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Update unit test and create test cases
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@JosueNina
JosueNina committed Jan 16, 2025
1 parent 080e69c commit 60ce1b1
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Showing 2 changed files with 64 additions and 27 deletions.
25 changes: 12 additions & 13 deletions Algorithm/QCAlgorithm.History.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -1084,11 +1084,18 @@ private IEnumerable<SubscriptionDataConfig> GetMatchingSubscriptions(Symbol symb
// since this might be called when creating a security and warming it up
if (configs != null && configs.Count != 0)
{
// Check if resolution is set and not Daily or Hourly for an Equity symbol
if (resolution.HasValue && resolution != Resolution.Daily && resolution != Resolution.Hour && symbol.SecurityType == SecurityType.Equity)
if (resolution.HasValue && symbol.SecurityType == SecurityType.Equity)
{
// Lookup the subscription configuration data type for the Equity symbol, filtering for Quote tick type
type = SubscriptionManager.LookupSubscriptionConfigDataTypes(SecurityType.Equity, resolution.Value, false).Where(e => e.Item2 == TickType.Quote).FirstOrDefault().Item1;
// Check if resolution is set and not Daily or Hourly for an Equity symbol
if (resolution == Resolution.Daily || resolution == Resolution.Hour)
{
// for Daily and Hour resolution, for equities, we have to
// filter out any existing subscriptions that could be of Quote type
// This could happen if they were Resolution.Minute/Second/Tick
return configs.Where(s => s.TickType != TickType.Quote);
}

type = typeof(QuoteBar);
var entry = MarketHoursDatabase.GetEntry(symbol, new[] { type });

// Create a new SubscriptionDataConfig
Expand All @@ -1110,15 +1117,7 @@ private IEnumerable<SubscriptionDataConfig> GetMatchingSubscriptions(Symbol symb

// Sort the configs in descending order based on tick type
configs = configs.OrderByDescending(config => GetTickTypeOrder(config.SecurityType, config.TickType)).ToList();
}
if (resolution.HasValue
&& (resolution == Resolution.Daily || resolution == Resolution.Hour)
&& symbol.SecurityType == SecurityType.Equity)
{
// for Daily and Hour resolution, for equities, we have to
// filter out any existing subscriptions that could be of Quote type
// This could happen if they were Resolution.Minute/Second/Tick
return configs.Where(s => s.TickType != TickType.Quote);

}

if (symbol.IsCanonical() && configs.Count > 1)
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66 changes: 52 additions & 14 deletions Tests/Algorithm/AlgorithmHistoryTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -303,28 +303,66 @@ public void ExplicitTickResolutionHistoryRequestTradeBarApiThrowsException()
Assert.Throws<InvalidOperationException>(() => _algorithm.History(spy, 1, Resolution.Tick).ToList());
}

[Test]
public void VerifyHistoryWithMinuteResolutionDespiteEquityHourResolution()
[TestCase(Resolution.Tick, Resolution.Tick, true)]
[TestCase(Resolution.Tick, Resolution.Second, true)]
[TestCase(Resolution.Tick, Resolution.Minute, true)]
[TestCase(Resolution.Tick, Resolution.Hour, true)]
[TestCase(Resolution.Tick, Resolution.Daily, true)]
[TestCase(Resolution.Second, Resolution.Tick, true)]
[TestCase(Resolution.Second, Resolution.Second, true)]
[TestCase(Resolution.Second, Resolution.Minute, true)]
[TestCase(Resolution.Second, Resolution.Hour, true)]
[TestCase(Resolution.Second, Resolution.Daily, true)]
[TestCase(Resolution.Minute, Resolution.Tick, true)]
[TestCase(Resolution.Minute, Resolution.Second, true)]
[TestCase(Resolution.Minute, Resolution.Minute, true)]
[TestCase(Resolution.Minute, Resolution.Hour, true)]
[TestCase(Resolution.Minute, Resolution.Daily, true)]
[TestCase(Resolution.Hour, Resolution.Tick, false)]
[TestCase(Resolution.Hour, Resolution.Second, false)]
[TestCase(Resolution.Hour, Resolution.Minute, false)]
[TestCase(Resolution.Hour, Resolution.Hour, false)]
[TestCase(Resolution.Hour, Resolution.Daily, false)]
[TestCase(Resolution.Daily, Resolution.Tick, false)]
[TestCase(Resolution.Daily, Resolution.Second, false)]
[TestCase(Resolution.Daily, Resolution.Minute, false)]
[TestCase(Resolution.Daily, Resolution.Hour, false)]
[TestCase(Resolution.Daily, Resolution.Daily, false)]
public void VerifyReceivedDataBasedOnHistoryResolutionOnly(Resolution historyResolution, Resolution equityResolution, bool expected)
{
var algorithm = GetAlgorithm(new DateTime(2013, 10, 1));
algorithm.SetStartDate(2013, 10, 8);
algorithm.SetStartDate(2013, 10, 10);
var spy = algorithm.AddEquity("SPY", Resolution.Minute).Symbol;
var ibm = algorithm.AddEquity("IBM", Resolution.Hour).Symbol;
var ibm = algorithm.AddEquity("IBM", equityResolution).Symbol;

// Retrieve history for both symbols with Minute resolution
var history = algorithm.History(new[] { spy, ibm }, TimeSpan.FromDays(1), Resolution.Minute).ToList();
// Retrieving history for both symbols based on the given resolution
var history = algorithm.History(new[] { spy, ibm }, TimeSpan.FromDays(1), historyResolution);
var allHistory = history.SelectMany(slice => slice.AllData).ToList();

bool bothSymbolsHaveQuoteBars = history.Any(slice => slice.QuoteBars.ContainsKey(spy) && slice.QuoteBars.ContainsKey(ibm));
bool bothSymbolsHaveBars = history.Any(slice => slice.Bars.ContainsKey(spy) && slice.Bars.ContainsKey(ibm));
// Flags to check if there's Quote data for SPY and IBM
var spyFlag = false;
var ibmFlag = false;

// Ensure history contains data
Assert.IsTrue(history.Count > 0);
// If the history resolution is Tick, check for Quote-type ticks
if (historyResolution == Resolution.Tick)
{
var ticks = allHistory.OfType<Tick>().Where(e => e.TickType == TickType.Quote).ToList();
spyFlag = ticks.Any(e => e.Symbol == spy);
ibmFlag = ticks.Any(e => e.Symbol == ibm);
}

// Checking for QuoteBar data for SPY and IBM
var quoteBars = allHistory.Where(e => e.DataType == MarketDataType.QuoteBar).ToList();
spyFlag |= quoteBars.Any(e => e.Symbol == spy);
ibmFlag |= quoteBars.Any(e => e.Symbol == ibm);
// Verifying that both symbols have Quote data based on the history resolution
bool bothSymbolsHaveQuotes = spyFlag & ibmFlag;

// Assert both symbols have QuoteBars data
Assert.IsTrue(bothSymbolsHaveQuoteBars);
// Ensure history contains data
Assert.IsTrue(allHistory.Count > 0);

// Assert both symbols have Bars data
Assert.IsTrue(bothSymbolsHaveBars);
// Asserting that the result matches the expected outcome
Assert.AreEqual(expected, bothSymbolsHaveQuotes);
}

[TestCase(Language.CSharp)]
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