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* feat: OpenInterestProcessorManager * remove: unsupported OpenInterest exception * feat: init ScheduleNextRun of openInterestManager refactor: PolygonOpenInterestProcessorManager * feat: new ProcessFeed() to validate subscription process * test:feat: PolygonOpenInterestProcessorManager * remove: commented code * test:refactor: PolygonOpenInterestProcessorManagerTests * refactor: use new Tick constructor feat: use new GetSubscribedSymbols by TickType feat: wrap in try/catch RunProcessOpenInterest * refactor: change timer delay instead of create new one * feat: Validate MarketOpen for each symbols refactor: naming of variables test:feat: with different Times for OpenInterestManager * refactor: move validation on OpenInterest in History request * feat: skip subscription on OpenInterest in SubscriptionManager * test:refactor: actual parameters of Option subscription + OpenInterest * clean: spacing * test:refactor: rename test * refactor: lock _dataAggregator in ProcessOpenInterest refactor: reuse UtcNow variable * feat: use lock to all of _dataAggregator.Update()
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QuantConnect.Polygon.Tests/PolygonOpenInterestProcessorManagerTests.cs
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| /* | ||
| * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. | ||
| * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. | ||
| * | ||
| * Licensed under the Apache License, Version 2.0 (the "License"); | ||
| * you may not use this file except in compliance with the License. | ||
| * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 | ||
| * | ||
| * Unless required by applicable law or agreed to in writing, software | ||
| * distributed under the License is distributed on an "AS IS" BASIS, | ||
| * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. | ||
| * See the License for the specific language governing permissions and | ||
| * limitations under the License. | ||
| */ | ||
|
|
||
| using System; | ||
| using NUnit.Framework; | ||
| using System.Threading; | ||
| using QuantConnect.Data; | ||
| using QuantConnect.Tests; | ||
| using QuantConnect.Data.Market; | ||
| using System.Collections.Generic; | ||
| using QuantConnect.Configuration; | ||
| using System.Collections.Concurrent; | ||
| using QuantConnect.Lean.Engine.DataFeeds; | ||
|
|
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| namespace QuantConnect.Lean.DataSource.Polygon.Tests | ||
| { | ||
| public class PolygonOpenInterestProcessorManagerTests : PolygonDataProviderBaseTests | ||
| { | ||
| private readonly PolygonRestApiClient _restApiClient = new(Config.Get("polygon-api-key")); | ||
|
|
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| private readonly PolygonSymbolMapper symbolMapper = new(); | ||
|
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| private readonly PolygonAggregationManager dataAggregator = new(); | ||
|
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| private readonly ManualTimeProvider _timeProviderInstance = new(); | ||
|
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| private readonly EventBasedDataQueueHandlerSubscriptionManager _subscriptionManager = new() | ||
| { | ||
| SubscribeImpl = (symbols, _) => { return true; }, | ||
| UnsubscribeImpl = (symbols, _) => { return true; } | ||
| }; | ||
|
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| private object _locker = new(); | ||
|
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| [TestCase("2024-09-16T09:30:59", true, Description = "Market: After Opening")] | ||
| [TestCase("2024-09-16T15:28:59", true, Description = "Market: Before Closing")] | ||
| [TestCase("2024-09-16T16:28:59", false, Description = "Market: Closed")] | ||
| public void GetOpenInterestInDifferentTimeExchangeTime(string mockDateTime, bool isShouldReturnData) | ||
| { | ||
| var waitOneDelay = isShouldReturnData ? TimeSpan.FromSeconds(30) : TimeSpan.FromSeconds(5); | ||
| var resetEvent = new AutoResetEvent(false); | ||
| var cancellationTokenSource = new CancellationTokenSource(); | ||
| var optionContractsConfigs = GetConfigs(); | ||
|
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| var symbolOpenInterest = new ConcurrentDictionary<Symbol, decimal>(); | ||
| Action<BaseData> callback = (baseData) => | ||
| { | ||
| if (baseData == null) | ||
| { | ||
| return; | ||
| } | ||
|
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| lock (_locker) | ||
| { | ||
| symbolOpenInterest[baseData.Symbol] = baseData.Value; | ||
|
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| if (symbolOpenInterest.Count > 5) | ||
| { | ||
| resetEvent.Set(); | ||
| } | ||
| } | ||
| }; | ||
|
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| foreach (var config in optionContractsConfigs) | ||
| { | ||
| _subscriptionManager.Subscribe(config); | ||
| ProcessFeed( | ||
| Subscribe(dataAggregator, config, (sender, args) => { }), | ||
| cancellationTokenSource.Token, | ||
| callback: callback | ||
| ); | ||
| } | ||
|
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| var mockDateTimeAfterOpenExchange = DateTime.Parse(mockDateTime).ConvertTo(TimeZones.NewYork, TimeZones.Utc); | ||
| _timeProviderInstance.SetCurrentTimeUtc(mockDateTimeAfterOpenExchange); | ||
| var processor = new PolygonOpenInterestProcessorManager(_timeProviderInstance, _restApiClient, symbolMapper, _subscriptionManager, dataAggregator, GetTickTime); | ||
| processor.ScheduleNextRun(); | ||
| resetEvent.WaitOne(waitOneDelay, cancellationTokenSource.Token); | ||
|
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| if (isShouldReturnData) | ||
| { | ||
| Assert.Greater(symbolOpenInterest.Count, 0); | ||
| foreach (var (symbol, openInterest) in symbolOpenInterest) | ||
| { | ||
| Assert.Greater(openInterest, 0); | ||
| } | ||
| } | ||
| else | ||
| { | ||
| Assert.Zero(symbolOpenInterest.Count); | ||
| } | ||
|
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| cancellationTokenSource.Cancel(); | ||
| cancellationTokenSource.Dispose(); | ||
| processor.Dispose(); | ||
| symbolOpenInterest.Clear(); | ||
| } | ||
|
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| protected override List<SubscriptionDataConfig> GetConfigs(Resolution resolution = Resolution.Second) | ||
| { | ||
| var configs = new List<SubscriptionDataConfig>(); | ||
|
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| var expiryContractDate = new DateTime(2024, 09, 20); | ||
| var strikesAAPL = new decimal[] { 100m, 105m, 110m, 115m, 120m, 125m, 130m, 135m, 140m, 145m }; | ||
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| foreach (var strike in strikesAAPL) | ||
| { | ||
| var optionContract = Symbol.CreateOption(Symbols.AAPL, Market.USA, OptionStyle.American, OptionRight.Call, strike, expiryContractDate); | ||
| configs.Add(GetSubscriptionDataConfig<OpenInterest>(optionContract, resolution)); | ||
| } | ||
|
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| var strikesSPY = new decimal[] { 300m, 320m, 360m, 365m, 380m, 400m, 415m, 420m, 430m, 435m }; | ||
|
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| foreach (var strike in strikesSPY) | ||
| { | ||
| var optionContract = Symbol.CreateOption(Symbols.SPY, Market.USA, OptionStyle.American, OptionRight.Call, strike, expiryContractDate); | ||
| configs.Add(GetSubscriptionDataConfig<OpenInterest>(optionContract, resolution)); | ||
| } | ||
|
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| return configs; | ||
| } | ||
|
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| private DateTime GetTickTime(Symbol symbol, DateTime utcTime) => utcTime.ConvertFromUtc(TimeZones.NewYork); | ||
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| private IEnumerator<BaseData> Subscribe(PolygonAggregationManager dataAggregator, SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler) | ||
| => dataAggregator.Add(dataConfig, newDataAvailableHandler); | ||
| } | ||
| } |
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