Keep time of day on open interest consolidator

Common/Data/Consolidators/OpenInterestConsolidator.cs

@@ -24,6 +24,10 @@ namespace QuantConnect.Data.Consolidators
     /// </summary>
     public class OpenInterestConsolidator : PeriodCountConsolidatorBase<Tick, OpenInterest>
     {
+        private bool _hourOrDailyConsolidation;
+        // Keep track of the last input to detect hour or date change
+        private Tick _lastInput;
+
         /// <summary>
         /// Create a new OpenInterestConsolidator for the desired resolution
         /// </summary>
@@ -41,6 +45,7 @@ public static OpenInterestConsolidator FromResolution(Resolution resolution)
         public OpenInterestConsolidator(TimeSpan period)
             : base(period)
         {
+            _hourOrDailyConsolidation = period >= Time.OneHour;
         }
 
         /// <summary>
@@ -104,7 +109,7 @@ protected override void AggregateBar(ref OpenInterest workingBar, Tick data)
                 workingBar = new OpenInterest
                 {
                     Symbol = data.Symbol,
-                    Time = GetRoundedBarTime(data),
+                    Time = _hourOrDailyConsolidation ? data.EndTime : GetRoundedBarTime(data),
                     Value = data.Value
                 };
 
@@ -113,7 +118,37 @@ protected override void AggregateBar(ref OpenInterest workingBar, Tick data)
             {
                 //Update the working bar
                 workingBar.Value = data.Value;
+
+                // If we are consolidating hourly or daily, we need to update the time of the working bar
+                // for the end time to match the last data point time
+                if (_hourOrDailyConsolidation)
+                {
+                    workingBar.Time = data.EndTime;
+                }
             }
         }
+
+        /// <summary>
+        /// Updates this consolidator with the specified data. This method is
+        /// responsible for raising the DataConsolidated event.
+        /// It will check for date or hour change and force consolidation if needed.
+        /// </summary>
+        /// <param name="data">The new data for the consolidator</param>
+        public override void Update(Tick data)
+        {
+            if (_lastInput != null &&
+                _hourOrDailyConsolidation &&
+                // Detect hour or date change
+                ((Period == Time.OneHour && data.EndTime.Hour != _lastInput.EndTime.Hour) ||
+                 (Period == Time.OneDay && data.EndTime.Date != _lastInput.EndTime.Date)))
+            {
+                // Date or hour change, force consolidation, no need to wait for the whole period to pass.
+                // Force consolidation by scanning at a time after the end of the period
+                Scan(_lastInput.EndTime.Add(Period.Value + Time.OneSecond));
+            }
+
+            base.Update(data);
+            _lastInput = data;
+        }
     }
 }

