public void LiveSourceForCurrentDate()
{
var reader = new ConstituentsUniverseData();
var currentTime = DateTime.UtcNow;
var source = reader.GetSource(_config, currentTime, true);
// From Tue to Sat will find files from Mon to Friday
Assert.IsTrue(source.Source.Contains($"{currentTime.AddDays(-1):yyyyMMdd}"));
}
public void LiveDataTimeForCurrentDate()
{
var reader = new ConstituentsUniverseData();
var currentTime = DateTime.UtcNow;
var dataPoint = reader.Reader(_config, "NONE,NONE 0", currentTime, true);
Assert.AreEqual(dataPoint.Time, currentTime.AddDays(-1));
// emitted right away
Assert.AreEqual(dataPoint.EndTime, currentTime);
}
public void BacktestDataTimeForEachTradableDate()
{
var reader = new ConstituentsUniverseData();
var tradableDays = Time.EachTradeableDayInTimeZone(_exchangeHours,
new DateTime(2019, 06, 9), // sunday
new DateTime(2019, 06, 16),
_config.DataTimeZone,
_config.ExtendedMarketHours);
foreach (var tradableDay in tradableDays)
{
var dataPoint = reader.Reader(_config, "NONE,NONE 0", tradableDay, false);
Assert.AreEqual(dataPoint.Time, tradableDay);
// emitted tomorrow
Assert.AreEqual(dataPoint.EndTime, tradableDay.AddDays(1));
}
}
public void BacktestSourceForEachTradableDate()
{
var reader = new ConstituentsUniverseData();
var tradableDays = Time.EachTradeableDayInTimeZone(_exchangeHours,
new DateTime(2019, 06, 9), // sunday
new DateTime(2019, 06, 16),
_config.DataTimeZone,
_config.ExtendedMarketHours);
foreach (var tradableDay in tradableDays)
{
if (tradableDay.DayOfWeek == DayOfWeek.Saturday ||
tradableDay.DayOfWeek == DayOfWeek.Sunday)
{
Assert.Fail($"Unexpected tradable DayOfWeek {tradableDay.DayOfWeek}");
}
var source = reader.GetSource(_config, tradableDay, false);
// Mon to Friday
Assert.IsTrue(source.Source.Contains($"{tradableDay:yyyyMMdd}"));
}
}
