e29bb2c5e0
API Tests / build (push) Has been cancelled
Benchmarks / build (push) Has been cancelled
Build & Test Lean / build (push) Has been cancelled
Regression Tests / build (push) Has been cancelled
Report Generator Tests / build (push) Has been cancelled
Research Regression Tests / build (push) Has been cancelled
Python Virtual Environments / build (push) Has been cancelled
* Initial options universe with greeks implementation * Options universe improvements * Address peer review * File based options universe fixes and improvements. - Adjust OptionUniverse start-end times and period. - Adapt unit tests and some algorithms to pass with new options universe selection. * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Updated options regression algorithms stats for new universe data * Option chain provider with new options universe * Allow canonical option history requests * Address peer review * Address peer review * Fix symbols parsing in OptionUniverse * Fix universe selection subscriptions start time to not include extended market hours * Minor changes * Minor changes * Peer recommended changes and fixes * Update regression algorithm stats * Update regression algorithms stats and minor fixes * Fix option chain provider history request * Round option indicators values * Added option universe csv header property * Update regression algorithms stats * Update regression algorithms stats * Data fixes and regression algos stats update * Unit test fixes * Minor changes * Option chain handling in live trading data feed * Minor changes * Added processed data provider * Fix thread-safety violation in Slice class * Minor change * Update options filter universe API to use OptionUniverse data Add new filter methods for greeks, IV and open interest * Option filter universe api updates * Add OptionUniverse history regression algorithms * Add regression algorithms for new options filter universe api methods * Added options greeks data and updated regression algorithms * Address peer review * Address peer review * Add more assertions to new options filter api regression algorithms * Minor performance improvement. Reduce greeks binomial model steps to 140 * Minor tests updates * Greeks numerical models performance improvements * Greeks numerical models performance improvements * Revert array pool change for option pricing numerical models * Update default dividend yield provider depending on option type * [TEST] * Add helper method con calculate time till expiration * Use double in price option numerical models * Implied volatility calculation improvements - Adjust root finding method accuracy as a factor of the option price - Use BSM to get a first guess * Cleanup * Some regression algorithms and unit tests cleanup * Regression tests updates after rebasing from master * Add universe files * Self review and cleanup * Minor regression tests updates after rebase * Fix: set data time zone to same as exchange tz for options universes * Minor change * Minor change * Fix for live trading options universe selection * Keep underlying when aggregating collections in BaseDataCollectionAggregatorEnumerator * Update index options regression algorithms stats * Minor change * Address peer review * Memory usage improvements * Minor build fix * Minor changes and test fixes * Cache symbols in OptionUniverse * Cleanup * Fix index option creation in OptionUniverse * Use cached underlying SID when parsing from string * Abstract symbols cache to BaseDataCollection * Return actual underlying symbol when mapping decomposing ICO ticker * Address peer review * Minor performance improvements reduce garbage * Limit Symbols and SIDs cache size to help with memory usage * Minor fix in symbols and sid cache cleanup * Build fix * Lazily parse greeks on individual access * Cleanup and tests * Address peer review * Minor greeks fix --------- Co-authored-by: Martin Molinero <martin.molinero1@gmail.com>
75 lines
2.6 KiB
C#
75 lines
2.6 KiB
C#
/*
|
|
* 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 NUnit.Framework;
|
|
using QuantConnect.Configuration;
|
|
using QuantConnect.Lean.Engine.DataFeeds;
|
|
using System.IO;
|
|
|
|
namespace QuantConnect.Tests.Engine.DataProviders
|
|
{
|
|
[TestFixture]
|
|
public class ProcessedDataProviderTests
|
|
{
|
|
private ProcessedDataProvider _processedDataProvider;
|
|
private string _originalProcessedDataDirectory;
|
|
|
|
[OneTimeSetUp]
|
|
public void Setup()
|
|
{
|
|
// Set up the processed data provider
|
|
_originalProcessedDataDirectory = Config.Get("processed-data-directory");
|
|
Config.Set("processed-data-directory", "TestData");
|
|
|
|
_processedDataProvider = new ProcessedDataProvider();
|
|
}
|
|
|
|
[OneTimeTearDown]
|
|
public void TearDown()
|
|
{
|
|
_processedDataProvider.Dispose();
|
|
|
|
// Revert the configuration
|
|
Config.Set("processed-data-directory", _originalProcessedDataDirectory);
|
|
}
|
|
|
|
private static TestCaseData[] ExistingDataTestCases => new[]
|
|
{
|
|
// Exists in the processed data directory
|
|
new TestCaseData(Path.Combine(Globals.DataFolder, "spy_10_min.txt"), true),
|
|
// Does not exist in the processed data directory but exists in the main data folder
|
|
new TestCaseData(Path.Combine(Globals.DataFolder, "equity/usa/minute/aapl/20140606_trade.zip"), true),
|
|
// Neither the processed data directory nor in the main data folder
|
|
new TestCaseData(Path.Combine(Globals.DataFolder, "equity/usa/minute/somestock/19980606_trade.zip"), false)
|
|
};
|
|
|
|
[TestCaseSource(nameof(ExistingDataTestCases))]
|
|
public void ProcessedDataProvider_CanReadDataThatExists(string path, bool exists)
|
|
{
|
|
var stream = _processedDataProvider.Fetch(path);
|
|
|
|
if (exists)
|
|
{
|
|
Assert.IsNotNull(stream);
|
|
}
|
|
else
|
|
{
|
|
Assert.IsNull(stream);
|
|
}
|
|
}
|
|
}
|
|
}
|