqual(281, data[1].Value);
|
|
}
|
|
|
|
private IEnumerable<Slice> GetSlices(Symbol symbol, int initialVolume)
|
|
{
|
|
var subscriptionDataConfig = new SubscriptionDataConfig(typeof(ZipEntryName), symbol, Resolution.Second, TimeZones.Utc, TimeZones.Utc, true, true, false);
|
|
var security = new Security(
|
|
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
|
|
subscriptionDataConfig,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance
|
|
);
|
|
var refTime = DateTime.UtcNow;
|
|
|
|
return Enumerable
|
|
.Range(0, 10)
|
|
.Select(i =>
|
|
{
|
|
var time = refTime.AddSeconds(i);
|
|
var bid = new Bar(100, 100, 100, 100);
|
|
var ask = new Bar(110, 110, 110, 110);
|
|
var volume = (i + 1) * initialVolume;
|
|
|
|
return _timeSliceFactory.Create(
|
|
time,
|
|
new List<DataFeedPacket>
|
|
{
|
|
new DataFeedPacket(security, subscriptionDataConfig, new List<BaseData>
|
|
{
|
|
new QuoteBar(time, symbol, bid, i*10, ask, (i + 1) * 11),
|
|
new TradeBar(time, symbol, 100, 100, 110, 106, volume)
|
|
}),
|
|
},
|
|
new SecurityChanges(Enumerable.Empty<Security>(), Enumerable.Empty<Security>()),
|
|
new Dictionary<Universe, BaseDataCollection>())
|
|
.Slice;
|
|
});
|
|
}
|
|
}
|
|
}
|