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feature-python-dataframe-performance-2
quantconnect--lean/Tests/Common/Data/Custom/EstimizeTests.cs
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/*
* 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 Newtonsoft.Json;
using NUnit.Framework;
using QuantConnect.Data.Custom.Estimize;
using QuantConnect.ToolBox.EstimizeDataDownloader;
using System;
using System.Collections.Generic;
using System.IO;
using System.Linq;
using NodaTime;
using QuantConnect.Data;
using QuantConnect.Lean.Engine.DataFeeds;
using Type = QuantConnect.Data.Custom.Estimize.Type;
namespace QuantConnect.Tests.Common.Data.Custom
{
[TestFixture]
public class EstimizeTests
{
private readonly JsonSerializerSettings _jsonSerializerSettings = new JsonSerializerSettings
{
DateTimeZoneHandling = DateTimeZoneHandling.Utc
};
[Test, Ignore("Requires Estimize credentials")]
public void EstimizeDownloadDoesNotThrow()
{
var tickers = new List<EstimizeDataDownloader.Company>();
var destinationFolder = Path.Combine(Globals.DataFolder, "alternative", "estimize");
var downloader = new EstimizeReleaseDataDownloader(destinationFolder);
Assert.DoesNotThrow(() => tickers = downloader.GetCompanies().Result);
Assert.IsTrue(tickers.Count > 0);
}
[Test]
public void DeserializeEstimizeReleaseSuccessfully()
{
var content = "{" +
"\"fiscal_year\":2020," +
"\"fiscal_quarter\":1," +
"\"eps\":null," +
"\"revenue\":null," +
"\"consensus_eps_estimate\":1.20507936507937," +
"\"consensus_revenue_estimate\":31872.2258064516," +
"\"wallstreet_revenue_estimate\":31966.964," +
"\"wallstreet_eps_estimate\":1.188," +
"\"consensus_weighted_revenue_estimate\":31966.6230263867," +
"\"consensus_weighted_eps_estimate\":1.21545656570188," +
"\"release_date\":\"2019-10-23T16:00:00-04:00\"," +
"\"id\":\"155842\"}";
var data = JsonConvert.DeserializeObject<EstimizeRelease>(content, _jsonSerializerSettings);
Assert.NotNull(data);
Assert.AreEqual("155842", data.Id);
Assert.AreEqual(2020, data.FiscalYear);
Assert.AreEqual(1, data.FiscalQuarter);
Assert.IsFalse(data.Eps.HasValue);
Assert.AreEqual(1.188, data.WallStreetEpsEstimate);
Assert.AreEqual(1.20507936507937, data.ConsensusEpsEstimate);
Assert.AreEqual(1.21545656570188, data.ConsensusWeightedEpsEstimate);
Assert.IsFalse(data.Revenue.HasValue);
Assert.AreEqual(31966.964, data.WallStreetRevenueEstimate);
Assert.AreEqual(31872.2258064516, data.ConsensusRevenueEstimate);
Assert.AreEqual(31966.6230263867, data.ConsensusWeightedRevenueEstimate);
Assert.AreEqual(new DateTime(2019, 10, 23, 20, 0, 0), data.ReleaseDate);
Assert.AreEqual(data.ReleaseDate, data.EndTime);
Assert.AreEqual(data.ReleaseDate, data.Time);
content = content.Replace("\"eps\":null,", "\"eps\":1.2,");
data = JsonConvert.DeserializeObject<EstimizeRelease>(content, _jsonSerializerSettings);
Assert.NotNull(data);
Assert.AreEqual(1.2, data.Eps);
Assert.AreEqual(1.2, data.Value);
}
[Test]
public void SerializeEstimizeReleaseSuccessfully()
{
var data = new EstimizeRelease()
{
Id = "0",
ReleaseDate = new DateTime(2019,6,10)
};
var content = JsonConvert.SerializeObject(data, _jsonSerializerSettings);
Assert.IsTrue(content.Contains("\"id\":\"0\""));
Assert.IsTrue(content.Contains("\"release_date\":\"2019-06-10T00:00:00Z\""));
Assert.IsTrue(content.Contains("\"eps\":null"));
data.Eps = 1.2m;
content = JsonConvert.SerializeObject(data, _jsonSerializerSettings);
Assert.IsTrue(content.Contains("\"eps\":1.2"));
}
[Test]
public void EstimizeConsensusReaderDoesNotThrow()
{
var data = "20100101 12:00:00,abcdef123456789deadbeef,Estimize,Revenue,100.00,100,100,50,2010,1,100";
var instance = new EstimizeConsensus();
var fakeConfig = new SubscriptionDataConfig(
typeof(EstimizeConsensus),
Symbol.Create("AAPL", SecurityType.Base, "USA"),
Resolution.Daily,
TimeZones.Utc,
TimeZones.Utc,
false,
false,
false
);
Assert.DoesNotThrow(() => { instance.Reader(fakeConfig, data, DateTime.MinValue, false); });
