private static Symbol CreateSymbol(int x)
{
return(new Symbol(
SecurityIdentifier.GenerateBase(x.ToString(CultureInfo.InvariantCulture), Market.USA),
x.ToString(CultureInfo.InvariantCulture)
));
}
public void Generates12Character()
{
var sid1 = SecurityIdentifier.GenerateBase(null, "123456789012", Market.USA);
Assert.AreEqual("123456789012", sid1.Symbol);
Console.WriteLine(sid1);
}
public void Generates12Character()
{
var sid1 = SecurityIdentifier.GenerateBase(null, "123456789012", Market.USA);
Assert.AreEqual("123456789012", sid1.Symbol);
Log.Trace(sid1.ToString());
}
/// <summary>
/// Creates a user defined universe symbol
/// </summary>
/// <param name="securityType">The security</param>
/// <param name="market">The market</param>
/// <returns>A symbol for user defined universe of the specified security type and market</returns>
public static Symbol CreateSymbol(SecurityType securityType, string market)
{
var ticker = string.Format("qc-universe-userdefined-{0}-{1}", market.ToLower(), securityType);
SecurityIdentifier sid;
switch (securityType)
{
case SecurityType.Base:
sid = SecurityIdentifier.GenerateBase(ticker, market);
break;
case SecurityType.Equity:
sid = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
break;
case SecurityType.Option:
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, ticker, market, 0, 0, 0);
break;
case SecurityType.Forex:
sid = SecurityIdentifier.GenerateForex(ticker, market);
break;
case SecurityType.Cfd:
sid = SecurityIdentifier.GenerateCfd(ticker, market);
break;
case SecurityType.Commodity:
case SecurityType.Future:
default:
throw new NotImplementedException("The specified security type is not implemented yet: " + securityType);
}
return(new Symbol(sid, ticker));
}
public void SecurityManagerCanCreate_CustomSecurities_WithCorrectSubscriptions()
{
var equitySymbol = new Symbol(SecurityIdentifier.GenerateBase("BTC", Market.USA), "BTC");
var equityMarketHoursDbEntry = _marketHoursDatabase.GetEntry(Market.USA, "BTC", SecurityType.Base, TimeZones.NewYork);
var equitySymbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(equitySymbol.ID.Market, equitySymbol, equitySymbol.ID.SecurityType, CashBook.AccountCurrency);
var equity = SecurityManager.CreateSecurity(typeof(Bitcoin),
_securityPortfolioManager,
_subscriptionManager,
equityMarketHoursDbEntry.ExchangeHours,
equityMarketHoursDbEntry.DataTimeZone,
equitySymbolProperties,
_securityInitializer,
equitySymbol,
Resolution.Second,
false,
1.0m,
false,
false,
false,
false);
Assert.AreEqual(equity.Subscriptions.Count(), 1);
Assert.AreEqual(equity.Subscriptions.First().Type, typeof(Bitcoin));
Assert.AreEqual(equity.Subscriptions.First().TickType, TickType.Trade);
}
public void GenerateBaseDataWithTickerUsingMapFile()
{
var expectedFirstDate = new DateTime(1998, 1, 2);
var sid = SecurityIdentifier.GenerateBase(null, "TWX", Market.USA, mapSymbol: true);
Assert.AreEqual(sid.Date, expectedFirstDate);
Assert.AreEqual(sid.Symbol, "AOL");
}
public void GenerateBase_SymbolAppendsDptTypeName_WhenBaseDataTypeIsNotNull()
{
var symbol = "BTC";
var expected = "BTC.Bitcoin";
var baseDataType = typeof(RabbitMQLive.Bitcoin);
var sid = SecurityIdentifier.GenerateBase(baseDataType, symbol, Market.USA);
Assert.AreEqual(expected, sid.Symbol);
}
/// <summary>
/// Creates a user defined universe symbol
/// </summary>
/// <param name="securityType">The security</param>
/// <param name="market">The market</param>
/// <returns>A symbol for user defined universe of the specified security type and market</returns>
public static Symbol CreateSymbol(SecurityType securityType, string market)
{
var ticker = $"qc-universe-userdefined-{market.ToLowerInvariant()}-{securityType}";
SecurityIdentifier sid;
switch (securityType)
{
case SecurityType.Base:
sid = SecurityIdentifier.GenerateBase(null, ticker, market);
break;
case SecurityType.Equity:
sid = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
