AlexCatarino
34b664460d
Adds WindowIdentity indicator and its test. We need this at WeightedBy to keep values and weights at sync (same sample number). Adds WeightedBy indicator extension and a simple test in IndicatorExtensionsTests Adds VolumeWeightedAveragePriceIndicator (VWAP indicator), its test and external data file for testing.
81 lines
2.6 KiB
C#
81 lines
2.6 KiB
C#
/*
|
|
* 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 System.Linq;
|
|
using NUnit.Framework;
|
|
using QuantConnect.Indicators;
|
|
|
|
namespace QuantConnect.Tests.Indicators
|
|
{
|
|
[TestFixture]
|
|
public class WindowIdentityTests
|
|
{
|
|
[Test]
|
|
public void WindowIdentityComputesCorrectly()
|
|
{
|
|
var indicator = new WindowIdentity(4);
|
|
var data = new[] {1m, 10m, 100m, 1000m, 10000m, 1234m, 56789m};
|
|
|
|
var seen = new List<decimal>();
|
|
for (int i = 0; i < data.Length; i++)
|
|
{
|
|
var datum = data[i];
|
|
seen.Add(datum);
|
|
indicator.Update(new IndicatorDataPoint(DateTime.Now.AddSeconds(i), datum));
|
|
Assert.AreEqual(seen.LastOrDefault(), indicator.Current.Value);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void IsReadyAfterPeriodUpdates()
|
|
{
|
|
var indicator = new WindowIdentity(3);
|
|
|
|
indicator.Update(DateTime.UtcNow, 1m);
|
|
indicator.Update(DateTime.UtcNow, 1m);
|
|
Assert.IsFalse(indicator.IsReady);
|
|
indicator.Update(DateTime.UtcNow, 1m);
|
|
Assert.IsTrue(indicator.IsReady);
|
|
}
|
|
|
|
[Test]
|
|
public void ResetsProperly()
|
|
{
|
|
var indicator = new WindowIdentity(3);
|
|
|
|
foreach (var data in TestHelper.GetDataStream(4))
|
|
{
|
|
indicator.Update(data);
|
|
}
|
|
Assert.IsTrue(indicator.IsReady);
|
|
|
|
indicator.Reset();
|
|
|
|
TestHelper.AssertIndicatorIsInDefaultState(indicator);
|
|
indicator.Update(DateTime.UtcNow, 2.0m);
|
|
Assert.AreEqual(indicator.Current.Value, 2.0m);
|
|
}
|
|
|
|
[Test]
|
|
public void CompareAgainstExternalData()
|
|
{
|
|
var indicator = new WindowIdentity(14);
|
|
TestHelper.TestIndicator(indicator, "Close", 1e-2); // test file only has
|
|
}
|
|
}
|
|
}
|