public void ChecksMapFileFirstDate()
{
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
algorithm.Initialize();
algorithm.PostInitialize();
var dataProvider = new DefaultDataProvider();
var resultHandler = new TestResultHandler();
var mapFileProvider = new LocalDiskMapFileProvider();
var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
var factory = new SubscriptionDataReaderSubscriptionEnumeratorFactory(resultHandler, mapFileProvider, factorFileProvider, dataProvider, true, enablePriceScaling: false);
var universe = algorithm.UniverseManager.Single().Value;
var security = algorithm.AddEquity("AAA", Resolution.Daily);
var securityConfig = security.Subscriptions.First();
// start date is before the first date in the map file
var subscriptionRequest = new SubscriptionRequest(false, universe, security, securityConfig, new DateTime(2001, 12, 1),
new DateTime(2016, 11, 1));
var enumerator = factory.CreateEnumerator(subscriptionRequest, dataProvider);
// should initialize the data source reader
enumerator.MoveNext();
enumerator.Dispose();
factory.DisposeSafely();
resultHandler.Exit();
var message = ((DebugPacket)resultHandler.Messages.Single()).Message;
Assert.IsTrue(message.Equals(
"The starting date for symbol AAA, 2001-11-30, has been adjusted to match map file first date 2002-05-22."));
}
public void TickResolutionOpenInterestHistoryRequestIsFilteredByDefault_SingleSymbol()
{
_algorithm = new QCAlgorithm();
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_algorithm.HistoryProvider = new SubscriptionDataReaderHistoryProvider();
var dataProvider = new DefaultDataProvider();
var zipCacheProvider = new ZipDataCacheProvider(dataProvider);
_algorithm.HistoryProvider.Initialize(new HistoryProviderInitializeParameters(
null,
null,
dataProvider,
zipCacheProvider,
new LocalDiskMapFileProvider(),
new LocalDiskFactorFileProvider(),
null,
false,
new DataPermissionManager()));
var start = new DateTime(2014, 6, 05);
_algorithm.SetStartDate(start);
_algorithm.SetDateTime(start.AddDays(2));
var optionSymbol = Symbol.CreateOption("TWX", Market.USA, OptionStyle.American, OptionRight.Call, 23, new DateTime(2015, 1, 17));
var result = _algorithm.History(new[] { optionSymbol }, start, start.AddDays(2), Resolution.Minute, fillForward: false).ToList();
zipCacheProvider.DisposeSafely();
Assert.IsNotEmpty(result);
Assert.IsTrue(result.Any(slice => slice.ContainsKey(optionSymbol)));
var openInterests = result.Select(slice => slice.Get(typeof(OpenInterest)) as DataDictionary <OpenInterest>).Where(dataDictionary => dataDictionary.Count > 0).ToList();
Assert.AreEqual(0, openInterests.Count);
}
public static void GetDocumentData(Application app, List <long> documentIdList, string documentsDir)
{
logger.Info("Get Document Data...");
foreach (var docID in documentIdList)
{
Document document = app.Core.GetDocumentByID(docID);
if (document == null)
{
throw new Exception("Document was not found");
}
using (DocumentLock documentLock = document.LockDocument())
{
if (documentLock.Status != DocumentLockStatus.LockObtained)
{
throw new Exception("Failed to lock document");
}
DefaultDataProvider defaultDataProvider = app.Core.Retrieval.Default;
using (PageData pageData = defaultDataProvider.GetDocument(document.DefaultRenditionOfLatestRevision))
{
using (Stream stream = pageData.Stream)
{
Utility.WriteStreamToFile(stream, string.Format(documentsDir + @"\{0}.{1}", document.ID.ToString(), pageData.Extension));
}
}
}
logger.Info("Document ID: " + docID + " export was successful.");
}
logger.Info("");
}
public void DeserializesAssetClassificationAndCompanyProfile()
{
var symbol = Symbols.AAPL;
var startDate = new DateTime(2014, 4, 30);
var endDate = new DateTime(2014, 4, 30);
var config = new SubscriptionDataConfig(typeof(FineFundamental), 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 request = new SubscriptionRequest(false, null, security, config, startDate, endDate);
var fileProvider = new DefaultDataProvider();
var factory = new FineFundamentalSubscriptionEnumeratorFactory(false);
var enumerator = factory.CreateEnumerator(request, fileProvider);
enumerator.MoveNext();
var fine = (FineFundamental)enumerator.Current;
Assert.AreEqual(438783011299, fine.CompanyProfile.EnterpriseValue);
Assert.AreEqual(311, fine.AssetClassification.MorningstarSectorCode);
enumerator.Dispose();
}
private IDataFeed RunDataFeed(IAlgorithm algorithm, out FuncDataQueueHandler dataQueueHandler, ITimeProvider timeProvider = null, Func <FuncDataQueueHandler, IEnumerable <BaseData> > getNextTicksFunction = null)
{
getNextTicksFunction = getNextTicksFunction ?? (fdqh => fdqh.Subscriptions.Select(symbol => new Tick(DateTime.Now, symbol, 1, 2)
{
Quantity = 1
}));
// job is used to send into DataQueueHandler
var job = new LiveNodePacket();
// result handler is used due to dependency in SubscriptionDataReader
var resultHandler = new BacktestingResultHandler(); // new ResultHandlerStub();
dataQueueHandler = new FuncDataQueueHandler(getNextTicksFunction);
var feed = new TestableLiveTradingDataFeed(dataQueueHandler, timeProvider);
var mapFileProvider = new LocalDiskMapFileProvider();
var fileProvider = new DefaultDataProvider();
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider), fileProvider);
var feedThreadStarted = new ManualResetEvent(false);
Task.Factory.StartNew(() =>
{
feedThreadStarted.Set();
feed.Run();
});