break;
case SecurityType.Option:
var underlying = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlying, market, 0, 0, 0);
break;
case SecurityType.FutureOption:
var underlyingFuture = SecurityIdentifier.GenerateFuture(SecurityIdentifier.DefaultDate, ticker, market);
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlyingFuture, market, 0, 0, 0);
break;
case SecurityType.IndexOption:
var underlyingIndex = SecurityIdentifier.GenerateIndex(ticker, market);
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlyingIndex, market, 0, 0, OptionStyle.European);
break;
case SecurityType.Forex:
sid = SecurityIdentifier.GenerateForex(ticker, market);
break;
case SecurityType.Cfd:
sid = SecurityIdentifier.GenerateCfd(ticker, market);
break;
case SecurityType.Index:
sid = SecurityIdentifier.GenerateIndex(ticker, market);
break;
case SecurityType.Future:
sid = SecurityIdentifier.GenerateFuture(SecurityIdentifier.DefaultDate, ticker, market);
break;
case SecurityType.Crypto:
sid = SecurityIdentifier.GenerateCrypto(ticker, market);
break;
case SecurityType.Commodity:
default:
throw new NotImplementedException($"The specified security type is not implemented yet: {securityType}");
}
return(new Symbol(sid, ticker));
}
public void GenerateBase_UsesProvidedSymbol_WhenBaseDataTypeIsNull()
{
var symbol = "BTC";
var expected = "BTC";
var baseDataType = (Type)null;
var sid = SecurityIdentifier.GenerateBase(baseDataType, symbol, Market.USA);
Assert.AreEqual(expected, sid.Symbol);
}
public void AddContainsAndRemoveWork()
{
var symbol = new Symbol(SecurityIdentifier.GenerateBase(_symbol, Market.USA), _symbol);
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, 1);
collection.Add(target);
Assert.AreEqual(collection.Count, 1);
Assert.IsTrue(collection.Contains(target));
Assert.IsTrue(collection.Remove(target));
Assert.AreEqual(collection.Count, 0);
}
public void CanCreate_CustomSecurities_WithCorrectSubscriptions()
{
var symbol = new Symbol(SecurityIdentifier.GenerateBase("BTC", Market.USA), "BTC");
_marketHoursDatabase.SetEntryAlwaysOpen(Market.USA, "BTC", SecurityType.Base, TimeZones.NewYork);
var configs = _subscriptionManager.SubscriptionDataConfigService.Add(typeof(LiveTradingFeaturesAlgorithm.Bitcoin), symbol, Resolution.Second, false, false, false);
var security = _securityService.CreateSecurity(symbol, configs, 1.0m, false);
Assert.AreEqual(security.Subscriptions.Count(), 1);
Assert.AreEqual(security.Subscriptions.First().Type, typeof(LiveTradingFeaturesAlgorithm.Bitcoin));
Assert.AreEqual(security.Subscriptions.First().TickType, TickType.Trade);
}
/// <summary>
/// AddData a new user defined data source, requiring only the minimum config options.
/// </summary>
/// <param name="dataType">Data source type</param>
/// <param name="symbol">Key/Symbol for data</param>
/// <param name="resolution">Resolution of the Data Required</param>
/// <param name="timeZone">Specifies the time zone of the raw data</param>
/// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
/// <param name="leverage">Custom leverage per security</param>
public void AddData(Type dataType, string symbol, Resolution resolution, DateTimeZone timeZone, bool fillDataForward = false, decimal leverage = 1.0m)
{
var marketHoursDbEntry = _marketHoursDatabase.GetEntry(Market.USA, symbol, SecurityType.Base, timeZone);
//Add this to the data-feed subscriptions
var symbolObject = new Symbol(SecurityIdentifier.GenerateBase(symbol, Market.USA), symbol);
var symbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(Market.USA, symbol, SecurityType.Base, CashBook.AccountCurrency);
//Add this new generic data as a tradeable security:
var security = SecurityManager.CreateSecurity(dataType, Portfolio, SubscriptionManager, marketHoursDbEntry.ExchangeHours, marketHoursDbEntry.DataTimeZone,
symbolProperties, SecurityInitializer, symbolObject, resolution, fillDataForward, leverage, true, false, true, LiveMode);
