/* * 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 System.Linq; using NUnit.Framework; using QuantConnect.Data; using QuantConnect.Data.Market; using QuantConnect.Lean.Engine.DataFeeds.Enumerators; using QuantConnect.Securities; namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators { [TestFixture] public class SubscriptionDataEnumeratorTests { [TestCase(typeof(TradeBar), true)] [TestCase(typeof(OpenInterest), false)] [TestCase(typeof(QuoteBar), false)] public void EnumeratorEmitsAuxData(Type typeOfConfig, bool shouldReceiveAuxData) { var config = CreateConfig(Resolution.Hour, typeOfConfig); var security = GetSecurity(config); var time = new DateTime(2010, 1, 1); var tzOffsetProvider = new TimeZoneOffsetProvider(security.Exchange.TimeZone, time, time.AddDays(1)); // Make a aux data stream; for this testing case we will just use delisting data points var totalPoints = 8; var stream = Enumerable.Range(0, totalPoints).Select(x => new Delisting { Time = time.AddHours(x) }).GetEnumerator(); using var enumerator = new SubscriptionDataEnumerator(config, security.Exchange.Hours, tzOffsetProvider, stream, false, false); // Test our SubscriptionDataEnumerator to see if it emits the aux data int dataReceivedCount = 0; while (enumerator.MoveNext()) { dataReceivedCount++; if (enumerator.Current != null && enumerator.Current.Data.DataType == MarketDataType.Auxiliary) { Assert.IsTrue(shouldReceiveAuxData); } } // If it should receive aux data it should have emitted all points // otherwise none should have been emitted if (shouldReceiveAuxData) { Assert.AreEqual(totalPoints, dataReceivedCount); } else { Assert.AreEqual(0, dataReceivedCount); } } private static Security GetSecurity(SubscriptionDataConfig config) { return new Security( SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash(Currencies.USD, 0, 1m), SymbolProperties.GetDefault(Currencies.USD), ErrorCurrencyConverter.Instance, RegisteredSecurityDataTypesProvider.Null, new SecurityCache() ); } private static SubscriptionDataConfig CreateConfig(Resolution resolution, Type type) { return new SubscriptionDataConfig(type, Symbols.SPY, resolution, TimeZones.NewYork, TimeZones.NewYork, true, true, false); } } }