Martin Molinero
938047de47
- `Flat` insights will be ignored both for scoring (`InsightManager`) and for statistics (`StatisticsInsightManagerExtension`). Adding unit tests
56 lines
2.3 KiB
C#
56 lines
2.3 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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*/
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using System;
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using NUnit.Framework;
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using QuantConnect.Algorithm.Framework.Alphas;
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using QuantConnect.Algorithm.Framework.Alphas.Analysis;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Engine.Alphas
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{
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[TestFixture]
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public class InsightAnalysisContextTests
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{
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[TestCase(InsightScoreType.Direction, InsightType.Price, null)]
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[TestCase(InsightScoreType.Magnitude, InsightType.Price, null)]
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[TestCase(InsightScoreType.Direction, InsightType.Volatility, null)]
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[TestCase(InsightScoreType.Magnitude, InsightType.Volatility, null)]
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[TestCase(InsightScoreType.Direction, InsightType.Price, 1.0)]
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[TestCase(InsightScoreType.Magnitude, InsightType.Price, 1.0)]
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[TestCase(InsightScoreType.Direction, InsightType.Volatility, 1.0)]
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[TestCase(InsightScoreType.Magnitude, InsightType.Volatility, 1.0)]
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public void ShouldAnalyzeInsight(InsightScoreType scoreType,
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InsightType insightType,
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double? magnitude)
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{
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var context = new InsightAnalysisContext(
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new Insight(Symbols.SPY,
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TimeSpan.FromDays(1),
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insightType,
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InsightDirection.Flat,
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magnitude,
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null),
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new SecurityValues(Symbols.SPY,
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new DateTime(2013, 1, 1),
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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1, 1, 1, 1),
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TimeSpan.FromDays(1));
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Assert.AreEqual(false, context.ShouldAnalyze(scoreType));
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}
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}
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}
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