public void LocalDiskShortableProviderDefaultsToZeroForMissingData(string ticker, string brokerage)
{
var provider = new LocalDiskShortableProvider(SecurityType.Equity, brokerage, QuantConnect.Market.USA);
var date = new DateTime(2020, 12, 21);
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(ticker, QuantConnect.Market.USA, mappingResolveDate: date), ticker);
Assert.AreEqual(0, provider.ShortableQuantity(symbol, date).Value);
}
public void LocalDiskShortableProviderGetsDataBySymbol()
{
var shortableProvider = new LocalDiskShortableProvider(SecurityType.Equity, "testbrokerage", QuantConnect.Market.USA);
var symbols = new[]
{
new Symbol(SecurityIdentifier.GenerateEquity("AAPL", QuantConnect.Market.USA, mappingResolveDate: new DateTime(2021, 1, 4)), "AAPL"),
new Symbol(SecurityIdentifier.GenerateEquity("GOOG", QuantConnect.Market.USA, mappingResolveDate: new DateTime(2021, 1, 4)), "GOOG"),
new Symbol(SecurityIdentifier.GenerateEquity("BAC", QuantConnect.Market.USA, mappingResolveDate: new DateTime(2021, 1, 4)), "BAC")
};
var results = new[]
{
new Dictionary <Symbol, long?>
{
{ symbols[0], 2000 },
{ symbols[1], 5000 },
{ symbols[2], 0 }
},
new Dictionary <Symbol, long?>
{
{ symbols[0], 4000 },
{ symbols[1], 10000 },
{ symbols[2], 0 }
}
};
var dates = new[]
{
new DateTime(2020, 12, 21),
new DateTime(2020, 12, 22)
};
foreach (var symbol in symbols)
{
for (var i = 0; i < dates.Length; i++)
{
var date = dates[i];
var shortableQuantity = shortableProvider.ShortableQuantity(symbol, date);
Assert.AreEqual(results[i][symbol], shortableQuantity);
}
}
}
public void LocalDiskShortableProviderReturnsEmptyDictionaryForMissingDataUsingDate()
{
var provider = new LocalDiskShortableProvider(SecurityType.Equity, "testbrokerage", QuantConnect.Market.USA);
Assert.AreEqual(0, provider.AllShortableSymbols(new DateTime(2020, 12, 31)).Count);
}
public void LocalDiskShortableProviderReturnsPopulatedDictionaryUsingLookback()
{
var provider = new LocalDiskShortableProvider(SecurityType.Equity, "testbrokerage", QuantConnect.Market.USA);
Assert.AreEqual(3, provider.AllShortableSymbols(new DateTime(2020, 12, 23)).Count);
}