Add one more unit test

Author: Marinovsky

Engine/RealTime/LiveTradingRealTimeHandler.cs

@@ -119,7 +119,7 @@ private void Run()
         protected void RefreshMarketHoursToday(DateTime date)
         {
             date = date.Date;
-            MarketHoursDatabase.Reset();
+            ResetMarketHoursDatabase();
 
             // update market hours for each security
             foreach (var kvp in Algorithm.Securities)
@@ -201,5 +201,15 @@ protected virtual IEnumerable<MarketHoursSegment> GetMarketHours(DateTime time,
                 yield return segment;
             }
         }
+
+        /// <summary>
+        /// Resets the market hours database, forcing a reload when reused.
+        /// Called in tests where multiple algorithms are run sequentially,
+        /// and we need to guarantee that every test starts with the same environment.
+        /// </summary>
+        protected virtual void ResetMarketHoursDatabase()
+        {
+            MarketHoursDatabase.Reset();
+        }
     }
 }

Tests/Engine/RealTime/LiveTradingRealTimeHandlerTests.cs

@@ -25,6 +25,14 @@
 using System.Linq;
 using QuantConnect.Securities;
 using System.Collections.Generic;
+using QuantConnect.Data.Market;
+using QuantConnect.Lean.Engine.TransactionHandlers;
+using Moq;
+using QuantConnect.Brokerages.Backtesting;
+using static QuantConnect.Tests.Engine.BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests;
+using QuantConnect.Orders;
+using System.Reflection;
+using QuantConnect.Lean.Engine.HistoricalData;
 
 namespace QuantConnect.Tests.Engine.RealTime
 {
@@ -81,14 +89,65 @@ public void RefreshesMarketHoursCorrectly(SecurityExchangeHours securityExchange
                 null,
                 new TestTimeLimitManager());
 
-            var time = new DateTime(2023, 5, 28).Date;
+            var time = new DateTime(2023, 5, 30).Date;
             var entry = new MarketHoursDatabase.Entry(TimeZones.NewYork, securityExchangeHours);
             var key = new SecurityDatabaseKey(Market.USA, null, SecurityType.Equity);
             var mhdb = new MarketHoursDatabase(new Dictionary<SecurityDatabaseKey, MarketHoursDatabase.Entry>() { { key, entry} });
             realTimeHandler.SetMarketHoursDatabase(mhdb);
             realTimeHandler.TestRefreshMarketHoursToday(security, time, expectedSegment);
         }
 
+        [Test]
+        public void ResetMarketHoursCorrectly()
+        {
+            var algorithm = new TestAlgorithm { HistoryProvider = new FakeHistoryProvider() };
+            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
+            algorithm.SetCash(100000);
+            algorithm.SetStartDate(2023, 5, 30);
+            algorithm.SetEndDate(2023, 5, 30);
+            var security = algorithm.AddEquity("SPY");
+            security.Exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
+            var symbol = security.Symbol;
+            algorithm.SetFinishedWarmingUp();
+
+            var handleOptionNotification = typeof(BrokerageTransactionHandler).GetMethod("HandleOptionNotification", BindingFlags.NonPublic | BindingFlags.Instance);
+
+            var transactionHandler = new TestBrokerageTransactionHandler();
+            var broker = new BacktestingBrokerage(algorithm);
+            transactionHandler.Initialize(algorithm, broker, new BacktestingResultHandler());
+
+            // Creates a market order
+            security.SetMarketPrice(new TradeBar(new DateTime(2023, 5, 30), symbol, 280m, 280m, 280m, 280m, 100));
+
+            var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1, 0, 0, new DateTime(2023, 5, 30), "TestTag1");
+
+            var orderProcessorMock = new Mock<IOrderProcessor>();
+            orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny<int>())).Returns(new OrderTicket(algorithm.Transactions, orderRequest));
+            algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
+            var orderTicket = transactionHandler.Process(orderRequest);
+            transactionHandler.HandleOrderRequest(orderRequest);
+            Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted);
+            broker.Scan();
+            Assert.IsTrue(orderTicket.Status == OrderStatus.Filled);
+
+            var realTimeHandler = new TestLiveTradingRealTimeHandlerReset();
+            realTimeHandler.Setup(algorithm,
+                new AlgorithmNodePacket(PacketType.AlgorithmNode),
+                new BacktestingResultHandler(),
+                null,
+                new TestTimeLimitManager());
+            realTimeHandler.AddRefreshHoursScheduledEvent();
+
+            orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1, 0, 0, new DateTime(2023, 5, 30), "TestTag2");
+            orderRequest.SetOrderId(2);
+            orderTicket = transactionHandler.Process(orderRequest);
+            transactionHandler.HandleOrderRequest(orderRequest);
+            Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted);
+            broker.Scan();
+            Assert.IsTrue(orderTicket.Status != OrderStatus.Filled);
+            realTimeHandler.Exit();
+        }
+
         private class TestTimeLimitManager : IIsolatorLimitResultProvider
         {
             public IsolatorLimitResult IsWithinLimit()
@@ -153,6 +212,39 @@ public void AssertMarketHours(Security security, DateTime time, MarketHoursSegme
             }
         }
 