// wait for feed.Run to actually begin
feedThreadStarted.WaitOne();
return(feed);
}
public void TickResolutionHistoryRequest()
{
_algorithm = new QCAlgorithm();
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_algorithm.HistoryProvider = new SubscriptionDataReaderHistoryProvider();
var dataProvider = new DefaultDataProvider();
var zipCacheProvider = new ZipDataCacheProvider(dataProvider);
_algorithm.HistoryProvider.Initialize(new HistoryProviderInitializeParameters(
null,
null,
dataProvider,
zipCacheProvider,
new LocalDiskMapFileProvider(),
new LocalDiskFactorFileProvider(),
null,
false));
_algorithm.SetStartDate(2013, 10, 08);
var start = new DateTime(2013, 10, 07);
// Trades and quotes
var result = _algorithm.History(new [] { Symbols.SPY }, start.AddHours(9.8), start.AddHours(10), Resolution.Tick).ToList();
// Just Trades
var result2 = _algorithm.History <Tick>(Symbols.SPY, start.AddHours(9.8), start.AddHours(10), Resolution.Tick).ToList();
zipCacheProvider.DisposeSafely();
Assert.IsNotEmpty(result);
Assert.IsNotEmpty(result2);
Assert.IsTrue(result2.All(tick => tick.TickType == TickType.Trade));
// (Trades and quotes).Count > Trades * 2
Assert.Greater(result.Count, result2.Count * 2);
}
public void DoesNotLeakMemory()
{
var symbol = Symbols.AAPL;
var startDate = new DateTime(2014, 4, 30);
var endDate = new DateTime(2014, 4, 30);
var config = new SubscriptionDataConfig(typeof(FineFundamental), 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(CashBook.AccountCurrency, 0, 1), SymbolProperties.GetDefault(CashBook.AccountCurrency));
var request = new SubscriptionRequest(false, null, security, config, startDate, endDate);
var fileProvider = new DefaultDataProvider();
var factory = new FineFundamentalSubscriptionEnumeratorFactory(false);
GC.Collect();
var ramUsageBeforeLoop = OS.TotalPhysicalMemoryUsed;
const int iterations = 1000;
for (var i = 0; i < iterations; i++)
{
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);
}
private IDataFeed RunDataFeed(out FuncDataQueueHandler dataQueueHandler, Func <FuncDataQueueHandler, IEnumerable <BaseData> > getNextTicksFunction = null,
Resolution resolution = Resolution.Second, List <string> equities = null, List <string> forex = null, List <string> crypto = null)
{
_algorithm.SetStartDate(_startDate);
var lastTime = _manualTimeProvider.GetUtcNow();
getNextTicksFunction = getNextTicksFunction ?? (fdqh =>
{
var time = _manualTimeProvider.GetUtcNow();
if (time == lastTime)
{
return(Enumerable.Empty <BaseData>());
}
lastTime = time;
var tickTime = lastTime.AddMinutes(-1).ConvertFromUtc(TimeZones.NewYork);
return(fdqh.Subscriptions.Where(symbol => !_algorithm.UniverseManager.ContainsKey(symbol)) // its not a universe
.Select(symbol => new Tick(tickTime, symbol, 1, 2)
{
Quantity = 1,
// Symbol could not be in the Securities collections for the custom Universe tests. AlgorithmManager is in charge of adding them, and we are not executing that code here.
TickType = _algorithm.Securities.ContainsKey(symbol) ? _algorithm.Securities[symbol].SubscriptionDataConfig.TickType : TickType.Trade
}).ToList());
});
// job is used to send into DataQueueHandler
var job = new LiveNodePacket();
// result handler is used due to dependency in SubscriptionDataReader
var resultHandler = new BacktestingResultHandler();
dataQueueHandler = new FuncDataQueueHandler(getNextTicksFunction);
var feed = new TestableLiveTradingDataFeed(dataQueueHandler);
var mapFileProvider = new LocalDiskMapFileProvider();
var fileProvider = new DefaultDataProvider();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var securityService = new SecurityService(_algorithm.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, _algorithm);
_algorithm.Securities.SetSecurityService(securityService);
_dataManager = new DataManager(feed,
new UniverseSelection(_algorithm, securityService),
_algorithm,
_algorithm.TimeKeeper,
marketHoursDatabase,
true);
_algorithm.SubscriptionManager.SetDataManager(_dataManager);
_algorithm.AddSecurities(resolution, equities, forex, crypto);
_synchronizer = new TestableLiveSynchronizer(_manualTimeProvider);
_synchronizer.Initialize(_algorithm, _dataManager);
feed.Initialize(_algorithm, job, resultHandler, mapFileProvider,
new LocalDiskFactorFileProvider(mapFileProvider), fileProvider, _dataManager, _synchronizer);
_algorithm.PostInitialize();
Thread.Sleep(150); // small handicap for the data to be pumped so TimeSlices have data of all subscriptions
return(feed);
}
private IDataFeed RunDataFeed(out FuncDataQueueHandler dataQueueHandler, Func <FuncDataQueueHandler, IEnumerable <BaseData> > getNextTicksFunction = null,
Resolution resolution = Resolution.Second, List <string> equities = null, List <string> forex = null)
{
_algorithm.SetStartDate(_startDate);
var lastTime = _manualTimeProvider.GetUtcNow();
getNextTicksFunction = getNextTicksFunction ?? (fdqh =>
{
var time = _manualTimeProvider.GetUtcNow();
if (time == lastTime)
{
return(Enumerable.Empty <BaseData>());
}
lastTime = time;
return(fdqh.Subscriptions.Where(symbol => !_algorithm.UniverseManager.ContainsKey(symbol)) // its not a universe
.Select(symbol => new Tick(lastTime.ConvertFromUtc(TimeZones.NewYork), symbol, 1, 2)
{
Quantity = 1,
// Symbol could not be in the Securities collections for the custom Universe tests. AlgorithmManager is in charge of adding them, and we are not executing that code here.