}
[Test, Ignore("Requires Estimize data")]
public void EstimizeReleaseReaderTest()
{
var dataCacheProvider = new SingleEntryDataCacheProvider(new DefaultDataProvider());
var config = new SubscriptionDataConfig(
typeof(EstimizeRelease),
Symbol.Create("AAPL.R", SecurityType.Base, QuantConnect.Market.USA),
Resolution.Daily,
DateTimeZone.Utc,
DateTimeZone.Utc,
false,
false,
false,
true
);
var data = new EstimizeRelease();
var date = new DateTime(2019, 6, 10);
var source = data.GetSource(config, date, false);
var factory = SubscriptionDataSourceReader.ForSource(source, dataCacheProvider, config, date, false, data);
var rows = factory.Read(source).ToList();
Assert.IsTrue(rows.Count > 0);
}
[Test]
public void DeserializeEstimizeEstimateSuccessfully()
{
var content = "{" +
"\"ticker\":\"AAPL\"," +
"\"fiscal_year\":2020," +
"\"fiscal_quarter\":2," +
"\"eps\":2.81," +
"\"revenue\":61413.0," +
"\"username\":\"Dominantstock\"," +
"\"created_at\":\"2019-06-07T10:40:36-04:00\"," +
"\"id\":\"2857028\"," +
"\"analyst_id\":\"657836\"," +
"\"flagged\":false}";
var data = JsonConvert.DeserializeObject<EstimizeEstimate>(content, _jsonSerializerSettings);
Assert.NotNull(data);
Assert.AreEqual("2857028", data.Id);
Assert.AreEqual("AAPL", data.Ticker);
Assert.AreEqual(2020, data.FiscalYear);
Assert.AreEqual(2, data.FiscalQuarter);
Assert.AreEqual(new DateTime(2019, 6, 7, 14, 40, 36), data.CreatedAt);
Assert.AreEqual(data.EndTime, data.CreatedAt);
Assert.AreEqual(data.Time, data.CreatedAt);
Assert.AreEqual(2.81, data.Eps);
Assert.AreEqual(61413.0, data.Revenue);
Assert.AreEqual("Dominantstock", data.UserName);
Assert.AreEqual("657836", data.AnalystId);
Assert.IsFalse(data.Flagged);
content = content.Replace("\"eps\":2.81,", "\"eps\":null,");
data = JsonConvert.DeserializeObject<EstimizeEstimate>(content, _jsonSerializerSettings);
Assert.NotNull(data);
Assert.IsFalse(data.Eps.HasValue);
Assert.AreEqual(0, data.Value);
}
[Test]
public void SerializeEstimizeEstimateSuccessfully()
{
var data = new EstimizeEstimate()
{
Id = "0",
CreatedAt = new DateTime(2019, 6, 10)
};
var content = JsonConvert.SerializeObject(data, _jsonSerializerSettings);
Assert.IsTrue(content.Contains("\"id\":\"0\""));
Assert.IsTrue(content.Contains("\"created_at\":\"2019-06-10T00:00:00Z\""));
Assert.IsTrue(content.Contains("\"eps\":null"));
data.Eps = 1.2m;
content = JsonConvert.SerializeObject(data, _jsonSerializerSettings);
Assert.IsTrue(content.Contains("\"eps\":1.2"));
}
[Test, Ignore("Requires Estimize data")]
public void EstimizeEstimateReaderTest()
{
var dataCacheProvider = new SingleEntryDataCacheProvider(new DefaultDataProvider());
var config = new SubscriptionDataConfig(
typeof(EstimizeEstimate),
Symbol.Create("AAPL.E", SecurityType.Base, QuantConnect.Market.USA),
Resolution.Daily,
DateTimeZone.Utc,
DateTimeZone.Utc,
false,
false,
false,
true
);
var data = new EstimizeEstimate();
var date = new DateTime(2019, 6, 10);
var source = data.GetSource(config, date, false);
var factory = SubscriptionDataSourceReader.ForSource(source, dataCacheProvider, config, date, false, data);
var rows = factory.Read(source).ToList();
Assert.IsTrue(rows.Count > 0);
}
[Test, Ignore("Requires Estimize data")]
public void EstimizeConsensusReaderTest()
{
var dataCacheProvider = new SingleEntryDataCacheProvider(new DefaultDataProvider());
var config = new SubscriptionDataConfig(
typeof(EstimizeConsensus),
Symbol.Create("AAPL.C", SecurityType.Base, QuantConnect.Market.USA),
Resolution.Daily,
DateTimeZone.Utc,
DateTimeZone.Utc,
false,
false,
false,
true
);
var data = new EstimizeConsensus();
var date = new DateTime(2019, 6, 10);
var source = data.GetSource(config, date, false);
var factory = SubscriptionDataSourceReader.ForSource(source, dataCacheProvider, config, date, false, data);
var rows = factory.Read(source).ToList();
Assert.IsTrue(rows.Count > 0);
