public void Setup()
{
_algo = new QCAlgorithm();
var historyProvider = new SubscriptionDataReaderHistoryProvider();
historyProvider.Initialize(null,
new DefaultDataProvider(),
new SingleEntryDataCacheProvider(new DefaultDataProvider()),
new LocalDiskMapFileProvider(),
new LocalDiskFactorFileProvider(),
null);
_algo.HistoryProvider = historyProvider;
_tradeBarSecurity = new Security(SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
_tradeBarConfig,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
_quoteBarSecurity = new Security(SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
_quoteBarConfig,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
_brokerageInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(),
new FuncSecuritySeeder(_algo.GetLastKnownPrice));
}
public void BrokerageModelSecurityInitializer_SetLeverageForBuyingPowerModel_Successfully()
{
var brokerageModel = new DefaultBrokerageModel(AccountType.Cash);
var localBrokerageInitializer = new BrokerageModelSecurityInitializer(brokerageModel,
new FuncSecuritySeeder(_algo.GetLastKnownPrice));
Assert.AreEqual(1.0, _tradeBarSecurity.Leverage);
localBrokerageInitializer.Initialize(_tradeBarSecurity);
Assert.AreEqual(1.0, _tradeBarSecurity.Leverage);
Assert.AreEqual(1.0, _tradeBarSecurity.BuyingPowerModel.GetLeverage(_tradeBarSecurity));
}
public void SetLeverage_DoesNotThrowInvalidOperationException_BrokerageModelSecurityInitializer_Test()
{
var crypto = GetCrypto(Symbol);
var brokerageInitializer = new BrokerageModelSecurityInitializer(
new BitfinexBrokerageModel(AccountType.Margin),
SecuritySeeder.Null);
brokerageInitializer.Initialize(crypto);
Assert.DoesNotThrow(() => crypto.SetLeverage(2));
}
public void ReturnsExpectedTimestamps()
{
var symbol = CoarseFundamental.CreateUniverseSymbol(Market.USA);
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false, false, TickType.Trade, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 1),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var universeSettings = new UniverseSettings(Resolution.Daily, 2m, true, false, TimeSpan.FromDays(1));
var securityInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(), SecuritySeeder.Null);
var universe = new CoarseFundamentalUniverse(universeSettings, securityInitializer, x => new List <Symbol> {
Symbols.AAPL
});
var fileProvider = new DefaultDataProvider();
var factory = new BaseDataCollectionSubscriptionEnumeratorFactory();
var dateStart = new DateTime(2014, 3, 26);
var dateEnd = new DateTime(2014, 3, 27);
var days = (dateEnd - dateStart).Days + 1;
var request = new SubscriptionRequest(true, universe, security, config, dateStart, dateEnd);
using (var enumerator = factory.CreateEnumerator(request, fileProvider))
{
dateStart = dateStart.AddDays(-1);
for (var i = 0; i <= days; i++)
{
Assert.IsTrue(enumerator.MoveNext());
var current = enumerator.Current as BaseDataCollection;
Assert.IsNotNull(current);
Assert.AreEqual(dateStart.AddDays(i), current.Time);
Assert.AreEqual(dateStart.AddDays(i), current.EndTime);
Assert.AreEqual(dateStart.AddDays(i - 1), current.Data[0].Time);
Assert.AreEqual(dateStart.AddDays(i), current.Data[0].EndTime);
}
Assert.IsFalse(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
}
}
public void DoesNotLeakMemory()
{
var symbol = CoarseFundamental.CreateUniverseSymbol(Market.USA);
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false, false, TickType.Trade, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 1),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var universeSettings = new UniverseSettings(Resolution.Daily, 2m, true, false, TimeSpan.FromDays(1));
var securityInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(), SecuritySeeder.Null);
var universe = new CoarseFundamentalUniverse(universeSettings, securityInitializer, x => new List <Symbol> {
Symbols.AAPL
});
var fileProvider = new DefaultDataProvider();
var factory = new BaseDataCollectionSubscriptionEnumeratorFactory();
GC.Collect();
var ramUsageBeforeLoop = OS.TotalPhysicalMemoryUsed;
var date = new DateTime(2014, 3, 25);
const int iterations = 1000;
for (var i = 0; i < iterations; i++)
{
var request = new SubscriptionRequest(true, universe, security, config, date, date);
using (var enumerator = factory.CreateEnumerator(request, fileProvider))
{
enumerator.MoveNext();
}
}
GC.Collect();
var ramUsageAfterLoop = OS.TotalPhysicalMemoryUsed;
Log.Trace($"RAM usage - before: {ramUsageBeforeLoop} MB, after: {ramUsageAfterLoop} MB");
Assert.IsTrue(ramUsageAfterLoop - ramUsageBeforeLoop < 10);
}
public void Setup()
{
_algo = new QCAlgorithm();
var historyProvider = new SubscriptionDataReaderHistoryProvider();
historyProvider.Initialize(
new HistoryProviderInitializeParameters(
null,
null,
TestGlobals.DataProvider,
new SingleEntryDataCacheProvider(new DefaultDataProvider()),
TestGlobals.MapFileProvider,
TestGlobals.FactorFileProvider,
null,
true,
new DataPermissionManager()
)
);
_algo.HistoryProvider = historyProvider;
_algo.SubscriptionManager.SetDataManager(new DataManagerStub(_algo));
_tradeBarSecurity = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
_tradeBarConfig,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
_quoteBarSecurity = new Security(
SecurityExchangeHours.AlwaysOpen(DateTimeZone.ForOffset(Offset.FromHours(-5))),
_quoteBarConfig,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
_brokerageInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(),
new FuncSecuritySeeder(_algo.GetLastKnownPrice));
}
