public void TriggersScheduledEventsSameTimeInOrder()
{
var realTimeHandler = new BacktestingRealTimeHandler();
realTimeHandler.Setup(new AlgorithmStub(new NullDataFeed()),
new AlgorithmNodePacket(PacketType.AlgorithmNode),
new BacktestingResultHandler(),
null,
null);
var eventTime = DateTime.UtcNow;
var count = 0;
for (var i = 0; i < 100; i++)
{
var id = i;
realTimeHandler.Add(new ScheduledEvent($"{id}", eventTime,
(s, time) =>
{
Assert.AreEqual(id, count);
Assert.AreEqual(s, $"{id}");
count++;
}));
}
realTimeHandler.SetTime(DateTime.UtcNow);
realTimeHandler.Exit();
Assert.AreEqual(100, count);
}
public void DuplicateScheduledEventsAreBothFired()
{
var algorithm = new QCAlgorithm();
var handler = new BacktestingRealTimeHandler();
var timeLimitManager = new AlgorithmTimeLimitManager(TokenBucket.Null, TimeSpan.MaxValue);
handler.Setup(algorithm, new AlgorithmNodePacket(PacketType.BacktestNode), null, null, timeLimitManager);
algorithm.Schedule.SetEventSchedule(handler);
var time = new DateTime(2018, 1, 1);
algorithm.SetDateTime(time);
var count1 = 0;
var count2 = 0;
algorithm.Schedule.On(algorithm.Schedule.DateRules.EveryDay(), algorithm.Schedule.TimeRules.Every(TimeSpan.FromHours(1)), () => { count1++; });
algorithm.Schedule.On(algorithm.Schedule.DateRules.EveryDay(), algorithm.Schedule.TimeRules.Every(TimeSpan.FromHours(1)), () => { count2++; });
const int timeSteps = 12;
for (var i = 0; i < timeSteps; i++)
{
handler.SetTime(time);
time = time.AddHours(1);
}
Assert.AreEqual(timeSteps, count1);
Assert.AreEqual(timeSteps, count2);
}
public void SortsEventsAfterSetup()
{
var realTimeHandler = new BacktestingRealTimeHandler();
var algo = new TestAlgorithm();
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
algo.AddEquity("SPY");
var startDate = new DateTime(2019, 1, 1);
algo.SetStartDate(startDate);
algo.SetDateTime(startDate);
algo.SetEndDate(2020, 1, 1);
var firstCalled = false;
var secondCalled = false;
var events = new List <ScheduledEvent>
{
new ScheduledEvent("1", new List <DateTime> {
startDate.AddMinutes(-10), startDate.AddMinutes(5)
},
(s, time) => { firstCalled = true; }),
new ScheduledEvent("2", new List <DateTime> {
startDate.AddMinutes(1)
},
(s, time) => { secondCalled = true; }),
new ScheduledEvent("3", new List <DateTime> {
startDate.AddMinutes(10)
}, (s, time) => { })
};
foreach (var scheduledEvent in events)
{
realTimeHandler.Add(scheduledEvent);
}
realTimeHandler.Setup(algo,
new AlgorithmNodePacket(PacketType.AlgorithmNode),
new BacktestingResultHandler(),
null,
null);
realTimeHandler.SetTime(startDate.AddMinutes(1));
realTimeHandler.Exit();
Assert.IsTrue(secondCalled);
// 'first' should of been called and should be moved behind 'second' after setup
Assert.IsFalse(firstCalled);
}
public void SingleScheduledEventFires_SetTime()
{
var realTimeHandler = new BacktestingRealTimeHandler();
var algo = new TestAlgorithm();
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
algo.AddEquity("SPY");
algo.SetStartDate(2019, 1, 1);
algo.SetDateTime(new DateTime(2019, 1, 1));
algo.SetEndDate(2020, 1, 1);
realTimeHandler.Setup(algo,
new AlgorithmNodePacket(PacketType.AlgorithmNode),
new BacktestingResultHandler(),
null,
null);
realTimeHandler.SetTime(DateTime.UtcNow);
Assert.IsTrue(algo.OnEndOfDayFired);
}
public void TriggersScheduledEventsSameTimeInOrder()
{
var realTimeHandler = new BacktestingRealTimeHandler();
var eventTime = DateTime.UtcNow;
var count = 0;
for (var i = 0; i < 100; i++)
{
var id = i;
realTimeHandler.Add(new ScheduledEvent($"{id}", eventTime,
(s, time) =>
{
Assert.AreEqual(id, count);
count++;
}));
}
realTimeHandler.SetTime(DateTime.UtcNow);
Assert.AreEqual(100, count);
}
public void SetTime(bool oneStep)
{
var realTimeHandler = new BacktestingRealTimeHandler();
realTimeHandler.Setup(new AlgorithmStub(new NullDataFeed()),
new AlgorithmNodePacket(PacketType.AlgorithmNode),
new BacktestingResultHandler(),
null,
null);
var date = new DateTime(2020, 1, 1);
var count = 0;
var asserts = 0;
realTimeHandler.Add(new ScheduledEvent("1",
new List <DateTime> {
date, date.AddMinutes(10)
},
(s, time) =>
{
count++;
if (count == 1)
{
asserts++;
Assert.AreEqual(date, time);
}
else if (oneStep ? count == 2 : count == 4)
{
asserts++;
Assert.AreEqual(date.AddMinutes(10), time);
}
}));
realTimeHandler.Add(new ScheduledEvent("2",
new List <DateTime> {
date.AddMinutes(1), date.AddMinutes(2)
},
(s, time) =>
{
count++;
if (oneStep ? count == 3 : count == 2)
{
asserts++;
Assert.AreEqual(date.AddMinutes(1), time);
}
else if (oneStep ? count == 4 : count == 3)
{
asserts++;
Assert.AreEqual(date.AddMinutes(2), time);
}
}));
if (oneStep)
{
realTimeHandler.SetTime(date.AddDays(1));
}
else
{
realTimeHandler.SetTime(date);
realTimeHandler.SetTime(date.AddMinutes(1));
realTimeHandler.SetTime(date.AddMinutes(2));
realTimeHandler.SetTime(date.AddMinutes(10));
}
realTimeHandler.Exit();
Assert.AreEqual(4, count);
Assert.AreEqual(4, asserts);
}