public void AccessesByDataType()
{
var tradeBar = new TradeBar {
Symbol = Symbols.SPY, Time = DateTime.UtcNow
};
var quandl = new Quandl {
Symbol = Symbols.SPY, Time = DateTime.Now
};
var quoteBar = new QuoteBar {
Symbol = Symbols.SPY, Time = DateTime.Now
};
var tick = new Tick(DateTime.Now, Symbols.SPY, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var split = new Split(Symbols.SPY, DateTime.UtcNow, 1, 1, SplitType.SplitOccurred);
var delisting = new Delisting(Symbols.SPY, DateTime.UtcNow, 1, DelistingType.Delisted);
var slice = new Slice(DateTime.UtcNow, new BaseData[] { quoteBar, tradeBar, quandl, tick, split, delisting });
Assert.AreEqual(slice.Get(typeof(TradeBar))[Symbols.SPY], tradeBar);
Assert.AreEqual(slice.Get(typeof(Quandl))[Symbols.SPY], quandl);
Assert.AreEqual(slice.Get(typeof(QuoteBar))[Symbols.SPY], quoteBar);
Assert.AreEqual(slice.Get(typeof(Tick))[Symbols.SPY], tick);
Assert.AreEqual(slice.Get(typeof(Split))[Symbols.SPY], split);
Assert.AreEqual(slice.Get(typeof(Delisting))[Symbols.SPY], delisting);
}
public void AccessesByDataType()
{
var now = DateTime.UtcNow;
var tradeBar = new TradeBar {
Symbol = Symbols.SPY, Time = now
};
var unlinkedData = new UnlinkedData {
Symbol = Symbols.SPY, Time = now
};
var quoteBar = new QuoteBar {
Symbol = Symbols.SPY, Time = now
};
var tick = new Tick(now, Symbols.SPY, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var openInterest = new OpenInterest(now, Symbols.SPY, 1);
var split = new Split(Symbols.SPY, now, 1, 1, SplitType.SplitOccurred);
var delisting = new Delisting(Symbols.SPY, now, 1, DelistingType.Delisted);
var slice = new Slice(now, new BaseData[] { quoteBar, tradeBar, unlinkedData, tick, split, delisting, openInterest });
Assert.AreEqual(slice.Get(typeof(TradeBar))[Symbols.SPY], tradeBar);
Assert.AreEqual(slice.Get(typeof(UnlinkedData))[Symbols.SPY], unlinkedData);
Assert.AreEqual(slice.Get(typeof(QuoteBar))[Symbols.SPY], quoteBar);
Assert.AreEqual(slice.Get(typeof(Tick))[Symbols.SPY], tick);
Assert.AreEqual(slice.Get(typeof(Split))[Symbols.SPY], split);
Assert.AreEqual(slice.Get(typeof(Delisting))[Symbols.SPY], delisting);
Assert.AreEqual(slice.Get(typeof(OpenInterest))[Symbols.SPY], openInterest);
}
public void Setup()
{
_config = SecurityTests.CreateTradeBarConfig();
_tradableDayNotifier = new TestTradableDayNotifier();
_tradableDayNotifier.Symbol = _config.Symbol;
_delistingEvent = new Delisting(_config.Symbol, new DateTime(2009, 1, 1), 1, DelistingType.Delisted);
}
public void AlwaysOpenExchange()
{
var time = new DateTime(2020, 1, 14);
var delisting = new Delisting(Symbols.BTCUSD, time, 10, DelistingType.Warning);
var liquidationTime = delisting.GetLiquidationTime(SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc));
Assert.AreEqual(new DateTime(2020, 1, 14, 23, 45, 0), liquidationTime);
}
public void EmitsBasedOnData()
{
var config = new SubscriptionDataConfig(typeof(TradeBar),
Symbols.AAPL,
Resolution.Daily,
TimeZones.NewYork,
TimeZones.NewYork,
true,
true,
false);
var time = new DateTime(2021, 2, 17);
var timeProvider = new ManualTimeProvider(time);
Delisting delisting = null;
var autoResetEvent = new AutoResetEvent(false);
var dataQueueHandler = new FuncDataQueueHandler(handler =>
{
autoResetEvent.Set();
if (delisting != null)
{
var result = new[] { delisting };
delisting = null;
return(result);
}
return(Enumerable.Empty <BaseData>());
}, timeProvider);
var provider = new LiveDataBasedDelistingEventProvider(config, dataQueueHandler);
var mapFile = TestGlobals.MapFileProvider.Get(config.Symbol.ID.Market).ResolveMapFile(config.Symbol, config.Type);
provider.Initialize(config, null, mapFile, time);
Assert.IsTrue(autoResetEvent.WaitOne(TimeSpan.FromMilliseconds(100)));
var events = provider.GetEvents(new NewTradableDateEventArgs(time, null, Symbols.AAPL, null)).ToList();
Assert.AreEqual(0, events.Count);
delisting = new Delisting(Symbols.AAPL, time, 1, DelistingType.Warning);
Thread.Sleep(100);
events = provider.GetEvents(new NewTradableDateEventArgs(time.AddDays(-1), null, Symbols.AAPL, null)).ToList();
Assert.AreEqual(0, events.Count);
events = provider.GetEvents(new NewTradableDateEventArgs(time, null, Symbols.AAPL, null)).ToList();
Assert.AreEqual(1, events.Count);
Assert.AreEqual(time, (events[0] as Delisting).Time);
Assert.AreEqual(DelistingType.Warning, (events[0] as Delisting).Type);
events = provider.GetEvents(new NewTradableDateEventArgs(time, null, Symbols.AAPL, null)).ToList();
Assert.AreEqual(0, events.Count);