Tests/Common/Data/OpenInterestConsolidatorTests.cs

@@ -0,0 +1,170 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using NUnit.Framework;
+using QuantConnect.Data;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Data.Market;
+using QuantConnect.Logging;
+
+namespace QuantConnect.Tests.Common.Data
+{
+    [TestFixture]
+    public class OpenInterestConsolidatorTests : BaseConsolidatorTests
+    {
+        [TestCaseSource(nameof(HourAndDailyTestValues))]
+        public void HourAndDailyConsolidationKeepsTimeOfDay(TimeSpan period, List<(OpenInterest, bool)> data)
+        {
+            using var consolidator = new OpenInterestConsolidator(period);
+
+            var consolidatedOpenInterest = (OpenInterest)null;
+            consolidator.DataConsolidated += (sender, consolidated) =>
+            {
+                Log.Debug($"{consolidated.EndTime} - {consolidated}");
+                consolidatedOpenInterest = consolidated;
+            };
+
+            var prevData = (OpenInterest)null;
+            foreach (var (openInterest, shouldConsolidate) in data)
+            {
+                consolidator.Update(openInterest);
+
+                if (shouldConsolidate)
+                {
+                    Assert.IsNotNull(consolidatedOpenInterest);
+                    Assert.AreEqual(prevData.Symbol, consolidatedOpenInterest.Symbol);
+                    Assert.AreEqual(prevData.Value, consolidatedOpenInterest.Value);
+                    Assert.AreEqual(prevData.EndTime, consolidatedOpenInterest.EndTime);
+                    consolidatedOpenInterest = null;
+                }
+                else
+                {
+                    Assert.IsNull(consolidatedOpenInterest);
+                }
+
+                prevData = openInterest;
+            }
+        }
+
+        protected override IDataConsolidator CreateConsolidator()
+        {
+            return new OpenInterestConsolidator(TimeSpan.FromDays(1));
+        }
+
+        protected override IEnumerable<IBaseData> GetTestValues()
+        {
+            var time = new DateTime(2015, 04, 13, 8, 31, 0);
+            return new List<OpenInterest>()
+            {
+                new OpenInterest(){ Time = time, Symbol = Symbols.SPY, Value = 10 },
+                new OpenInterest(){ Time = time.AddMinutes(1), Symbol = Symbols.SPY, Value = 12 },
+                new OpenInterest(){ Time = time.AddMinutes(2), Symbol = Symbols.SPY, Value = 10 },
+                new OpenInterest(){ Time = time.AddMinutes(3), Symbol = Symbols.SPY, Value = 5 },
+                new OpenInterest(){ Time = time.AddMinutes(4), Symbol = Symbols.SPY, Value = 15 },
+                new OpenInterest(){ Time = time.AddMinutes(5), Symbol = Symbols.SPY, Value = 20 },
+                new OpenInterest(){ Time = time.AddMinutes(6), Symbol = Symbols.SPY, Value = 18 },
+                new OpenInterest(){ Time = time.AddMinutes(7), Symbol = Symbols.SPY, Value = 12 },
+                new OpenInterest(){ Time = time.AddMinutes(8), Symbol = Symbols.SPY, Value = 25 },
+                new OpenInterest(){ Time = time.AddMinutes(9), Symbol = Symbols.SPY, Value = 30 },
+                new OpenInterest(){ Time = time.AddMinutes(10), Symbol = Symbols.SPY, Value = 26 },
+            };
+        }
+
+        private static IEnumerable<TestCaseData> HourAndDailyTestValues()
+        {
+            var symbol = Symbols.SPY_C_192_Feb19_2016;
+            var time = new DateTime(2015, 04, 13, 6, 30, 0);
+            var period = Time.OneDay;
+
+            yield return new TestCaseData(
+                period,
+                new List<(OpenInterest, bool)>()
+                {
+                    (new OpenInterest(time, symbol, 10), false),
+                    (new OpenInterest(time.AddDays(1), symbol, 11), true),
+                    (new OpenInterest(time.AddDays(2), symbol, 12), true),
+                    (new OpenInterest(time.AddDays(3), symbol, 13), true),
+                    (new OpenInterest(time.AddDays(4), symbol, 14), true),
+                    (new OpenInterest(time.AddDays(5), symbol, 15), true),
+                });
+
+            yield return new TestCaseData(
+                period,
+                new List<(OpenInterest, bool)>()
+                {
+                    (new OpenInterest(time, symbol, 10), false),
+                    (new OpenInterest(time.AddDays(1), symbol, 11), true),
+                    // Same date, should not consolidate
+                    (new OpenInterest(time.AddDays(1).AddMinutes(1), symbol, 12), false),
+                    // Same date, should not consolidate
+                    (new OpenInterest(time.AddDays(1).AddMinutes(2), symbol, 13), false),
+                    // Same date, should not consolidate
+                    (new OpenInterest(time.AddDays(1).AddMinutes(3), symbol, 14), false),
+                    // Not the full period passed but different date, should consolidate
+                    (new OpenInterest(time.AddDays(2).AddHours(-1), symbol, 15), true),
+                    (new OpenInterest(time.AddDays(3).AddHours(-2), symbol, 16), true),
+                    (new OpenInterest(time.AddDays(4).AddHours(-3), symbol, 17), true),
+                    (new OpenInterest(time.AddDays(5).AddHours(-4), symbol, 18), true),
+                });
+
+            period = Time.OneHour;
+
+            yield return new TestCaseData(
+                period,
+                new List<(OpenInterest, bool)>()
+                {
+                    (new OpenInterest(time, symbol, 10), false),
+                    (new OpenInterest(time.AddHours(1), symbol, 11), true),
+                    (new OpenInterest(time.AddHours(2), symbol, 12), true),
+                    (new OpenInterest(time.AddHours(3), symbol, 13), true),
+                    (new OpenInterest(time.AddHours(4), symbol, 14), true),
+                    (new OpenInterest(time.AddHours(5), symbol, 15), true),
+                });
+
+            yield return new TestCaseData(
+                period,
+                new List<(OpenInterest, bool)>()
+                {
+                    (new OpenInterest(time.AddHours(0.5).AddMinutes(10), symbol, 10), false),
+                    (new OpenInterest(time.AddHours(2.5).AddMinutes(20), symbol, 11), true),
+                    (new OpenInterest(time.AddHours(4.5).AddMinutes(30), symbol, 12), true),
+                    (new OpenInterest(time.AddHours(6.5).AddMinutes(40), symbol, 13), true),
+                    (new OpenInterest(time.AddHours(8.5), symbol, 14), true),
+                    (new OpenInterest(time.AddHours(10.5).AddMinutes(50), symbol, 15), true),
+                });
+
+            yield return new TestCaseData(
+                period,
+                new List<(OpenInterest, bool)>()
+                {
+                    (new OpenInterest(time, symbol, 10), false),
+                    (new OpenInterest(time.AddHours(1), symbol, 11), true),
+                    // Same date, should not consolidate
+                    (new OpenInterest(time.AddHours(1).AddMinutes(5), symbol, 12), false),
+                    // Same date, should not consolidate
+                    (new OpenInterest(time.AddHours(1).AddMinutes(10), symbol, 13), false),
+                    // Same date, should not consolidate
+                    (new OpenInterest(time.AddHours(1).AddMinutes(15), symbol, 14), false),
+                    // Not the full period passed but different date, should consolidate
+                    (new OpenInterest(time.AddHours(2).AddMinutes(-5), symbol, 15), true),
+                    (new OpenInterest(time.AddHours(3).AddMinutes(-10), symbol, 16), true),
+                    (new OpenInterest(time.AddHours(4).AddMinutes(-15), symbol, 17), true),
+                    (new OpenInterest(time.AddHours(5).AddMinutes(-20), symbol, 18), true),
+                });
+        }
+    }
+}