chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * 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 NUnit.Framework;
+
+using QuantConnect.Data;
+using QuantConnect.Data.Market;
+using QuantConnect.Indicators;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Tests.Common.Securities
+{
+    [TestFixture]
+    public class IndicatorVolatilityModelTests
+    {
+        [Test]
+        public void UpdatesAfterCorrectPeriodElapses()
+        {
+            const int periods = 3;
+            var model = new IndicatorVolatilityModel(
+                new StandardDeviation(periods),
+                (s, d, i) => i.Update(d)
+            );
+            var reference = new DateTime(2016, 04, 06, 12, 0, 0);
+
+            var security = GetSecurity(reference, model);
+            for (var i = 0; i < periods; i++)
+            {
+                security.SetMarketPrice(new IndicatorDataPoint(reference.AddMinutes(i + 1), i + 1));
+            }
+
+            var expected = Math.Sqrt(2.0 / 3);
+            Assert.AreEqual(expected, model.Volatility);
+        }
+
+        [Test]
+        public void DoesntUpdateOnZeroPrice()
+        {
+            const int periods = 3;
+            var model = new IndicatorVolatilityModel(
+                new StandardDeviation(periods),
+                (s, d, i) =>
+                {
+                    if (s.Price > 0)
+                        i.Update(d);
+                }
+            );
+            var reference = new DateTime(2016, 04, 06, 12, 0, 0);
+
+            var security = GetSecurity(reference, model);
+            for (var i = 0; i < periods; i++)
+            {
+                security.SetMarketPrice(new IndicatorDataPoint(reference.AddMinutes(i + 1), i + 1));
+            }
+
+            var expected = Math.Sqrt(2.0 / 3);
+            Assert.AreEqual(expected, model.Volatility);
+
+            // update should not be applied as price is 0 since this condition is defined by indicatorUpdate
+            security.SetMarketPrice(new IndicatorDataPoint(reference.AddMinutes(3), 0m));
+            Assert.AreEqual(expected, model.Volatility);
+        }
+
+        [Test]
+        public void GetHistoryRequirementsWorks()
+        {
+            const int periods = 3;
+            var model = new IndicatorVolatilityModel(
+                new StandardDeviation(periods),
+                (s, d, i) => i.Update(d)
+            );
+            var reference = new DateTime(2016, 04, 06, 12, 0, 0);
+
+            var security = GetSecurity(reference, model);
+
+            var result = model.GetHistoryRequirements(security, DateTime.UtcNow);
+            Assert.AreEqual(Enumerable.Empty<HistoryRequest>(), result);
+        }
+
+        private static Security GetSecurity(DateTime reference, IVolatilityModel model)
+        {
+            var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
+            var timeKeeper = new TimeKeeper(referenceUtc);
+            var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
+            var security = new Security(
+                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
+                config,
+                new Cash(Currencies.USD, 0, 0),
+                SymbolProperties.GetDefault(Currencies.USD),
+                ErrorCurrencyConverter.Instance,
+                new RegisteredSecurityDataTypesProvider(),
+                new SecurityCache()
+            );
+            security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
+
+            security.VolatilityModel = model;
+
+            return security;
+        }
+    }
+}