AddToUserDefinedUniverse(security);
}
public void EndTimeShiftedOneDayForward()
{
var date = new DateTime(2020, 5, 21);
var cboe = new QuantConnect.Data.Custom.CBOE.CBOE();
var cboeData = "2020-05-21,1,1,1,1";
var symbol = new Symbol(SecurityIdentifier.GenerateBase(typeof(QuantConnect.Data.Custom.CBOE.CBOE), "VIX", QuantConnect.Market.USA), "VIX");
var actual = cboe.Reader(new SubscriptionDataConfig(
typeof(QuantConnect.Data.Custom.CBOE.CBOE),
symbol,
Resolution.Daily,
QuantConnect.TimeZones.Utc,
QuantConnect.TimeZones.Utc,
false,
false,
false,
true), cboeData, date, false);
Assert.AreEqual(date, actual.Time);
Assert.AreEqual(date.AddDays(1), actual.EndTime);
}
public void FredApiParsesDataCorrectly()
{
// Arrange
var fileInfo = new FileInfo("./TestData/FredVixData.json");
var content = File.ReadAllText(fileInfo.FullName);
var sid = SecurityIdentifier.GenerateBase(typeof(BaseData), Fred.CBOE.VIX, QuantConnect.Market.USA, false);
var symbol = new Symbol(sid, Fred.CBOE.VIX);
var subscriptionDataConfig = new SubscriptionDataConfig(typeof(BaseData), symbol, Resolution.Daily,
DateTimeZone.Utc, DateTimeZone.Utc, false, false, false, true);
var fredApi = new FredApi();
// Act
var data = (BaseDataCollection)fredApi.Reader(subscriptionDataConfig, content, new DateTime(2019, 01, 04), false);
// Assert
Assert.AreEqual(18, data.Data.Count);
Assert.AreEqual(23.22, data.Data.First().Value);
Assert.AreEqual(18.87, data.Data.Last().Value);
Assert.AreEqual(357.66m, data.Data.Sum(d => d.Value));
}
/// <summary>
/// Reads the data, which in this case is fake incremental data
/// </summary>
/// <param name="config">Subscription configuration</param>
/// <param name="line">Line of data</param>
/// <param name="date">Date of the request</param>
/// <param name="isLiveMode">Is live mode</param>
/// <returns>Incremental BaseData instance</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
var vix = new CBOE();
_step += 0.10m;
var open = _start + _step;
var close = _start + _step + 0.02m;
var high = close;
var low = open;
return(new IncrementallyGeneratedCustomData
{
Open = open,
High = high,
Low = low,
Close = close,
Time = date,
Symbol = new Symbol(
SecurityIdentifier.GenerateBase(typeof(IncrementallyGeneratedCustomData), "VIX", Market.USA, false),
"VIX"),
Period = vix.Period,
DataType = vix.DataType
});
}
public void SecurityManagerCanCreate_ConcreteFutures_WithCorrectSubscriptions()
{
var ed = SecurityIdentifier.GenerateBase("ED", Market.USA);
var identifier = SecurityIdentifier.GenerateFuture(new DateTime(2020, 12, 15), ed, Market.USA);
var symbol = new Symbol(identifier, "ED", Symbol.Empty);
var marketHoursDbEntry = _marketHoursDatabase.GetEntry(Market.USA, "ED", SecurityType.Equity, TimeZones.NewYork);
var symbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, "ED", symbol.ID.SecurityType, CashBook.AccountCurrency);
var subscriptionTypes = new List <Type>()
{
typeof(TradeBar), typeof(QuoteBar), typeof(OpenInterest)
};
var subscriptions = SecurityManager.CreateSecurity(subscriptionTypes,
_securityPortfolioManager,
_subscriptionManager,
marketHoursDbEntry.ExchangeHours,
marketHoursDbEntry.DataTimeZone,
symbolProperties,
_securityInitializer,
symbol,
Resolution.Second,
false,
1.0m,
false,
false,
false,
false);
Assert.IsFalse(symbol.IsCanonical());
Assert.AreEqual(subscriptions.Subscriptions.Count(), 3);
Assert.IsTrue(subscriptions.Subscriptions.Any(x => x.TickType == TickType.OpenInterest && x.Type == typeof(OpenInterest)));
Assert.IsTrue(subscriptions.Subscriptions.Any(x => x.TickType == TickType.Quote && x.Type == typeof(QuoteBar)));
Assert.IsTrue(subscriptions.Subscriptions.Any(x => x.TickType == TickType.Trade && x.Type == typeof(TradeBar)));
}
public void DeserializesCorrectly()
{
var content = @"{
""id"": 1,
""author"": ""Gerardo"",
""created"": ""2018-01-25T12:00:00Z"",
""updated"": ""2018-01-26T12:00:00Z"",