}
[Test]
public void SerializeRoundTripEstimizeRelease()
{
var settings = new JsonSerializerSettings { TypeNameHandling = TypeNameHandling.All };
var time = new DateTime(2020, 3, 19, 10, 0, 0);
var underlyingSymbol = Symbols.AAPL;
var symbol = Symbol.CreateBase(typeof(EstimizeRelease), underlyingSymbol, QuantConnect.Market.USA);
var item = new EstimizeRelease
{
Id = "123",
Symbol = symbol,
FiscalYear = 2020,
FiscalQuarter = 1,
Eps = 2,
Revenue = null,
ReleaseDate = time
};
var serialized = JsonConvert.SerializeObject(item, settings);
var deserialized = JsonConvert.DeserializeObject<EstimizeRelease>(serialized, settings);
Assert.AreEqual("123", deserialized.Id);
Assert.AreEqual(symbol, deserialized.Symbol);
Assert.AreEqual(2020, deserialized.FiscalYear);
Assert.AreEqual(1, deserialized.FiscalQuarter);
Assert.AreEqual(2, deserialized.Eps);
Assert.AreEqual(null, deserialized.Revenue);
Assert.AreEqual(time, deserialized.ReleaseDate);
Assert.AreEqual(time, deserialized.Time);
Assert.AreEqual(time, deserialized.EndTime);
}
[Test]
public void SerializeRoundTripEstimizeConsensus()
{
var settings = new JsonSerializerSettings { TypeNameHandling = TypeNameHandling.All };
var time = new DateTime(2020, 3, 19, 10, 0, 0);
var underlyingSymbol = Symbols.AAPL;
var symbol = Symbol.CreateBase(typeof(EstimizeConsensus), underlyingSymbol, QuantConnect.Market.USA);
var item = new EstimizeConsensus
{
Id = "123",
Symbol = symbol,
FiscalYear = 2020,
FiscalQuarter = 1,
Source = Source.WallStreet,
Type = Type.Eps,
Count = 3,
Mean = 2,
UpdatedAt = time
};
var serialized = JsonConvert.SerializeObject(item, settings);
var deserialized = JsonConvert.DeserializeObject<EstimizeConsensus>(serialized, settings);
Assert.AreEqual("123", deserialized.Id);
Assert.AreEqual(symbol, deserialized.Symbol);
Assert.AreEqual(2020, deserialized.FiscalYear);
Assert.AreEqual(1, deserialized.FiscalQuarter);
Assert.AreEqual(Source.WallStreet, deserialized.Source);
Assert.AreEqual(Type.Eps, deserialized.Type);
Assert.AreEqual(3, deserialized.Count);
Assert.AreEqual(2, deserialized.Mean);
Assert.AreEqual(time, deserialized.UpdatedAt);
Assert.AreEqual(time, deserialized.Time);
Assert.AreEqual(time, deserialized.EndTime);
}
[Test]
public void SerializeRoundTripEstimizeEstimate()
{
var settings = new JsonSerializerSettings { TypeNameHandling = TypeNameHandling.All };
var time = new DateTime(2020, 3, 19, 10, 0, 0);
var underlyingSymbol = Symbols.AAPL;
var symbol = Symbol.CreateBase(typeof(EstimizeEstimate), underlyingSymbol, QuantConnect.Market.USA);
var item = new EstimizeEstimate
{
Id = "123",
Symbol = symbol,
FiscalYear = 2020,
FiscalQuarter = 1,
Eps = 2,
Revenue = null,
CreatedAt = time
};
var serialized = JsonConvert.SerializeObject(item, settings);
var deserialized = JsonConvert.DeserializeObject<EstimizeEstimate>(serialized, settings);
Assert.AreEqual("123", deserialized.Id);
Assert.AreEqual(symbol, deserialized.Symbol);
Assert.AreEqual(2020, deserialized.FiscalYear);
Assert.AreEqual(1, deserialized.FiscalQuarter);
Assert.AreEqual(2, deserialized.Eps);
Assert.AreEqual(null, deserialized.Revenue);
Assert.AreEqual(time, deserialized.CreatedAt);
Assert.AreEqual(time, deserialized.Time);
Assert.AreEqual(time, deserialized.EndTime);
}
[TestCase("ENRN-defunct", "ENRN", true)]
[TestCase("ENRN - defunct", "ENRN", true)]
[TestCase("SUNE_defunct", "SUNE", true)]
[TestCase("SUNE -defunct", "SUNE", true)]
[TestCase("SHLD -- defunct", "SHLD", true)]
[TestCase("SHLD defunct", "", false)]
[TestCase("AAPL", "AAPL", true)]
public void NormalizesDefunctTickerValues(string ticker, string expectedTicker, bool expectedSuccess)
{
string actualTicker;
var actualSuccess = EstimizeDataDownloader.TryNormalizeDefunctTicker(ticker, out actualTicker);
Assert.AreEqual(expectedSuccess, actualSuccess);
Assert.AreEqual(expectedTicker, actualTicker);
}
}
}
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