Martin Molinero
233 lines
12 KiB
C#
233 lines
12 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 Newtonsoft.Json;
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using Newtonsoft.Json.Linq;
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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.Serialization;
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namespace QuantConnect.Tests.Algorithm.Framework.Alphas.Serialization
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class InsightJsonConverterTests
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{
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[Test]
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public void DeserializesInsightWithoutScore()
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{
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var jObject = JObject.Parse(jsonNoScore);
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var result = JsonConvert.DeserializeObject<Insight>(jsonNoScore);
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Assert.AreEqual(jObject["id"].Value<string>(), result.Id.ToStringInvariant("N"));
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Assert.AreEqual(jObject["source-model"].Value<string>(), result.SourceModel);
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Assert.AreEqual(jObject["group-id"]?.Value<string>(), result.GroupId?.ToStringInvariant("N"));
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Assert.AreEqual(jObject["created-time"].Value<double>(), Time.DateTimeToUnixTimeStamp(result.GeneratedTimeUtc), 5e-4);
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Assert.AreEqual(jObject["close-time"].Value<double>(), Time.DateTimeToUnixTimeStamp(result.CloseTimeUtc), 5e-4);
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Assert.AreEqual(jObject["symbol"].Value<string>(), result.Symbol.ID.ToString());
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Assert.AreEqual(jObject["ticker"].Value<string>(), result.Symbol.Value);
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Assert.AreEqual(jObject["type"].Value<string>(), result.Type.ToLower());
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Assert.AreEqual(jObject["reference"].Value<decimal>(), result.ReferenceValue);
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Assert.AreEqual(jObject["direction"].Value<string>(), result.Direction.ToLower());
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Assert.AreEqual(jObject["period"].Value<double>(), result.Period.TotalSeconds);
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Assert.AreEqual(jObject["magnitude"].Value<double>(), result.Magnitude);
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Assert.AreEqual(null, result.Confidence);
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// default values for scores
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Assert.AreEqual(false, result.Score.IsFinalScore);
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Assert.AreEqual(0, result.ReferenceValueFinal);
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Assert.AreEqual(0, result.Score.Magnitude);
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Assert.AreEqual(0, result.Score.Direction);
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}
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[Test]
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public void DeserializesInsightWithScore()
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{
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var jObject = JObject.Parse(jsonWithScore);
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var result = JsonConvert.DeserializeObject<Insight>(jsonWithScore);
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Assert.AreEqual(jObject["id"].Value<string>(), result.Id.ToStringInvariant("N"));
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Assert.AreEqual(jObject["source-model"].Value<string>(), result.SourceModel);
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Assert.AreEqual(jObject["group-id"]?.Value<string>(), result.GroupId?.ToStringInvariant("N"));
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Assert.AreEqual(jObject["created-time"].Value<double>(), Time.DateTimeToUnixTimeStamp(result.GeneratedTimeUtc), 5e-4);
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Assert.AreEqual(jObject["close-time"].Value<double>(), Time.DateTimeToUnixTimeStamp(result.CloseTimeUtc), 5e-4);
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Assert.AreEqual(jObject["symbol"].Value<string>(), result.Symbol.ID.ToString());
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Assert.AreEqual(jObject["ticker"].Value<string>(), result.Symbol.Value);
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Assert.AreEqual(jObject["type"].Value<string>(), result.Type.ToLower());
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Assert.AreEqual(jObject["reference"].Value<decimal>(), result.ReferenceValue);
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Assert.AreEqual(jObject["direction"].Value<string>(), result.Direction.ToLower());
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Assert.AreEqual(jObject["period"].Value<double>(), result.Period.TotalSeconds);
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Assert.AreEqual(jObject["magnitude"].Value<double>(), result.Magnitude);
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Assert.AreEqual(null, result.Confidence);
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Assert.AreEqual(true, result.Score.IsFinalScore);
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Assert.AreEqual(jObject["score-magnitude"].Value<double>(), result.Score.Magnitude);
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Assert.AreEqual(jObject["score-direction"].Value<double>(), result.Score.Direction);
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Assert.AreEqual(jObject["reference-final"].Value<decimal>(), result.ReferenceValueFinal);
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}
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[Test]
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public void SerializesInsightWithoutScore()
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{
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var jObject = JObject.Parse(jsonNoScore);
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var insight = Insight.FromSerializedInsight(new SerializedInsight
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{
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Id = jObject["id"].Value<string>(),
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SourceModel = jObject["source-model"].Value<string>(),
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GroupId = jObject["group-id"]?.Value<string>(),
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CreatedTime = jObject["created-time"].Value<double>(),
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CloseTime = jObject["close-time"].Value<double>(),
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Symbol = jObject["symbol"].Value<string>(),
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Ticker = jObject["ticker"].Value<string>(),
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Type = (InsightType)Enum.Parse(typeof(InsightType), jObject["type"].Value<string>(), true),
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ReferenceValue = jObject["reference"].Value<decimal>(),
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Direction = (InsightDirection)Enum.Parse(typeof(InsightDirection), jObject["direction"].Value<string>(), true),
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Period = jObject["period"].Value<double>(),
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Magnitude = jObject["magnitude"].Value<double>()
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});
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var result = JsonConvert.SerializeObject(insight, Formatting.None);
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Assert.AreEqual(jsonNoScore, result);
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}
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[Test]
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public void SerializesInsightWithScore()
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{
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var jObject = JObject.Parse(jsonWithScore);
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var insight = Insight.FromSerializedInsight(new SerializedInsight
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{
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Id = jObject["id"].Value<string>(),
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SourceModel = jObject["source-model"].Value<string>(),
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GroupId = jObject["group-id"]?.Value<string>(),
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CreatedTime = jObject["created-time"].Value<double>(),
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CloseTime = jObject["close-time"].Value<double>(),
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Symbol = jObject["symbol"].Value<string>(),
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Ticker = jObject["ticker"].Value<string>(),
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Type = (InsightType)Enum.Parse(typeof(InsightType), jObject["type"].Value<string>(), true),
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ReferenceValue = jObject["reference"].Value<decimal>(),