TickType = _algorithm.Securities.ContainsKey(symbol) ? _algorithm.Securities[symbol].SubscriptionDataConfig.TickType : TickType.Trade
}));
});
// job is used to send into DataQueueHandler
var job = new LiveNodePacket();
// result handler is used due to dependency in SubscriptionDataReader
var resultHandler = new BacktestingResultHandler();
dataQueueHandler = new FuncDataQueueHandler(getNextTicksFunction);
var feed = new TestableLiveTradingDataFeed(dataQueueHandler, _manualTimeProvider);
var mapFileProvider = new LocalDiskMapFileProvider();
var fileProvider = new DefaultDataProvider();
var dataManager = new DataManager(feed, new UniverseSelection(feed, _algorithm),
_algorithm.Settings, _algorithm.TimeKeeper);
_algorithm.SubscriptionManager.SetDataManager(dataManager);
_algorithm.AddSecurities(resolution, equities, forex);
feed.Initialize(_algorithm, job, resultHandler, mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider), fileProvider, dataManager);
_algorithm.PostInitialize();
Thread.Sleep(150); // small handicap for the data to be pumped so TimeSlices have data of all subscriptions
var feedThreadStarted = new ManualResetEvent(false);
Task.Factory.StartNew(() =>
{
feedThreadStarted.Set();
feed.Run();
});
// wait for feed.Run to actually begin
feedThreadStarted.WaitOne();
return(feed);
}
public void ReadsFineFundamental(FineFundamentalTestParameters parameters)
{
var stopwatch = Stopwatch.StartNew();
var rows = new List <FineFundamental>();
var config = new SubscriptionDataConfig(typeof(FineFundamental), parameters.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 request = new SubscriptionRequest(false, null, security, config, parameters.StartDate, parameters.EndDate);
var fileProvider = new DefaultDataProvider();
var factory = new FineFundamentalSubscriptionEnumeratorFactory(parameters.LiveMode);
var enumerator = factory.CreateEnumerator(request, fileProvider);
while (enumerator.MoveNext())
{
var current = enumerator.Current as FineFundamental;
rows.Add(current);
}
stopwatch.Stop();
Log.Trace("Total rows: {0}, elapsed time: {1}", rows.Count, stopwatch.Elapsed);
Assert.AreEqual(parameters.RowCount, rows.Count);
if (parameters.RowCount != 1)
{
return;
}
var row = rows[0];
Assert.AreEqual(parameters.CompanyShortName, row.CompanyReference.ShortName);
Assert.AreEqual(parameters.Symbol, row.Symbol);
Assert.IsTrue(row.CompanyReference.PrimarySymbol == parameters.Symbol.Value || row.CompanyReference.PrimarySymbol == null);
Assert.IsTrue(row.SecurityReference.SecuritySymbol == parameters.Symbol.Value || row.SecurityReference.SecuritySymbol == null);
Assert.AreEqual(parameters.Ebitda3M, row.FinancialStatements.IncomeStatement.EBITDA.ThreeMonths);
Assert.AreEqual(parameters.Ebitda12M, row.FinancialStatements.IncomeStatement.EBITDA.TwelveMonths);
Assert.AreEqual(parameters.Ebitda12M, (decimal)row.FinancialStatements.IncomeStatement.EBITDA);
Assert.AreEqual(parameters.CostOfRevenue3M, row.FinancialStatements.IncomeStatement.CostOfRevenue.ThreeMonths);
Assert.AreEqual(parameters.CostOfRevenue12M, row.FinancialStatements.IncomeStatement.CostOfRevenue.TwelveMonths);
Assert.AreEqual(parameters.CostOfRevenue12M, (decimal)row.FinancialStatements.IncomeStatement.CostOfRevenue);
Assert.AreEqual(parameters.EquityPerShareGrowth1Y, row.EarningRatios.EquityPerShareGrowth.OneYear);
Assert.AreEqual(parameters.EquityPerShareGrowth1Y, (decimal)row.EarningRatios.EquityPerShareGrowth);
Assert.AreEqual(parameters.PeRatio, row.ValuationRatios.PERatio);
if (!parameters.FinancialHealthGrade.IsNullOrEmpty())
{
Assert.AreEqual(parameters.FinancialHealthGrade, row.AssetClassification.FinancialHealthGrade);
}
enumerator.Dispose();
}
public void TestsFileSystemDataFeedSpeed()
{
var job = new BacktestNodePacket();
var resultHandler = new BacktestingResultHandler();
var mapFileProvider = new LocalDiskMapFileProvider();
var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
var dataProvider = new DefaultDataProvider();
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
var feed = new FileSystemDataFeed();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataPermissionManager = new DataPermissionManager();
var dataManager = new DataManager(feed,
new UniverseSelection(
algorithm,
new SecurityService(algorithm.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algorithm, RegisteredSecurityDataTypesProvider.Null, new SecurityCacheProvider(algorithm.Portfolio)),
dataPermissionManager,
new DefaultDataProvider()),
algorithm,
algorithm.TimeKeeper,
marketHoursDatabase,
false,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
algorithm.SubscriptionManager.SetDataManager(dataManager);
