Merge pull request QuantConnect#3764 from QuantConnect/bug-3760-renko…

…bar-consolidator-forex-tick Fix SubscriptionManager consolidator check for Tick resolution
Coulbe · Oct 24, 2019 · 8070c81 · 8070c81
2 parents dca8f36 + 9c257a4
commit 8070c81
Show file tree

Hide file tree

Showing 2 changed files with 40 additions and 2 deletions.
diff --git a/Common/Data/SubscriptionManager.cs b/Common/Data/SubscriptionManager.cs
@@ -255,9 +255,13 @@ public void SetDataManager(IAlgorithmSubscriptionManager subscriptionManager)
         /// <returns>true if the subscription is valid for the consolidator</returns>
         public static bool IsSubscriptionValidForConsolidator(SubscriptionDataConfig subscription, IDataConsolidator consolidator)
         {
-            if (subscription.Type == typeof(Tick))
+            if (subscription.Type == typeof(Tick) &&
+                LeanData.IsCommonLeanDataType(consolidator.OutputType))
             {
-                var tickType = LeanData.GetCommonTickTypeForCommonDataTypes(consolidator.OutputType, subscription.Symbol.SecurityType);
+                var tickType = LeanData.GetCommonTickTypeForCommonDataTypes(
+                    consolidator.OutputType,
+                    subscription.Symbol.SecurityType);
+
                 return subscription.TickType == tickType;
             }
 

diff --git a/Tests/Common/Data/SubscriptionManagerTests.cs b/Tests/Common/Data/SubscriptionManagerTests.cs
@@ -184,6 +184,40 @@ public void GetsCustomSubscriptionDataTypes()
         [TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(TradeBar), false)]
         [TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(QuoteBar), false)]
         [TestCase(SecurityType.Future, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(OpenInterest), true)]
+
+        [TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(TradeBar), true)]
+        [TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(QuoteBar), false)]
+        [TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(OpenInterest), false)]
+        [TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(TradeBar), false)]
+        [TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(QuoteBar), true)]
+        [TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(OpenInterest), false)]
+        [TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(TradeBar), false)]
+        [TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(QuoteBar), false)]
+        [TestCase(SecurityType.Option, Resolution.Tick, typeof(Tick), TickType.OpenInterest, typeof(OpenInterest), true)]
+
+        [TestCase(SecurityType.Equity, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(TradeBar), true)]
+        [TestCase(SecurityType.Equity, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(QuoteBar), false)]
+        [TestCase(SecurityType.Equity, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(OpenInterest), false)]
+        [TestCase(SecurityType.Equity, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(RenkoBar), true)]
+
+        [TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(TradeBar), false)]
+        [TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(QuoteBar), true)]
+        [TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(OpenInterest), false)]
+        [TestCase(SecurityType.Forex, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(RenkoBar), true)]
+
+        [TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(TradeBar), false)]
+        [TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(QuoteBar), true)]
+        [TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(OpenInterest), false)]
+        [TestCase(SecurityType.Cfd, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(RenkoBar), true)]
+
+        [TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(TradeBar), true)]
+        [TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(QuoteBar), false)]
+        [TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(OpenInterest), false)]
+        [TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Trade, typeof(RenkoBar), true)]
+        [TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(TradeBar), false)]
+        [TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(QuoteBar), true)]
+        [TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(OpenInterest), false)]
+        [TestCase(SecurityType.Crypto, Resolution.Tick, typeof(Tick), TickType.Quote, typeof(RenkoBar), true)]
         public void ValidatesSubscriptionTickTypesForConsolidators(
             SecurityType securityType,
             Resolution subscriptionResolution,