/* * 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.Linq; using NUnit.Framework; using QuantConnect.Lean.Engine.DataFeeds; using QuantConnect.Logging; using QuantConnect.Securities; using QuantConnect.Util; namespace QuantConnect.Tests.Engine.DataFeeds { [TestFixture] public class BacktestingFutureChainProviderTests { private ILogHandler _logHandler; private BacktestingFutureChainProvider _provider; [OneTimeSetUp] public void SetUp() { // Store initial Log Handler _logHandler = Log.LogHandler; _provider = new BacktestingFutureChainProvider(); _provider.Initialize(new(TestGlobals.MapFileProvider, TestGlobals.HistoryProvider)); } [OneTimeTearDown] public void TearDown() { // Restore intial Log Handler Log.LogHandler = _logHandler; } [TestCase("20131011")] // saturday, will fetch previous tradable date instead [TestCase("20131012")] public void CorrectlyDeterminesContractList(string date) { var dateTime = Time.ParseDate(date); var symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, dateTime.AddDays(10)); var result = _provider.GetFutureContractList(symbol, dateTime); Assert.IsNotEmpty(result); } [TestCase("20201007", 2)] [TestCase("20131007", 5)] public void UsesMultipleResolutions(string strDate, int expectedCount) { // we don't have minute data for this date var date = Time.ParseDate(strDate); var symbol = Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, date); var futureChain = _provider.GetFutureContractList(symbol, date).ToList(); Assert.IsTrue(futureChain.All(x => x.ID.Date.Date >= date)); Assert.IsTrue(futureChain.All(x => x.SecurityType == SecurityType.Future)); Assert.IsTrue(futureChain.All(x => x.ID.Symbol == Futures.Indices.SP500EMini)); Assert.AreEqual(expectedCount, futureChain.Count); } } }