Gerardo Salazar
114 lines
6.3 KiB
C#
114 lines
6.3 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.Linq;
|
|
using Newtonsoft.Json;
|
|
using NUnit.Framework;
|
|
using QuantConnect.Algorithm.Framework.Alphas;
|
|
|
|
namespace QuantConnect.Tests.Algorithm.Framework.Alphas
|
|
{
|
|
[TestFixture]
|
|
public class InsightCollectionTests
|
|
{
|
|
private static string _expectedResultCopyTo = "[{\"id\":\"6d077d17f22943009b04919cdc2b897f\",\"generated-time\":1546300800.0,\"close-time\":1546300800.0,\"symbol\":\"AAPL R735QTJ8XC9X\",\"ticker\":\"AAPL\",\"type\":\"price\",\"reference\":0.0,\"direction\":\"up\",\"period\":86400.0},{\"id\":\"47f61ba2ff9c4c859ce06f29124d9f7f\",\"generated-time\":1546387200.0,\"close-time\":1546387200.0,\"symbol\":\"AAPL R735QTJ8XC9X\",\"ticker\":\"AAPL\",\"type\":\"volatility\",\"reference\":0.0,\"direction\":\"up\",\"period\":86400.0},{\"id\":\"ae689c34697b496e9ffcda2adc395b17\",\"generated-time\":1546646400.0,\"close-time\":1546646400.0,\"symbol\":\"AAPL R735QTJ8XC9X\",\"ticker\":\"AAPL\",\"type\":\"price\",\"reference\":0.0,\"direction\":\"up\",\"period\":86400.0},{\"id\":\"f06d2464d1f94361bcd000c18c7d2554\",\"generated-time\":1546732800.0,\"close-time\":1546732800.0,\"symbol\":\"AAPL R735QTJ8XC9X\",\"ticker\":\"AAPL\",\"type\":\"price\",\"reference\":0.0,\"direction\":\"flat\",\"period\":86400.0},{\"id\":\"d47f22e06e58434c9f71f71dd4691673\",\"generated-time\":1546819200.0,\"close-time\":1546819200.0,\"symbol\":\"AAPL R735QTJ8XC9X\",\"ticker\":\"AAPL\",\"type\":\"price\",\"reference\":0.0,\"direction\":\"down\",\"period\":86400.0},{\"id\":\"9a37bd59a37847599bd48cfe209e2887\",\"generated-time\":1546905600.0,\"close-time\":1546905600.0,\"symbol\":\"AAPL R735QTJ8XC9X\",\"ticker\":\"AAPL\",\"type\":\"volatility\",\"reference\":0.0,\"direction\":\"up\",\"period\":86400.0},{\"id\":\"66f1c3a7b3504b039834cecdc003a1ba\",\"generated-time\":1546992000.0,\"close-time\":1546992000.0,\"symbol\":\"AAPL R735QTJ8XC9X\",\"ticker\":\"AAPL\",\"type\":\"volatility\",\"reference\":0.0,\"direction\":\"down\",\"period\":86400.0}]";
|
|
|
|
[Test]
|
|
public static void InsightCollectionShouldBeAbleToBeConvertedToListWithoutStackOverflow()
|
|
{
|
|
var aapl = Symbol.Create("AAPL", SecurityType.Equity, "usa");
|
|
var insightCollection = new InsightCollection();
|
|
|
|
insightCollection.Add(new Insight(aapl, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up)
|
|
{
|
|
CloseTimeUtc = new DateTime(2019, 1, 1),
|
|
});
|
|
insightCollection.Add(new Insight(aapl, new TimeSpan(1, 0, 0, 0), InsightType.Volatility, InsightDirection.Up)
|
|
{
|
|
CloseTimeUtc = new DateTime(2019, 1, 2),
|
|
});
|
|
|
|
Assert.DoesNotThrow(() => insightCollection.OrderBy(x => x.CloseTimeUtc).ToList());
|
|
}
|
|
|
|
[Test]
|
|
public static void InsightCollectionCopyTo()
|
|
{
|
|
var aapl = Symbol.Create("AAPL", SecurityType.Equity, "usa");
|
|
var insightCollection = new InsightCollection();
|
|
|
|
insightCollection.Add(new Insight(aapl, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up)
|
|
{
|
|
GeneratedTimeUtc = new DateTime(2019, 1, 1),
|
|
CloseTimeUtc = new DateTime(2019, 1, 1),
|
|
});
|
|
insightCollection.Add(new Insight(aapl, new TimeSpan(1, 0, 0, 0), InsightType.Volatility, InsightDirection.Up)
|
|
{
|
|
GeneratedTimeUtc = new DateTime(2019, 1, 2),
|
|
CloseTimeUtc = new DateTime(2019, 1, 2),
|
|
});
|
|
|
|
var insights = new Insight[7] {
|
|
new Insight(aapl, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up)
|
|
{
|
|
GeneratedTimeUtc = new DateTime(2019, 1, 5),
|
|
CloseTimeUtc = new DateTime(2019, 1, 5),
|
|
},
|
|
new Insight(aapl, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Flat)
|
|
{
|
|
GeneratedTimeUtc = new DateTime(2019, 1, 6),
|
|
CloseTimeUtc = new DateTime(2019, 1, 6),
|
|
},
|
|
new Insight(aapl, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Down)
|
|
{
|
|
GeneratedTimeUtc = new DateTime(2019, 1, 7),
|
|
CloseTimeUtc = new DateTime(2019, 1, 7),
|
|
},
|
|
new Insight(aapl, new TimeSpan(1, 0, 0, 0), InsightType.Volatility, InsightDirection.Up)
|
|
{
|
|
GeneratedTimeUtc = new DateTime(2019, 1, 8),
|
|
CloseTimeUtc = new DateTime(2019, 1, 8),
|
|
},
|
|
new Insight(aapl, new TimeSpan(1, 0, 0, 0), InsightType.Volatility, InsightDirection.Down)
|
|
{
|
|
GeneratedTimeUtc = new DateTime(2019, 1, 9),
|
|
CloseTimeUtc = new DateTime(2019, 1, 9),
|
|
},
|
|
null,
|
|
null
|
|
};
|
|
|
|
insightCollection.CopyTo(insights, 5);
|
|
|
|
var orderedInsights = insights.OrderBy(x => x.CloseTimeUtc).ToList();
|
|
var orderedInsightsDe = JsonConvert.DeserializeObject<InsightCollection>(_expectedResultCopyTo);
|
|
|
|
var equals = orderedInsights.Zip(orderedInsightsDe, (i, de) =>
|
|
{
|
|
return i.CloseTimeUtc == de.CloseTimeUtc &&
|
|
i.GeneratedTimeUtc == de.GeneratedTimeUtc &&
|
|
i.Symbol.Value == de.Symbol.Value &&
|
|
i.Type == de.Type &&
|
|
i.ReferenceValue == de.ReferenceValue &&
|
|
i.Direction == de.Direction &&
|
|
i.Period == de.Period;
|
|
});
|
|
|
|
Assert.IsTrue(equals.All((x) => x));
|
|
}
|
|
}
|
|
}
|