var synchronizer = new Synchronizer();
synchronizer.Initialize(algorithm, dataManager);
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, factorFileProvider, dataProvider, dataManager, synchronizer, dataPermissionManager.DataChannelProvider);
algorithm.Initialize();
algorithm.PostInitialize();
var cancellationTokenSource = new CancellationTokenSource();
var count = 0;
var stopwatch = Stopwatch.StartNew();
var lastMonth = algorithm.StartDate.Month;
foreach (var timeSlice in synchronizer.StreamData(cancellationTokenSource.Token))
{
if (timeSlice.Time.Month != lastMonth)
{
var elapsed = stopwatch.Elapsed.TotalSeconds;
var thousands = count / 1000d;
Log.Trace($"{DateTime.Now} - Time: {timeSlice.Time}: KPS: {thousands / elapsed}");
lastMonth = timeSlice.Time.Month;
}
count++;
}
Log.Trace("Count: " + count);
stopwatch.Stop();
feed.Exit();
dataManager.RemoveAllSubscriptions();
Log.Trace($"Elapsed time: {stopwatch.Elapsed} KPS: {count / 1000d / stopwatch.Elapsed.TotalSeconds}");
}
private DocumentMetaData GetDocumentMetaData(Hyland.Unity.Document document, DefaultDataProvider provider)
{
var rend = document.DefaultRenditionOfLatestRevision;
using (PageData unityPageData = provider.GetDocument(rend))
{
return(new DocumentMetaData(unityPageData.Extension, rend.FileType.MimeType, (int)rend.NumberOfPages));
}
}
public void EmitsData()
{
var algorithm = new AlgorithmStub(forex: new List <string> {
"EURUSD"
});
// job is used to send into DataQueueHandler
var job = new LiveNodePacket();
// result handler is used due to dependency in SubscriptionDataReader
var resultHandler = new BacktestingResultHandler();
var dataProvider = new DefaultDataProvider();
var lastTime = DateTime.MinValue;
var timeProvider = new RealTimeProvider();
var dataQueueHandler = new FuncDataQueueHandler(fdqh =>
{
var time = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.EasternStandard);
if (time == lastTime)
{
return(Enumerable.Empty <BaseData>());
}
lastTime = time;
return(Enumerable.Range(0, 9).Select(x => new Tick(time.AddMilliseconds(x * 100), Symbols.EURUSD, 1.3m, 1.2m, 1.3m)));
});
var feed = new TestableLiveTradingDataFeed(dataQueueHandler, timeProvider);
var mapFileProvider = new LocalDiskMapFileProvider();
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider), dataProvider);
var feedThreadStarted = new ManualResetEvent(false);
Task.Factory.StartNew(() =>
{
feedThreadStarted.Set();
feed.Run();
});
// wait for feed.Run to actually begin
feedThreadStarted.WaitOne();
var emittedData = false;
ConsumeBridge(feed, TimeSpan.FromSeconds(10), true, ts =>
{
if (ts.Slice.Count != 0)
{
emittedData = true;
Console.WriteLine("HasData: " + ts.Slice.Bars[Symbols.EURUSD].EndTime);
Console.WriteLine();
}
});
Assert.IsTrue(emittedData);
}
public void FastExitsDoNotThrowUnhandledExceptions()
{
var algorithm = new AlgorithmStub();
// job is used to send into DataQueueHandler
var job = new LiveNodePacket();
// result handler is used due to dependency in SubscriptionDataReader
var resultHandler = new BacktestingResultHandler();
var feed = new TestableLiveTradingDataFeed();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var securityService = new SecurityService(
algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDataBase,
algorithm);
algorithm.Securities.SetSecurityService(securityService);
var dataManager = new DataManager(feed,
new UniverseSelection(feed, algorithm, securityService),
algorithm.Settings,
algorithm.TimeKeeper,
marketHoursDatabase);
algorithm.SubscriptionManager.SetDataManager(dataManager);
algorithm.AddSecurities(Resolution.Tick, Enumerable.Range(0, 20).Select(x => x.ToString()).ToList());
var getNextTicksFunction = Enumerable.Range(0, 20).Select(x => new Tick {
Symbol = SymbolCache.GetSymbol(x.ToString())
}).ToList();
feed.DataQueueHandler = new FuncDataQueueHandler(handler => getNextTicksFunction);
var mapFileProvider = new LocalDiskMapFileProvider();
var fileProvider = new DefaultDataProvider();
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider), fileProvider, dataManager);
var unhandledExceptionWasThrown = false;
try
{
feed.Exit();
}
catch (Exception ex)
{
QuantConnect.Logging.Log.Error(ex.ToString());
unhandledExceptionWasThrown = true;
}
Thread.Sleep(500);
Assert.IsFalse(unhandledExceptionWasThrown);
}
public void Setup()
{
var sunday = new LocalMarketHours(DayOfWeek.Sunday, new TimeSpan(17, 0, 0), TimeSpan.FromTicks(Time.OneDay.Ticks - 1));
var monday = LocalMarketHours.OpenAllDay(DayOfWeek.Monday);
var tuesday = LocalMarketHours.OpenAllDay(DayOfWeek.Tuesday);
var wednesday = LocalMarketHours.OpenAllDay(DayOfWeek.Wednesday);
var thursday = LocalMarketHours.OpenAllDay(DayOfWeek.Thursday);
