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 RemovalFromUniverseAndDataFeedMakesSecurityNotTradable()
{
SymbolCache.Clear();
var algorithm = new AlgorithmStub(new MockDataFeedWithSubscription());
var orderProcessorMock = new Mock <IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >())).Returns(new List <Order>());
algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
algorithm.SetStartDate(2012, 3, 27);
algorithm.SetEndDate(2012, 3, 30);
algorithm.AddUniverse("my-custom-universe", dt => dt.Day < 30 ? new List <string> {
"CPRT"
} : Enumerable.Empty <string>());
// OnEndOfTimeStep will add all pending universe additions
algorithm.OnEndOfTimeStep();
var universe = algorithm.UniverseManager.Values.First();
var securityChanges = algorithm.DataManager.UniverseSelection.ApplyUniverseSelection(
universe,
algorithm.EndDate.ConvertToUtc(algorithm.TimeZone).Subtract(TimeSpan.FromDays(2)),
new BaseDataCollection(
algorithm.UtcTime,
Symbol.Create("CPRT", SecurityType.Equity, Market.USA),
new List <BaseData>()
)
);
Assert.AreEqual(1, securityChanges.AddedSecurities.Count);
Assert.AreEqual(0, securityChanges.RemovedSecurities.Count);
var security = securityChanges.AddedSecurities.First();
Assert.IsTrue(security.IsTradable);
securityChanges = algorithm.DataManager.UniverseSelection.ApplyUniverseSelection(
universe,
algorithm.EndDate.ConvertToUtc(algorithm.TimeZone),
new BaseDataCollection(
algorithm.UtcTime,
Symbol.Create("CPRT", SecurityType.Equity, Market.USA),
new List <BaseData>()
)
);
Assert.AreEqual(0, securityChanges.AddedSecurities.Count);
Assert.AreEqual(1, securityChanges.RemovedSecurities.Count);
Assert.AreEqual(security.Symbol, securityChanges.RemovedSecurities.First().Symbol);
Assert.IsFalse(security.IsTradable);
}
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 CoarseFundamentalHasFundamentalDataFalseExcludedInFineUniverseSelection()
{
var algorithm = new AlgorithmStub(new MockDataFeed());
algorithm.SetEndDate(Time.EndOfTime);
algorithm.SetStartDate(DateTime.UtcNow.Subtract(TimeSpan.FromDays(10)));
algorithm.AddUniverse(
coarse => coarse.Select(c => c.Symbol),
fine => fine.Select(f => f.Symbol)
);
// OnEndOfTimeStep will add all pending universe additions
algorithm.OnEndOfTimeStep();
var universe = algorithm.UniverseManager.Values.First();
var securityChanges = algorithm.DataManager.UniverseSelection.ApplyUniverseSelection(
universe,
algorithm.EndDate.ConvertToUtc(algorithm.TimeZone).Subtract(TimeSpan.FromDays(1)),
new BaseDataCollection(
DateTime.UtcNow,
Symbols.AAPL,
new[]
{
new CoarseFundamental
{
Symbol = Symbols.AAPL,
HasFundamentalData = true
},
new CoarseFundamental
{
Symbol = Symbols.SPY,
HasFundamentalData = false
}
}
)
);
Assert.AreEqual(1, securityChanges.Count);
Assert.AreEqual(Symbols.AAPL, securityChanges.AddedSecurities.First().Symbol);
}
public void CreatedEquityIsNotAddedToSymbolCache()
{
SymbolCache.Clear();
var algorithm = new AlgorithmStub(new MockDataFeed());
algorithm.SetEndDate(Time.EndOfTime);
algorithm.SetStartDate(DateTime.UtcNow.Subtract(TimeSpan.FromDays(10)));
algorithm.AddUniverse(CoarseSelectionFunction, FineSelectionFunction);
// OnEndOfTimeStep will add all pending universe additions
algorithm.OnEndOfTimeStep();
var universe = algorithm.UniverseManager.Values.First();
var securityChanges = algorithm.DataManager.UniverseSelection.ApplyUniverseSelection(
universe,
algorithm.EndDate.ConvertToUtc(algorithm.TimeZone).Subtract(TimeSpan.FromDays(1)),
new BaseDataCollection(
DateTime.UtcNow,
Symbols.AAPL,
new[]
{
new CoarseFundamental
{
Symbol = Symbols.AAPL,
HasFundamentalData = true
},
new CoarseFundamental
{
Symbol = Symbols.SPY,
HasFundamentalData = false
}
}
)
);
Symbol symbol;
Assert.AreEqual(1, securityChanges.AddedSecurities.Count);
Assert.AreEqual(Symbols.AAPL, securityChanges.AddedSecurities.First().Symbol);
Assert.IsFalse(SymbolCache.TryGetSymbol("AAPL", out symbol));
Assert.IsFalse(SymbolCache.TryGetSymbol("SPY", out symbol));
}