Пример #1
0
        public void FutureChainEnumerator(bool fillForward)
        {
            var job           = new BacktestNodePacket();
            var resultHandler = new BacktestingResultHandler();
            var feed          = new FileSystemDataFeed();
            var algorithm     = new AlgorithmStub(feed);

            algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
            algorithm.SetStartDate(new DateTime(2013, 10, 07));
            algorithm.SetEndDate(new DateTime(2013, 10, 08));
            algorithm.SetFutureChainProvider(new BacktestingFutureChainProvider(TestGlobals.DataCacheProvider));

            var dataPermissionManager = new DataPermissionManager();

            using var synchronizer = new Synchronizer();
            synchronizer.Initialize(algorithm, algorithm.DataManager);

            feed.Initialize(algorithm, job, resultHandler, TestGlobals.MapFileProvider, TestGlobals.FactorFileProvider, TestGlobals.DataProvider, algorithm.DataManager, synchronizer, dataPermissionManager.DataChannelProvider);
            var future = algorithm.AddFuture("ES", fillDataForward: fillForward);

            future.SetFilter(0, 300);
            algorithm.PostInitialize();

            using var cancellationTokenSource = new CancellationTokenSource(TimeSpan.FromSeconds(30));
            var count     = 0L;
            var lastMonth = algorithm.StartDate.Month;

            foreach (var timeSlice in synchronizer.StreamData(cancellationTokenSource.Token))
            {
                if (!timeSlice.IsTimePulse && timeSlice.UniverseData?.Count > 0)
                {
                    var nyTime = timeSlice.Time.ConvertFromUtc(algorithm.TimeZone);

                    var currentExpectedTime = new TimeSpan(0, 0, 0).Add(TimeSpan.FromMinutes(count % (24 * 60)));
                    while (!future.Exchange.DateTimeIsOpen(nyTime.Date.Add(currentExpectedTime).AddMinutes(-1)))
                    {
                        // skip closed market times
                        currentExpectedTime = new TimeSpan(0, 0, 0).Add(TimeSpan.FromMinutes(++count % (24 * 60)));
                    }
                    var universeData = timeSlice.UniverseData.OrderBy(kvp => kvp.Key.Configuration.Symbol).ToList();

                    var chainData = universeData[0].Value;

                    Log.Trace($"{nyTime}. Count: {count}. Universe Data Count {universeData.Count}");
                    Assert.AreEqual(currentExpectedTime, nyTime.TimeOfDay, $"Failed on: {nyTime}. Count: {count}");
                    Assert.IsTrue(timeSlice.UniverseData.All(kvp => kvp.Value.EndTime.ConvertFromUtc(algorithm.TimeZone).TimeOfDay == nyTime.TimeOfDay));
                    if (chainData.FilteredContracts.IsNullOrEmpty())
                    {
                        Assert.AreEqual(new DateTime(2013, 10, 09), nyTime, $"Unexpected chain FilteredContracts was empty on {nyTime}");
                    }

                    if (universeData.Count == 1)
                    {
                        // the chain
                        Assert.IsTrue(universeData.Any(kvp => kvp.Key.Configuration.Symbol == future.Symbol));
                    }
                    else
                    {
                        // we have 2 universe data, the chain and the continuous future
                        Assert.AreEqual(2, universeData.Count);
                        Assert.IsTrue(universeData.All(kvp => kvp.Key.Configuration.Symbol.SecurityType == SecurityType.Future));
                        Assert.IsTrue(universeData.Any(kvp => kvp.Key.Configuration.Symbol == future.Symbol));
                        Assert.IsTrue(universeData.Any(kvp => kvp.Key.Configuration.Symbol.ID.Symbol.Contains("CONTINUOUS", StringComparison.InvariantCultureIgnoreCase)));

                        var continuousData = universeData[1].Value;
                        Assert.AreEqual(currentExpectedTime, nyTime.TimeOfDay, $"Failed on: {nyTime}");
                        Assert.IsTrue(!chainData.FilteredContracts.IsNullOrEmpty());
                    }

                    count++;
                }
            }
            feed.Exit();
            algorithm.DataManager.RemoveAllSubscriptions();

            // 2 days worth of minute data
            Assert.AreEqual(24 * 2 * 60 + 1, count);
        }