public void RefreshesFutureChainUniverseOnDateChange()
{
var startTime = new DateTime(2018, 10, 17, 10, 0, 0);
var timeProvider = new ManualTimeProvider(startTime);
var symbolUniverse = new TestDataQueueUniverseProvider(timeProvider);
var factory = new FuturesChainUniverseSubscriptionEnumeratorFactory(symbolUniverse, timeProvider);
var canonicalSymbol = Symbol.Create(Futures.Indices.VIX, SecurityType.Future, Market.CBOE, "/VX");
var quoteCurrency = new Cash(Currencies.USD, 0, 1);
var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.CBOE, canonicalSymbol, SecurityType.Future);
var config = new SubscriptionDataConfig(
typeof(ZipEntryName),
canonicalSymbol,
Resolution.Minute,
TimeZones.Utc,
TimeZones.Chicago,
true,
false,
false,
false,
TickType.Quote,
false,
DataNormalizationMode.Raw
);
var future = new Future(
canonicalSymbol,
exchangeHours,
quoteCurrency,
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var universeSettings = new UniverseSettings(Resolution.Minute, 0, true, false, TimeSpan.Zero);
var universe = new FuturesChainUniverse(future, universeSettings);
var request = new SubscriptionRequest(true, universe, future, config, startTime, Time.EndOfTime);
var enumerator = factory.CreateEnumerator(request, new DefaultDataProvider());
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(1, symbolUniverse.TotalLookupCalls);
var data = enumerator.Current as FuturesChainUniverseDataCollection;
Assert.IsNotNull(data);
Assert.AreEqual(1, data.Data.Count);
timeProvider.Advance(Time.OneSecond);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
Assert.AreEqual(1, symbolUniverse.TotalLookupCalls);
timeProvider.Advance(Time.OneMinute);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
Assert.AreEqual(1, symbolUniverse.TotalLookupCalls);
timeProvider.Advance(Time.OneDay);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(2, symbolUniverse.TotalLookupCalls);
data = enumerator.Current as FuturesChainUniverseDataCollection;
Assert.IsNotNull(data);
Assert.AreEqual(2, data.Data.Count);
timeProvider.Advance(Time.OneMinute);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
Assert.AreEqual(2, symbolUniverse.TotalLookupCalls);
enumerator.Dispose();
}
public void RefreshesOptionChainUniverseOnDateChange()
{
var startTime = new DateTime(2018, 10, 19, 10, 0, 0);
var timeProvider = new ManualTimeProvider(startTime);
var canonicalSymbol = Symbol.Create("SPY", SecurityType.Option, Market.USA, "?SPY");
var quoteCurrency = new Cash(Currencies.USD, 0, 1);
var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.USA, canonicalSymbol, SecurityType.Option);
var config = new SubscriptionDataConfig(
typeof(ZipEntryName),
canonicalSymbol,
Resolution.Minute,
TimeZones.Utc,
TimeZones.NewYork,
true,
false,
false,
false,
TickType.Quote,
false,
DataNormalizationMode.Raw
);
var option = new Option(
canonicalSymbol,
exchangeHours,
quoteCurrency,
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance
);
var fillForwardResolution = Ref.CreateReadOnly(() => Resolution.Minute.ToTimeSpan());
var symbolUniverse = new TestDataQueueUniverseProvider(timeProvider);
TradeBarBuilderEnumerator underlyingEnumerator = null;
Func <SubscriptionRequest, IEnumerator <BaseData>, IEnumerator <BaseData> > underlyingEnumeratorFunc =
(req, input) =>
{
underlyingEnumerator = (TradeBarBuilderEnumerator)input;
return(new LiveFillForwardEnumerator(
timeProvider,
input,
option.Exchange,
fillForwardResolution,
false,
Time.EndOfTime,
Resolution.Minute.ToTimeSpan(),
TimeZones.Utc));
};
var factory = new OptionChainUniverseSubscriptionEnumeratorFactory(underlyingEnumeratorFunc, symbolUniverse, timeProvider);
var universeSettings = new UniverseSettings(Resolution.Minute, 0, true, false, TimeSpan.Zero);
var universe = new OptionChainUniverse(option, universeSettings, true);
var request = new SubscriptionRequest(true, universe, option, config, startTime, Time.EndOfTime);
var enumerator = (DataQueueOptionChainUniverseDataCollectionEnumerator)factory.CreateEnumerator(request, new DefaultDataProvider());
// 2018-10-19 10:00 AM UTC
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
// no underlying data available yet
Assert.IsNull(enumerator.Current);
Assert.AreEqual(0, symbolUniverse.TotalLookupCalls);
// 2018-10-19 10:01 AM UTC
timeProvider.Advance(Time.OneMinute);
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(1, symbolUniverse.TotalLookupCalls);
var data = enumerator.Current;
Assert.IsNotNull(data);
Assert.AreEqual(1, data.Data.Count);
Assert.IsNotNull(data.Underlying);
// 2018-10-19 10:02 AM UTC
timeProvider.Advance(Time.OneMinute);
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(1, symbolUniverse.TotalLookupCalls);
data = enumerator.Current;
Assert.IsNotNull(data);
Assert.AreEqual(1, data.Data.Count);
Assert.IsNotNull(data.Underlying);
// 2018-10-19 10:03 AM UTC
timeProvider.Advance(Time.OneMinute);
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(1, symbolUniverse.TotalLookupCalls);
data = enumerator.Current;
Assert.IsNotNull(data);
Assert.AreEqual(1, data.Data.Count);
Assert.IsNotNull(data.Underlying);
// 2018-10-20 10:03 AM UTC
timeProvider.Advance(Time.OneDay);
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(2, symbolUniverse.TotalLookupCalls);
data = enumerator.Current;
Assert.IsNotNull(data);
Assert.AreEqual(2, data.Data.Count);
Assert.IsNotNull(data.Underlying);
// 2018-10-20 10:04 AM UTC
timeProvider.Advance(Time.OneMinute);
underlyingEnumerator.ProcessData(new Tick {
Symbol = Symbols.SPY, Value = 280m
});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(2, symbolUniverse.TotalLookupCalls);
data = enumerator.Current;
Assert.IsNotNull(data);
Assert.AreEqual(2, data.Data.Count);
Assert.IsNotNull(data.Underlying);
}
