public void DelistedSecuritiesInsightsTest(bool isDelisted, int expectedCount)
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
algorithm.SetStartDate(2007, 5, 16);
algorithm.SetUniverseSelection(new ManualUniverseSelectionModel());
algorithm.SetFinishedWarmingUp();
var alpha = new FakeAlpha();
algorithm.SetAlpha(alpha);
var construction = new FakePortfolioConstruction();
algorithm.SetPortfolioConstruction(construction);
var actualInsights = new List <Insight>();
algorithm.InsightsGenerated += (s, e) => actualInsights.AddRange(e.Insights);
var security = algorithm.AddEquity("SPY", Resolution.Daily);
var tick = new Tick
{
Symbol = security.Symbol,
Value = 1,
Quantity = 2
};
security.SetMarketPrice(tick);
security.IsDelisted = isDelisted;
// Trigger Alpha to emit insight
algorithm.OnFrameworkData(new Slice(new DateTime(2000, 01, 01), new List <BaseData>()
{
tick
}));
// Manually emit insight
algorithm.EmitInsights(Insight.Price(Symbols.SPY, TimeSpan.FromDays(1), InsightDirection.Up, .5, .75));
// Should be zero because security is delisted
Assert.AreEqual(expectedCount, actualInsights.Count);
}
public void SetsInsightGeneratedAndCloseTimes()
{
var eventFired = false;
var algo = new QCAlgorithmFramework();
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
algo.Transactions.SetOrderProcessor(new FakeOrderProcessor());
algo.InsightsGenerated += (algorithm, data) =>
{
eventFired = true;
var insights = data.Insights;
Assert.AreEqual(1, insights.Count);
Assert.IsTrue(insights.All(insight => insight.GeneratedTimeUtc != default(DateTime)));
Assert.IsTrue(insights.All(insight => insight.CloseTimeUtc != default(DateTime)));
};
var security = algo.AddEquity("SPY");
algo.SetUniverseSelection(new ManualUniverseSelectionModel());
var alpha = new FakeAlpha();
algo.SetAlpha(alpha);
var construction = new FakePortfolioConstruction();
algo.SetPortfolioConstruction(construction);
var tick = new Tick
{
Symbol = security.Symbol,
Value = 1,
Quantity = 2
};
security.SetMarketPrice(tick);
algo.OnFrameworkData(new Slice(new DateTime(2000, 01, 01), algo.Securities.Select(s => tick)));
Assert.IsTrue(eventFired);
Assert.AreEqual(1, construction.Insights.Count);
Assert.IsTrue(construction.Insights.All(insight => insight.GeneratedTimeUtc != default(DateTime)));
Assert.IsTrue(construction.Insights.All(insight => insight.CloseTimeUtc != default(DateTime)));
}
