public void EmitsBothEventsIfDateIsPastDelisted() { var eventProvider = new DelistingEventProvider(); eventProvider.Initialize(_config, null, null); var enumerator = eventProvider.GetEvents( new NewTradableDateEventArgs( DateTime.UtcNow, new Tick(DateTime.UtcNow, _config.Symbol, 10, 5), _config.Symbol ) ).GetEnumerator(); Assert.IsTrue(enumerator.MoveNext()); Assert.IsNotNull(enumerator.Current as Delisting); Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType); Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type); Assert.AreEqual(DateTime.UtcNow.Date, (enumerator.Current as Delisting).Time.Date); Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price); Assert.IsTrue(enumerator.MoveNext()); Assert.IsNotNull(enumerator.Current as Delisting); Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType); Assert.AreEqual(DelistingType.Delisted, (enumerator.Current as Delisting).Type); Assert.AreEqual(_config.Symbol.ID.Date.AddDays(1), (enumerator.Current as Delisting).Time.Date); Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price); Assert.IsFalse(enumerator.MoveNext()); }
public void EmitsDelistedAfterDelistingDate() { var eventProvider = new DelistingEventProvider(); eventProvider.Initialize(_config, null, null, DateTime.UtcNow); // should emit warning var enumerator = eventProvider.GetEvents( new NewTradableDateEventArgs( _config.Symbol.ID.Date, new Tick(DateTime.UtcNow, _config.Symbol, 10, 5), _config.Symbol, null ) ).GetEnumerator(); Assert.IsTrue(enumerator.MoveNext()); Assert.IsNotNull(enumerator.Current as Delisting); Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type); // should NOT emit if not AFTER delisting date enumerator = eventProvider.GetEvents( new NewTradableDateEventArgs( _config.Symbol.ID.Date, new Tick(DateTime.UtcNow, _config.Symbol, 10, 5), _config.Symbol, null ) ).GetEnumerator(); Assert.IsFalse(enumerator.MoveNext()); // should emit AFTER delisting date enumerator = eventProvider.GetEvents( new NewTradableDateEventArgs( _config.Symbol.ID.Date.AddMinutes(1), new Tick(DateTime.UtcNow, _config.Symbol, 10, 5), _config.Symbol, null ) ).GetEnumerator(); Assert.IsTrue(enumerator.MoveNext()); Assert.IsNotNull(enumerator.Current as Delisting); Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType); Assert.AreEqual(DelistingType.Delisted, (enumerator.Current as Delisting).Type); Assert.AreEqual(_config.Symbol.ID.Date.AddDays(1), (enumerator.Current as Delisting).Time.Date); Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price); Assert.IsFalse(enumerator.MoveNext()); enumerator.Dispose(); }
public void EmitsWarningAsOffDelistingDate() { var eventProvider = new DelistingEventProvider(); eventProvider.Initialize(_config, null, null, DateTime.UtcNow); // should NOT emit var enumerator = eventProvider.GetEvents( new NewTradableDateEventArgs( _config.Symbol.ID.Date.Subtract(TimeSpan.FromMinutes(1)), new Tick(DateTime.UtcNow, _config.Symbol, 10, 5), _config.Symbol, null ) ).GetEnumerator(); Assert.IsFalse(enumerator.MoveNext()); // should emit enumerator = eventProvider.GetEvents( new NewTradableDateEventArgs( _config.Symbol.ID.Date, new Tick(DateTime.UtcNow, _config.Symbol, 10, 5), _config.Symbol, null ) ).GetEnumerator(); Assert.IsTrue(enumerator.MoveNext()); Assert.IsNotNull(enumerator.Current as Delisting); Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType); Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type); Assert.AreEqual(_config.Symbol.ID.Date, (enumerator.Current as Delisting).Time.Date); Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price); Assert.IsFalse(enumerator.MoveNext()); enumerator.Dispose(); }
public void EmitsDelistedWarningOnNonTradableDay() { // Unit test to simulate and reproduce #5545 // Give us two tradable days before and after expiration var tradableDays = new List <DateTime> { new DateTime(2021, 01, 01), new DateTime(2021, 01, 04) }; // Set expiration as 1/2/21 a Saturday, not included in our tradble days var expiration = new DateTime(2021, 01, 02); var symbol = Symbol.CreateFuture("ASD", Market.USA, expiration); var config = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, true, true, false); var eventProvider = new DelistingEventProvider(); eventProvider.Initialize(config, null, null, DateTime.UtcNow); var tradableDateEvents = tradableDays.Select(day => new NewTradableDateEventArgs( day, new Tick(day, config.Symbol, 10, 5), config.Symbol, null )).GetEnumerator(); // Pass in the day before expiration should be nothing tradableDateEvents.MoveNext(); var enumerator = eventProvider.GetEvents(tradableDateEvents.Current).GetEnumerator(); Assert.IsFalse(enumerator.MoveNext()); // Pass in the following monday, should be both but warning first and still scheduled for saturday tradableDateEvents.MoveNext(); enumerator = eventProvider.GetEvents(tradableDateEvents.Current).GetEnumerator(); Assert.IsTrue(enumerator.MoveNext()); Assert.IsNotNull(enumerator.Current as Delisting); Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType); Assert.AreEqual(DelistingType.Warning, (enumerator.Current as Delisting).Type); Assert.AreEqual(config.Symbol.ID.Date, (enumerator.Current as Delisting).Time.Date); Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price); Assert.IsTrue(enumerator.MoveNext()); Assert.IsNotNull(enumerator.Current as Delisting); Assert.AreEqual(MarketDataType.Auxiliary, enumerator.Current.DataType); Assert.AreEqual(DelistingType.Delisted, (enumerator.Current as Delisting).Type); Assert.AreEqual(config.Symbol.ID.Date.AddDays(1), (enumerator.Current as Delisting).Time.Date); Assert.AreEqual(7.5, (enumerator.Current as Delisting).Price); Assert.IsFalse(enumerator.MoveNext()); tradableDateEvents.Dispose(); enumerator.Dispose(); }