+        public class TestLiveTradingRealTimeHandlerReset : LiveTradingRealTimeHandler
+        {
+            private static AutoResetEvent OnSecurityUpdated = new AutoResetEvent(false);
+
+            public void AddRefreshHoursScheduledEvent()
+            {
+                Add(new ScheduledEvent("RefreshHours", new[] { new DateTime(2023, 6, 29) }, (name, triggerTime) =>
+                {
+                    // refresh market hours from api every day
+                    RefreshMarketHoursToday((new DateTime(2023, 5, 30)).Date);
+                }));
+                OnSecurityUpdated.Reset();
+                SetTime(DateTime.UtcNow);
+                OnSecurityUpdated.WaitOne();
+                Exit();
+            }
+
+            protected override IEnumerable<MarketHoursSegment> GetMarketHours(DateTime time, Symbol symbol)
+            {
+                var results = base.GetMarketHours(time, symbol);
+                OnSecurityUpdated.Set();
+                return results;
+            }
+
+            protected override void ResetMarketHoursDatabase()
+            {
+                var entry = new MarketHoursDatabase.Entry(TimeZones.NewYork, ExchangeHoursDataClass.CreateExchangeHoursWithHolidays());
+                var key = new SecurityDatabaseKey(Market.USA, null, SecurityType.Equity);
+                var mhdb = new MarketHoursDatabase(new Dictionary<SecurityDatabaseKey, MarketHoursDatabase.Entry>() { { key, entry } });
+                MarketHoursDatabase = mhdb;
+            }
+        }
+
         public class ExchangeHoursDataClass
         {
             private static LocalMarketHours _sunday = new LocalMarketHours(DayOfWeek.Sunday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
@@ -176,8 +268,8 @@ public static IEnumerable<TestCaseData> TestCases
 
             private static SecurityExchangeHours CreateExchangeHoursWithEarlyCloseAndLateOpen()
             {
-                var earlyCloses = new Dictionary<DateTime, TimeSpan> { { new DateTime(2023, 5, 28).Date, new TimeSpan(13, 0, 0) } };
-                var lateOpens = new Dictionary<DateTime, TimeSpan>() { { new DateTime(2023, 5, 28).Date, new TimeSpan(10, 0, 0) } };
+                var earlyCloses = new Dictionary<DateTime, TimeSpan> { { new DateTime(2023, 5, 30).Date, new TimeSpan(13, 0, 0) } };
+                var lateOpens = new Dictionary<DateTime, TimeSpan>() { { new DateTime(2023, 5, 30).Date, new TimeSpan(10, 0, 0) } };
                 var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, new List<DateTime>(), new[]
                 {
                 _sunday, _monday, _tuesday, _wednesday, _thursday, _friday, _saturday
@@ -187,7 +279,7 @@ private static SecurityExchangeHours CreateExchangeHoursWithEarlyCloseAndLateOpe
 
             private static SecurityExchangeHours CreateExchangeHoursWithEarlyClose()
             {
-                var earlyCloses = new Dictionary<DateTime, TimeSpan> { { new DateTime(2023, 5, 28).Date, new TimeSpan(13, 0, 0) } };
+                var earlyCloses = new Dictionary<DateTime, TimeSpan> { { new DateTime(2023, 5, 30).Date, new TimeSpan(13, 0, 0) } };
                 var lateOpens = new Dictionary<DateTime, TimeSpan>();
                 var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, new List<DateTime>(), new[]
                 {
@@ -199,19 +291,19 @@ private static SecurityExchangeHours CreateExchangeHoursWithEarlyClose()
             private static SecurityExchangeHours CreateExchangeHoursWithLateOpen()
             {
                 var earlyCloses = new Dictionary<DateTime, TimeSpan>();
-                var lateOpens = new Dictionary<DateTime, TimeSpan>() { { new DateTime(2023, 5, 28).Date, new TimeSpan(10, 0, 0) } };
+                var lateOpens = new Dictionary<DateTime, TimeSpan>() { { new DateTime(2023, 5, 30).Date, new TimeSpan(10, 0, 0) } };
                 var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, new List<DateTime>(), new[]
                 {
                 _sunday, _monday, _tuesday, _wednesday, _thursday, _friday, _saturday
             }.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
                 return exchangeHours;
             }
 
-            private static SecurityExchangeHours CreateExchangeHoursWithHolidays()
+            public static SecurityExchangeHours CreateExchangeHoursWithHolidays()
             {
                 var earlyCloses = new Dictionary<DateTime, TimeSpan>();
                 var lateOpens = new Dictionary<DateTime, TimeSpan>();
-                var holidays = new List<DateTime>() { new DateTime(2023, 5, 28).Date };
+                var holidays = new List<DateTime>() { new DateTime(2023, 5, 30).Date };
                 var exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, holidays, new[]
                 {
                 _sunday, _monday, _tuesday, _wednesday, _thursday, _friday, _saturday