public void QuoteBarParseDoesNotScaleOptionsWithNonEquityUnderlying()
{
var factory = new QuoteBar();
var underlying = Symbol.CreateFuture("ES", QuantConnect.Market.CME, new DateTime(2021, 3, 19));
var optionSymbol = Symbol.CreateOption(
underlying,
QuantConnect.Market.CME,
OptionStyle.American,
OptionRight.Put,
4200m,
SecurityIdentifier.DefaultDate);
var config = new SubscriptionDataConfig(
typeof(QuoteBar),
optionSymbol,
Resolution.Minute,
TimeZones.Chicago,
TimeZones.Chicago,
true,
false,
false,
false,
TickType.Quote,
true,
DataNormalizationMode.Raw);
var quoteLine = "40560000,1.0,1.5,1.0,1.5,90.0,1.0,1.5,1.0,1.5,100.0";
var stream = new StreamReader(new MemoryStream(Encoding.UTF8.GetBytes(quoteLine)));
var unscaledQuoteBarFromLine = (QuoteBar)factory.Reader(config, quoteLine, new DateTime(2020, 9, 22), false);
var unscaledQuoteBarFromStream = (QuoteBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledQuoteBarFromLine.EndTime);
Assert.AreEqual(optionSymbol, unscaledQuoteBarFromLine.Symbol);
Assert.AreEqual(1m, unscaledQuoteBarFromLine.Bid.Open);
Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Bid.High);
Assert.AreEqual(1m, unscaledQuoteBarFromLine.Bid.Low);
Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Bid.Close);
Assert.AreEqual(90m, unscaledQuoteBarFromLine.LastBidSize);
Assert.AreEqual(1m, unscaledQuoteBarFromLine.Ask.Open);
Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Ask.High);
Assert.AreEqual(1m, unscaledQuoteBarFromLine.Ask.Low);
Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Ask.Close);
Assert.AreEqual(100m, unscaledQuoteBarFromLine.LastAskSize);
Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledQuoteBarFromStream.EndTime);
Assert.AreEqual(optionSymbol, unscaledQuoteBarFromStream.Symbol);
Assert.AreEqual(1m, unscaledQuoteBarFromStream.Bid.Open);
Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Bid.High);
Assert.AreEqual(1m, unscaledQuoteBarFromStream.Bid.Low);
Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Bid.Close);
Assert.AreEqual(90m, unscaledQuoteBarFromStream.LastBidSize);
Assert.AreEqual(1m, unscaledQuoteBarFromStream.Ask.Open);
Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Ask.High);
Assert.AreEqual(1m, unscaledQuoteBarFromStream.Ask.Low);
Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Ask.Close);
Assert.AreEqual(100m, unscaledQuoteBarFromStream.LastAskSize);
}
public void QuoteBarReader_CanParseTradeBarFormattedData_Successfully()
{
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
var line = "14280000,1.10905,1.10909,1.10904,1.10908";
var date = DateTime.MaxValue;
var isLiveMode = false;
var quoteBar = new QuoteBar();
var parsedQuoteBar = (QuoteBar)quoteBar.Reader(config, line, date, isLiveMode);
Assert.AreEqual(parsedQuoteBar.Symbol, Symbols.SPY);
Assert.AreEqual(parsedQuoteBar.Ask.Open, 1.10905);
Assert.AreEqual(parsedQuoteBar.Ask.High, 1.10909);
Assert.AreEqual(parsedQuoteBar.Ask.Low, 1.10904);
Assert.AreEqual(parsedQuoteBar.Ask.Close, 1.10908);
Assert.AreEqual(parsedQuoteBar.Bid.Open, 1.10905);
Assert.AreEqual(parsedQuoteBar.Bid.High, 1.10909);
Assert.AreEqual(parsedQuoteBar.Bid.Low, 1.10904);
Assert.AreEqual(parsedQuoteBar.Bid.Close, 1.10908);
}
public void QuoteBarReader_CanParseQuoteBar_Successfully()
{
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
// Neither a quote or a trade
var line = "14340000,11090,11090,11089,11090,100,11090,11088,11088,11090,10000";
var date = DateTime.MaxValue;
var isLiveMode = false;
var quoteBar = new QuoteBar();
var parsedQuoteBar = (QuoteBar)quoteBar.Reader(config, line, date, isLiveMode);
Assert.AreEqual(parsedQuoteBar.Symbol, Symbols.SPY);
Assert.AreEqual(parsedQuoteBar.Bid.Open, 1.1090);
Assert.AreEqual(parsedQuoteBar.Bid.High, 1.1090);
Assert.AreEqual(parsedQuoteBar.Bid.Low, 1.1089);
Assert.AreEqual(parsedQuoteBar.Bid.Close, 1.1090);
Assert.AreEqual(parsedQuoteBar.Ask.Open, 1.10900);
Assert.AreEqual(parsedQuoteBar.Ask.High, 1.1088);
Assert.AreEqual(parsedQuoteBar.Ask.Low, 1.1088);
Assert.AreEqual(parsedQuoteBar.Ask.Close, 1.1090);
}
