Martin Molinero
261 lines
12 KiB
C#
261 lines
12 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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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 NodaTime;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.AlgorithmFactory.Python.Wrappers;
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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.Consolidators;
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using QuantConnect.Data.Custom;
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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.Packets;
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using QuantConnect.Securities;
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using QuantConnect.Util;
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using Bitcoin = QuantConnect.Algorithm.CSharp.LiveTradingFeaturesAlgorithm.Bitcoin;
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using HistoryRequest = QuantConnect.Data.HistoryRequest;
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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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algo.SubscriptionManager.SetDataManager(new DataManager());
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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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algo.SubscriptionManager.SetDataManager(new DataManager());
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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(QuoteBar)) != 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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// Crypto
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var crypto = algo.AddSecurity(SecurityType.Crypto, "btcusd", Resolution.Daily);
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Assert.IsTrue(crypto.Subscriptions.Count() == 2);
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Assert.IsTrue(GetMatchingSubscription(crypto, typeof(QuoteBar)) != null);
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Assert.IsTrue(GetMatchingSubscription(crypto, typeof(TradeBar)) != 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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qcAlgorithm.SubscriptionManager.SetDataManager(new DataManager());
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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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[Test]
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public void OnEndOfTimeStepSeedsUnderlyingSecuritiesThatHaveNoData()
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{
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var qcAlgorithm = new QCAlgorithm();
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qcAlgorithm.SubscriptionManager.SetDataManager(new DataManager());
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qcAlgorithm.SetLiveMode(true);
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var testHistoryProvider = new TestHistoryProvider();
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qcAlgorithm.HistoryProvider = testHistoryProvider;
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var option = qcAlgorithm.AddSecurity(SecurityType.Option, testHistoryProvider.underlyingSymbol);
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var option2 = qcAlgorithm.AddSecurity(SecurityType.Option, testHistoryProvider.underlyingSymbol2);
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Assert.IsFalse(qcAlgorithm.Securities.ContainsKey(option.Symbol.Underlying));
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Assert.IsFalse(qcAlgorithm.Securities.ContainsKey(option2.Symbol.Underlying));
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qcAlgorithm.OnEndOfTimeStep();
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var data = qcAlgorithm.Securities[testHistoryProvider.underlyingSymbol].GetLastData();
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var data2 = qcAlgorithm.Securities[testHistoryProvider.underlyingSymbol2].GetLastData();
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Assert.IsNotNull(data);
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Assert.IsNotNull(data2);
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Assert.AreEqual(data.Price, 2);
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Assert.AreEqual(data2.Price, 3);
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}
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[Test]
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public void OnEndOfTimeStepDoesNotThrowWhenSeedsSameUnderlyingForTwoSecurities()
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{
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var qcAlgorithm = new QCAlgorithm();
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qcAlgorithm.SubscriptionManager.SetDataManager(new DataManager());
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qcAlgorithm.SetLiveMode(true);
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var testHistoryProvider = new TestHistoryProvider();
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qcAlgorithm.HistoryProvider = testHistoryProvider;
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var option = qcAlgorithm.AddOption(testHistoryProvider.underlyingSymbol);
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var symbol = Symbol.CreateOption(testHistoryProvider.underlyingSymbol, Market.USA, OptionStyle.American,
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OptionRight.Call, 1, new DateTime(2015, 12, 24));
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var symbol2 = Symbol.CreateOption(testHistoryProvider.underlyingSymbol, Market.USA, OptionStyle.American,
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OptionRight.Put, 1, new DateTime(2015, 12, 24));
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var optionContract = qcAlgorithm.AddOptionContract(symbol, Resolution.Daily);
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var optionContract2 = qcAlgorithm.AddOptionContract(symbol2, Resolution.Minute);
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qcAlgorithm.OnEndOfTimeStep();
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var data = qcAlgorithm.Securities[testHistoryProvider.underlyingSymbol].GetLastData();
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Assert.AreEqual(testHistoryProvider.LastResolutionRequest, Resolution.Minute);
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Assert.IsNotNull(data);
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Assert.AreEqual(data.Price, 2);
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}
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[Test]
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public void PythonCustomDataTypes_AreAddedToSubscriptions_Successfully()
