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();
}