Add tests

QuantConnect · Jan 16, 2025 · 38bfa3c · 38bfa3c
1 parent ceba1cd
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diff --git a/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs b/Tests/Common/Securities/Futures/FuturesExpiryFunctionsTests.cs
@@ -305,6 +305,21 @@ public void EnergyExpiryDateFunction_WithDifferentDates_ShouldFollowContract(str
             }
         }
 
+        [Test]
+        public void BankHolidaysAreRespected()
+        {
+            //Arrange
+            var futureSymbol = GetFutureSymbol("6E", new DateTime(2025, 2, 1));
+            var func = FuturesExpiryFunctions.FuturesExpiryFunction(GetFutureSymbol("6E"));
+            // Expiry date is the second business day immediately preceding the third Wednesday of the contract month(usually Monday).
+            // The third wednesday is the 19th so the expiry date should be monday 17th, but that day is a bank holiday
+            // so the real expiry date is the 14th
+            var expiryDate = func(futureSymbol.ID.Date);
+
+            //Assert
+            Assert.AreEqual(new DateTime(2025, 2, 14), expiryDate.Date);
+        }
+
         // 25th is a sunday
         [TestCase(QuantConnect.Securities.Futures.Energy.MicroCrudeOilWTI, "20221001", "20220919")]
         [TestCase(QuantConnect.Securities.Futures.Energy.CrudeOilWTI, "20221001", "20220920")]

diff --git a/Tests/Common/Securities/MarketHoursDatabaseTests.cs b/Tests/Common/Securities/MarketHoursDatabaseTests.cs
@@ -172,6 +172,29 @@ public void CorrectlyReadsCMEGroupFutureEarlyCloses(string futureTicker, string
             }
         }
 
+        [TestCase("BIO", Market.CME, true)]
+        [TestCase("5YY", Market.CBOT, true)]
+        [TestCase("6E", Market.CME, true)]
+        [TestCase("BTC", Market.CME, true)]
+        [TestCase("A8O", Market.NYMEX, true)]
+        [TestCase("PAM", Market.NYMEX, true)]
+        [TestCase("ZC", Market.CBOT, false)]
+        [TestCase("LBR", Market.CME, false)]
+        [TestCase("HE", Market.CME, false)]
+        [TestCase("DY", Market.CME, false)]
+        [TestCase("YO", Market.NYMEX, true)]
+        public void CorrectlyReadsCMEGroupFutureBankHolidays(string futureTicker, string market, bool isBankHoliday)
+        {
+            var provider = MarketHoursDatabase.FromDataFolder();
+            var ticker = OptionSymbol.MapToUnderlying(futureTicker, SecurityType.Future);
+            var future = Symbol.Create(ticker, SecurityType.Future, market);
+
+            var futureEntry = provider.GetEntry(market, ticker, future.SecurityType);
+            var bankHolidays = futureEntry.ExchangeHours.BankHolidays;
+            var bankHoliday = new DateTime(2025, 11, 27);
+            Assert.AreEqual(isBankHoliday, bankHolidays.Contains(bankHoliday));
+        }
+
         [TestCase("2YY", Market.CBOT, true)]
         [TestCase("TN", Market.CBOT, true)]
         [TestCase("6A", Market.CME, true)]