public void SequentialConsolidatorAcceptsSubTypesForSecondInputType()
{
var first = new IdentityDataConsolidator <TradeBar>();
var second = new IdentityDataConsolidator <BaseData>();
var sequential = new SequentialConsolidator(first, second);
bool firstFired = false;
bool secondFired = false;
bool sequentialFired = false;
first.DataConsolidated += (sender, consolidated) =>
{
firstFired = true;
};
second.DataConsolidated += (sender, consolidated) =>
{
secondFired = true;
};
sequential.DataConsolidated += (sender, consolidated) =>
{
sequentialFired = true;
};
sequential.Update(new TradeBar());
Assert.IsTrue(firstFired);
Assert.IsTrue(secondFired);
Assert.IsTrue(sequentialFired);
}
public void SequentialConsolidatorsFiresAllEvents()
{
var first = new IdentityDataConsolidator<BaseData>();
var second = new IdentityDataConsolidator<BaseData>();
var sequential = new SequentialConsolidator(first, second);
bool firstFired = false;
bool secondFired = false;
bool sequentialFired = false;
first.DataConsolidated += (sender, consolidated) =>
{
firstFired = true;
};
second.DataConsolidated += (sender, consolidated) =>
{
secondFired = true;
};
sequential.DataConsolidated += (sender, consolidated) =>
{
sequentialFired = true;
};
sequential.Update(new TradeBar());
Assert.IsTrue(firstFired);
Assert.IsTrue(secondFired);
Assert.IsTrue(sequentialFired);
}
public void SequentialConsolidatorAcceptsSubTypesForSecondInputType()
{
var first = new IdentityDataConsolidator<TradeBar>();
var second = new IdentityDataConsolidator<BaseData>();
var sequential = new SequentialConsolidator(first, second);
bool firstFired = false;
bool secondFired = false;
bool sequentialFired = false;
first.DataConsolidated += (sender, consolidated) =>
{
firstFired = true;
};
second.DataConsolidated += (sender, consolidated) =>
{
secondFired = true;
};
sequential.DataConsolidated += (sender, consolidated) =>
{
sequentialFired = true;
};
sequential.Update(new TradeBar());
Assert.IsTrue(firstFired);
Assert.IsTrue(secondFired);
Assert.IsTrue(sequentialFired);
}
public void SequentialConsolidatorsFiresAllEvents()
{
var first = new IdentityDataConsolidator <BaseData>();
var second = new IdentityDataConsolidator <BaseData>();
var sequential = new SequentialConsolidator(first, second);
bool firstFired = false;
bool secondFired = false;
bool sequentialFired = false;
first.DataConsolidated += (sender, consolidated) =>
{
firstFired = true;
};
second.DataConsolidated += (sender, consolidated) =>
{
secondFired = true;
};
sequential.DataConsolidated += (sender, consolidated) =>
{
sequentialFired = true;
};
sequential.Update(new TradeBar());
Assert.IsTrue(firstFired);
Assert.IsTrue(secondFired);
Assert.IsTrue(sequentialFired);
}
public void ThrowsOnDataOfWrongType()
{
Assert.Throws <ArgumentNullException>(() =>
{
var identity = new IdentityDataConsolidator <Tick>();
identity.Update(new TradeBar());
});
}
/// <summary>
/// Add new subscription to current <see cref="IDataAggregator"/> instance
/// </summary>
/// <param name="dataConfig">defines the parameters to subscribe to a data feed</param>
/// <param name="newDataAvailableHandler">handler to be fired on new data available</param>
/// <returns>The new enumerator for this subscription request</returns>
public IEnumerator <BaseData> Add(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
{
IDataConsolidator consolidator;
var period = dataConfig.Resolution.ToTimeSpan();
var isPeriodBased = false;
switch (dataConfig.Type.Name)
{
case nameof(QuoteBar):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new TickQuoteBarConsolidator(period);
break;
case nameof(TradeBar):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new TickConsolidator(period);
break;
case nameof(OpenInterest):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new OpenInterestConsolidator(period);
break;
case nameof(Tick):
consolidator = FilteredIdentityDataConsolidator.ForTickType(dataConfig.TickType);
break;
case nameof(Split):
consolidator = new IdentityDataConsolidator <Split>();
break;
case nameof(Dividend):
consolidator = new IdentityDataConsolidator <Dividend>();
break;
default:
// streaming custom data subscriptions can pass right through
consolidator = new FilteredIdentityDataConsolidator <BaseData>(data => data.GetType() == dataConfig.Type);
break;
}
var enumerator = new ScannableEnumerator <BaseData>(consolidator, dataConfig.ExchangeTimeZone, TimeProvider, newDataAvailableHandler, isPeriodBased);
_enumerators.AddOrUpdate(
dataConfig.Symbol.ID,
new List <KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> > > {
new KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> >(dataConfig, enumerator)
},
(k, v) => { return(v.Concat(new[] { new KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> >(dataConfig, enumerator) }).ToList()); });
return(enumerator);
}
public void RemoveConsolidatorClearsEventHandlers()
{
bool eventHandlerFired = false;
var algorithm = new QCAlgorithm();
var security = algorithm.AddEquity("SPY");
var consolidator = new IdentityDataConsolidator <BaseData>();
consolidator.DataConsolidated += (sender, consolidated) => eventHandlerFired = true;
security.Subscriptions.First().Consolidators.Add(consolidator);
algorithm.SubscriptionManager.RemoveConsolidator(security.Symbol, consolidator);
consolidator.Update(new Tick());
Assert.IsFalse(eventHandlerFired);
}
public void ReturnsTheSameObjectReference()
{
var identity = new IdentityDataConsolidator<Tick>();
var tick = new Tick();
int count = 0;
identity.DataConsolidated += (sender, data) =>
{
Assert.IsTrue(ReferenceEquals(tick, data));
count++;
};
identity.Update(tick);
Assert.AreEqual(1, count);
}
public void ReturnsTheSameObjectReference()
{
var identity = new IdentityDataConsolidator <Tick>();
var tick = new Tick();
int count = 0;
identity.DataConsolidated += (sender, data) =>
{
Assert.IsTrue(ReferenceEquals(tick, data));
count++;
};
identity.Update(tick);
Assert.AreEqual(1, count);
}
public void AcceptsTickDataWithSameTimestamps()
{
var reference = new DateTime(2015, 09, 23);
var identity = new IdentityDataConsolidator<Tick>();
int count = 0;
identity.DataConsolidated += (sender, data) =>
{
count++;
};
var tradeBar = new Tick { EndTime = reference };
identity.Update(tradeBar);
tradeBar = (Tick)tradeBar.Clone();
identity.Update(tradeBar);
Assert.AreEqual(2, count);
}
public void AcceptsTickDataWithSameTimestamps()
{
var reference = new DateTime(2015, 09, 23);
var identity = new IdentityDataConsolidator <Tick>();
int count = 0;
identity.DataConsolidated += (sender, data) =>
{
count++;
};
var tradeBar = new Tick {
EndTime = reference
};
identity.Update(tradeBar);
tradeBar = (Tick)tradeBar.Clone();
identity.Update(tradeBar);
Assert.AreEqual(2, count);
}
public void ThrowsOnDataOfWrongType()
{
var identity = new IdentityDataConsolidator<Tick>();
identity.Update(new TradeBar());
}
public void ThrowsOnDataOfWrongType()
{
var identity = new IdentityDataConsolidator <Tick>();
identity.Update(new TradeBar());
}