quant1729
106 lines
4.1 KiB
C#
106 lines
4.1 KiB
C#
using System;
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using System.Collections.Generic;
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using System.Linq;
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using Newtonsoft.Json;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Configuration;
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using QuantConnect.Data;
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using QuantConnect.Data.Auxiliary;
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using QuantConnect.Data.Custom;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Algorithm
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{
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[TestFixture]
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public class AlgorithmAddDataTests
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{
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[Test]
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public void DefaultDataFeeds_CanBeOverwritten_Successfully()
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{
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Config.Set("security-data-feeds", "{ Forex: [\"Trade\"] }");
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var algo = new QCAlgorithm();
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// forex defult - should be tradebar
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var forexTrade = algo.AddForex("EURUSD");
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Assert.IsTrue(forexTrade.Subscriptions.Count() == 1);
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Assert.IsTrue(GetMatchingSubscription(forexTrade, typeof(QuoteBar)) != null);
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// Change
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var dataFeedsConfigString = Config.Get("security-data-feeds");
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Dictionary<SecurityType, List<TickType>> dataFeeds = new Dictionary<SecurityType, List<TickType>>();
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if (dataFeedsConfigString != string.Empty)
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{
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dataFeeds = JsonConvert.DeserializeObject<Dictionary<SecurityType, List<TickType>>>(dataFeedsConfigString);
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}
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algo.SetAvailableDataTypes(dataFeeds);
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// new forex - should be quotebar
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var forexQuote = algo.AddForex("EURUSD");
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Assert.IsTrue(forexQuote.Subscriptions.Count() == 1);
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Assert.IsTrue(GetMatchingSubscription(forexQuote, typeof(TradeBar)) != null);
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}
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[Test]
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public void DefaultDataFeeds_AreAdded_Successfully()
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{
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var algo = new QCAlgorithm();
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// forex
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var forex = algo.AddSecurity(SecurityType.Forex, "eurusd");
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Assert.IsTrue(forex.Subscriptions.Count() == 1);
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Assert.IsTrue(GetMatchingSubscription(forex, typeof(QuoteBar)) != null);
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// equity
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var equity = algo.AddSecurity(SecurityType.Equity, "goog");
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Assert.IsTrue(equity.Subscriptions.Count() == 1);
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Assert.IsTrue(GetMatchingSubscription(equity, typeof(TradeBar)) != null);
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// option
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var option = algo.AddSecurity(SecurityType.Option, "goog");
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Assert.IsTrue(option.Subscriptions.Count() == 1);
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Assert.IsTrue(GetMatchingSubscription(option, typeof(ZipEntryName)) != null);
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// cfd
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var cfd = algo.AddSecurity(SecurityType.Cfd, "abc");
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Assert.IsTrue(cfd.Subscriptions.Count() == 1);
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Assert.IsTrue(GetMatchingSubscription(cfd, typeof(TradeBar)) != null);
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// future
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var future = algo.AddSecurity(SecurityType.Future, "ES");
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Assert.IsTrue(future.Subscriptions.Count() == 1);
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Assert.IsTrue(future.Subscriptions.FirstOrDefault(x => typeof(ZipEntryName).IsAssignableFrom(x.Type)) != null);
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}
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[Test]
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public void CustomDataTypes_AreAddedToSubscriptions_Successfully()
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{
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var qcAlgorithm = new QCAlgorithm();
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// Add a bitcoin subscription
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qcAlgorithm.AddData<Bitcoin>("BTC");
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var bitcoinSubscription = qcAlgorithm.SubscriptionManager.Subscriptions.FirstOrDefault(x => x.Type == typeof(Bitcoin));
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Assert.AreEqual(bitcoinSubscription.Type, typeof(Bitcoin));
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// Add a quandl subscription
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qcAlgorithm.AddData<Quandl>("EURCAD");
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var quandlSubscription = qcAlgorithm.SubscriptionManager.Subscriptions.FirstOrDefault(x => x.Type == typeof(Quandl));
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Assert.AreEqual(quandlSubscription.Type, typeof(Quandl));
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}
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private static SubscriptionDataConfig GetMatchingSubscription(Security security, Type type)
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{
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// find a subscription matchin the requested type with a higher resolution than requested
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return (from sub in security.Subscriptions.OrderByDescending(s => s.Resolution)
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where type.IsAssignableFrom(sub.Type)
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select sub).FirstOrDefault();
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}
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}
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}
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