Martin Molinero
bcc67d2457
- DataPermissionManager will be used by the history provider - Moving interfaces from Engine to Common
252 lines
11 KiB
C#
252 lines
11 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.Linq;
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using NodaTime;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Data;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Data.Market;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.HistoricalData;
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using QuantConnect.Tests.Engine.DataFeeds;
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using QuantConnect.Util;
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using HistoryRequest = QuantConnect.Data.HistoryRequest;
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namespace QuantConnect.Tests.Algorithm
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class AlgorithmHistoryTests
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{
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private QCAlgorithm _algorithm;
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private TestHistoryProvider _testHistoryProvider;
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[SetUp]
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public void Setup()
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{
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_algorithm = new QCAlgorithm();
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_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
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_algorithm.HistoryProvider = _testHistoryProvider = new TestHistoryProvider();
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}
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[Test]
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public void TickResolutionHistoryRequest()
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{
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_algorithm = new QCAlgorithm();
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_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
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_algorithm.HistoryProvider = new SubscriptionDataReaderHistoryProvider();
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var dataProvider = new DefaultDataProvider();
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var zipCacheProvider = new ZipDataCacheProvider(dataProvider);
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_algorithm.HistoryProvider.Initialize(new HistoryProviderInitializeParameters(
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null,
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null,
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dataProvider,
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zipCacheProvider,
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new LocalDiskMapFileProvider(),
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new LocalDiskFactorFileProvider(),
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null,
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false,
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new DataPermissionManager()));
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_algorithm.SetStartDate(2013, 10, 08);
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var start = new DateTime(2013, 10, 07);
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// Trades and quotes
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var result = _algorithm.History(new [] { Symbols.SPY }, start.AddHours(9.8), start.AddHours(10), Resolution.Tick).ToList();
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// Just Trades
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var result2 = _algorithm.History<Tick>(Symbols.SPY, start.AddHours(9.8), start.AddHours(10), Resolution.Tick).ToList();
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zipCacheProvider.DisposeSafely();
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Assert.IsNotEmpty(result);
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Assert.IsNotEmpty(result2);
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Assert.IsTrue(result2.All(tick => tick.TickType == TickType.Trade));
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// (Trades and quotes).Count > Trades * 2
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Assert.Greater(result.Count, result2.Count * 2);
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}
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[Test]
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public void ImplicitTickResolutionHistoryRequestTradeBarApiThrowsException()
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{
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var spy = _algorithm.AddEquity("SPY", Resolution.Tick).Symbol;
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Assert.Throws<InvalidOperationException>(() => _algorithm.History(spy, 1).ToList());
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}
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[Test]
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public void TickResolutionHistoryRequestTradeBarApiThrowsException()
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{
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Assert.Throws<InvalidOperationException>(
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() => _algorithm.History(Symbols.SPY, 1, Resolution.Tick).ToList());
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Assert.Throws<InvalidOperationException>(
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() => _algorithm.History(Symbols.SPY, TimeSpan.FromSeconds(2), Resolution.Tick).ToList());
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Assert.Throws<InvalidOperationException>(
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() => _algorithm.History(Symbols.SPY, DateTime.UtcNow.AddDays(-1), DateTime.UtcNow, Resolution.Tick).ToList());
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}
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[TestCase(Resolution.Second)]
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[TestCase(Resolution.Minute)]
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[TestCase(Resolution.Hour)]
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[TestCase(Resolution.Daily)]
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public void TimeSpanHistoryRequestIsCorrectlyBuilt(Resolution resolution)
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{
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_algorithm.SetStartDate(2013, 10, 07);
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_algorithm.History(Symbols.SPY, TimeSpan.FromSeconds(2), resolution);
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Resolution? fillForwardResolution = null;
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if (resolution != Resolution.Tick)
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{
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fillForwardResolution = resolution;
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}
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var expectedCount = resolution == Resolution.Hour || resolution == Resolution.Daily ? 1 : 2;
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Assert.AreEqual(expectedCount, _testHistoryProvider.HistryRequests.Count);
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Assert.AreEqual(Symbols.SPY, _testHistoryProvider.HistryRequests.First().Symbol);
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Assert.AreEqual(resolution, _testHistoryProvider.HistryRequests.First().Resolution);
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Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IncludeExtendedMarketHours);
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Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IsCustomData);
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Assert.AreEqual(fillForwardResolution, _testHistoryProvider.HistryRequests.First().FillForwardResolution);
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Assert.AreEqual(DataNormalizationMode.Adjusted, _testHistoryProvider.HistryRequests.First().DataNormalizationMode);
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Assert.AreEqual(TickType.Trade, _testHistoryProvider.HistryRequests.First().TickType);
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}
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[TestCase(Resolution.Second)]
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[TestCase(Resolution.Minute)]
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[TestCase(Resolution.Hour)]
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[TestCase(Resolution.Daily)]
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public void BarCountHistoryRequestIsCorrectlyBuilt(Resolution resolution)
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{
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_algorithm.SetStartDate(2013, 10, 07);
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_algorithm.History(Symbols.SPY, 10, resolution);
