/* * 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 NodaTime; using System.Linq; using NUnit.Framework; using QuantConnect.Data; using QuantConnect.Packets; using QuantConnect.Interfaces; using QuantConnect.Data.Market; using System.Collections.Generic; using QuantConnect.Lean.Engine.DataFeeds; using QuantConnect.Lean.Engine.DataFeeds.Enumerators; namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators { [TestFixture, Parallelizable(ParallelScope.All)] public class LiveSubscriptionEnumeratorTests { [Test] public void HandlesSymbolMapping() { var canonical = Symbols.Fut_SPY_Feb19_2016.Canonical; var dataQueue = new TestDataQueueHandler { DataPerSymbol = new Dictionary> { { Symbols.Fut_SPY_Feb19_2016, new List{ new Tick(Time.BeginningOfTime, Symbols.Fut_SPY_Feb19_2016, 1, 1)} }, { Symbols.Fut_SPY_Mar19_2016, new List{ new Tick(Time.BeginningOfTime, Symbols.Fut_SPY_Mar19_2016, 2, 2)} }, } }; var config = new SubscriptionDataConfig(typeof(Tick), canonical, Resolution.Tick, DateTimeZone.Utc, DateTimeZone.Utc, false, false, false) { MappedSymbol = Symbols.Fut_SPY_Feb19_2016.ID.ToString() }; var compositeDataQueueHandler = new TestDataQueueHandlerManager(new AlgorithmSettings()); compositeDataQueueHandler.ExposedDataHandlers.Add(dataQueue); var data = new LiveSubscriptionEnumerator(config, compositeDataQueueHandler, (_, _) => {}, (_) => false); Assert.IsTrue(data.MoveNext()); Assert.AreEqual(1, (data.Current as Tick).AskPrice); Assert.AreEqual(canonical, (data.Current as Tick).Symbol); Assert.IsFalse(data.MoveNext()); Assert.IsNull(data.Current); Assert.AreEqual(2, dataQueue.DataPerSymbol.Count); config.MappedSymbol = Symbols.Fut_SPY_Mar19_2016.ID.ToString(); Assert.AreEqual(1, dataQueue.DataPerSymbol.Count); Assert.IsTrue(data.MoveNext()); Assert.AreEqual(2, (data.Current as Tick).AskPrice); Assert.AreEqual(canonical, (data.Current as Tick).Symbol); Assert.AreNotEqual(canonical, dataQueue.DataPerSymbol[Symbols.Fut_SPY_Mar19_2016].Single().Symbol); Assert.IsFalse(data.MoveNext()); Assert.IsNull(data.Current); Assert.AreEqual(1, dataQueue.DataPerSymbol.Count); data.Dispose(); compositeDataQueueHandler.Dispose(); } internal class TestDataQueueHandler : IDataQueueHandler { public bool IsConnected => true; public Dictionary> DataPerSymbol; public IEnumerator Subscribe(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler) { if (DataPerSymbol.TryGetValue(dataConfig.Symbol, out var baseDatas)) { return baseDatas.GetEnumerator(); } throw new Exception($"Failed to find a data enumerator for symbol {dataConfig.Symbol}!"); } public void Unsubscribe(SubscriptionDataConfig dataConfig) { DataPerSymbol.Remove(dataConfig.Symbol); } public void SetJob(LiveNodePacket job) { } public void Dispose() { } } private class TestDataQueueHandlerManager : DataQueueHandlerManager { public List ExposedDataHandlers => DataHandlers; public TestDataQueueHandlerManager(IAlgorithmSettings settings) : base(settings) { } } } }