var friday = new LocalMarketHours(DayOfWeek.Friday, TimeSpan.Zero, new TimeSpan(17, 0, 0));
var earlyCloses = new Dictionary <DateTime, TimeSpan>();
var lateOpens = new Dictionary <DateTime, TimeSpan>();
_exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, USHoliday.Dates.Select(x => x.Date), new[]
{
sunday, monday, tuesday, wednesday, thursday, friday
}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
_liveTradingDataFeed = new TestableLiveTradingDataFeed();
var jobPacket = new LiveNodePacket()
{
DeployId = "",
Brokerage = BrokerageName.OandaBrokerage.ToString(),
DataQueueHandler = "LiveDataQueue"
};
var algo = new TestAlgorithm();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataPermissionManager = new DataPermissionManager();
var dataProvider = new DefaultDataProvider();
var dataManager = new DataManager(_liveTradingDataFeed,
new UniverseSelection(
algo,
new SecurityService(algo.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algo, RegisteredSecurityDataTypesProvider.Null, new SecurityCacheProvider(algo.Portfolio)),
dataPermissionManager,
dataProvider),
algo,
algo.TimeKeeper,
marketHoursDatabase,
true,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
algo.SubscriptionManager.SetDataManager(dataManager);
_liveSynchronizer = new LiveSynchronizer();
_liveSynchronizer.Initialize(algo, dataManager);
_liveTradingDataFeed.Initialize(algo, jobPacket, new LiveTradingResultHandler(), new LocalDiskMapFileProvider(),
null, dataProvider, dataManager, _liveSynchronizer, new DataChannelProvider());
algo.Initialize();
_config = SecurityTests.CreateTradeBarConfig();
}
public void TestsFileSystemDataFeedSpeed()
{
var job = new BacktestNodePacket();
var resultHandler = new BacktestingResultHandler();
var mapFileProvider = new LocalDiskMapFileProvider();
var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
var dataProvider = new DefaultDataProvider();
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
var feed = new FileSystemDataFeed();
var dataManager = new DataManager(feed, new UniverseSelection(feed, algorithm), algorithm.Settings, algorithm.TimeKeeper);
algorithm.SubscriptionManager.SetDataManager(dataManager);
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, factorFileProvider, dataProvider, dataManager);
algorithm.Initialize();
algorithm.PostInitialize();
var feedThreadStarted = new ManualResetEvent(false);
var dataFeedThread = new Thread(() =>
{
feedThreadStarted.Set();
feed.Run();
})
{
IsBackground = true
};
dataFeedThread.Start();
feedThreadStarted.WaitOne();
var count = 0;
var stopwatch = Stopwatch.StartNew();
var lastMonth = algorithm.StartDate.Month;
foreach (var timeSlice in feed)
{
if (timeSlice.Time.Month != lastMonth)
{
var elapsed = stopwatch.Elapsed.TotalSeconds;
var thousands = count / 1000d;
Console.WriteLine($"{DateTime.Now} - Time: {timeSlice.Time}: KPS: {thousands/elapsed}");
lastMonth = timeSlice.Time.Month;
}
count++;
}
Console.WriteLine("Count: " + count);
stopwatch.Stop();
Console.WriteLine($"Elapsed time: {stopwatch.Elapsed} KPS: {count/1000d/stopwatch.Elapsed.TotalSeconds}");
}
public void FastExitsDoNotThrowUnhandledExceptions()
{
var algorithm = new AlgorithmStub();
// job is used to send into DataQueueHandler
var job = new LiveNodePacket();
// result handler is used due to dependency in SubscriptionDataReader
var resultHandler = new BacktestingResultHandler();
var feed = new TestableLiveTradingDataFeed();
var dataManager = new DataManager(feed, new UniverseSelection(feed, algorithm),
algorithm.Settings, algorithm.TimeKeeper);
algorithm.SubscriptionManager.SetDataManager(dataManager);
algorithm.AddSecurities(Resolution.Tick, Enumerable.Range(0, 20).Select(x => x.ToString()).ToList());
var getNextTicksFunction = Enumerable.Range(0, 20).Select(x => new Tick {
Symbol = SymbolCache.GetSymbol(x.ToString())
}).ToList();
feed.DataQueueHandler = new FuncDataQueueHandler(handler => getNextTicksFunction);
var mapFileProvider = new LocalDiskMapFileProvider();
var fileProvider = new DefaultDataProvider();
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider), fileProvider, dataManager);
var feedThreadStarted = new ManualResetEvent(false);
var unhandledExceptionWasThrown = false;
Task.Run(() =>
{
try
{
feedThreadStarted.Set();
feed.Run();
}
catch (Exception ex)
{
QuantConnect.Logging.Log.Error(ex.ToString());
unhandledExceptionWasThrown = true;
}
});
feedThreadStarted.WaitOne();
feed.Exit();
Thread.Sleep(1000);
Assert.IsFalse(unhandledExceptionWasThrown);
}
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);
}
}
/// <summary>
/// Invoke this hook with a certain parameter registry if optional conditional criteria are satisfied.
