public void SecurityManagerCanCreate_ConcreteFutures_WithCorrectSubscriptions()
{
var identifier = SecurityIdentifier.GenerateFuture(new DateTime(2020, 12, 15), "ED", Market.USA);
var symbol = new Symbol(identifier, "ED", Symbol.Empty);
var marketHoursDbEntry = _marketHoursDatabase.GetEntry(Market.USA, "ED", SecurityType.Equity, TimeZones.NewYork);
var symbolProperties = _symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, "ED", symbol.ID.SecurityType, CashBook.AccountCurrency);
var subscriptionTypes = new List <Type>()
{
typeof(TradeBar), typeof(QuoteBar), typeof(OpenInterest)
};
var subscriptions = SecurityManager.CreateSecurity(subscriptionTypes,
_securityPortfolioManager,
_subscriptionManager,
marketHoursDbEntry.ExchangeHours,
marketHoursDbEntry.DataTimeZone,
symbolProperties,
_securityInitializer,
symbol,
Resolution.Second,
false,
1.0m,
false,
false,
false,
false);
Assert.IsFalse(symbol.IsCanonical());
Assert.AreEqual(subscriptions.Subscriptions.Count(), 3);
Assert.IsTrue(subscriptions.Subscriptions.Any(x => x.TickType == TickType.OpenInterest && x.Type == typeof(OpenInterest)));
Assert.IsTrue(subscriptions.Subscriptions.Any(x => x.TickType == TickType.Quote && x.Type == typeof(QuoteBar)));
Assert.IsTrue(subscriptions.Subscriptions.Any(x => x.TickType == TickType.Trade && x.Type == typeof(TradeBar)));
}
private Subscription CreateSubscription(Resolution resolution, string symbol = "AAPL", bool isInternalFeed = false,
SecurityType type = SecurityType.Equity, TickType tickType = TickType.Trade)
{
var start = DateTime.UtcNow;
var end = start.AddSeconds(10);
Security security;
Symbol _symbol;
if (type == SecurityType.Equity)
{
_symbol = new Symbol(SecurityIdentifier.GenerateEquity(DateTime.Now, symbol, Market.USA), symbol);
security = new Equity(
_symbol,
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
new Cash(Currencies.USD, 0, 1),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
}
else if (type == SecurityType.Option)
{
_symbol = new Symbol(SecurityIdentifier.GenerateOption(DateTime.Now,
SecurityIdentifier.GenerateEquity(DateTime.Now, symbol, Market.USA),
Market.USA, 0.0m, OptionRight.Call, OptionStyle.American), symbol);
security = new Option(
_symbol,
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
new Cash(Currencies.USD, 0, 1),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
}
else if (type == SecurityType.Future)
{
_symbol = new Symbol(SecurityIdentifier.GenerateFuture(DateTime.Now, symbol, Market.USA), symbol);
security = new Future(
_symbol,
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
new Cash(Currencies.USD, 0, 1),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
}
else
{
throw new Exception("SecurityType not implemented");
}
var config = new SubscriptionDataConfig(typeof(TradeBar), _symbol, resolution, DateTimeZone.Utc, DateTimeZone.Utc, true, false, isInternalFeed, false, tickType);
var timeZoneOffsetProvider = new TimeZoneOffsetProvider(DateTimeZone.Utc, start, end);
var enumerator = new EnqueueableEnumerator <BaseData>();
var subscriptionDataEnumerator = new SubscriptionDataEnumerator(config, security.Exchange.Hours, timeZoneOffsetProvider, enumerator);
var subscriptionRequest = new SubscriptionRequest(false, null, security, config, start, end);
return(new Subscription(subscriptionRequest, subscriptionDataEnumerator, timeZoneOffsetProvider));
}
/// <summary>
/// Creates a user defined universe symbol
/// </summary>
/// <param name="securityType">The security</param>
/// <param name="market">The market</param>
/// <returns>A symbol for user defined universe of the specified security type and market</returns>
public static Symbol CreateSymbol(SecurityType securityType, string market)
{
var ticker = $"qc-universe-userdefined-{market.ToLowerInvariant()}-{securityType}";
SecurityIdentifier sid;
switch (securityType)
{
case SecurityType.Base:
sid = SecurityIdentifier.GenerateBase(null, ticker, market);
break;
case SecurityType.Equity:
sid = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
break;
case SecurityType.Option:
var underlying = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlying, market, 0, 0, 0);
break;
case SecurityType.FutureOption:
