/* * 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 NUnit.Framework; using QuantConnect.Data; using QuantConnect.Data.Market; using QuantConnect.Data.UniverseSelection; using QuantConnect.Securities; namespace QuantConnect.Tests.Common.Data.UniverseSelection { [TestFixture] public class ConstituentsUniverseDataTests { private SubscriptionDataConfig _config; private SecurityExchangeHours _exchangeHours; [SetUp] public void SetUp() { _config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.AAPL, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false, false, TickType.Trade, false); _exchangeHours = MarketHoursDatabase.FromDataFolder() .GetEntry(Symbols.AAPL.ID.Market, Symbols.AAPL, Symbols.AAPL.ID.SecurityType).ExchangeHours; } [Test] public void BacktestSourceForEachTradableDate() { var reader = new ConstituentsUniverseData(); var tradableDays = Time.EachTradeableDayInTimeZone(_exchangeHours, new DateTime(2019, 06, 9), // sunday new DateTime(2019, 06, 16), _config.DataTimeZone, _config.ExtendedMarketHours); foreach (var tradableDay in tradableDays) { if (tradableDay.DayOfWeek == DayOfWeek.Saturday || tradableDay.DayOfWeek == DayOfWeek.Sunday) { Assert.Fail($"Unexpected tradable DayOfWeek {tradableDay.DayOfWeek}"); } var source = reader.GetSource(_config, tradableDay, false); // Mon to Friday Assert.IsTrue(source.Source.Contains($"{tradableDay:yyyyMMdd}")); } } [Test] public void BacktestDataTimeForEachTradableDate() { var reader = new ConstituentsUniverseData(); var tradableDays = Time.EachTradeableDayInTimeZone(_exchangeHours, new DateTime(2019, 06, 9), // sunday new DateTime(2019, 06, 16), _config.DataTimeZone, _config.ExtendedMarketHours); foreach (var tradableDay in tradableDays) { var dataPoint = reader.Reader(_config, "NONE,NONE 0", tradableDay, false); Assert.AreEqual(dataPoint.Time, tradableDay); // emitted tomorrow Assert.AreEqual(dataPoint.EndTime, tradableDay.AddDays(1)); } } [Test] public void LiveSourceForCurrentDate() { var reader = new ConstituentsUniverseData(); var currentTime = DateTime.UtcNow; var source = reader.GetSource(_config, currentTime, true); // From Tue to Sat will find files from Mon to Friday Assert.IsTrue(source.Source.Contains($"{currentTime.AddDays(-1):yyyyMMdd}")); } [Test] public void LiveDataTimeForCurrentDate() { var reader = new ConstituentsUniverseData(); var currentTime = DateTime.UtcNow; var dataPoint = reader.Reader(_config, "NONE,NONE 0", currentTime, true); Assert.AreEqual(dataPoint.Time, currentTime.AddDays(-1)); // emitted right away Assert.AreEqual(dataPoint.EndTime, currentTime); } } }