/// </summary>
/// <param name="registry">The registry containing the required values for this hook's execution.</param>
/// <param name="resolver">A helper resolver for complex registry entries (automatically cached).</param>
public override void SubInvoke(IRegistry registry, IRegistryResolver resolver)
{
IDictionary <string, INDArray> block = (IDictionary <string, INDArray>)ParameterRegistry[DataIdentifier];
IPassNetworkReceiver receiver = (IPassNetworkReceiver)ParameterRegistry[ReceiverIdentifier];
INetwork network = resolver.ResolveGetSingle <INetwork>("network.self");
IDataProvider provider = new DefaultDataProvider();
provider.SetExternalOutputLink("external_default", (targetsRegistry, layer, targetBlock) => { receiver.ReceivePass((INDArray)targetsRegistry["activations"]); });
DataUtils.ProvideExternalInputData(provider, network, block);
network.Run(Operator.Handler, false);
DataUtils.ProvideExternalOutputData(provider, network, block);
}
List <Symbol> LoadFutureChain(Symbol baseFuture, DateTime date, TickType tickType, Resolution res)
{
var filePath = LeanData.GenerateZipFilePath(_dataDirectory, baseFuture, date, res, tickType);
//load future chain first
var config = new SubscriptionDataConfig(typeof(ZipEntryName), baseFuture, res,
TimeZones.NewYork, TimeZones.NewYork, false, false, false, false, tickType);
var dataProvider = new DefaultDataProvider();
var dataCacheProvider = new SingleEntryDataCacheProvider(dataProvider);
var factory = new ZipEntryNameSubscriptionDataSourceReader(dataCacheProvider, config, date, false);
return(factory.Read(new SubscriptionDataSource(filePath, SubscriptionTransportMedium.LocalFile, FileFormat.ZipEntryName))
.Select(s => s.Symbol).ToList());
}
public void TestDataFeedEnumeratorStackSpeed()
{
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
algorithm.Initialize();
algorithm.PostInitialize();
var dataProvider = new DefaultDataProvider();
var resultHandler = new BacktestingResultHandler();
var mapFileProvider = new LocalDiskMapFileProvider();
var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
var factory = new SubscriptionDataReaderSubscriptionEnumeratorFactory(resultHandler, mapFileProvider, factorFileProvider, dataProvider, true, enablePriceScaling: false);
var universe = algorithm.UniverseManager.Single().Value;
var security = algorithm.Securities.Single().Value;
var securityConfig = security.Subscriptions.First();
var subscriptionRequest = new SubscriptionRequest(false, universe, security, securityConfig, algorithm.StartDate, algorithm.EndDate);
var enumerator = factory.CreateEnumerator(subscriptionRequest, dataProvider);
var count = 0;
var stopwatch = Stopwatch.StartNew();
var lastMonth = algorithm.StartDate.Month;
while (enumerator.MoveNext())
{
var current = enumerator.Current;
if (current == null)
{
Log.Trace("ERROR: Current is null");
continue;
}
if (current.Time.Month != lastMonth)
{
var elapsed = stopwatch.Elapsed.TotalSeconds;
var thousands = count / 1000d;
Log.Trace($"{DateTime.Now} - Time: {current.Time}: KPS: {thousands / elapsed}");
lastMonth = current.Time.Month;
}
count++;
}
Log.Trace("Count: " + count);
stopwatch.Stop();
enumerator.Dispose();
factory.DisposeSafely();
Log.Trace($"Elapsed time: {stopwatch.Elapsed} KPS: {count / 1000d / stopwatch.Elapsed.TotalSeconds}");
}
public void DoesNotLeakMemory()
{
var symbol = CoarseFundamental.CreateUniverseSymbol(Market.USA);
var config = new SubscriptionDataConfig(typeof(CoarseFundamental), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false, false, TickType.Trade, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 1),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var universeSettings = new UniverseSettings(Resolution.Daily, 2m, true, false, TimeSpan.FromDays(1));
var securityInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(), SecuritySeeder.Null);
var universe = new CoarseFundamentalUniverse(universeSettings, securityInitializer, x => new List <Symbol> {
Symbols.AAPL
});
var fileProvider = new DefaultDataProvider();
var factory = new BaseDataCollectionSubscriptionEnumeratorFactory();
GC.Collect();
var ramUsageBeforeLoop = OS.TotalPhysicalMemoryUsed;
var date = new DateTime(2014, 3, 25);
const int iterations = 1000;
for (var i = 0; i < iterations; i++)
{
var request = new SubscriptionRequest(true, universe, security, config, date, date);
using (var enumerator = factory.CreateEnumerator(request, fileProvider))
{
enumerator.MoveNext();
}
}
GC.Collect();
var ramUsageAfterLoop = OS.TotalPhysicalMemoryUsed;
Log.Trace($"RAM usage - before: {ramUsageBeforeLoop} MB, after: {ramUsageAfterLoop} MB");
Assert.IsTrue(ramUsageAfterLoop - ramUsageBeforeLoop < 10);
}
public void TestsFileSystemDataFeedSpeed()
{
var job = new BacktestNodePacket();
var resultHandler = new BacktestingResultHandler();
var mapFileProvider = new LocalDiskMapFileProvider();
var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
var dataProvider = new DefaultDataProvider();
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
var feed = new FileSystemDataFeed();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataManager = new DataManager(feed,
