public void OnEndOfTimeStepDoesNotThrowWhenSeedsSameUnderlyingForTwoSecurities()
{
var qcAlgorithm = new QCAlgorithm();
qcAlgorithm.SubscriptionManager.SetDataManager(new DataManagerStub(qcAlgorithm));
qcAlgorithm.SetLiveMode(true);
var testHistoryProvider = new TestHistoryProvider();
qcAlgorithm.HistoryProvider = testHistoryProvider;
var option = qcAlgorithm.AddOption(testHistoryProvider.underlyingSymbol);
var symbol = Symbol.CreateOption(testHistoryProvider.underlyingSymbol, Market.USA, OptionStyle.American,
OptionRight.Call, 1, new DateTime(2015, 12, 24));
var symbol2 = Symbol.CreateOption(testHistoryProvider.underlyingSymbol, Market.USA, OptionStyle.American,
OptionRight.Put, 1, new DateTime(2015, 12, 24));
var optionContract = qcAlgorithm.AddOptionContract(symbol, Resolution.Daily);
var optionContract2 = qcAlgorithm.AddOptionContract(symbol2, Resolution.Minute);
qcAlgorithm.OnEndOfTimeStep();
var data = qcAlgorithm.Securities[testHistoryProvider.underlyingSymbol].GetLastData();
Assert.AreEqual(testHistoryProvider.LastResolutionRequest, Resolution.Minute);
Assert.IsNotNull(data);
Assert.AreEqual(data.Price, 2);
}
public void Setup()
{
_algorithm = new QCAlgorithm();
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_algorithm.HistoryProvider = _testHistoryProvider = new TestHistoryProvider();
_dataProvider = TestGlobals.DataProvider;
_mapFileProvider = TestGlobals.MapFileProvider;
_factorFileProvider = TestGlobals.FactorFileProvider;
}
public void OnEndOfTimeStepSeedsUnderlyingSecuritiesThatHaveNoData()
{
var qcAlgorithm = new QCAlgorithm();
qcAlgorithm.SetLiveMode(true);
var testHistoryProvider = new TestHistoryProvider();
qcAlgorithm.HistoryProvider = testHistoryProvider;
var option = qcAlgorithm.AddSecurity(SecurityType.Option, testHistoryProvider.underlyingSymbol);
var option2 = qcAlgorithm.AddSecurity(SecurityType.Option, testHistoryProvider.underlyingSymbol2);
Assert.IsFalse(qcAlgorithm.Securities.ContainsKey(option.Symbol.Underlying));
Assert.IsFalse(qcAlgorithm.Securities.ContainsKey(option2.Symbol.Underlying));
qcAlgorithm.OnEndOfTimeStep();
var data = qcAlgorithm.Securities[testHistoryProvider.underlyingSymbol].GetLastData();
var data2 = qcAlgorithm.Securities[testHistoryProvider.underlyingSymbol2].GetLastData();
Assert.IsNotNull(data);
Assert.IsNotNull(data2);
Assert.AreEqual(data.Price, 2);
Assert.AreEqual(data2.Price, 3);
}
public void Setup()
{
_algorithm = new QCAlgorithm();
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_algorithm.HistoryProvider = _testHistoryProvider = new TestHistoryProvider();
}