public void Given()
{
_timeProvider = new ManualTimeProvider(_referenceUtc);
_dataSourceReader = new Mock <ISubscriptionDataSourceReader>();
_dataSourceReader.Setup(dsr => dsr.Read(It.Is <SubscriptionDataSource>(sds =>
sds.Source == "rest.source" &&
sds.TransportMedium == SubscriptionTransportMedium.Rest &&
sds.Format == FileFormat.Csv))
)
.Returns(Enumerable.Range(0, 100)
.Select(i => new RestData
{
EndTime = _referenceLocal.AddSeconds(i)
}))
.Verifiable();
var quoteCurrency = new Cash(CashBook.AccountCurrency, 0, 1);
var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.USA, Symbols.SPY, SecurityType.Equity);
var config = new SubscriptionDataConfig(typeof(RestData), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
var security = new Equity(Symbols.SPY, exchangeHours, quoteCurrency, SymbolProperties.GetDefault(CashBook.AccountCurrency));
var request = new SubscriptionRequest(false, null, security, config, _referenceUtc.AddSeconds(-1), _referenceUtc.AddDays(1));
var factory = new TestableLiveCustomDataSubscriptionEnumeratorFactory(_timeProvider, _dataSourceReader.Object);
_enumerator = factory.CreateEnumerator(request, null);
}
public void Given()
{
_timeProvider = new ManualTimeProvider(_referenceUtc);
_dataSourceReader = new Mock <ISubscriptionDataSourceReader>();
_dataSourceReader.Setup(dsr => dsr.Read(It.Is <SubscriptionDataSource>(sds =>
sds.Source == "remote.file.source" &&
sds.TransportMedium == SubscriptionTransportMedium.RemoteFile &&
sds.Format == FileFormat.Csv))
)
.Returns(() => Enumerable.Range(0, 100)
.Select(i => new RemoteFileData
{
// include past data
EndTime = _referenceLocal.Add(TimeSpan.FromDays(i - (100 - _dataPointsAfterReference - 1)))
}))
.Verifiable();
var quoteCurrency = new Cash(Currencies.USD, 0, 1);
var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.USA, Symbols.SPY, SecurityType.Equity);
var config = new SubscriptionDataConfig(typeof(RemoteFileData), Symbols.SPY, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
var security = new Equity(
Symbols.SPY,
exchangeHours,
quoteCurrency,
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
var request = new SubscriptionRequest(false, null, security, config, _referenceUtc.AddDays(-2), _referenceUtc.AddDays(1));
var factory = new TestableLiveCustomDataSubscriptionEnumeratorFactory(_timeProvider, _dataSourceReader.Object);
_enumerator = factory.CreateEnumerator(request, null);
}
public void Given()
{
_timeProvider = new ManualTimeProvider(_referenceUtc);
_dataSourceReader = new Mock <ISubscriptionDataSourceReader>();
_dataSourceReader.Setup(dsr => dsr.Read(It.Is <SubscriptionDataSource>(sds =>
sds.Source == "remote.file.source" &&
sds.TransportMedium == SubscriptionTransportMedium.RemoteFile &&
sds.Format == FileFormat.Csv))
)
.Returns(() => Enumerable.Range(0, 100)
.Select(i => new RemoteFileData
{
// include past data
EndTime = _referenceLocal.Add(TimeSpan.FromDays(i - (100 - _dataPointsAfterReference - 1)))
}))
.Verifiable();
var config = new SubscriptionDataConfig(typeof(RemoteFileData), Symbols.SPY, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
var request = GetSubscriptionRequest(config, _referenceUtc.AddDays(-2), _referenceUtc.AddDays(1));
var factory = new TestableLiveCustomDataSubscriptionEnumeratorFactory(_timeProvider, _dataSourceReader.Object);
_enumerator = factory.CreateEnumerator(request, null);
}
public void Given()
{
_timeProvider = new ManualTimeProvider(_referenceUtc);
_dataSourceReader = new Mock <ISubscriptionDataSourceReader>();
_dataSourceReader.Setup(dsr => dsr.Read(It.Is <SubscriptionDataSource>(sds =>
sds.Source == "rest.collection.source" &&
sds.TransportMedium == SubscriptionTransportMedium.Rest &&
sds.Format == FileFormat.UnfoldingCollection))
)
.Returns(Enumerable.Range(0, 100)
.Select(i => new BaseDataCollection(_referenceLocal.AddSeconds(i), Symbols.SPY, Enumerable.Range(0, DataPerTimeStep)
.Select(_ => new RestCollectionData {
EndTime = _referenceLocal.AddSeconds(i)
})))
)
.Verifiable();
var config = new SubscriptionDataConfig(typeof(RestCollectionData), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
var request = GetSubscriptionRequest(config, _referenceUtc.AddSeconds(-4), _referenceUtc.AddDays(1));
var factory = new TestableLiveCustomDataSubscriptionEnumeratorFactory(_timeProvider, _dataSourceReader.Object);
_enumerator = factory.CreateEnumerator(request, null);
}
public void AllowsSpecifyingIntervalCheck(int intervalCheck)
{
var referenceLocal = new DateTime(2017, 10, 12);
var referenceUtc = new DateTime(2017, 10, 12).ConvertToUtc(TimeZones.NewYork);
var timeProvider = new ManualTimeProvider(referenceUtc);
var callCount = 0;
var dataSourceReader = new Mock <ISubscriptionDataSourceReader>();
dataSourceReader.Setup(dsr => dsr.Read(It.Is <SubscriptionDataSource>(sds =>
sds.Source == "local.file.source" &&
sds.TransportMedium == SubscriptionTransportMedium.LocalFile &&
sds.Format == FileFormat.Csv))
)
.Returns(() => new [] { new LocalFileData {
EndTime = referenceLocal.AddSeconds(++callCount)
} })
.Verifiable();
var config = new SubscriptionDataConfig(typeof(LocalFileData), Symbols.SPY, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
var request = GetSubscriptionRequest(config, referenceUtc.AddSeconds(-1), referenceUtc.AddDays(1));
var intervalCalls = intervalCheck == 0 ? (TimeSpan?)null : TimeSpan.FromMinutes(intervalCheck);
var factory = new TestableLiveCustomDataSubscriptionEnumeratorFactory(timeProvider, dataSourceReader.Object, intervalCalls);
var enumerator = factory.CreateEnumerator(request, null);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(referenceLocal.AddSeconds(callCount), enumerator.Current.EndTime);
VerifyGetSourceInvocationCount(dataSourceReader, 1, "local.file.source", SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
// time didn't pass so should refresh
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
VerifyGetSourceInvocationCount(dataSourceReader, 1, "local.file.source", SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
var expectedInterval = intervalCalls ?? TimeSpan.FromMinutes(30);
timeProvider.Advance(expectedInterval.Add(-TimeSpan.FromSeconds(2)));
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
VerifyGetSourceInvocationCount(dataSourceReader, 1, "local.file.source", SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
timeProvider.Advance(TimeSpan.FromSeconds(2));
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(referenceLocal.AddSeconds(callCount), enumerator.Current.EndTime);
VerifyGetSourceInvocationCount(dataSourceReader, 2, "local.file.source", SubscriptionTransportMedium.LocalFile, FileFormat.Csv);
}