public void HandlesCoarseFundamentalData()
{
var algorithm = new AlgorithmStub();
Symbol symbol = CoarseFundamental.CreateUniverseSymbol(Market.USA);
algorithm.SetUniverse(new FuncUniverse(
new SubscriptionDataConfig(typeof(CoarseFundamental), symbol, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork, false, false, false),
new SubscriptionSettings(Resolution.Second, 1, true, false),
coarse => coarse.Take(10).Select(x => x.Symbol)
));
var lck = new object();
BaseDataCollection list = null;
const int coarseDataPointCount = 100000;
var timer = new Timer(state =>
{
var currentTime = DateTime.UtcNow.ConvertFromUtc(TimeZones.NewYork);
Console.WriteLine(currentTime + ": timer.Elapsed");
lock (state)
{
list = new BaseDataCollection {
Symbol = symbol
};
list.Data.AddRange(Enumerable.Range(0, coarseDataPointCount).Select(x => new CoarseFundamental
{
Symbol = SymbolCache.GetSymbol(x.ToString()),
Time = currentTime - Time.OneDay, // hard-coded coarse period of one day
}));
}
}, lck, TimeSpan.FromSeconds(3), TimeSpan.FromSeconds(500));
bool yieldedUniverseData = false;
var feed = RunDataFeed(algorithm, fdqh =>
{
lock (lck)
{
if (list != null)
{
try
{
var tmp = list;
return(new List <BaseData> {
tmp
});
}
finally
{
list = null;
yieldedUniverseData = true;
}
}
}
return(Enumerable.Empty <BaseData>());
});
Assert.IsTrue(feed.Subscriptions.Any(x => x.IsUniverseSelectionSubscription));
var universeSelectionHadAllData = false;
feed.UniverseSelection += (sender, args) =>
{
universeSelectionHadAllData = args.Data.Count == coarseDataPointCount;
Console.WriteLine(DateTime.UtcNow.ConvertFromUtc(TimeZones.NewYork).ToString("o") + ": Fired universe selection. Count: " + args.Data.Count);
return(SecurityChanges.None);
};
ConsumeBridge(feed, TimeSpan.FromSeconds(5), ts =>
{
});
Assert.IsTrue(yieldedUniverseData);
Assert.IsTrue(universeSelectionHadAllData);
}
public void HandlesCoarseFundamentalData()
{
var algorithm = new AlgorithmStub();
Symbol symbol = "qc-universe-coarse-usa";
algorithm.SetUniverse(new FuncUniverse(
new SubscriptionDataConfig(typeof(CoarseFundamental), SecurityType.Base, symbol, Resolution.Daily, "usa", TimeZones.NewYork, false, false, false),
new SubscriptionSettings(Resolution.Second, 1, true, false),
coarse => coarse.Take(10).Select(x => x.Symbol)
));
var lck = new object();
BaseDataCollection list = null;
const int coarseDataPointCount = 100000;
var timer = new Timer(state =>
{
var currentTime = DateTime.UtcNow.ConvertFromUtc(TimeZones.NewYork);
Console.WriteLine(currentTime + ": timer.Elapsed");
lock (state)
{
list = new BaseDataCollection {Symbol = symbol};
list.Data.AddRange(Enumerable.Range(0, coarseDataPointCount).Select(x => new CoarseFundamental
{
Symbol = x.ToString(),
Time = currentTime - Time.OneDay, // hard-coded coarse period of one day
}));
}
}, lck, TimeSpan.FromSeconds(3), TimeSpan.FromSeconds(500));
bool yieldedUniverseData = false;
var feed = RunDataFeed(algorithm, fdqh =>
{
lock (lck)
{
if (list != null)
try
{
var tmp = list;
return new List<BaseData> { tmp };
}
finally
{
list = null;
yieldedUniverseData = true;
}
}
return Enumerable.Empty<BaseData>();
});
Assert.IsTrue(feed.Subscriptions.Any(x => x.IsUniverseSelectionSubscription));
var universeSelectionHadAllData = false;
feed.UniverseSelection += (sender, args) =>
{
universeSelectionHadAllData = args.Data.Count == coarseDataPointCount;
Console.WriteLine(DateTime.UtcNow.ConvertFromUtc(TimeZones.NewYork).ToString("o") + ": Fired universe selection. Count: " + args.Data.Count);
};
ConsumeBridge(feed, TimeSpan.FromSeconds(5), ts =>
{
});
Assert.IsTrue(yieldedUniverseData);
Assert.IsTrue(universeSelectionHadAllData);
}