new UniverseSelection(feed,
algorithm,
new SecurityService(algorithm.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algorithm)),
algorithm.Settings,
algorithm.TimeKeeper,
marketHoursDatabase);
algorithm.SubscriptionManager.SetDataManager(dataManager);
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, factorFileProvider, dataProvider, dataManager);
algorithm.Initialize();
algorithm.PostInitialize();
var count = 0;
var stopwatch = Stopwatch.StartNew();
var lastMonth = algorithm.StartDate.Month;
foreach (var timeSlice in feed)
{
if (timeSlice.Time.Month != lastMonth)
{
var elapsed = stopwatch.Elapsed.TotalSeconds;
var thousands = count / 1000d;
Console.WriteLine($"{DateTime.Now} - Time: {timeSlice.Time}: KPS: {thousands/elapsed}");
lastMonth = timeSlice.Time.Month;
}
count++;
}
Console.WriteLine("Count: " + count);
stopwatch.Stop();
feed.Exit();
Console.WriteLine($"Elapsed time: {stopwatch.Elapsed} KPS: {count/1000d/stopwatch.Elapsed.TotalSeconds}");
}
public void ReadsFineFundamental(FineFundamentalTestParameters parameters)
{
var stopwatch = Stopwatch.StartNew();
var rows = new List <FineFundamental>();
var config = new SubscriptionDataConfig(typeof(FineFundamental), parameters.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(CashBook.AccountCurrency, 0, 1), SymbolProperties.GetDefault(CashBook.AccountCurrency));
var request = new SubscriptionRequest(false, null, security, config, parameters.StartDate, parameters.EndDate);
var fileProvider = new DefaultDataProvider();
var factory = new FineFundamentalSubscriptionEnumeratorFactory(false);
var enumerator = factory.CreateEnumerator(request, fileProvider);
while (enumerator.MoveNext())
{
var current = enumerator.Current as FineFundamental;
rows.Add(current);
}
stopwatch.Stop();
Console.WriteLine("Total rows: {0}, elapsed time: {1}", rows.Count, stopwatch.Elapsed);
Assert.AreEqual(parameters.RowCount, rows.Count);
if (parameters.RowCount != 1)
{
return;
}
var row = rows[0];
Assert.AreEqual(parameters.CompanyShortName, row.CompanyReference.ShortName);
Assert.AreEqual(parameters.Symbol, row.Symbol);
Assert.AreEqual(parameters.Symbol != Symbol.Empty ? parameters.Symbol.Value : null, row.CompanyReference.PrimarySymbol);
Assert.AreEqual(parameters.Symbol != Symbol.Empty ? parameters.Symbol.Value : null, row.SecurityReference.SecuritySymbol);
Assert.AreEqual(parameters.Ebitda3M, row.FinancialStatements.IncomeStatement.EBITDA.ThreeMonths);
Assert.AreEqual(parameters.Ebitda12M, row.FinancialStatements.IncomeStatement.EBITDA.TwelveMonths);
Assert.AreEqual(parameters.Ebitda12M, row.FinancialStatements.IncomeStatement.EBITDA);
Assert.AreEqual(parameters.CostOfRevenue3M, row.FinancialStatements.IncomeStatement.CostOfRevenue.ThreeMonths);
Assert.AreEqual(parameters.CostOfRevenue12M, row.FinancialStatements.IncomeStatement.CostOfRevenue.TwelveMonths);
Assert.AreEqual(parameters.CostOfRevenue12M, row.FinancialStatements.IncomeStatement.CostOfRevenue);
Assert.AreEqual(parameters.EquityPerShareGrowth1Y, row.EarningRatios.EquityPerShareGrowth.OneYear);
Assert.AreEqual(parameters.EquityPerShareGrowth1Y, row.EarningRatios.EquityPerShareGrowth);
Assert.AreEqual(parameters.PeRatio, row.ValuationRatios.PERatio);
}
public void DoesNotLeakMemory()
{
var symbol = Symbols.AAPL;
var config = new SubscriptionDataConfig(typeof(TradeBar), 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 mapFileProvider = new LocalDiskMapFileProvider();
var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
var mapFileResolver = mapFileProvider.Get(security.Symbol.ID.Market);
var fileProvider = new DefaultDataProvider();
var factory = new BaseDataSubscriptionEnumeratorFactory(false, mapFileResolver, factorFileProvider);
GC.Collect();
var ramUsageBeforeLoop = OS.TotalPhysicalMemoryUsed;
var date = new DateTime(1998, 1, 1);
const int iterations = 1000;
for (var i = 0; i < iterations; i++)
{
var request = new SubscriptionRequest(false, null, security, config, date, date);
using (var enumerator = factory.CreateEnumerator(request, fileProvider))
{
enumerator.MoveNext();
}
date = date.AddDays(1);
}
GC.Collect();
var ramUsageAfterLoop = OS.TotalPhysicalMemoryUsed;
Log.Trace($"RAM usage - before: {ramUsageBeforeLoop} MB, after: {ramUsageAfterLoop} MB");
Assert.IsTrue(ramUsageAfterLoop - ramUsageBeforeLoop < 10);
}
private static ISubscriptionDataSourceReader Initialize(bool liveMode, Resolution resolution, out SubscriptionDataSource source)
{
using var dataProvider = new DefaultDataProvider();
using var cache = new ZipDataCacheProvider(dataProvider);
var config = new SubscriptionDataConfig(typeof(TestBaseDataCollection),
Symbols.SPY,
resolution,
TimeZones.NewYork,
TimeZones.NewYork,
false,
false,
false);
var date = DateTime.MinValue;
var path = LeanData.GenerateZipFilePath(Globals.DataFolder, config.Symbol, date, resolution, TickType.Trade);
source = new SubscriptionDataSource(path, SubscriptionTransportMedium.LocalFile);
return(new BaseDataCollectionAggregatorReader(cache, config, date, liveMode));
}
/// <summary>
/// Runs the Coarse universe generator with default values.