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Resolution? fillForwardResolution = null;
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if (resolution != Resolution.Tick)
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{
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fillForwardResolution = resolution;
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}
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var expectedCount = resolution == Resolution.Hour || resolution == Resolution.Daily ? 1 : 2;
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Assert.AreEqual(expectedCount, _testHistoryProvider.HistryRequests.Count);
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Assert.AreEqual(Symbols.SPY, _testHistoryProvider.HistryRequests.First().Symbol);
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Assert.AreEqual(resolution, _testHistoryProvider.HistryRequests.First().Resolution);
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Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IncludeExtendedMarketHours);
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Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IsCustomData);
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Assert.AreEqual(fillForwardResolution, _testHistoryProvider.HistryRequests.First().FillForwardResolution);
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Assert.AreEqual(DataNormalizationMode.Adjusted, _testHistoryProvider.HistryRequests.First().DataNormalizationMode);
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Assert.AreEqual(TickType.Trade, _testHistoryProvider.HistryRequests.First().TickType);
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}
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[Test]
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public void TickHistoryRequestIgnoresFillForward()
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{
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_algorithm.SetStartDate(2013, 10, 07);
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_algorithm.History(new [] {Symbols.SPY}, new DateTime(1,1,1,1,1,1), new DateTime(1, 1, 1, 1, 1, 2), Resolution.Tick, fillForward: true);
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Assert.AreEqual(2, _testHistoryProvider.HistryRequests.Count);
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Assert.AreEqual(Symbols.SPY, _testHistoryProvider.HistryRequests.First().Symbol);
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Assert.AreEqual(Resolution.Tick, _testHistoryProvider.HistryRequests.First().Resolution);
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Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IncludeExtendedMarketHours);
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Assert.IsFalse(_testHistoryProvider.HistryRequests.First().IsCustomData);
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Assert.AreEqual(null, _testHistoryProvider.HistryRequests.First().FillForwardResolution);
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Assert.AreEqual(DataNormalizationMode.Adjusted, _testHistoryProvider.HistryRequests.First().DataNormalizationMode);
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Assert.AreEqual(TickType.Trade, _testHistoryProvider.HistryRequests.First().TickType);
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}
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[Test]
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public void GetLastKnownPriceOfIlliquidAsset_RealData()
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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algorithm.HistoryProvider = new SubscriptionDataReaderHistoryProvider();
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var cacheProvider = new ZipDataCacheProvider(new DefaultDataProvider());
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algorithm.HistoryProvider.Initialize(new HistoryProviderInitializeParameters(
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null,
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null,
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new DefaultDataProvider(),
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cacheProvider,
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new LocalDiskMapFileProvider(),
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new LocalDiskFactorFileProvider(),
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null,
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false,
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new DataPermissionManager()));
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algorithm.SetDateTime(new DateTime(2014, 6, 6, 15, 0, 0));
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//20140606_twx_minute_quote_american_call_230000_20150117.csv
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var optionSymbol = Symbol.CreateOption("TWX", Market.USA, OptionStyle.American, OptionRight.Call, 23, new DateTime(2015,1,17));
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var option = algorithm.AddOptionContract(optionSymbol);
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var lastKnownPrice = algorithm.GetLastKnownPrice(option);
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Assert.IsNotNull(lastKnownPrice);
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// Data gap of more than 15 minutes
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Assert.Greater((algorithm.Time - lastKnownPrice.EndTime).TotalMinutes, 15);
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cacheProvider.DisposeSafely();
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}
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[Test]
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public void GetLastKnownPriceOfIlliquidAsset_TestData()
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{
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// Set the start date on Tuesday
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_algorithm.SetStartDate(2014, 6, 10);
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var optionSymbol = Symbol.CreateOption("TWX", Market.USA, OptionStyle.American, OptionRight.Call, 23, new DateTime(2015, 1, 17));
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var option = _algorithm.AddOptionContract(optionSymbol);
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// The last known price is on Friday, so we missed data from Monday and no data during Weekend
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var barTime = new DateTime(2014, 6, 6, 15, 0, 0, 0);
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_testHistoryProvider.Slices = new[]
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{
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new Slice(barTime, new[] { new TradeBar(barTime, optionSymbol, 100, 100, 100, 100, 1) })
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}.ToList();
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var lastKnownPrice = _algorithm.GetLastKnownPrice(option);
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Assert.IsNotNull(lastKnownPrice);
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Assert.AreEqual(barTime.AddMinutes(1), lastKnownPrice.EndTime);
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}
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private class TestHistoryProvider : HistoryProviderBase
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{
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public override int DataPointCount { get; }
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public List<HistoryRequest> HistryRequests { get; } = new List<HistoryRequest>();
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public List<Slice> Slices { get; set; } = new List<Slice>();
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public override void Initialize(HistoryProviderInitializeParameters parameters)
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{
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throw new NotImplementedException();
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}
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public override IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
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{
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foreach (var request in requests)
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{
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HistryRequests.Add(request);
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}
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var startTime = requests.Min(x => x.StartTimeUtc.ConvertFromUtc(x.DataTimeZone));
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var endTime = requests.Max(x => x.EndTimeUtc.ConvertFromUtc(x.DataTimeZone));
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return Slices.Where(x => x.Time >= startTime && x.Time <= endTime).ToList();
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}
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}
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}
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}
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