/* * 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.Data; using QuantConnect.Data.Market; using QuantConnect.Lean.Engine.DataFeeds; using System; using System.Collections.Generic; using System.Threading; using System.Threading.Tasks; using QuantConnect.Lean.Engine.DataFeeds.Enumerators; using QuantConnect.Util; namespace QuantConnect.Tests.Engine.DataFeeds { [TestFixture, Parallelizable(ParallelScope.Fixtures)] public class BaseDataExchangeTests { // This is a default timeout for all tests to wait if something went wrong const int DefaultTimeout = 30000; private CancellationTokenSource _cancellationTokenSource; [SetUp] public void SetUp() { _cancellationTokenSource = new CancellationTokenSource(); } [TearDown] public void TearDown() { _cancellationTokenSource.Cancel(); _cancellationTokenSource.DisposeSafely(); } [Test] public void EndsQueueConsumption() { var enqueable = new EnqueueableEnumerator(); var exchange = new BaseDataExchange("test"); using var cancellationToken = new CancellationTokenSource(); Task.Run(() => { while (!cancellationToken.IsCancellationRequested) { Thread.Sleep(10); enqueable.Enqueue(new Tick {Symbol = Symbols.SPY, Time = DateTime.UtcNow}); } }); BaseData last = null; using var lastUpdated = new AutoResetEvent(false); exchange.AddEnumerator(Symbols.SPY, enqueable, handleData: spy => { last = spy; lastUpdated.Set(); }); using var finishedRunning = new AutoResetEvent(false); Task.Run(() => { exchange.Start(); finishedRunning.Set(); } ); Assert.IsTrue(lastUpdated.WaitOne(DefaultTimeout)); exchange.Stop(); cancellationToken.Cancel(); Assert.IsTrue(finishedRunning.WaitOne(DefaultTimeout)); var endTime = DateTime.UtcNow; Assert.IsNotNull(last); Assert.IsTrue(last.Time <= endTime); enqueable.Dispose(); } [Test] public void DefaultErrorHandlerDoesNotStopQueueConsumption() { var enqueable = new EnqueueableEnumerator(); var exchange = new BaseDataExchange("test"); using var cancellationToken = new CancellationTokenSource(); Task.Run(() => { while (!cancellationToken.IsCancellationRequested) { Thread.Sleep(10); enqueable.Enqueue(new Tick { Symbol = Symbols.SPY, Time = DateTime.UtcNow }); } }); var first = true; BaseData last = null; using var lastUpdated = new AutoResetEvent(false); exchange.AddEnumerator(Symbols.SPY, enqueable, handleData: spy => { if (first) { first = false; throw new RegressionTestException("This exception should be swalloed by the exchange!"); } last = spy; lastUpdated.Set(); }); Task.Run(() => exchange.Start()); Assert.IsTrue(lastUpdated.WaitOne(DefaultTimeout)); exchange.Stop(); cancellationToken.Cancel(); enqueable.Dispose(); } [Test] public void SetErrorHandlerExitsOnTrueReturn() { var enqueable = new EnqueueableEnumerator(); var exchange = new BaseDataExchange("test"); using var cancellationToken = new CancellationTokenSource(); Task.Factory.StartNew(() => { while (!cancellationToken.IsCancellationRequested) { Thread.Sleep(10); enqueable.Enqueue(new Tick { Symbol = Symbols.SPY, Time = DateTime.UtcNow }); } }); var first = true; using var errorCaught = new AutoResetEvent(true); BaseData last = null; exchange.SetErrorHandler(error => { errorCaught.Set(); return true; }); exchange.AddEnumerator(Symbols.SPY, enqueable, handleData: spy => { if (first) { first = false; throw new RegressionTestException(); } last = spy; }); Task.Run(() => exchange.Start()); Assert.IsTrue(errorCaught.WaitOne(DefaultTimeout)); exchange.Stop(); Assert.IsNull(last); enqueable.Dispose(); cancellationToken.Cancel(); } [Test] public void RespectsShouldMoveNext() { var exchange = new BaseDataExchange("test"); exchange.SetErrorHandler(exception => true); exchange.AddEnumerator(Symbol.Empty, new List {new Tick()}.GetEnumerator(), () => false); using var isFaultedEvent = new ManualResetEvent(false); using var isCompletedEvent = new ManualResetEvent(false); Task.Run(() => exchange.Start()).ContinueWith(task => { if (task.IsFaulted) isFaultedEvent.Set(); isCompletedEvent.Set(); }); isCompletedEvent.WaitOne(); Assert.IsFalse(isFaultedEvent.WaitOne(0)); exchange.Stop(); } [Test] public void FiresOnEnumeratorFinishedEvents() { var exchange = new BaseDataExchange("test"); IEnumerator enumerator = new List().GetEnumerator(); using var isCompletedEvent = new ManualResetEvent(false); exchange.AddEnumerator(Symbol.Empty, enumerator, () => true, handler => isCompletedEvent.Set()); Task.Run(() => exchange.Start()); isCompletedEvent.WaitOne(); exchange.Stop(); } [Test] public void RemovesBySymbol() { var exchange = new BaseDataExchange("test"); var enumerator = new List {new Tick {Symbol = Symbols.SPY}}.GetEnumerator(); exchange.AddEnumerator(Symbols.SPY, enumerator); var removed = exchange.RemoveEnumerator(Symbols.AAPL); Assert.IsNull(removed); removed = exchange.RemoveEnumerator(Symbols.SPY); Assert.AreEqual(Symbols.SPY, removed.Symbol); } } }