public void MappedConfig(bool canonicalUnsubscribeFirst)
{
TestDataHandler.UnsubscribeCounter = 0;
TestDataHandler.SubscribeCounter = 0;
var compositeDataQueueHandler = new DataQueueHandlerManager();
compositeDataQueueHandler.SetJob(new LiveNodePacket {
Brokerage = "OandaBrokerage", DataQueueHandler = "[ \"TestDataHandler\" ]"
});
var canonicalSymbol = Symbols.ES_Future_Chain.UpdateMappedSymbol(Symbols.Future_ESZ18_Dec2018.ID.ToString());
var canonicalConfig = GetConfig(canonicalSymbol);
var contractConfig = GetConfig(Symbols.Future_ESZ18_Dec2018);
var enumerator = new LiveSubscriptionEnumerator(canonicalConfig, compositeDataQueueHandler, (_, _) => {});
var enumerator2 = new LiveSubscriptionEnumerator(contractConfig, compositeDataQueueHandler, (_, _) => {});
var firstUnsubscribe = canonicalUnsubscribeFirst ? canonicalConfig : contractConfig;
var secondUnsubscribe = canonicalUnsubscribeFirst ? contractConfig : canonicalConfig;
Assert.AreEqual(2, TestDataHandler.SubscribeCounter);
compositeDataQueueHandler.UnsubscribeWithMapping(firstUnsubscribe);
Assert.AreEqual(1, TestDataHandler.UnsubscribeCounter);
compositeDataQueueHandler.UnsubscribeWithMapping(secondUnsubscribe);
Assert.AreEqual(2, TestDataHandler.UnsubscribeCounter);
enumerator.Dispose();
enumerator2.Dispose();
compositeDataQueueHandler.Dispose();
}
public void HandlesSymbolMapping()
{
var canonical = Symbols.Fut_SPY_Feb19_2016.Canonical;
var dataQueue = new TestDataQueueHandler
{
DataPerSymbol = new Dictionary <Symbol, List <BaseData> >
{
{ Symbols.Fut_SPY_Feb19_2016,
new List <BaseData> {
new Tick(Time.BeginningOfTime, Symbols.Fut_SPY_Feb19_2016, 1, 1)
} },
{ Symbols.Fut_SPY_Mar19_2016,
new List <BaseData> {
new Tick(Time.BeginningOfTime, Symbols.Fut_SPY_Mar19_2016, 2, 2)
} },
}
};
var config = new SubscriptionDataConfig(typeof(Tick), canonical, Resolution.Tick,
DateTimeZone.Utc, DateTimeZone.Utc, false, false, false)
{
MappedSymbol = Symbols.Fut_SPY_Feb19_2016.ID.ToString()
};
var compositeDataQueueHandler = new TestDataQueueHandlerManager();
compositeDataQueueHandler.ExposedDataHandlers.Add(dataQueue);
var data = new LiveSubscriptionEnumerator(config, compositeDataQueueHandler, (_, _) => {});
Assert.IsTrue(data.MoveNext());
Assert.AreEqual(1, (data.Current as Tick).AskPrice);
Assert.AreEqual(canonical, (data.Current as Tick).Symbol);
Assert.IsFalse(data.MoveNext());
Assert.IsNull(data.Current);
Assert.AreEqual(2, dataQueue.DataPerSymbol.Count);
config.MappedSymbol = Symbols.Fut_SPY_Mar19_2016.ID.ToString();
Assert.AreEqual(1, dataQueue.DataPerSymbol.Count);
Assert.IsTrue(data.MoveNext());
Assert.AreEqual(2, (data.Current as Tick).AskPrice);
Assert.AreEqual(canonical, (data.Current as Tick).Symbol);
Assert.AreNotEqual(canonical, dataQueue.DataPerSymbol[Symbols.Fut_SPY_Mar19_2016].Single().Symbol);
Assert.IsFalse(data.MoveNext());
Assert.IsNull(data.Current);
Assert.AreEqual(1, dataQueue.DataPerSymbol.Count);
data.Dispose();
compositeDataQueueHandler.Dispose();
}
