public void OptionChainEnumerator(bool fillForward)
{
var job = new BacktestNodePacket();
var resultHandler = new BacktestingResultHandler();
var feed = new FileSystemDataFeed();
var algorithm = new AlgorithmStub(feed);
algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
algorithm.SetStartDate(new DateTime(2014, 06, 06));
algorithm.SetEndDate(new DateTime(2014, 06, 09));
algorithm.SetOptionChainProvider(new BacktestingOptionChainProvider(TestGlobals.DataCacheProvider, TestGlobals.MapFileProvider));
var dataPermissionManager = new DataPermissionManager();
using var synchronizer = new Synchronizer();
synchronizer.Initialize(algorithm, algorithm.DataManager);
feed.Initialize(algorithm, job, resultHandler, TestGlobals.MapFileProvider, TestGlobals.FactorFileProvider, TestGlobals.DataProvider, algorithm.DataManager, synchronizer, dataPermissionManager.DataChannelProvider);
var option = algorithm.AddOption("AAPL", fillDataForward: fillForward);
option.SetFilter(filter => filter.FrontMonth());
algorithm.PostInitialize();
using var cancellationTokenSource = new CancellationTokenSource(TimeSpan.FromSeconds(30));
var count = 0;
var lastMonth = algorithm.StartDate.Month;
foreach (var timeSlice in synchronizer.StreamData(cancellationTokenSource.Token))
{
if (!timeSlice.IsTimePulse && timeSlice.UniverseData?.Count > 0)
{
var baseDataCollection = timeSlice.UniverseData.Single().Value;
if (baseDataCollection.Symbol.SecurityType == SecurityType.Option)
{
var nyTime = timeSlice.Time.ConvertFromUtc(algorithm.TimeZone);
Assert.AreEqual(new TimeSpan(9, 30, 0).Add(TimeSpan.FromMinutes((count % 390) + 1)), nyTime.TimeOfDay, $"Failed on: {nyTime}");
Assert.IsNotNull(baseDataCollection.Underlying);
// make sure the underlying time stamp is getting updated
Assert.AreEqual(nyTime.TimeOfDay, baseDataCollection.Underlying.EndTime.TimeOfDay);
Assert.AreEqual(nyTime.TimeOfDay, baseDataCollection.EndTime.ConvertFromUtc(algorithm.TimeZone).TimeOfDay);
Assert.IsTrue(!baseDataCollection.FilteredContracts.IsNullOrEmpty());
count++;
}
}
}
feed.Exit();
algorithm.DataManager.RemoveAllSubscriptions();
// 9:30 to 15:59 -> 6.5 hours * 60 => 390 minutes * 2 days = 780
Assert.AreEqual(780, count);
}