events = provider.GetEvents(new NewTradableDateEventArgs(time.AddDays(1), null, Symbols.AAPL, null)).ToList();
Assert.AreEqual(1, events.Count);
Assert.AreEqual(time.AddDays(1), (events[0] as Delisting).Time);
Assert.AreEqual(DelistingType.Delisted, (events[0] as Delisting).Type);
provider.DisposeSafely();
}
public void DeserializesDelisting()
{
var delisting = new Delisting(Symbols.AAPL, new DateTime(2999, 12, 31), 100m, DelistingType.Delisted);
var json = JsonConvert.SerializeObject(delisting, _settings);
var deserialized = (Delisting)JsonConvert.DeserializeObject(json, _settings);
Assert.AreEqual(delisting.Symbol, deserialized.Symbol);
Assert.AreEqual(delisting.Time, deserialized.Time);
Assert.AreEqual(delisting.Type, deserialized.Type);
}
/// <summary>
/// Gets the history for the requested securities
/// </summary>
/// <param name="requests">The historical data requests</param>
/// <param name="sliceTimeZone">The time zone used when time stamping the slice instances</param>
/// <returns>An enumerable of the slices of data covering the span specified in each request</returns>
public override IEnumerable <Slice> GetHistory(IEnumerable <HistoryRequest> requests, DateTimeZone sliceTimeZone)
{
List <Slice> result = new();
var slice1Date = new DateTime(2008, 01, 03, 5, 0, 0);
var slice2Date = new DateTime(2013, 06, 28, 13, 32, 0);
TradeBar tradeBar1 = new TradeBar {
Symbol = Symbols.SPY, Time = DateTime.Now
};
TradeBar tradeBar2 = new TradeBar {
Symbol = Symbols.AAPL, Time = DateTime.Now
};
var quoteBar1 = new QuoteBar {
Symbol = Symbols.SPY, Time = DateTime.Now
};
var tick1 = new Tick(DateTime.Now, Symbols.SPY, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var split1 = new Split(Symbols.SPY, DateTime.Now, 1, 1, SplitType.SplitOccurred);
var dividend1 = new Dividend(Symbols.SPY, DateTime.Now, 1, 1);
var delisting1 = new Delisting(Symbols.SPY, DateTime.Now, 1, DelistingType.Delisted);
var symbolChangedEvent1 = new SymbolChangedEvent(Symbols.SPY, DateTime.Now, "SPY", "SP");
Slice slice1 = new Slice(slice1Date, new BaseData[] { tradeBar1, tradeBar2,
quoteBar1, tick1, split1, dividend1, delisting1, symbolChangedEvent1 }, slice1Date);
TradeBar tradeBar3 = new TradeBar {
Symbol = Symbols.MSFT, Time = DateTime.Now
};
TradeBar tradeBar4 = new TradeBar {
Symbol = Symbols.SBIN, Time = DateTime.Now
};
var quoteBar2 = new QuoteBar {
Symbol = Symbols.SBIN, Time = DateTime.Now
};
var tick2 = new Tick(DateTime.Now, Symbols.SBIN, 1.1m, 2.1m)
{
TickType = TickType.Trade
};
var split2 = new Split(Symbols.SBIN, DateTime.Now, 1, 1, SplitType.SplitOccurred);
var dividend2 = new Dividend(Symbols.SBIN, DateTime.Now, 1, 1);
var delisting2 = new Delisting(Symbols.SBIN, DateTime.Now, 1, DelistingType.Delisted);
var symbolChangedEvent2 = new SymbolChangedEvent(Symbols.SBIN, DateTime.Now, "SBIN", "BIN");
Slice slice2 = new Slice(slice2Date, new BaseData[] { tradeBar3, tradeBar4,
quoteBar2, tick2, split2, dividend2, delisting2, symbolChangedEvent2 }, slice2Date);
result.Add(slice1);
result.Add(slice2);
return(result);
}
public void EquityAndOption(SecurityType securityType)
{
var symbol = Symbols.AAPL;
if (securityType == SecurityType.Option)
{
symbol = Symbols.SPY_C_192_Feb19_2016;
}
var time = new DateTime(2020, 1, 14);
var delisting = new Delisting(symbol, time, 10, DelistingType.Warning);
var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(delisting.Symbol.ID.Market, delisting.Symbol, delisting.Symbol.SecurityType);
var liquidationTime = delisting.GetLiquidationTime(exchangeHours);
Assert.AreEqual(new DateTime(2020, 1, 14, 15, 45, 0), liquidationTime);
}
public void FuturesAndOption(SecurityType securityType)
{
var time = new DateTime(2020, 1, 14);
var symbol = Symbols.Future_CLF19_Jan2019;
if (securityType == SecurityType.FutureOption)
{
symbol = Symbol.CreateOption(symbol, symbol.ID.Market, OptionStyle.American, OptionRight.Call, 1, time);
}
var delisting = new Delisting(symbol, time, 10, DelistingType.Warning);
var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(delisting.Symbol.ID.Market, delisting.Symbol, delisting.Symbol.SecurityType);
var liquidationTime = delisting.GetLiquidationTime(exchangeHours);
Assert.AreEqual(new DateTime(2020, 1, 14, 16, 45, 0), liquidationTime);
}
public void ThrowsIfNotDelistingWarning()
{
var delisting = new Delisting(Symbols.AAPL, DateTime.UtcNow, 19, DelistingType.Delisted);
Assert.Throws <ArgumentException>(() => delisting.GetLiquidationTime(SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc)));
}