Feature: new Tick constructor for TickType.OpenInterest (#8323)

* feat: create OpenInterest constrcutor of Tick * feat: GetSubscribedSymbols by TickType * test:feat: GetSubscribeSymbolsBySpecificTickType * refactor: equal channel name with InvariantCultureIgnoreCase
QuantConnect · Sep 17, 2024 · c556d16 · c556d16
1 parent 6351773
commit c556d16
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diff --git a/Common/Data/DataQueueHandlerSubscriptionManager.cs b/Common/Data/DataQueueHandlerSubscriptionManager.cs
@@ -102,6 +102,21 @@ public IEnumerable<Symbol> GetSubscribedSymbols()
                 .Distinct();
         }
 
+        /// <summary>
+        /// Retrieves the list of unique <see cref="Symbol"/> instances that are currently subscribed for a specific <see cref="TickType"/>.
+        /// </summary>
+        /// <param name="tickType">The type of tick data to filter subscriptions by.</param>
+        /// <returns>A collection of unique <see cref="Symbol"/> objects that match the specified <paramref name="tickType"/>.</returns>
+        public IEnumerable<Symbol> GetSubscribedSymbols(TickType tickType)
+        {
+            var channelName = ChannelNameFromTickType(tickType);
+#pragma warning disable CA1309
+            return SubscribersByChannel.Keys.Where(x => x.Name.Equals(channelName, StringComparison.InvariantCultureIgnoreCase))
+#pragma warning restore CA1309
+                .Select(c => c.Symbol)
+                .Distinct();
+        }
+
         /// <summary>
         /// Checks if there is existing subscriber for current channel
         /// </summary>

diff --git a/Common/Data/Market/Tick.cs b/Common/Data/Market/Tick.cs
@@ -231,6 +231,21 @@ public Tick(DateTime time, Symbol symbol, decimal bid, decimal ask)
             AskPrice = ask;
         }
 
+        /// <summary>
+        /// Initializes a new instance of the <see cref="Tick"/> class to <see cref="TickType.OpenInterest"/>.
+        /// </summary>
+        /// <param name="time">The time at which the open interest tick occurred.</param>
+        /// <param name="symbol">The symbol associated with the open interest tick.</param>
+        /// <param name="openInterest">The value of the open interest for the specified symbol.</param>
+        public Tick(DateTime time, Symbol symbol, decimal openInterest)
+        {
+            Time = time;
+            Symbol = symbol;
+            Value = openInterest;
+            DataType = MarketDataType.Tick;
+            TickType = TickType.OpenInterest;
+        }
+
         /// <summary>
         /// Initializer for a last-trade equity tick with bid or ask prices.
         /// </summary>

diff --git a/Tests/Common/Data/DataQueueHandlerSubscriptionManagerTests.cs b/Tests/Common/Data/DataQueueHandlerSubscriptionManagerTests.cs
@@ -113,6 +113,33 @@ public void SubscribeManyPerChannel()
             Assert.IsFalse(subscriptionManager.IsSubscribed(Symbols.AAPL, TickType.Quote));
         }
 
+        [TestCase(TickType.Trade, MarketDataType.TradeBar, 1)]
+        [TestCase(TickType.Trade, MarketDataType.QuoteBar, 0)]
+        [TestCase(TickType.Quote, MarketDataType.QuoteBar, 1)]
+        [TestCase(TickType.OpenInterest, MarketDataType.Tick, 1)]
+        [TestCase(TickType.OpenInterest, MarketDataType.TradeBar, 0)]
+        public void GetSubscribeSymbolsBySpecificTickType(TickType tickType, MarketDataType dataType, int expectedCount)
+        {
+            using var fakeDataQueueHandler = new FakeDataQueuehandlerSubscriptionManager((tickType) => tickType!.ToString());
+
+            switch (dataType)
+            {
+                case MarketDataType.TradeBar:
+                    fakeDataQueueHandler.Subscribe(GetSubscriptionDataConfig<TradeBar>(Symbols.AAPL, Resolution.Minute));
+                    break;
+                case MarketDataType.QuoteBar:
+                    fakeDataQueueHandler.Subscribe(GetSubscriptionDataConfig<QuoteBar>(Symbols.AAPL, Resolution.Minute));
+                    break;
+                case MarketDataType.Tick:
+                    fakeDataQueueHandler.Subscribe(GetSubscriptionDataConfig<OpenInterest>(Symbols.AAPL, Resolution.Minute));
+                    break;
+            }
+
+            var subscribeSymbols = fakeDataQueueHandler.GetSubscribedSymbols(tickType).ToList();
+
+            Assert.That(subscribeSymbols.Count, Is.EqualTo(expectedCount));
+        }
+
         #region helper
 
         private SubscriptionDataConfig GetSubscriptionDataConfig(Type T, Symbol symbol, Resolution resolution, TickType? tickType = null)