Ian Worthington
306 lines
11 KiB
C#
306 lines
11 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using NUnit.Framework;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture]
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public class BaseDataConsolidatorTests
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{
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[Test]
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public void AggregatesTickToNewTradeBarProperly()
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{
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TradeBar newTradeBar = null;
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var creator = new BaseDataConsolidator(4);
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creator.DataConsolidated += (sender, tradeBar) =>
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{
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newTradeBar = tradeBar;
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};
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var reference = DateTime.Today;
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var bar1 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference,
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Value = 5,
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Quantity = 10
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};
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creator.Update(bar1);
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Assert.IsNull(newTradeBar);
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var bar2 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(1),
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Value = 10,
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Quantity = 20
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};
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creator.Update(bar2);
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Assert.IsNull(newTradeBar);
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var bar3 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(2),
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Value = 1,
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Quantity = 10
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};
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creator.Update(bar3);
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Assert.IsNull(newTradeBar);
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var bar4 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(3),
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Value = 9,
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Quantity = 20
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};
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creator.Update(bar4);
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Assert.IsNotNull(newTradeBar);
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Assert.AreEqual(Symbols.SPY, newTradeBar.Symbol);
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Assert.AreEqual(bar1.Time, newTradeBar.Time);
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Assert.AreEqual(bar1.Value, newTradeBar.Open);
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Assert.AreEqual(bar2.Value, newTradeBar.High);
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Assert.AreEqual(bar3.Value, newTradeBar.Low);
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Assert.AreEqual(bar4.Value, newTradeBar.Close);
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Assert.AreEqual(bar4.EndTime, newTradeBar.EndTime);
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// base data can't aggregate volume
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Assert.AreEqual(0, newTradeBar.Volume);
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}
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[Test]
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public void AggregatesTradeBarsProperly()
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{
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TradeBar newTradeBar = null;
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var creator = new TradeBarConsolidator(4);
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creator.DataConsolidated += (sender, args) =>
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{
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newTradeBar = args;
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};
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var time = DateTime.Today;
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var period = TimeSpan.FromMinutes(1);
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var bar1 = new TradeBar
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{
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Time = time,
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Symbol = Symbols.SPY,
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Open = 1,
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High = 2,
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Low = 0.75m,
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Close = 1.25m,
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Period = period
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};
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creator.Update(bar1);
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Assert.IsNull(newTradeBar);
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var bar2 = new TradeBar
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{
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Time = time + TimeSpan.FromMinutes(1),
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Symbol = Symbols.SPY,
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Open = 1.1m,
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High = 2.2m,
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Low = 0.9m,
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Close = 2.1m,
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Period = period
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};
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creator.Update(bar2);
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Assert.IsNull(newTradeBar);
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var bar3 = new TradeBar
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{
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Time = time + TimeSpan.FromMinutes(2),
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Symbol = Symbols.SPY,
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Open = 1,
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High = 2,
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Low = 0.1m,
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Close = 1.75m,
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Period = period
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};
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creator.Update(bar3);
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Assert.IsNull(newTradeBar);
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var bar4 = new TradeBar
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{
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Time = time + TimeSpan.FromMinutes(3),
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Symbol = Symbols.SPY,
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Open = 1,
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High = 7,
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Low = 0.5m,
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Close = 4.4m,
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Period = period
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};
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creator.Update(bar4);
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Assert.IsNotNull(newTradeBar);
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Assert.AreEqual(bar1.Symbol, newTradeBar.Symbol);
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Assert.AreEqual(1, newTradeBar.Open);
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Assert.AreEqual(7, newTradeBar.High);
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Assert.AreEqual(0.1m, newTradeBar.Low);
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Assert.AreEqual(4.4m, newTradeBar.Close);
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Assert.AreEqual(newTradeBar.Close, newTradeBar.Value);
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Assert.AreEqual(bar4.EndTime, newTradeBar.EndTime);
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Assert.AreEqual(TimeSpan.FromMinutes(4), newTradeBar.Period);
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Assert.AreEqual(bar1.Volume + bar2.Volume + bar3.Volume + bar4.Volume, newTradeBar.Volume);
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}
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[Test]
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public void AggregatesPeriodInCountModeWithHourlyData()
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{
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TradeBar consolidated = null;
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var consolidator = new BaseDataConsolidator(2);
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consolidator.DataConsolidated += (sender, bar) =>
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{
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consolidated = bar;
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};
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var reference = new DateTime(2015, 04, 13);
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consolidator.Update(new Tick { Time = reference });
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Assert.IsNull(consolidated);
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consolidator.Update(new Tick { Time = reference.AddHours(1) });
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Assert.IsNotNull(consolidated);
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// sadly the first emit will be off by the data resolution since we 'swallow' a point, so to speak.
