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 ChecksMapFileFirstDate()
{
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
algorithm.Initialize();
algorithm.PostInitialize();
var resultHandler = new TestResultHandler();
using var cache = new ZipDataCacheProvider(TestGlobals.DataProvider);
var factory = new SubscriptionDataReaderSubscriptionEnumeratorFactory(resultHandler, TestGlobals.MapFileProvider, TestGlobals.FactorFileProvider, cache, 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, TestGlobals.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 dates for the following symbols have been adjusted to match their map files first date: [AAA, 2020-09-09]"));
}
private Subscription CreateDataSubscription(SubscriptionRequest request)
{
// ReSharper disable once PossibleMultipleEnumeration
if (!request.TradableDays.Any())
{
_algorithm.Error(
$"No data loaded for {request.Security.Symbol} because there were no tradeable dates for this security."
);
return(null);
}
// ReSharper disable once PossibleMultipleEnumeration
var enumerator = _subscriptionFactory.CreateEnumerator(request, _dataProvider);
enumerator = ConfigureEnumerator(request, false, enumerator);
return(SubscriptionUtils.CreateAndScheduleWorker(request, enumerator, _factorFileProvider, true));
}
public void TestDataFeedEnumeratorStackSpeed()
{
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
algorithm.Initialize();
algorithm.PostInitialize();
var dataProvider = new DefaultDataProvider();
var resultHandler = new BacktestingResultHandler();
var mapFileProvider = new LocalDiskMapFileProvider();
var factorFileProvider = new LocalDiskFactorFileProvider(mapFileProvider);
var factory = new SubscriptionDataReaderSubscriptionEnumeratorFactory(resultHandler, mapFileProvider, factorFileProvider, dataProvider, true, enablePriceScaling: false);
var universe = algorithm.UniverseManager.Single().Value;
var security = algorithm.Securities.Single().Value;
var securityConfig = security.Subscriptions.First();
var subscriptionRequest = new SubscriptionRequest(false, universe, security, securityConfig, algorithm.StartDate, algorithm.EndDate);
var enumerator = factory.CreateEnumerator(subscriptionRequest, dataProvider);
var count = 0;
var stopwatch = Stopwatch.StartNew();
var lastMonth = algorithm.StartDate.Month;
while (enumerator.MoveNext())
{
var current = enumerator.Current;
if (current == null)
{
Log.Trace("ERROR: Current is null");
continue;
}
if (current.Time.Month != lastMonth)
{
var elapsed = stopwatch.Elapsed.TotalSeconds;
var thousands = count / 1000d;
Log.Trace($"{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}");
}
private IEnumerator <BaseData> CreateDataEnumerator(SubscriptionRequest request)
{
// ReSharper disable once PossibleMultipleEnumeration
if (!request.TradableDays.Any())
{
_algorithm.Error(
$"No data loaded for {request.Security.Symbol} because there were no tradeable dates for this security."
);
return(null);
}
// ReSharper disable once PossibleMultipleEnumeration
var enumerator = _subscriptionFactory.CreateEnumerator(request, _dataProvider);
enumerator = ConfigureEnumerator(request, false, enumerator);
return(enumerator);
}