Martin Molinero
293 lines
15 KiB
C#
293 lines
15 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 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.Auxiliary;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class SubscriptionManagerTests
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{
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[TestCase(SecurityType.Forex, Resolution.Daily, 1, TickType.Quote)]
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[TestCase(SecurityType.Forex, Resolution.Hour, 1, TickType.Quote)]
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[TestCase(SecurityType.Cfd, Resolution.Daily, 1, TickType.Quote)]
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[TestCase(SecurityType.Cfd, Resolution.Hour, 1, TickType.Quote)]
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[TestCase(SecurityType.Crypto, Resolution.Daily, 2, TickType.Trade, TickType.Quote)]
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[TestCase(SecurityType.Crypto, Resolution.Hour, 2, TickType.Trade, TickType.Quote)]
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[TestCase(SecurityType.Equity, Resolution.Daily, 1, TickType.Trade)]
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[TestCase(SecurityType.Equity, Resolution.Hour, 1, TickType.Trade)]
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public void GetsSubscriptionDataTypesLowResolution(SecurityType securityType, Resolution resolution, int count, params TickType [] expectedTickTypes)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution);
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Assert.AreEqual(count, types.Count);
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for (var i = 0; i < expectedTickTypes.Length; i++)
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{
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Assert.IsTrue(types[i].Item2 == expectedTickTypes[i]);
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}
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}
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[Test]
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[TestCase(SecurityType.Base, Resolution.Minute, typeof(TradeBar), TickType.Trade)]
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[TestCase(SecurityType.Base, Resolution.Tick, typeof(Tick), TickType.Trade)]
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[TestCase(SecurityType.Forex, Resolution.Minute, typeof(QuoteBar), TickType.Quote)]
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[TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote)]
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[TestCase(SecurityType.Cfd, Resolution.Minute, typeof(QuoteBar), TickType.Quote)]
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[TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote)]
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public void GetsSubscriptionDataTypesSingle(SecurityType securityType, Resolution resolution, Type expectedDataType, TickType expectedTickType)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution);
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Assert.AreEqual(1, types.Count);
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Assert.AreEqual(expectedDataType, types[0].Item1);
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Assert.AreEqual(expectedTickType, types[0].Item2);
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}
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[Test]
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[TestCase(SecurityType.Future, Resolution.Minute, typeof(ZipEntryName), TickType.Quote)]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(ZipEntryName), TickType.Quote)]
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[TestCase(SecurityType.Option, Resolution.Minute, typeof(ZipEntryName), TickType.Quote)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(ZipEntryName), TickType.Quote)]
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public void GetsSubscriptionDataTypesCanonical(SecurityType securityType, Resolution resolution, Type expectedDataType, TickType expectedTickType)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution, true);
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Assert.AreEqual(1, types.Count);
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Assert.AreEqual(expectedDataType, types[0].Item1);
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Assert.AreEqual(expectedTickType, types[0].Item2);
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}
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[Test]
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[TestCase(SecurityType.Future, Resolution.Minute)]
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[TestCase(SecurityType.Option, Resolution.Minute)]
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public void GetsSubscriptionDataTypesFuturesOptionsMinute(SecurityType securityType, Resolution resolution)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution);
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Assert.AreEqual(3, types.Count);
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Assert.AreEqual(typeof(QuoteBar), types[0].Item1);
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Assert.AreEqual(TickType.Quote, types[0].Item2);
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Assert.AreEqual(typeof(TradeBar), types[1].Item1);
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Assert.AreEqual(TickType.Trade, types[1].Item2);
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Assert.AreEqual(typeof(OpenInterest), types[2].Item1);
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Assert.AreEqual(TickType.OpenInterest, types[2].Item2);
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}
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[Test]
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[TestCase(SecurityType.Future, Resolution.Tick)]
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[TestCase(SecurityType.Option, Resolution.Tick)]
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public void GetsSubscriptionDataTypesFuturesOptionsTick(SecurityType securityType, Resolution resolution)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution);
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Assert.AreEqual(3, types.Count);
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Assert.AreEqual(typeof(Tick), types[0].Item1);
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Assert.AreEqual(TickType.Quote, types[0].Item2);
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Assert.AreEqual(typeof(Tick), types[1].Item1);
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Assert.AreEqual(TickType.Trade, types[1].Item2);
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Assert.AreEqual(typeof(Tick), types[2].Item1);
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Assert.AreEqual(TickType.OpenInterest, types[2].Item2);
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}
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[Test]
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[TestCase(SecurityType.Equity, Resolution.Minute)]
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[TestCase(SecurityType.Equity, Resolution.Second)]
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[TestCase(SecurityType.Equity, Resolution.Tick)]
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[TestCase(SecurityType.Crypto, Resolution.Minute)]
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[TestCase(SecurityType.Crypto, Resolution.Second)]
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[TestCase(SecurityType.Crypto, Resolution.Tick)]
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public void GetsSubscriptionDataTypes(SecurityType securityType, Resolution resolution)
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{
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var types = GetSubscriptionDataTypes(securityType, resolution);
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Assert.AreEqual(2, types.Count);
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if (resolution == Resolution.Tick)
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{
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Assert.AreEqual(typeof(Tick), types[0].Item1);
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Assert.AreEqual(typeof(Tick), types[1].Item1);
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}
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else
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{
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Assert.AreEqual(typeof(TradeBar), types[0].Item1);
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Assert.AreEqual(typeof(QuoteBar), types[1].Item1);
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}
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Assert.AreEqual(TickType.Trade, types[0].Item2);
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Assert.AreEqual(TickType.Quote, types[1].Item2);
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}
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[Test]
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public void SubscriptionsMemberIsThreadSafe()
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{
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var subscriptionManager = new SubscriptionManager();
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subscriptionManager.SetDataManager(new DataManagerStub());
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var start = DateTime.UtcNow;
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var end = start.AddSeconds(5);
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var tickers = QuantConnect.Algorithm.CSharp.StressSymbols.StockSymbols.ToList();
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var symbols = tickers.Select(ticker => Symbol.Create(ticker, SecurityType.Equity, QuantConnect.Market.USA)).ToList();
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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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subscriptionManager.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
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Thread.Sleep(1);
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}
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Console.WriteLine("Read task ended");
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});