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Assert.AreEqual(TimeSpan.FromHours(1), consolidated.Period);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddHours(2) });
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Assert.IsNull(consolidated);
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consolidator.Update(new Tick { Time = reference.AddHours(3) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromHours(2), consolidated.Period);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddHours(4) });
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Assert.IsNull(consolidated);
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consolidator.Update(new Tick { Time = reference.AddHours(5) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromHours(2), consolidated.Period);
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}
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[Test]
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public void AggregatesPeriodInPeriodModeWithDailyData()
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{
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TradeBar consolidated = null;
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var consolidator = new BaseDataConsolidator(TimeSpan.FromDays(1));
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consolidator.DataConsolidated += (sender, bar) =>
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{
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consolidated = bar;
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};
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var reference = new DateTime(2015, 04, 13);
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consolidator.Update(new Tick { Time = reference });
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Assert.IsNull(consolidated);
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consolidator.Update(new Tick { Time = reference.AddDays(1) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddDays(2) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddDays(3) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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}
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[Test]
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public void AggregatesPeriodInPeriodModeWithDailyDataAndRoundedTime()
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{
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TradeBar consolidated = null;
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var consolidator = new BaseDataConsolidator(TimeSpan.FromDays(1));
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consolidator.DataConsolidated += (sender, bar) =>
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{
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consolidated = bar;
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};
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var reference = new DateTime(2015, 04, 13);
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consolidator.Update(new Tick { Time = reference.AddSeconds(45) });
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Assert.IsNull(consolidated);
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consolidator.Update(new Tick { Time = reference.AddDays(1).AddMinutes(1) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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Assert.AreEqual(reference, consolidated.Time);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddDays(2).AddHours(1).AddMinutes(1).AddSeconds(1) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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Assert.AreEqual(reference.AddDays(1), consolidated.Time);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddDays(3) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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Assert.AreEqual(reference.AddDays(2), consolidated.Time);
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}
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[Test]
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public void ConsolidatesWithRegisterIndicator()
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{
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var consolidator = new BaseDataConsolidator(TimeSpan.FromMinutes(5));
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consolidator.DataConsolidated += OnFiveMinutes;
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indicator = new SimpleMovingAverage(2);
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RegisterIndicator(indicator, consolidator);
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var time = DateTime.Today.AddHours(9);
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for (var i = 1; i < 100; i++)
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{
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consolidator.Update(new Tick(time.AddMinutes(i - 1), Symbols.SPY, i, i, i));
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}
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}
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private SimpleMovingAverage indicator;
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private void OnFiveMinutes(object sender, TradeBar e)
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{
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if (!indicator.IsReady) return;
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var previous = e.Value - e.Period.Minutes;
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var actual = (e.Value + previous) / indicator.Period;
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Assert.AreEqual(indicator, actual);
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}
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/// <summary>
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/// Simplified version of QCAlgorithm.RegisterIndicator
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/// </summary>
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/// <param name="indicator">The indicator to receive data from the consolidator</param>
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/// <param name="consolidator">The consolidator to receive raw subscription data</param>
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public void RegisterIndicator(IndicatorBase<IndicatorDataPoint> indicator, IDataConsolidator consolidator)
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{
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consolidator.DataConsolidated += (sender, consolidated) =>
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{
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indicator.Update(consolidated.EndTime, consolidated.Value);
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};
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}
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}
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}
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