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Add test to verify tick history consistency #9263

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Merged
Martin-Molinero merged 3 commits into from
Feb 5, 2026
+49 −3
Merged

Add test to verify tick history consistency #9263

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111fbfa
Add test for tick history consistency
JosueNina Feb 3, 2026
184e1f8
Add test cases
JosueNina Feb 3, 2026
7ca05a8
Minor fix
JosueNina Feb 3, 2026
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52 changes: 49 additions & 3 deletions Tests/Algorithm/AlgorithmHistoryTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -3975,9 +3975,9 @@ public void HistoryRequestUsesSecurityConfigOrExplicitValues(bool explicitParame
var start = new DateTime(2013, 10, 28);
var algorithm = GetAlgorithm(start);
var future = algorithm.AddFuture(
Futures.Indices.SP500EMini,
dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
dataMappingMode: DataMappingMode.LastTradingDay,
Futures.Indices.SP500EMini,
dataNormalizationMode: DataNormalizationMode.BackwardsRatio,
dataMappingMode: DataMappingMode.LastTradingDay,
contractDepthOffset: 0,
extendedMarketHours: true);

Expand Down Expand Up @@ -4040,6 +4040,52 @@ public void HistoryRequestUsesSecurityConfigOrExplicitValues(bool explicitParame
}
}

[TestCase(Resolution.Tick)]
[TestCase(Resolution.Second)]
[TestCase(Resolution.Minute)]
[TestCase(Resolution.Hour)]
[TestCase(Resolution.Daily)]
[TestCase(null)]
public void TickHistoryRequestsForFuturesShouldReturnSameDataCount(Resolution? resolution)
{
var start = new DateTime(2013, 10, 09);
_algorithm = GetAlgorithm(start);
_algorithm.SetEndDate(2013, 10, 10);

var symbol = Symbol.CreateFuture(Futures.Metals.Gold, Market.COMEX, new DateTime(2013, 10, 29));
if (resolution == null)
{
_algorithm.AddFutureContract(symbol);
}
else
{
_algorithm.AddFutureContract(symbol, resolution);
}

var startDate = new DateTime(2013, 10, 08, 9, 30, 0);
var endDate = startDate.AddMinutes(10);

var history1 = _algorithm.History<Tick>(symbol, startDate, endDate, Resolution.Tick).ToList();
var history1Count = history1.Count;
int history2Count = 0;
int history3Count = 0;
using (Py.GIL())
{
_algorithm.SetPandasConverter();
var type = typeof(Tick).ToPython();

dynamic history2 = _algorithm.History(symbol.ToPython(), startDate, endDate, Resolution.Tick);
history2Count = history2.shape[0].As<int>();

dynamic history3 = _algorithm.History(type, symbol.ToPython(), startDate, endDate, Resolution.Tick);
history3Count = history3.shape[0].As<int>();
}

Assert.AreEqual(4923, history1Count);
Assert.AreEqual(history1Count, history2Count);
Assert.AreEqual(history1Count, history3Count);
}

private class CustomTestHistoryProvider : SubscriptionDataReaderHistoryProvider
{
public List<HistoryRequest> HistoryRequests { get; } = new List<HistoryRequest>();
Expand Down
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