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Direction = (InsightDirection)Enum.Parse(typeof(InsightDirection), jObject["direction"].Value<string>(), true),
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Period = jObject["period"].Value<double>(),
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Magnitude = jObject["magnitude"].Value<double>(),
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ScoreIsFinal = jObject["score-final"].Value<bool>(),
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ScoreMagnitude = jObject["score-magnitude"].Value<double>(),
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ScoreDirection = jObject["score-direction"].Value<double>(),
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EstimatedValue = jObject["estimated-value"].Value<decimal>(),
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ReferenceValueFinal = jObject["reference-final"].Value<decimal>()
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});
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var result = JsonConvert.SerializeObject(insight, Formatting.None);
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Assert.AreEqual(jsonWithScore, result);
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}
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[Test]
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public void SerializesOldInsightWithMissingCreatedTime()
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{
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var serializedInsight = JsonConvert.DeserializeObject<SerializedInsight>(jsonWithMissingCreatedTime);
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var insight = Insight.FromSerializedInsight(serializedInsight);
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var result = JsonConvert.SerializeObject(insight, Formatting.None);
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Assert.AreEqual(serializedInsight.CreatedTime, serializedInsight.GeneratedTime);
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Assert.AreEqual(jsonWithExpectedOutputFromMissingCreatedTimeValue, result);
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}
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private const string jsonNoScore =
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"{" +
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"\"id\":\"e02be50f56a8496b9ba995d19a904ada\"," +
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"\"group-id\":null," +
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"\"source-model\":\"mySourceModel-1\"," +
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"\"generated-time\":1520711961.00055," +
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"\"created-time\":1520711961.00055," +
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"\"close-time\":1520711961.00055," +
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"\"symbol\":\"BTCUSD XJ\"," +
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"\"ticker\":\"BTCUSD\"," +
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"\"type\":\"price\"," +
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"\"reference\":9143.53," +
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"\"reference-final\":0.0," +
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"\"direction\":\"up\"," +
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"\"period\":5.0," +
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"\"magnitude\":0.025," +
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"\"confidence\":null," +
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"\"weight\":null," +
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"\"score-final\":false," +
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"\"score-magnitude\":0.0," +
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"\"score-direction\":0.0," +
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"\"estimated-value\":0.0}";
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private const string jsonWithScore =
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"{" +
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"\"id\":\"e02be50f56a8496b9ba995d19a904ada\"," +
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"\"group-id\":\"a02be50f56a8496b9ba995d19a904ada\"," +
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"\"source-model\":\"mySourceModel-1\"," +
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"\"generated-time\":1520711961.00055," +
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"\"created-time\":1520711961.00055," +
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"\"close-time\":1520711961.00055," +
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"\"symbol\":\"BTCUSD XJ\"," +
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"\"ticker\":\"BTCUSD\"," +
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"\"type\":\"price\"," +
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"\"reference\":9143.53," +
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"\"reference-final\":9243.53," +
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"\"direction\":\"up\"," +
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"\"period\":5.0," +
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"\"magnitude\":0.025," +
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"\"confidence\":null," +
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"\"weight\":null," +
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"\"score-final\":true," +
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"\"score-magnitude\":1.0," +
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"\"score-direction\":1.0," +
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"\"estimated-value\":1113.2484}";
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private const string jsonWithMissingCreatedTime =
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"{" +
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"\"id\":\"e02be50f56a8496b9ba995d19a904ada\"," +
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"\"group-id\":\"a02be50f56a8496b9ba995d19a904ada\"," +
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"\"source-model\":\"mySourceModel-1\"," +
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"\"generated-time\":1520711961.00055," +
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"\"close-time\":1520711961.00055," +
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"\"symbol\":\"BTCUSD XJ\"," +
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"\"ticker\":\"BTCUSD\"," +
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"\"type\":\"price\"," +
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"\"reference\":9143.53," +
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"\"reference-final\":9243.53," +
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"\"direction\":\"up\"," +
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"\"period\":5.0," +
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"\"magnitude\":0.025," +
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"\"confidence\":null," +
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"\"weight\":null," +
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"\"score-final\":true," +
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"\"score-magnitude\":1.0," +
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"\"score-direction\":1.0," +
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"\"estimated-value\":1113.2484}";
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private const string jsonWithExpectedOutputFromMissingCreatedTimeValue =
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"{" +
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"\"id\":\"e02be50f56a8496b9ba995d19a904ada\"," +
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"\"group-id\":\"a02be50f56a8496b9ba995d19a904ada\"," +
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"\"source-model\":\"mySourceModel-1\"," +
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"\"generated-time\":1520711961.00055," +
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"\"created-time\":1520711961.00055," +
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"\"close-time\":1520711961.00055," +
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"\"symbol\":\"BTCUSD XJ\"," +
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"\"ticker\":\"BTCUSD\"," +
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"\"type\":\"price\"," +
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"\"reference\":9143.53," +
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"\"reference-final\":9243.53," +
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"\"direction\":\"up\"," +
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"\"period\":5.0," +
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"\"magnitude\":0.025," +
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"\"confidence\":null," +
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"\"weight\":null," +
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"\"score-final\":true," +
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"\"score-magnitude\":1.0," +
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"\"score-direction\":1.0," +
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"\"estimated-value\":1113.2484}";
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}
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}
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