/// </summary>
/// <returns></returns>
public static bool CoarseUniverseGenerator()
{
var dailyDataFolder = new DirectoryInfo(Path.Combine(Globals.DataFolder, SecurityType.Equity.SecurityTypeToLower(), Market.USA, Resolution.Daily.ResolutionToLower()));
var destinationFolder = new DirectoryInfo(Path.Combine(Globals.DataFolder, SecurityType.Equity.SecurityTypeToLower(), Market.USA, "fundamental", "coarse"));
var fineFundamentalFolder = new DirectoryInfo(Path.Combine(dailyDataFolder.Parent.FullName, "fundamental", "fine"));
var blackListedTickersFile = new FileInfo("blacklisted-tickers.txt");
var reservedWordPrefix = Config.Get("reserved-words-prefix", "quantconnect-");
var dataProvider = new DefaultDataProvider();
var mapFileProvider = new LocalDiskMapFileProvider();
mapFileProvider.Initialize(dataProvider);
var factorFileProvider = new LocalDiskFactorFileProvider();
factorFileProvider.Initialize(mapFileProvider, dataProvider);
var generator = new CoarseUniverseGeneratorProgram(dailyDataFolder, destinationFolder, fineFundamentalFolder, Market.USA, blackListedTickersFile, reservedWordPrefix, mapFileProvider, factorFileProvider);
return(generator.Run());
}
public virtual void SetUp()
{
_algorithm = new QCAlgorithm();
_dataProvider = new DefaultDataProvider();
var mapFileProvider = new LocalDiskMapFileProvider();
mapFileProvider.Initialize(_dataProvider);
var factorFileProvider = new LocalZipFactorFileProvider();
factorFileProvider.Initialize(mapFileProvider, _dataProvider);
var historyProvider = new SubscriptionDataReaderHistoryProvider();
_cacheProvider = new ZipDataCacheProvider(_dataProvider);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null,
_dataProvider, _cacheProvider, mapFileProvider, factorFileProvider,
null, true, new DataPermissionManager()));
_algorithm.SetHistoryProvider(historyProvider);
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_algorithm.Settings.FreePortfolioValue = 0;
}
public void TestsFileSystemDataFeedSpeed()
{
var job = new BacktestNodePacket();
var resultHandler = new BacktestingResultHandler();
var mapFileProvider = new LocalDiskMapFileProvider();
var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
var dataProvider = new DefaultDataProvider();
var algorithm = new BenchmarkTest();
var feed = new FileSystemDataFeed();
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, factorFileProvider, dataProvider);
algorithm.Initialize();
var feedThreadStarted = new ManualResetEvent(false);
Task.Factory.StartNew(() =>
{
feedThreadStarted.Set();
feed.Run();
});
feedThreadStarted.WaitOne();
var stopwatch = Stopwatch.StartNew();
var lastMonth = -1;
var count = 0;
foreach (var timeSlice in feed)
{
if (timeSlice.Time.Month != lastMonth)
{
Console.WriteLine(DateTime.Now + " - Time: " + timeSlice.Time);
lastMonth = timeSlice.Time.Month;
}
count++;
}
Console.WriteLine("Count: " + count);
stopwatch.Stop();
Console.WriteLine("Elapsed time: " + stopwatch.Elapsed);
}
public void ReadsZipEntryNames()
{
var time = new DateTime(2016, 03, 03, 12, 48, 15);
var source = Path.Combine("TestData", "20151224_quote_american.zip");
var config = new SubscriptionDataConfig(typeof(ZipEntryName), Symbol.Create("XLRE", SecurityType.Option, Market.USA), Resolution.Tick,
TimeZones.NewYork, TimeZones.NewYork, false, false, false);
var dataProvider = new DefaultDataProvider();
var dataCacheProvider = new SingleEntryDataCacheProvider(dataProvider);
var factory = new ZipEntryNameSubscriptionDataSourceReader(dataCacheProvider, config, time, false);
var expected = new[]
{
Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 21m, new DateTime(2016, 08, 19)),
Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Call, 22m, new DateTime(2016, 08, 19)),
Symbol.CreateOption("XLRE", Market.USA, OptionStyle.American, OptionRight.Put, 37m, new DateTime(2016, 08, 19)),
};
var actual = factory.Read(new SubscriptionDataSource(source, SubscriptionTransportMedium.LocalFile, FileFormat.ZipEntryName)).ToList();
// we only really care about the symbols
CollectionAssert.AreEqual(expected, actual.Select(x => x.Symbol));
Assert.IsTrue(actual.All(x => x is ZipEntryName));
}
private DocumentMetaData GetDocumentMetaData(Hyland.Unity.Document document, DefaultDataProvider provider)
{
var rend = document.DefaultRenditionOfLatestRevision;
using (PageData unityPageData = provider.GetDocument(rend))
{
return new DocumentMetaData(unityPageData.Extension, rend.FileType.MimeType, (int)rend.NumberOfPages);
}
}
