Martin Molinero
8172d1c22e
- `SubscriptionDataReader` will not emit data point which are beyond the current tradable date if the data source has changed. - Adding unit test
107 lines
4.0 KiB
C#
107 lines
4.0 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.IO;
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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.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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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 SubscriptionDataReaderTests
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{
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// this is the core of this unit test:
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// the stream will have two data points one of which does not correspond to the tradable date,
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// and it shouldn't be emitted because we have a new source for the next tradable date
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[TestCase(@"25980000,1679600,1679700,1679600,1679700,200
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99900000,1679400,1679400,1679200,1679200,600", false, Resolution.Minute)]
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// this test case has two data point which should be emitted because they correspond to the same tradable date
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[TestCase(@"25980000,1679600,1679700,1679600,1679700,200
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30980000,1679400,1679400,1679200,1679200,600", true, Resolution.Minute)]
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// even if the second data point is another tradable date we emit it because daily resolution
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// always uses the same source
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[TestCase(@"20191209 00:00,956900,959700,947200,958100,3647000
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20191211 00:00,956900,959700,947200,958100,3647000", true, Resolution.Daily)]
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public void DoesNotEmitDataBeyondTradableDate(string data, bool shouldEmitSecondDataPoint, Resolution dataResolution)
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{
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var start = new DateTime(2019, 12, 9);
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var end = new DateTime(2019, 12, 12);
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var mapFileProvider = new LocalDiskMapFileProvider();
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var mapFileResolver = new MapFileResolver(mapFileProvider.Get(Market.USA));
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var dataReader = new SubscriptionDataReader(
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new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.SPY,
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dataResolution,
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TimeZones.NewYork,
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TimeZones.NewYork,
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false,
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false,
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false),
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start,
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end,
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mapFileResolver,
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new LocalDiskFactorFileProvider(mapFileProvider),
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LinqExtensions.Range(start, end, time => time + TimeSpan.FromDays(1)),
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false,
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new TestDataCacheProvider
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{ Data = data }
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);
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Assert.IsTrue(dataReader.MoveNext());
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Assert.AreEqual(shouldEmitSecondDataPoint, dataReader.MoveNext());
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}
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private class TestDataCacheProvider : IDataCacheProvider
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{
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private bool _alreadyEmitted;
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public string Data { get; set; }
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public void Dispose()
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{
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}
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public bool IsDataEphemeral => true;
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public Stream Fetch(string key)
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{
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if (_alreadyEmitted)
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{
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return null;
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}
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_alreadyEmitted = true;
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var stream = new MemoryStream();
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var writer = new StreamWriter(stream);
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writer.Write(Data);
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writer.Flush();
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stream.Position = 0;
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return stream;
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}
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public void Store(string key, byte[] data)
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{
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}
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}
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}
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}
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