public void CreatedSubscriptionDoesNotRoundDownForPeriodLessData()
{
var data = new MyCustomData
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Symbol = Symbols.SPY
};
var config = new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.SPY,
Resolution.Hour,
TimeZones.Utc,
TimeZones.Utc,
false,
false,
false
);
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc);
var offsetProvider = new TimeZoneOffsetProvider(TimeZones.Utc, new DateTime(2020, 5, 21), new DateTime(2020, 5, 22));
var subscription = SubscriptionData.Create(config, exchangeHours, offsetProvider, data);
Assert.AreEqual(new DateTime(2020, 5, 21, 8, 9, 0), subscription.Data.Time);
Assert.AreEqual(new DateTime(2020, 5, 21, 8, 9, 0), subscription.Data.EndTime);
}
public void CreatedSubscriptionRoundsTimeDownForDataWithPeriod()
{
var tb = new TradeBar
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Period = TimeSpan.FromHours(1),
Symbol = Symbols.SPY
};
var config = new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.SPY,
Resolution.Hour,
TimeZones.Utc,
TimeZones.Utc,
false,
false,
false
);
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc);
var offsetProvider = new TimeZoneOffsetProvider(TimeZones.Utc, new DateTime(2020, 5, 21), new DateTime(2020, 5, 22));
var subscription = SubscriptionData.Create(config, exchangeHours, offsetProvider, tb);
Assert.AreEqual(new DateTime(2020, 5, 21, 8, 0, 0), subscription.Data.Time);
Assert.AreEqual(new DateTime(2020, 5, 21, 9, 0, 0), subscription.Data.EndTime);
}
private Subscription CreateSubscription(QCAlgorithm algorithm, Security security, DateTime startTimeUtc, DateTime endTimeUtc, out int dataPointCount)
{
var universe = algorithm.UniverseManager.Values.OfType <UserDefinedUniverse>()
.Single(u => u.SelectSymbols(default(DateTime), null).Contains(security.Symbol));
var config = security.Subscriptions.First();
var offsetProvider = new TimeZoneOffsetProvider(TimeZones.NewYork, startTimeUtc, endTimeUtc);
var data = LinqExtensions.Range(algorithm.StartDate, algorithm.EndDate, c => c + config.Increment).Select(time => new DataPoint
{
Time = time,
EndTime = time + config.Increment
})
.Select(d => SubscriptionData.Create(config, security.Exchange.Hours, offsetProvider, d))
.ToList();
dataPointCount = data.Count;
return(new Subscription(universe, security, config, data.GetEnumerator(), offsetProvider, endTimeUtc, endTimeUtc, false));
}
public void CreateTotalNotZeroDividends(Type type, decimal?scale)
{
var config = new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.SPY,
Resolution.Hour,
TimeZones.Utc,
TimeZones.Utc,
false,
false,
false
);
config.SumOfDividends = 100;
config.DataNormalizationMode = DataNormalizationMode.TotalReturn;
var tb = new TradeBar
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Period = TimeSpan.FromHours(1),
Symbol = Symbols.SPY,
Open = 100,
High = 200,
Low = 300,
Close = 400
};
var data = SubscriptionData.Create(
config,
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
new TimeZoneOffsetProvider(TimeZones.NewYork, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1)),
tb,
config.DataNormalizationMode,
scale);
Assert.True(data.GetType() == type);
Assert.AreEqual(tb.Open * scale + config.SumOfDividends, (data.Data as TradeBar).Open);
Assert.AreEqual(tb.High * scale + config.SumOfDividends, (data.Data as TradeBar).High);
Assert.AreEqual(tb.Low * scale + config.SumOfDividends, (data.Data as TradeBar).Low);
Assert.AreEqual(tb.Close * scale + config.SumOfDividends, (data.Data as TradeBar).Close);
}
public void FillForwardFlagIsCorrectlySet(bool isFillForward, Type type)
{
var config = new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.SPY,
Resolution.Hour,
TimeZones.Utc,
TimeZones.Utc,
false,
false,
false
);
var scale = 0.5m;
config.DataNormalizationMode = DataNormalizationMode.Adjusted;
var data = (BaseData)Activator.CreateInstance(type);
if (isFillForward)
{
data = data.Clone(isFillForward);
}
var subscriptionData = (PrecalculatedSubscriptionData)SubscriptionData.Create(config,
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
new TimeZoneOffsetProvider(TimeZones.NewYork, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1)),
data,
config.DataNormalizationMode,
scale);
config.DataNormalizationMode = DataNormalizationMode.Raw;
Assert.AreEqual(isFillForward, subscriptionData.Data.IsFillForward);
config.DataNormalizationMode = DataNormalizationMode.Adjusted;
Assert.AreEqual(isFillForward, subscriptionData.Data.IsFillForward);
}