""title"": ""Unit Test Beats Expectations"",
""teaser"": ""The unit test beat reviewer's expectations, reporters say"",
""body"": ""<p>The unit test beat reviewer's expectations, reporters say - 'This is the best test I've ever seen' says Martin</p>"",
""channels"": [
{
""name"": ""earnings""
}
],
""stocks"": [
{
""name"": ""AAPL""
}
],
""tags"": [
{
""name"": ""unit test""
},
{
""name"": ""testing""
}
]
}";
// Put in a single line to avoid potential failure due to platform-specific behavior (\r\n vs. \n)
var expectedSerialized = @"{""id"":1,""author"":""Gerardo"",""created"":""2018-01-25T12:00:00Z"",""updated"":""2018-01-26T12:00:00Z"",""title"":""Unit Test Beats Expectations"",""teaser"":""The unit test beat reviewer's expectations, reporters say"",""body"":"" The unit test beat reviewer's expectations, reporters say - 'This is the best test I've ever seen' says Martin "",""channels"":[{""name"":""earnings""}],""stocks"":[{""name"":""AAPL""}],""tags"":[{""name"":""unit test""},{""name"":""testing""}],""EndTime"":""2018-01-26T12:00:00Z"",""DataType"":0,""IsFillForward"":false,""Time"":""2018-01-26T12:00:00Z"",""Symbol"":{""Value"":""AAPL"",""ID"":""AAPL.BenzingaNews R735QTJ8XC9W"",""Permtick"":""AAPL""},""Value"":0.0,""Price"":0.0}";
var expectedSymbol = new Symbol(
SecurityIdentifier.GenerateEquity(
"AAPL",
QuantConnect.Market.USA,
true,
null,
new DateTime(2018, 1, 25)
),
"AAPL"
);
var expectedBaseSymbol = new Symbol(
SecurityIdentifier.GenerateBase(
typeof(BenzingaNews),
"AAPL",
QuantConnect.Market.USA,
mapSymbol: true,
date: new DateTime(2018, 1, 25)
),
"AAPL"
);
var result = JsonConvert.DeserializeObject <BenzingaNews>(content, new BenzingaNewsJsonConverter(symbol: expectedBaseSymbol, liveMode: false));
var serializedResult = JsonConvert.SerializeObject(result, Formatting.None, new BenzingaNewsJsonConverter(symbol: expectedBaseSymbol, liveMode: false));
var resultFromSerialized = JsonConvert.DeserializeObject <BenzingaNews>(serializedResult, new BenzingaNewsJsonConverter(symbol: expectedBaseSymbol, liveMode: false));
Assert.AreEqual(expectedSerialized, serializedResult);
Assert.AreEqual(1, result.Id);
Assert.AreEqual(
Parse.DateTimeExact("2018-01-25T12:00:00Z", "yyyy-MM-ddTHH:mm:ssZ", DateTimeStyles.AdjustToUniversal),
result.CreatedAt);
Assert.AreEqual(
Parse.DateTimeExact("2018-01-26T12:00:00Z", "yyyy-MM-ddTHH:mm:ssZ", DateTimeStyles.AdjustToUniversal),
result.UpdatedAt);
Assert.AreEqual(result.UpdatedAt, result.EndTime);
Assert.AreEqual(result.UpdatedAt, result.Time);
Assert.AreEqual("Gerardo", result.Author);
Assert.AreEqual("Unit Test Beats Expectations", result.Title);
Assert.AreEqual("The unit test beat reviewer's expectations, reporters say", result.Teaser);
Assert.AreEqual(" The unit test beat reviewer's expectations, reporters say - 'This is the best test I've ever seen' says Martin ", result.Contents);
Assert.AreEqual(new List <string> {
"earnings"
}, result.Categories);
Assert.AreEqual(new List <string> {
"unit test", "testing"
}, result.Tags);
Assert.AreEqual(new List <Symbol> {
expectedSymbol
}, result.Symbols);
// Now begin comparing the resultFromSerialized and result instances
Assert.AreEqual(result.Id, resultFromSerialized.Id);
Assert.AreEqual(result.Author, resultFromSerialized.Author);
Assert.AreEqual(result.CreatedAt, resultFromSerialized.CreatedAt);
Assert.AreEqual(result.UpdatedAt, resultFromSerialized.UpdatedAt);
Assert.AreEqual(result.Title, resultFromSerialized.Title);
Assert.AreEqual(result.Teaser, resultFromSerialized.Teaser);
Assert.AreEqual(result.Contents, resultFromSerialized.Contents);
Assert.AreEqual(result.Categories, resultFromSerialized.Categories);
Assert.AreEqual(result.Symbols, resultFromSerialized.Symbols);
Assert.AreEqual(result.Tags, resultFromSerialized.Tags);
}
private static Symbol CreateSymbol(int x)
{
return(new Symbol(SecurityIdentifier.GenerateBase(x.ToString(), Market.USA), x.ToString()));
}
