public void CachesValueAndReturnsSameReference()
{
var provider = new LocalDiskMapFileProvider();
var mapFiles1 = provider.Get(QuantConnect.Market.USA);
var mapFiles2 = provider.Get(QuantConnect.Market.USA);
Assert.IsTrue(ReferenceEquals(mapFiles1, mapFiles2));
}
public void CachesValueAndReturnsSameReference()
{
var provider = new LocalDiskMapFileProvider();
var factorFile1 = provider.Get(Symbols.SPY);
var factorFile2 = provider.Get(Symbols.SPY);
Assert.IsTrue(ReferenceEquals(factorFile1, factorFile2));
}
public void EmitsData()
{
var algorithm = new AlgorithmStub(forex: new List<string> {"EURUSD"});
// job is used to send into DataQueueHandler
var job = new LiveNodePacket();
// result handler is used due to dependency in SubscriptionDataReader
var resultHandler = new BacktestingResultHandler();
var dataFileProvider = new DefaultDataFileProvider();
var lastTime = DateTime.MinValue;
var timeProvider = new RealTimeProvider();
var dataQueueHandler = new FuncDataQueueHandler(fdqh =>
{
var time = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.EasternStandard);
if (time == lastTime) return Enumerable.Empty<BaseData>();
lastTime = time;
return Enumerable.Range(0, 9).Select(x => new Tick(time.AddMilliseconds(x*100), Symbols.EURUSD, 1.3m, 1.2m, 1.3m));
});
var feed = new TestableLiveTradingDataFeed(dataQueueHandler, timeProvider);
var mapFileProvider = new LocalDiskMapFileProvider();
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider), dataFileProvider);
var feedThreadStarted = new ManualResetEvent(false);
Task.Factory.StartNew(() =>
{
feedThreadStarted.Set();
feed.Run();
});
// wait for feed.Run to actually begin
feedThreadStarted.WaitOne();
var emittedData = false;
ConsumeBridge(feed, TimeSpan.FromSeconds(10), true, ts =>
{
if (ts.Slice.Count != 0)
{
emittedData = true;
Console.WriteLine("HasData: " + ts.Slice.Bars[Symbols.EURUSD].EndTime);
Console.WriteLine();
}
});
Assert.IsTrue(emittedData);
}
public void TestsFileSystemDataFeedSpeed()
{
var job = new BacktestNodePacket();
var resultHandler = new BacktestingResultHandler();
var mapFileProvider = new LocalDiskMapFileProvider();
var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
var dataFileProvider = new DefaultDataFileProvider();
var algorithm = new BenchmarkTest();
var feed = new FileSystemDataFeed();
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, factorFileProvider, dataFileProvider);
algorithm.Initialize();
var feedThreadStarted = new ManualResetEvent(false);
Task.Factory.StartNew(() =>
{
feedThreadStarted.Set();
feed.Run();
});
feedThreadStarted.WaitOne();
var stopwatch = Stopwatch.StartNew();
var lastMonth = -1;
var count = 0;
foreach (var timeSlice in feed)
{
if (timeSlice.Time.Month != lastMonth)
{
Console.WriteLine(DateTime.Now + " - Time: " + timeSlice.Time);
lastMonth = timeSlice.Time.Month;
}
count++;
}
Console.WriteLine("Count: " + count);
stopwatch.Stop();
Console.WriteLine("Elapsed time: " + stopwatch.Elapsed);
}
private IDataFeed RunDataFeed(IAlgorithm algorithm, out FuncDataQueueHandler dataQueueHandler, ITimeProvider timeProvider = null, Func<FuncDataQueueHandler, IEnumerable<BaseData>> getNextTicksFunction = null)
{
getNextTicksFunction = getNextTicksFunction ?? (fdqh => fdqh.Subscriptions.Select(symbol => new Tick(DateTime.Now, symbol, 1, 2){Quantity = 1}));
// job is used to send into DataQueueHandler
var job = new LiveNodePacket();
// result handler is used due to dependency in SubscriptionDataReader
var resultHandler = new ConsoleResultHandler(); // new ResultHandlerStub();
dataQueueHandler = new FuncDataQueueHandler(getNextTicksFunction);
var feed = new TestableLiveTradingDataFeed(dataQueueHandler, timeProvider);
var mapFileProvider = new LocalDiskMapFileProvider();
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider));
var feedThreadStarted = new ManualResetEvent(false);
Task.Factory.StartNew(() =>
{
feedThreadStarted.Set();
feed.Run();
});
// wait for feed.Run to actually begin
feedThreadStarted.WaitOne();
return feed;
}
public void RetrievesFromDisk()
{
var provider = new LocalDiskMapFileProvider();
var mapFiles = provider.Get(QuantConnect.Market.USA);
Assert.IsNotEmpty(mapFiles);
}