quantconnect--lean/Tests/Engine/DefaultBrokerageMessageHandler.cs

/*
 * 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 System;
using System.Collections.Generic;
using System.Linq;
using System.Threading;
using NUnit.Framework;
using QuantConnect.Brokerages;
using QuantConnect.Packets;
using QuantConnect.Securities;
using QuantConnect.Tests.Engine.DataFeeds;

namespace QuantConnect.Tests.Engine
{
    [TestFixture, Parallelizable(ParallelScope.Fixtures)]
    public class DefaultBrokerageMessageHandlerTests
    {
        [Test]
        public void DoesNotSetAlgorithmRunTimeErrorOnDisconnectIfAllSecuritiesClosed()
        {
            var referenceTime = DateTime.UtcNow;
            var algorithm = new AlgorithmStub();
            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
            algorithm.AddSecurities(equities: new List<string> { "SPY" });
            algorithm.SetDateTime(referenceTime);
            algorithm.Securities[Symbols.SPY].Exchange.SetMarketHours(Enumerable.Empty<MarketHoursSegment>(), referenceTime.ConvertFromUtc(TimeZones.NewYork).DayOfWeek);
            var job = new LiveNodePacket();
            var results = new TestResultHandler();//packet => Console.WriteLine(FieldsToString(packet)));
            var api = new Api.Api();
            var handler = new DefaultBrokerageMessageHandler(algorithm, job, api, TimeSpan.FromSeconds(2));

            Assert.IsNull(algorithm.RunTimeError);

            handler.Handle(BrokerageMessageEvent.Disconnected("Disconnection!"));

            Assert.IsNull(algorithm.RunTimeError);

            results.Exit();
        }

        [Test]
        public void DoesNotSetRunTimeErrorWhenReconnectMessageComesThrough()
        {
            var algorithm = new AlgorithmStub();
            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
            algorithm.AddSecurities(equities: new List<string> { "SPY" });
            var referenceTime = DateTime.UtcNow;
            algorithm.SetDateTime(referenceTime);
            var localReferencTime = referenceTime.ConvertFromUtc(TimeZones.NewYork);
            var open = localReferencTime.AddSeconds(1).TimeOfDay;
            var closed = TimeSpan.FromDays(1);
            var marketHours = new MarketHoursSegment(MarketHoursState.Market, open, closed);
            algorithm.Securities[Symbols.SPY].Exchange.SetMarketHours(new [] {marketHours}, localReferencTime.DayOfWeek);
            var job = new LiveNodePacket();
            var results = new TestResultHandler();//packet => Console.WriteLine(FieldsToString(packet)));
            var api = new Api.Api();
            var handler = new DefaultBrokerageMessageHandler(algorithm, job, api, TimeSpan.FromSeconds(2), TimeSpan.FromSeconds(.25));

            Assert.IsNull(algorithm.RunTimeError);

            handler.Handle(BrokerageMessageEvent.Disconnected("Disconnection!"));

            Thread.Sleep(100);

            handler.Handle(BrokerageMessageEvent.Reconnected("Reconnected!"));

            Thread.Sleep(500);

            Assert.IsNull(algorithm.RunTimeError);

            results.Exit();
        }
    }
}