/* * 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.IO; using System.Linq; using NUnit.Framework; using QuantConnect.Data; using QuantConnect.Data.Auxiliary; using QuantConnect.Lean.Engine.DataFeeds; using QuantConnect.Util; namespace QuantConnect.Tests.Engine.DataFeeds { [TestFixture] public class ZipEntryNameSubscriptionFactoryTests { [Test] public void ReadsZipEntryNames() { var time = new DateTime(2016, 03, 03, 12, 48, 15); var source = Path.Combine("TestData", "20151224_quote_american.zip"); var config = new SubscriptionDataConfig(typeof (CustomData), Symbol.Create("XLRE", SecurityType.Option, Market.USA), Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, false, false, false); using var cacheProvider = new ZipDataCacheProvider(TestGlobals.DataProvider); var factory = new ZipEntryNameSubscriptionDataSourceReader(cacheProvider, config, time, false); var expected = new[] { Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 21m, new DateTime(2016, 08, 19)), Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 22m, new DateTime(2016, 08, 19)), Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Put, 37m, new DateTime(2016, 08, 19)), }; var actual = factory.Read(new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.ZipEntryName)).ToList(); // we only really care about the symbols CollectionAssert.AreEqual(expected, actual.Select(x => x.Symbol)); Assert.IsTrue(actual.All(x => x is CustomData)); } private class CustomData : BaseData { public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode) { var symbol = LeanData.ReadSymbolFromZipEntry(config.Symbol, config.Resolution, line); return new CustomData { Time = date, Symbol = symbol }; } public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode) { var source = LeanData.GenerateZipFilePath(Globals.DataFolder, config.Symbol, date, config.Resolution, config.TickType); return new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.ZipEntryName); } } } }