var underlyingFuture = SecurityIdentifier.GenerateFuture(SecurityIdentifier.DefaultDate, ticker, market);
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlyingFuture, market, 0, 0, 0);
break;
case SecurityType.IndexOption:
var underlyingIndex = SecurityIdentifier.GenerateIndex(ticker, market);
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlyingIndex, market, 0, 0, OptionStyle.European);
break;
case SecurityType.Forex:
sid = SecurityIdentifier.GenerateForex(ticker, market);
break;
case SecurityType.Cfd:
sid = SecurityIdentifier.GenerateCfd(ticker, market);
break;
case SecurityType.Index:
sid = SecurityIdentifier.GenerateIndex(ticker, market);
break;
case SecurityType.Future:
sid = SecurityIdentifier.GenerateFuture(SecurityIdentifier.DefaultDate, ticker, market);
break;
case SecurityType.Crypto:
sid = SecurityIdentifier.GenerateCrypto(ticker, market);
break;
case SecurityType.Commodity:
default:
throw new NotImplementedException($"The specified security type is not implemented yet: {securityType}");
}
return(new Symbol(sid, ticker));
}
/// <summary>
/// Creates a user defined universe symbol
/// </summary>
/// <param name="securityType">The security</param>
/// <param name="market">The market</param>
/// <returns>A symbol for user defined universe of the specified security type and market</returns>
public static Symbol CreateSymbol(SecurityType securityType, string market)
{
var ticker = string.Format("qc-universe-userdefined-{0}-{1}", market.ToLower(), securityType);
SecurityIdentifier sid;
switch (securityType)
{
case SecurityType.Base:
sid = SecurityIdentifier.GenerateBase(ticker, market);
break;
case SecurityType.Equity:
sid = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
break;
case SecurityType.Option:
var underlying = SecurityIdentifier.GenerateEquity(SecurityIdentifier.DefaultDate, ticker, market);
sid = SecurityIdentifier.GenerateOption(SecurityIdentifier.DefaultDate, underlying, market, 0, 0, 0);
break;
case SecurityType.Forex:
sid = SecurityIdentifier.GenerateForex(ticker, market);
break;
case SecurityType.Cfd:
sid = SecurityIdentifier.GenerateCfd(ticker, market);
break;
case SecurityType.Future:
sid = SecurityIdentifier.GenerateFuture(SecurityIdentifier.DefaultDate, ticker, market);
break;
case SecurityType.Crypto:
sid = SecurityIdentifier.GenerateCrypto(ticker, market);
break;
case SecurityType.Commodity:
default:
throw new NotImplementedException("The specified security type is not implemented yet: " + securityType);
}
return(new Symbol(sid, ticker));
}
private static Symbol GetSymbol(MapFile mapFile, string market, SecurityType securityType)
{
SecurityIdentifier sid;
switch (securityType)
{
case SecurityType.Equity:
sid = SecurityIdentifier.GenerateEquity(mapFile.FirstDate, mapFile.FirstTicker, market);
break;
case SecurityType.Future:
sid = SecurityIdentifier.GenerateFuture(SecurityIdentifier.DefaultDate, mapFile.Permtick, market);
break;
default:
throw new ArgumentOutOfRangeException(nameof(securityType), securityType, null);
}
return(new Symbol(sid, mapFile.Permtick));
}
public void CanCreate_ConcreteFutures_WithCorrectSubscriptions()
{
var identifier = SecurityIdentifier.GenerateFuture(new DateTime(2020, 12, 15), "ED", Market.CME);
var symbol = new Symbol(identifier, "ED", Symbol.Empty);
var subscriptionTypes = new List <Tuple <Type, TickType> >
{
new Tuple <Type, TickType>(typeof(TradeBar), TickType.Trade),
new Tuple <Type, TickType>(typeof(QuoteBar), TickType.Quote),
new Tuple <Type, TickType>(typeof(OpenInterest), TickType.OpenInterest)
};
var configs = _subscriptionManager.SubscriptionDataConfigService.Add(symbol, Resolution.Second, false, false, false, false, false, subscriptionTypes);
var security = _securityService.CreateSecurity(symbol, configs, 1.0m, false);
Assert.IsFalse(symbol.IsCanonical());
Assert.AreEqual(security.Subscriptions.Count(), 3);
Assert.IsTrue(security.Subscriptions.Any(x => x.TickType == TickType.OpenInterest && x.Type == typeof(OpenInterest)));
Assert.IsTrue(security.Subscriptions.Any(x => x.TickType == TickType.Quote && x.Type == typeof(QuoteBar)));
Assert.IsTrue(security.Subscriptions.Any(x => x.TickType == TickType.Trade && x.Type == typeof(TradeBar)));
}