/* * 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.Enumerators; using System; using System.Collections; using System.Collections.Generic; using System.Linq; namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators { [TestFixture] public class SynchronizingSliceEnumeratorTests { [Test] public void SynchronizesData() { var time = new DateTime(2016, 03, 03, 12, 05, 00); var stream1 = Enumerable.Range(0, 10).Select(x => new Slice(time.AddSeconds(x * 1), new List(), utcTime: time.AddSeconds(x * 1))).GetEnumerator(); var stream2 = Enumerable.Range(0, 5).Select(x => new Slice(time.AddSeconds(x * 2), new List(), utcTime: time.AddSeconds(x * 2))).GetEnumerator(); var stream3 = Enumerable.Range(0, 20).Select(x => new Slice(time.AddSeconds(x * 0.5), new List(), utcTime: time.AddSeconds(x * 0.5))).GetEnumerator(); var previous = DateTime.MinValue; var synchronizer = new SynchronizingSliceEnumerator(stream1, stream2, stream3); while (synchronizer.MoveNext()) { Assert.That(synchronizer.Current.UtcTime, Is.GreaterThanOrEqualTo(previous)); previous = synchronizer.Current.UtcTime; } synchronizer.Dispose(); } [Test] public void WontRemoveEnumeratorsReturningTrueWithCurrentNull() { var time = new DateTime(2016, 03, 03, 12, 05, 00); var tradeBar1 = new TradeBar { Symbol = Symbols.SPY, Time = time }; var tradeBar2 = new TradeBar { Symbol = Symbols.AAPL, Time = time, Open = 23 }; var stream1 = Enumerable.Range(0, 20) // return null except the last value and check if its emitted .Select(x => x == 19 ? new Slice(time.AddSeconds(x * 1), new BaseData[] { tradeBar1, tradeBar2 }, utcTime: time.AddSeconds(x * 1)) : null ).GetEnumerator(); var stream2 = Enumerable.Range(0, 5).Select(x => new Slice(time.AddSeconds(x * 2), new List(), utcTime: time.AddSeconds(x * 2))).GetEnumerator(); var stream3 = Enumerable.Range(0, 20).Select(x => new Slice(time.AddSeconds(x * 0.5), new List(), utcTime: time.AddSeconds(x * 0.5))).GetEnumerator(); var previous = new Slice(DateTime.MinValue, new List(), DateTime.MinValue); var synchronizer = new SynchronizingSliceEnumerator(stream1, stream2, stream3); while (synchronizer.MoveNext()) { Assert.That(synchronizer.Current.UtcTime, Is.GreaterThanOrEqualTo(previous.UtcTime)); previous = synchronizer.Current; } Assert.AreEqual(2, previous.Bars.Count); synchronizer.Dispose(); } [Test] public void WillRemoveEnumeratorsReturningFalse() { var time = new DateTime(2016, 03, 03, 12, 05, 00); var stream1 = new TestEnumerator { MoveNextReturnValue = false }; var stream2 = Enumerable.Range(0, 10).Select(x => new Slice(time.AddSeconds(x * 0.5), new List(), utcTime: time.AddSeconds(x * 0.5))).GetEnumerator(); var synchronizer = new SynchronizingSliceEnumerator(stream1, stream2); var emitted = false; while (synchronizer.MoveNext()) { emitted = true; } Assert.IsTrue(emitted); Assert.IsTrue(stream1.MoveNextWasCalled); Assert.AreEqual(1, stream1.MoveNextCallCount); synchronizer.Dispose(); } [Test] public void WillStopIfAllEnumeratorsCurrentIsNullAndReturningTrue() { var stream1 = new TestEnumerator { MoveNextReturnValue = true }; var synchronizer = new SynchronizingSliceEnumerator(stream1); while (synchronizer.MoveNext()) { Assert.Fail(); } Assert.IsTrue(stream1.MoveNextWasCalled); synchronizer.Dispose(); } [Test] public void WillStopIfAllEnumeratorsCurrentIsNullAndReturningFalse() { var stream1 = new TestEnumerator { MoveNextReturnValue = false }; var synchronizer = new SynchronizingSliceEnumerator(stream1); while (synchronizer.MoveNext()) { Assert.Fail(); } Assert.IsTrue(stream1.MoveNextWasCalled); synchronizer.Dispose(); } private class TestEnumerator : IEnumerator { public int MoveNextCallCount { get; set; } public bool MoveNextReturnValue { get; set; } public bool MoveNextWasCalled { get; set; } public TestEnumerator() { MoveNextWasCalled = false; } public bool MoveNext() { MoveNextCallCount++; MoveNextWasCalled = true; return MoveNextReturnValue; } public Slice Current { get; } object IEnumerator.Current => Current; public void Dispose() { } public void Reset() { } } } }