Martin-Molinero
6ef2ead929
* Do not update price scale for fillforward data - Do no update price scale for fill forward data. FillForward data should keep using the prev scale for which it was created. Adding unit tests - When cloning do not lose IsFillForward flag state, affects QuoteBars/Ticks, does not affect TradeBars since they perform a memberwise clone. Adding unit tests * Auxiliaries shouldn't really affect on applied price factor scale. Despite we can receeive FillForward'ed data points, corresponding Auxiliaries for them are not FillForward so we do meet the condition and then refresh price factor. As a result all futher FF data points are scaled too. * Regression algorithm to check that FillForward'ed data points arrived with last real price factor * Add trade for regression algorithm - Minot tweaks and adding trade for new regression algorithm. - Updating AddOptionContractExpiresRegressionAlgorithm because it is using the symbol for which new data was added. Co-authored-by: Adalyat Nazirov <aenazirov@gmail.com>
301 lines
11 KiB
C#
301 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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*/
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using System;
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using System.Collections;
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using System.Collections.Generic;
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using System.Threading;
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using Moq;
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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.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Securities;
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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, Parallelizable(ParallelScope.All)]
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public class SubscriptionUtilsTests
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{
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private Security _security;
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private SubscriptionDataConfig _config;
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[SetUp]
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public void SetUp()
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{
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_security = new Security(Symbols.SPY,
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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new Cash(Currencies.USD, 0, 0),
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SymbolProperties.GetDefault(Currencies.USD),
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new IdentityCurrencyConverter(Currencies.USD),
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache());
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_config = new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Daily,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true, true, false);
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}
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[Test]
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public void SubscriptionIsDisposed()
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{
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var dataPoints = 10;
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var enumerator = new TestDataEnumerator { MoveNextTrueCount = dataPoints };
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var factorFileProfider = new Mock<IFactorFileProvider>();
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factorFileProfider.Setup(s => s.Get(It.IsAny<Symbol>())).Returns(FactorFile.Read(_security.Symbol.Value, _config.Market));
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var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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_config,
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DateTime.UtcNow,
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Time.EndOfTime
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),
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enumerator,
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factorFileProfider.Object,
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false);
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var count = 0;
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while (enumerator.MoveNextTrueCount > 8)
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{
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if (count++ > 100)
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{
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Assert.Fail($"Timeout waiting for producer. {enumerator.MoveNextTrueCount}");
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}
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Thread.Sleep(1);
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}
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subscription.DisposeSafely();
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Assert.IsFalse(subscription.MoveNext());
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}
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[Test]
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public void ThrowingEnumeratorStackDisposesOfSubscription()
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{
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var enumerator = new TestDataEnumerator { MoveNextTrueCount = 10, ThrowException = true};
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var factorFileProfider = new Mock<IFactorFileProvider>();
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factorFileProfider.Setup(s => s.Get(It.IsAny<Symbol>())).Returns(FactorFile.Read(_security.Symbol.Value, _config.Market));
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var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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_config,
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DateTime.UtcNow,
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Time.EndOfTime
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),
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enumerator,
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factorFileProfider.Object,
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false);
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var count = 0;
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while (enumerator.MoveNextTrueCount != 9)
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{
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if (count++ > 100)
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{
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Assert.Fail("Timeout waiting for producer");
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}
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Thread.Sleep(1);
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}
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Assert.IsFalse(subscription.MoveNext());
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Assert.IsTrue(subscription.EndOfStream);
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// enumerator is disposed by the producer
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count = 0;
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while (!enumerator.Disposed)
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{
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if (count++ > 100)
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{
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Assert.Fail("Timeout waiting for producer");
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}
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Thread.Sleep(1);
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}
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}
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[Test]
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// This unit tests reproduces GH 3885 where the consumer hanged forever
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public void ConsumerDoesNotHang()
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{
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for (var i = 0; i < 10000; i++)
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{
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var dataPoints = 10;
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var enumerator = new TestDataEnumerator {MoveNextTrueCount = dataPoints};
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var factorFileProfider = new Mock<IFactorFileProvider>();
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factorFileProfider.Setup(s => s.Get(It.IsAny<Symbol>())).Returns(FactorFile.Read(_security.Symbol.Value, _config.Market));
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var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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_config,
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DateTime.UtcNow,
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Time.EndOfTime
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),
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enumerator,
