public void CachesValueAndReturnsSameReference() { var provider = new LocalDiskMapFileProvider(); var mapFiles1 = provider.Get(QuantConnect.Market.USA); var mapFiles2 = provider.Get(QuantConnect.Market.USA); Assert.IsTrue(ReferenceEquals(mapFiles1, mapFiles2)); }
public void CachesValueAndReturnsSameReference() { var provider = new LocalDiskMapFileProvider(); var factorFile1 = provider.Get(Symbols.SPY); var factorFile2 = provider.Get(Symbols.SPY); Assert.IsTrue(ReferenceEquals(factorFile1, factorFile2)); }
public void EmitsData() { var algorithm = new AlgorithmStub(forex: new List<string> {"EURUSD"}); // job is used to send into DataQueueHandler var job = new LiveNodePacket(); // result handler is used due to dependency in SubscriptionDataReader var resultHandler = new BacktestingResultHandler(); var dataFileProvider = new DefaultDataFileProvider(); var lastTime = DateTime.MinValue; var timeProvider = new RealTimeProvider(); var dataQueueHandler = new FuncDataQueueHandler(fdqh => { var time = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.EasternStandard); if (time == lastTime) return Enumerable.Empty<BaseData>(); lastTime = time; return Enumerable.Range(0, 9).Select(x => new Tick(time.AddMilliseconds(x*100), Symbols.EURUSD, 1.3m, 1.2m, 1.3m)); }); var feed = new TestableLiveTradingDataFeed(dataQueueHandler, timeProvider); var mapFileProvider = new LocalDiskMapFileProvider(); feed.Initialize(algorithm, job, resultHandler, mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider), dataFileProvider); var feedThreadStarted = new ManualResetEvent(false); Task.Factory.StartNew(() => { feedThreadStarted.Set(); feed.Run(); }); // wait for feed.Run to actually begin feedThreadStarted.WaitOne(); var emittedData = false; ConsumeBridge(feed, TimeSpan.FromSeconds(10), true, ts => { if (ts.Slice.Count != 0) { emittedData = true; Console.WriteLine("HasData: " + ts.Slice.Bars[Symbols.EURUSD].EndTime); Console.WriteLine(); } }); Assert.IsTrue(emittedData); }
public void TestsFileSystemDataFeedSpeed() { var job = new BacktestNodePacket(); var resultHandler = new BacktestingResultHandler(); var mapFileProvider = new LocalDiskMapFileProvider(); var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider); var dataFileProvider = new DefaultDataFileProvider(); var algorithm = new BenchmarkTest(); var feed = new FileSystemDataFeed(); feed.Initialize(algorithm, job, resultHandler, mapFileProvider, factorFileProvider, dataFileProvider); algorithm.Initialize(); var feedThreadStarted = new ManualResetEvent(false); Task.Factory.StartNew(() => { feedThreadStarted.Set(); feed.Run(); }); feedThreadStarted.WaitOne(); var stopwatch = Stopwatch.StartNew(); var lastMonth = -1; var count = 0; foreach (var timeSlice in feed) { if (timeSlice.Time.Month != lastMonth) { Console.WriteLine(DateTime.Now + " - Time: " + timeSlice.Time); lastMonth = timeSlice.Time.Month; } count++; } Console.WriteLine("Count: " + count); stopwatch.Stop(); Console.WriteLine("Elapsed time: " + stopwatch.Elapsed); }
private IDataFeed RunDataFeed(IAlgorithm algorithm, out FuncDataQueueHandler dataQueueHandler, ITimeProvider timeProvider = null, Func<FuncDataQueueHandler, IEnumerable<BaseData>> getNextTicksFunction = null) { getNextTicksFunction = getNextTicksFunction ?? (fdqh => fdqh.Subscriptions.Select(symbol => new Tick(DateTime.Now, symbol, 1, 2){Quantity = 1})); // job is used to send into DataQueueHandler var job = new LiveNodePacket(); // result handler is used due to dependency in SubscriptionDataReader var resultHandler = new ConsoleResultHandler(); // new ResultHandlerStub(); dataQueueHandler = new FuncDataQueueHandler(getNextTicksFunction); var feed = new TestableLiveTradingDataFeed(dataQueueHandler, timeProvider); var mapFileProvider = new LocalDiskMapFileProvider(); feed.Initialize(algorithm, job, resultHandler, mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider)); var feedThreadStarted = new ManualResetEvent(false); Task.Factory.StartNew(() => { feedThreadStarted.Set(); feed.Run(); }); // wait for feed.Run to actually begin feedThreadStarted.WaitOne(); return feed; }
public void RetrievesFromDisk() { var provider = new LocalDiskMapFileProvider(); var mapFiles = provider.Get(QuantConnect.Market.USA); Assert.IsNotEmpty(mapFiles); }