public void YieldsGroupOfDataEachSecond()
{
for (int i = 0; i < DataPerTimeStep; i++)
{
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current, $"Index {i} is null.");
Assert.AreEqual(_referenceLocal, _enumerator.Current.EndTime);
}
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
_timeProvider.AdvanceSeconds(1);
for (int i = 0; i < DataPerTimeStep; i++)
{
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal.AddSeconds(1), _enumerator.Current.EndTime);
}
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
_dataSourceReader.Verify(dsr => dsr.Read(It.Is <SubscriptionDataSource>(sds =>
sds.Source == "rest.collection.source" &&
sds.TransportMedium == SubscriptionTransportMedium.Rest &&
sds.Format == FileFormat.Collection))
, Times.Once);
}
public void YieldsDataEachSecondAsTimePasses()
{
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal, _enumerator.Current.EndTime);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
_timeProvider.AdvanceSeconds(1);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal.AddSeconds(1), _enumerator.Current.EndTime);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
_dataSourceReader.Verify(dsr => dsr.Read(It.Is <SubscriptionDataSource>(sds =>
sds.Source == "rest.source" &&
sds.TransportMedium == SubscriptionTransportMedium.Rest &&
sds.Format == FileFormat.Csv))
, Times.Once);
}
public void ConsumesMultipleMinutes()
{
var timeProvider = new ManualTimeProvider(new DateTime(2000, 01, 01));
var provider = new FakeIsolatorLimitResultProvider();
Action code = () =>
{
// lets give the monitor time to register the initial time
Thread.Sleep(50);
for (int i = 0; i < 4; i++)
{
timeProvider.AdvanceSeconds(45);
// give the monitoring task time to request more time
Thread.Sleep(20);
}
};
provider.Consume(timeProvider, code, _timeMonitor);
Assert.AreEqual(3, provider.Invocations.Count);
Assert.IsTrue(provider.Invocations.TrueForAll(invoc => invoc == 1));
// give time to the monitor to register the time consumer ended
Thread.Sleep(50);
Assert.AreEqual(0, _timeMonitor.Count);
}
public void YieldsDataEachSecondAsTimePasses()
{
// most recent 5 seconds of data
for (int i = 5; i > 0; i--)
{
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal.AddSeconds(-i), _enumerator.Current.EndTime);
}
// first data point
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal, _enumerator.Current.EndTime);
_timeProvider.AdvanceSeconds(1);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal.AddSeconds(1), _enumerator.Current.EndTime);
_dataSourceReader.Verify(dsr => dsr.Read(It.Is <SubscriptionDataSource>(sds =>
sds.Source == "remote.file.source" &&
sds.TransportMedium == SubscriptionTransportMedium.RemoteFile &&
sds.Format == FileFormat.Csv))
, Times.Once);
}
public void YieldsGroupOfDataEachSecond()
{
for (int i = 0; i < DataPerTimeStep; i++)
{
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current, $"Index {i} is null.");
Assert.AreEqual(_referenceLocal, _enumerator.Current.EndTime);
}
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
_timeProvider.AdvanceSeconds(1);
for (int i = 0; i < DataPerTimeStep; i++)
{
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal.AddSeconds(1), _enumerator.Current.EndTime);
}
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
VerifyGetSourceInvocationCount(_dataSourceReader, 1, "rest.collection.source", SubscriptionTransportMedium.Rest, FileFormat.UnfoldingCollection);
}
private void ConsumeBridge(IDataFeed feed, TimeSpan timeout, bool alwaysInvoke, Action <TimeSlice> handler, bool noOutput = true)
{
var endTime = DateTime.UtcNow.Add(timeout);
bool startedReceivingata = false;