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{
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var qcAlgorithm = new AlgorithmPythonWrapper("Test_CustomDataAlgorithm");
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qcAlgorithm.SubscriptionManager.SetDataManager(new DataManager());
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// Initialize contains the statements:
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// self.AddData(Nifty, "NIFTY")
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// self.AddData(QuandlFuture, "SCF/CME_CL1_ON", Resolution.Daily)
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qcAlgorithm.Initialize();
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var niftySubscription = qcAlgorithm.SubscriptionManager.Subscriptions.FirstOrDefault(x => x.Symbol.Value == "NIFTY");
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Assert.IsNotNull(niftySubscription);
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var niftyFactory = (BaseData)ObjectActivator.GetActivator(niftySubscription.Type).Invoke(new object[] { niftySubscription.Type });
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Assert.DoesNotThrow(() => niftyFactory.GetSource(niftySubscription, DateTime.UtcNow, false));
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var quandlSubscription = qcAlgorithm.SubscriptionManager.Subscriptions.FirstOrDefault(x => x.Symbol.Value == "SCF/CME_CL1_ON");
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Assert.IsNotNull(quandlSubscription);
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var quandlFactory = (BaseData)ObjectActivator.GetActivator(quandlSubscription.Type).Invoke(new object[] { quandlSubscription.Type });
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Assert.DoesNotThrow(() => quandlFactory.GetSource(quandlSubscription, DateTime.UtcNow, false));
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}
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[Test]
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public void PythonCustomDataTypes_AreAddedToConsolidator_Successfully()
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{
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var qcAlgorithm = new AlgorithmPythonWrapper("Test_CustomDataAlgorithm");
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qcAlgorithm.SubscriptionManager.SetDataManager(new DataManager());
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// Initialize contains the statements:
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// self.AddData(Nifty, "NIFTY")
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// self.AddData(QuandlFuture, "SCF/CME_CL1_ON", Resolution.Daily)
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qcAlgorithm.Initialize();
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var niftyConsolidator = new DynamicDataConsolidator(TimeSpan.FromDays(2));
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Assert.DoesNotThrow(() => qcAlgorithm.SubscriptionManager.AddConsolidator("NIFTY", niftyConsolidator));
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var quandlConsolidator = new DynamicDataConsolidator(TimeSpan.FromDays(2));
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Assert.DoesNotThrow(() => qcAlgorithm.SubscriptionManager.AddConsolidator("SCF/CME_CL1_ON", quandlConsolidator));
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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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private class TestHistoryProvider : IHistoryProvider
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{
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public string underlyingSymbol = "GOOG";
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public string underlyingSymbol2 = "AAPL";
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public int DataPointCount { get; }
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public Resolution LastResolutionRequest;
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public void Initialize(AlgorithmNodePacket job, IDataProvider dataProvider, IDataCacheProvider dataCacheProvider,
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IMapFileProvider mapFileProvider, IFactorFileProvider factorFileProvider, Action<int> statusUpdate)
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{
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throw new NotImplementedException();
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}
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public IEnumerable<Slice> GetHistory(IEnumerable<HistoryRequest> requests, DateTimeZone sliceTimeZone)
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{
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var now = DateTime.UtcNow;
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LastResolutionRequest = requests.First().Resolution;
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var tradeBar1 = new TradeBar(now, underlyingSymbol, 1, 1, 1, 1, 1, TimeSpan.FromDays(1));
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var tradeBar2 = new TradeBar(now, underlyingSymbol2, 3, 3, 3, 3, 3, TimeSpan.FromDays(1));
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var slice1 = new Slice(now, new List<BaseData> { tradeBar1, tradeBar2 },
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new TradeBars(now), new QuoteBars(),
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new Ticks(), new OptionChains(),
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new FuturesChains(), new Splits(),
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new Dividends(now), new Delistings(),
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new SymbolChangedEvents());
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var tradeBar1_2 = new TradeBar(now, underlyingSymbol, 2, 2, 2, 2, 2, TimeSpan.FromDays(1));
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var slice2 = new Slice(now, new List<BaseData> { tradeBar1_2 },
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new TradeBars(now), new QuoteBars(),
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new Ticks(), new OptionChains(),
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new FuturesChains(), new Splits(),
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new Dividends(now), new Delistings(),
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new SymbolChangedEvents());
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return new[] { slice1, slice2 };
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}
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}
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}
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}
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