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factorFileProfider.Object,
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false);
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for (var j = 0; j < dataPoints; j++)
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{
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Assert.IsTrue(subscription.MoveNext());
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}
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Assert.IsFalse(subscription.MoveNext());
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subscription.DisposeSafely();
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}
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}
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[Test]
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public void PriceScaleFirstFillForwardBar()
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{
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var referenceTime = new DateTime(2020, 08, 06);
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var point = new Tick(referenceTime, Symbols.SPY, 1, 2);
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var point2 = point.Clone(true);
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point2.Time = referenceTime;
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var point3 = point.Clone(false);
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point3.Time = referenceTime.AddDays(1);
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;
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var enumerator = new List<BaseData> { point2, point3 }.GetEnumerator();
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var factorFileProfider = new Mock<IFactorFileProvider>();
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var factorFile = new FactorFile(_security.Symbol.Value, new[]
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{
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new FactorFileRow(referenceTime, 0.5m, 1),
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new FactorFileRow(referenceTime.AddDays(1), 1m, 1)
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}, referenceTime);
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factorFileProfider.Setup(s => s.Get(It.IsAny<Symbol>())).Returns(factorFile);
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var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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_config,
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referenceTime,
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Time.EndOfTime
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),
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enumerator,
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factorFileProfider.Object,
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true);
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Assert.IsTrue(subscription.MoveNext());
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// we do expect it to pick up the prev factor file scale
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Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
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Assert.IsTrue((subscription.Current.Data as Tick).IsFillForward);
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Assert.IsTrue(subscription.MoveNext());
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Assert.AreEqual(2, (subscription.Current.Data as Tick).AskPrice);
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Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
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subscription.DisposeSafely();
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}
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[Test]
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public void PriceScaleDoesNotUpdateForFillForwardBar()
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{
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var referenceTime = new DateTime(2020, 08, 06);
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var point = new Tick(referenceTime, Symbols.SPY, 1, 2);
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var point2 = point.Clone(true);
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point2.Time = referenceTime.AddDays(1);
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var point3 = point.Clone(false);
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point3.Time = referenceTime.AddDays(2);
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;
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var enumerator = new List<BaseData> { point, point2, point3 }.GetEnumerator();
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var factorFileProfider = new Mock<IFactorFileProvider>();
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var factorFile = new FactorFile(_security.Symbol.Value, new[]
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{
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new FactorFileRow(referenceTime, 0.5m, 1),
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new FactorFileRow(referenceTime.AddDays(1), 1m, 1)
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}, referenceTime);
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factorFileProfider.Setup(s => s.Get(It.IsAny<Symbol>())).Returns(factorFile);
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var subscription = SubscriptionUtils.CreateAndScheduleWorker(
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new SubscriptionRequest(
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false,
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null,
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_security,
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_config,
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referenceTime,
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Time.EndOfTime
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),
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enumerator,
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factorFileProfider.Object,
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true);
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Assert.IsTrue(subscription.MoveNext());
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Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
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Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
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Assert.IsTrue(subscription.MoveNext());
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Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
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Assert.IsTrue((subscription.Current.Data as Tick).IsFillForward);
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Assert.IsTrue(subscription.MoveNext());
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Assert.AreEqual(2, (subscription.Current.Data as Tick).AskPrice);
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Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
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subscription.DisposeSafely();
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}
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private class TestDataEnumerator : IEnumerator<BaseData>
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{
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public bool ThrowException { get; set; }
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public bool Disposed { get; set; }
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public int MoveNextTrueCount { get; set; }
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public void Dispose()
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{
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Disposed = true;
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}
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public bool MoveNext()
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{
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Current = new Tick(DateTime.UtcNow,Symbols.SPY, 1, 2);
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var result = --MoveNextTrueCount >= 0;
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if (ThrowException)
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{
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throw new Exception("TestDataEnumerator.MoveNext()");
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}
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return result;
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}
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public void Reset()
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{
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}
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public BaseData Current { get; set; }
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object IEnumerator.Current => Current;
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}
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}
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}
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