foreach (var timeSlice in feed)
{
if (!noOutput)
{
ConsoleWriteLine("\r\n" + $"Now (EDT): {DateTime.UtcNow.ConvertFromUtc(TimeZones.NewYork):o}" +
$". TimeSlice.Time (EDT): {timeSlice.Time.ConvertFromUtc(TimeZones.NewYork):o}");
}
if (!startedReceivingata && timeSlice.Slice.Count != 0)
{
startedReceivingata = true;
}
if (startedReceivingata || alwaysInvoke)
{
handler(timeSlice);
}
_algorithm.OnEndOfTimeStep();
_manualTimeProvider.AdvanceSeconds(1);
if (endTime <= DateTime.UtcNow)
{
feed.Exit();
return;
}
}
}
public void YieldsFutureDataAtCorrectTime()
{
var currentTime = new DateTime(2015, 10, 13);
var timeProvider = new ManualTimeProvider(currentTime);
var underlying = new List <Tick>
{
new Tick {
Time = currentTime.AddSeconds(10)
}
};
var offsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1));
var frontierAware = new FrontierAwareEnumerator(underlying.GetEnumerator(), timeProvider, offsetProvider);
for (int i = 0; i < 10; i++)
{
timeProvider.AdvanceSeconds(1);
Assert.IsTrue(frontierAware.MoveNext());
if (i < 9)
{
Assert.IsNull(frontierAware.Current);
}
else
{
Assert.IsNotNull(frontierAware.Current);
Assert.AreEqual(underlying[0], frontierAware.Current);
}
}
}
public void RespectsCustomStepEvaluator()
{
var startTime = new DateTime(2018, 1, 1);
var manualTimeProvider = new ManualTimeProvider(startTime);
var stepTimeProvider = new PredicateTimeProvider(manualTimeProvider,
// only step when minute is a pair number
time => time.Minute % 2 == 0);
Assert.AreEqual(manualTimeProvider.GetUtcNow(), stepTimeProvider.GetUtcNow());
manualTimeProvider.AdvanceSeconds(45 * 60); // advance 45 minutes, past the interval
// still the same because 45 minutes isn't pair
Assert.AreEqual(startTime, stepTimeProvider.GetUtcNow());
Assert.AreNotEqual(manualTimeProvider.GetUtcNow(), stepTimeProvider.GetUtcNow());
manualTimeProvider.AdvanceSeconds(60);
Assert.AreEqual(manualTimeProvider.GetUtcNow(), stepTimeProvider.GetUtcNow());
}
public void YieldsDataWhenFrontierPasses()
{
var currentTime = new DateTime(2015, 10, 13);
var timeProvider = new ManualTimeProvider(currentTime);
var underlying = new List <Tick>
{
new Tick {
Time = currentTime.AddSeconds(1)
}
};
var offsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, new DateTime(2015, 1, 1), new DateTime(2016, 1, 1));
var frontierAware = new FrontierAwareEnumerator(underlying.GetEnumerator(), timeProvider, offsetProvider);
timeProvider.AdvanceSeconds(1);
Assert.IsTrue(frontierAware.MoveNext());
Assert.IsNotNull(frontierAware.Current);
Assert.AreEqual(underlying[0], frontierAware.Current);
}
private void ConsumeBridge(IDataFeed feed,
TimeSpan timeout,
bool alwaysInvoke,
Action <TimeSlice> handler,
bool noOutput = true,
bool sendUniverseData = false)
{
var endTime = DateTime.UtcNow.Add(timeout);
bool startedReceivingata = false;
var cancellationTokenSource = new CancellationTokenSource();
foreach (var timeSlice in _synchronizer.StreamData(cancellationTokenSource.Token))
{
if (!noOutput)
{
ConsoleWriteLine("\r\n" + $"Now (EDT): {DateTime.UtcNow.ConvertFromUtc(TimeZones.NewYork):o}" +
$". TimeSlice.Time (EDT): {timeSlice.Time.ConvertFromUtc(TimeZones.NewYork):o}");
}
if (!startedReceivingata &&
(timeSlice.Slice.Count != 0 ||
sendUniverseData && timeSlice.UniverseData.Count > 0))
{
startedReceivingata = true;
}
if (startedReceivingata || alwaysInvoke)
{
handler(timeSlice);
}
_algorithm.OnEndOfTimeStep();
_manualTimeProvider.AdvanceSeconds(1);
Thread.Sleep(1);
if (endTime <= DateTime.UtcNow)
{
feed.Exit();
cancellationTokenSource.Cancel();
return;
}
}
}
public void LimitsBasedOnTimeBetweenCalls()
{
