Louis Szeto
3a10afeac5
* Add base indicator for greeks * Add option delta indicator * Add helper method * Add unit tests * Address peer review * Fix minor bugs * Change OptionDelta into Delta * rename helper method
96 lines
3.9 KiB
C#
96 lines
3.9 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 Moq;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Lean.Engine.HistoricalData;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Algorithm
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{
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[TestFixture]
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public class AlgorithmIndicatorsTests
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{
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private QCAlgorithm _algorithm;
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private Symbol _option;
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[SetUp]
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public void Setup()
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{
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_algorithm = new QCAlgorithm();
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_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
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var historyProvider = new SubscriptionDataReaderHistoryProvider();
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historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null,
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TestGlobals.DataProvider, TestGlobals.DataCacheProvider, TestGlobals.MapFileProvider, TestGlobals.FactorFileProvider,
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null, true, new DataPermissionManager(), _algorithm.ObjectStore));
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_algorithm.SetHistoryProvider(historyProvider);
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_algorithm.SetDateTime(new DateTime(2013, 10, 11, 15, 0, 0));
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_algorithm.AddEquity("SPY");
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_option = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 450m, new DateTime(2023, 9, 1));
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_algorithm.AddOptionContract(_option);
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_algorithm.EnableAutomaticIndicatorWarmUp = true;
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}
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[Test]
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public void IndicatorsPassSelectorToWarmUp()
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{
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var mockSelector = new Mock<Func<IBaseData, TradeBar>>();
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mockSelector.Setup(_ => _(It.IsAny<IBaseData>())).Returns<TradeBar>(_ => (TradeBar)_);
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var indicator = _algorithm.ABANDS(Symbols.SPY, 20, selector: mockSelector.Object);
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Assert.IsTrue(indicator.IsReady);
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mockSelector.Verify(_ => _(It.IsAny<IBaseData>()), Times.Exactly(indicator.WarmUpPeriod));
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}
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[Test]
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public void SharpeRatioIndicatorUsesAlgorithmsRiskFreeRateModelSetAfterIndicatorRegistration()
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{
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// Register indicator
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var sharpeRatio = _algorithm.SR(Symbols.SPY, 10);
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// Setup risk free rate model
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var interestRateProviderMock = new Mock<IRiskFreeInterestRateModel>();
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var reference = new DateTime(2023, 11, 21, 10, 0, 0);
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interestRateProviderMock.Setup(x => x.GetInterestRate(reference)).Verifiable();
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// Update indicator
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sharpeRatio.Update(new IndicatorDataPoint(Symbols.SPY, reference, 300m));
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// Our interest rate provider shouldn't have been called yet since it's hasn't been set to the algorithm
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interestRateProviderMock.Verify(x => x.GetInterestRate(reference), Times.Never);
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// Set the interest rate provider to the algorithm
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_algorithm.SetRiskFreeInterestRateModel(interestRateProviderMock.Object);
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// Update indicator
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sharpeRatio.Update(new IndicatorDataPoint(Symbols.SPY, reference, 300m));
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// Our interest rate provider should have been called once
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interestRateProviderMock.Verify(x => x.GetInterestRate(reference), Times.Once);
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}
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}
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}
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