public void GetLastKnownPriceOfIlliquidAsset_RealData()
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.HistoryProvider = new SubscriptionDataReaderHistoryProvider();
var cacheProvider = new ZipDataCacheProvider(new DefaultDataProvider());
algorithm.HistoryProvider.Initialize(new HistoryProviderInitializeParameters(
null,
null,
new DefaultDataProvider(),
cacheProvider,
new LocalDiskMapFileProvider(),
new LocalDiskFactorFileProvider(),
null,
false,
new DataPermissionManager()));
algorithm.SetDateTime(new DateTime(2014, 6, 6, 15, 0, 0));
//20140606_twx_minute_quote_american_call_230000_20150117.csv
var optionSymbol = Symbol.CreateOption("TWX", Market.USA, OptionStyle.American, OptionRight.Call, 23, new DateTime(2015, 1, 17));
var option = algorithm.AddOptionContract(optionSymbol);
var lastKnownPrice = algorithm.GetLastKnownPrice(option);
Assert.IsNotNull(lastKnownPrice);
// Data gap of more than 15 minutes
Assert.Greater((algorithm.Time - lastKnownPrice.EndTime).TotalMinutes, 15);
cacheProvider.DisposeSafely();
}
public void GetLastKnownPriceOfIlliquidAsset_TestData()
{
// Set the start date on Tuesday
_algorithm.SetStartDate(2014, 6, 10);
var optionSymbol = Symbol.CreateOption("TWX", Market.USA, OptionStyle.American, OptionRight.Call, 23, new DateTime(2015, 1, 17));
var option = _algorithm.AddOptionContract(optionSymbol);
// The last known price is on Friday, so we missed data from Monday and no data during Weekend
var barTime = new DateTime(2014, 6, 6, 15, 0, 0, 0);
_testHistoryProvider.Slices = new[]
{
new Slice(barTime, new[] { new TradeBar(barTime, optionSymbol, 100, 100, 100, 100, 1) }, barTime)
}.ToList();
var lastKnownPrice = _algorithm.GetLastKnownPrice(option);
Assert.IsNotNull(lastKnownPrice);
Assert.AreEqual(barTime.AddMinutes(1), lastKnownPrice.EndTime);
}