var currentTime = new DateTime(2015, 10, 10, 13, 6, 0);
var timeProvider = new ManualTimeProvider(currentTime, TimeZones.Utc);
var data = Enumerable.Range(0, 100).Select(x => new Tick {
Symbol = x.ToString()
}).GetEnumerator();
var rateLimit = new RateLimitEnumerator(data, timeProvider, Time.OneSecond);
Assert.IsTrue(rateLimit.MoveNext());
while (rateLimit.MoveNext() && rateLimit.Current == null)
{
timeProvider.AdvanceSeconds(0.1);
}
var delta = (timeProvider.GetUtcNow() - currentTime).TotalSeconds;
Assert.AreEqual(1, delta);
Assert.AreEqual("1", data.Current.Symbol.ToString());
}
public void YieldsDataEachSecondAsTimePasses()
{
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal, _enumerator.Current.EndTime);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
_timeProvider.AdvanceSeconds(1);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal.AddSeconds(1), _enumerator.Current.EndTime);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNull(_enumerator.Current);
VerifyGetSourceInvocationCount(_dataSourceReader, 1, "rest.source", SubscriptionTransportMedium.Rest, FileFormat.Csv);
}
public void YieldsDataEachSecondAsTimePasses()
{
// most recent 5 seconds of data
for (int i = 5; i > 0; i--)
{
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal.AddSeconds(-i), _enumerator.Current.EndTime);
}
// first data point
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal, _enumerator.Current.EndTime);
_timeProvider.AdvanceSeconds(1);
Assert.IsTrue(_enumerator.MoveNext());
Assert.IsNotNull(_enumerator.Current);
Assert.AreEqual(_referenceLocal.AddSeconds(1), _enumerator.Current.EndTime);
VerifyGetSourceInvocationCount(_dataSourceReader, 1, "remote.file.source", SubscriptionTransportMedium.RemoteFile, FileFormat.Csv);
}
public void ForceScanQuoteBar()
{
var reference = new DateTime(2020, 2, 2, 1, 0, 0);
var timeProvider = new ManualTimeProvider(reference);
var dateTimeZone = DateTimeZone.ForOffset(Offset.FromHours(-5));
var enumerator = new ScannableEnumerator <Data.BaseData>(
new TickQuoteBarConsolidator(TimeSpan.FromMinutes(1)),
dateTimeZone,
timeProvider,
(s, e) => { }
);
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.ConvertFromUtc(dateTimeZone),
BidPrice = 10,
BidSize = 20,
TickType = TickType.Quote
};
enumerator.Update(tick1);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(1).ConvertFromUtc(dateTimeZone),
AskPrice = 20,
AskSize = 10,
TickType = TickType.Quote
};
enumerator.Update(tick2);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(2).ConvertFromUtc(dateTimeZone),
BidPrice = 12,
BidSize = 50,
TickType = TickType.Quote
};
enumerator.Update(tick3);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(3).ConvertFromUtc(dateTimeZone),
AskPrice = 17,
AskSize = 15,
TickType = TickType.Quote
};
enumerator.Update(tick4);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
timeProvider.AdvanceSeconds(120);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
QuoteBar quoteBar = enumerator.Current as QuoteBar;
Assert.IsNotNull(quoteBar);
Assert.AreEqual(Symbols.SPY, quoteBar.Symbol);
Assert.AreEqual(tick1.Time, quoteBar.Time);
Assert.AreNotEqual(tick4.EndTime, quoteBar.EndTime);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Low);
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.High);
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close);
Assert.AreEqual(tick3.BidSize, quoteBar.LastBidSize);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Low);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.High);
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close);
Assert.AreEqual(tick4.AskSize, quoteBar.LastAskSize);
}