private List <Symbol> LoadFutureChain(Symbol baseFuture, DateTime date, TickType tickType, Resolution res)
{
var filePath = LeanData.GenerateZipFilePath(_dataDirectory, baseFuture, date, res, tickType);
//load future chain first
var config = new SubscriptionDataConfig(typeof(ZipEntryName), baseFuture, res,
TimeZones.NewYork, TimeZones.NewYork, false, false, false, false, tickType);
var factory = new ZipEntryNameSubscriptionDataSourceReader(config, date, false);
return(factory.Read(new SubscriptionDataSource(filePath, SubscriptionTransportMedium.LocalFile, FileFormat.ZipEntryName))
.Select(s => s.Symbol).ToList());
}
public void ReadsZipEntryNames()
{
var time = new DateTime(2016, 03, 03, 12, 48, 15);
var source = Path.Combine("TestData", "20151224_quote_american.zip");
var config = new SubscriptionDataConfig(typeof(ZipEntryName), Symbol.Create("XLRE", SecurityType.Option, Market.USA), Resolution.Tick,
TimeZones.NewYork, TimeZones.NewYork, false, false, false);
var factory = new ZipEntryNameSubscriptionDataSourceReader(config, time, false);
var expected = new[]
{
Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 21m, new DateTime(2016, 08, 19)),
Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 22m, new DateTime(2016, 08, 19)),
Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Put, 37m, new DateTime(2016, 08, 19)),
};
var actual = factory.Read(new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.ZipEntryName)).ToList();
// we only really care about the symbols
CollectionAssert.AreEqual(expected, actual.Select(x => x.Symbol));
Assert.IsTrue(actual.All(x => x is ZipEntryName));
}