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while (readTask.Status != TaskStatus.Running) Thread.Sleep(1);
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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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foreach (var symbol in symbols)
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{
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subscriptionManager.Add(symbol, Resolution.Minute, DateTimeZone.Utc, DateTimeZone.Utc, true, false);
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}
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Console.WriteLine("Add task ended");
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});
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Task.WaitAll(addTask, readTask);
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}
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[Test]
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public void GetsCustomSubscriptionDataTypes()
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{
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var subscriptionManager = new SubscriptionManager();
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subscriptionManager.SetDataManager(new DataManagerStub());
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subscriptionManager.AvailableDataTypes[SecurityType.Commodity] = new List<TickType> { TickType.OpenInterest, TickType.Quote, TickType.Trade };
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var types = subscriptionManager.LookupSubscriptionConfigDataTypes(SecurityType.Commodity, Resolution.Daily, false);
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Assert.AreEqual(3, types.Count);
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Assert.AreEqual(typeof(OpenInterest), types[0].Item1);
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Assert.AreEqual(typeof(QuoteBar), types[1].Item1);
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Assert.AreEqual(typeof(TradeBar), types[2].Item1);
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Assert.AreEqual(TickType.OpenInterest, types[0].Item2);
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Assert.AreEqual(TickType.Quote, types[1].Item2);
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Assert.AreEqual(TickType.Trade, types[2].Item2);
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}
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[Test]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(TradeBar), true)]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(QuoteBar), false)]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(OpenInterest), false)]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(TradeBar), false)]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(QuoteBar), true)]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(OpenInterest), false)]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(TradeBar), false)]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(QuoteBar), false)]
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[TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(OpenInterest), true)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(TradeBar), true)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(QuoteBar), false)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(OpenInterest), false)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(TradeBar), false)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(QuoteBar), true)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(OpenInterest), false)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(TradeBar), false)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(QuoteBar), false)]
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[TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(OpenInterest), true)]
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[TestCase(SecurityType.Equity, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(TradeBar), true)]
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[TestCase(SecurityType.Equity, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(QuoteBar), false)]
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[TestCase(SecurityType.Equity, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(OpenInterest), false)]
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[TestCase(SecurityType.Equity, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(RenkoBar), true)]
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[TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(TradeBar), false)]
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[TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(QuoteBar), true)]
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[TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(OpenInterest), false)]
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[TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(RenkoBar), true)]
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[TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(TradeBar), false)]
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[TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(QuoteBar), true)]
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[TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(OpenInterest), false)]
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[TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(RenkoBar), true)]
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[TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(TradeBar), true)]
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[TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(QuoteBar), false)]
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[TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(OpenInterest), false)]
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[TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(RenkoBar), true)]
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[TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(TradeBar), false)]
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[TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(QuoteBar), true)]
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[TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(OpenInterest), false)]
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[TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(RenkoBar), true)]
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public void ValidatesSubscriptionTickTypesForConsolidators(
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SecurityType securityType,
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Resolution subscriptionResolution,
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Type subscriptionDataType,
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TickType? subscriptionTickType,
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Type consolidatorOutputType,
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bool expected)
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{
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var subscription = new SubscriptionDataConfig(
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subscriptionDataType,
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Symbol.Create("XYZ", securityType, QuantConnect.Market.USA),
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subscriptionResolution,
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DateTimeZone.Utc,
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DateTimeZone.Utc,
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true,
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false,
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false,
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false,
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subscriptionTickType);
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var consolidator = new TestConsolidator(subscriptionDataType, consolidatorOutputType);
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Assert.AreEqual(expected, SubscriptionManager.IsSubscriptionValidForConsolidator(subscription, consolidator));
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}
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private class TestConsolidator : IDataConsolidator
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{
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public event DataConsolidatedHandler DataConsolidated;
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public IBaseData Consolidated { get; }
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public IBaseData WorkingData { get; }
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public Type InputType { get; }
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public Type OutputType { get; }
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public void Update(IBaseData data) { }
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public void Scan(DateTime currentLocalTime) { }
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public void Dispose() { }
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public TestConsolidator(Type inputType, Type outputType)
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{
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InputType = inputType;
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OutputType = outputType;
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}
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}
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private static List<Tuple<Type, TickType>> GetSubscriptionDataTypes(SecurityType securityType, Resolution resolution, bool isCanonical = false)
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{
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var subscriptionManager = new SubscriptionManager();
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subscriptionManager.SetDataManager(new DataManagerStub());
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return subscriptionManager.LookupSubscriptionConfigDataTypes(securityType, resolution, isCanonical);
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}
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}
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}
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