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chore: import upstream snapshot with attribution

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2026-07-13 13:02:50 +08:00
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Tests/Indicators/DualSymbolIndicatorTests.cs
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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 NUnit.Framework;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using System;
using System.Collections.Generic;
namespace QuantConnect.Tests.Indicators
{
[TestFixture]
public class DualSymbolIndicatorTests
{
private DateTime _reference = new DateTime(2020, 1, 1);
[Test]
public void TimeMovesForward()
{
var indicator = new TestAverageIndicator(Symbols.IBM, Symbols.SPY, 5);
for (var i = 10; i > 0; i--)
{
indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
}
Assert.AreEqual(2, indicator.Samples);
}
[Test]
public void ValidateCalculation()
{
var indicator = new TestAverageIndicator(Symbols.AAPL, Symbols.SPX, 3);
var bars = new List<TradeBar>()
{
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 10, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) },
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 35, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) },
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2),EndTime = _reference.AddDays(3) },
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2), EndTime = _reference.AddDays(3) },
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 15, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) },
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 80, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) },
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) },
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) },
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 37, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) },
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 90, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) },
new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 105, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) },
new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 302, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) },
};
foreach (var bar in bars)
{
indicator.Update(bar);
}
var closeAAPL = new List<decimal>() { 10, 15, 90, 105 };
var closeSPX = new List<decimal>() { 35, 80, 37, 302 };
var expectedValue = 0m;
for (var i = 0; i < closeAAPL.Count; i++)
{
expectedValue += (closeAAPL[i] + closeSPX[i]) / 2;
}
Assert.AreEqual(expectedValue, indicator.Current.Value);
}
[Test]
public void WorksWithDifferentTimeZones()
{
var indicator = new TestAverageIndicator(Symbols.SPY, Symbols.BTCUSD, 5);
for (int i = 0; i < 10; i++)
{
var startTime = _reference.AddDays(1 + i);
var endTime = startTime.AddDays(1);
indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 100, Time = startTime, EndTime = endTime });
indicator.Update(new TradeBar() { Symbol = Symbols.BTCUSD, Low = 1, High = 2, Volume = 100, Close = 100, Time = startTime, EndTime = endTime });
}
Assert.AreEqual(100 * 10, indicator.Current.Value);
}
[Test]
public void TracksPreviousState()
{
var period = 5;
var indicator = new TestAverageIndicator(Symbols.SPY, Symbols.AAPL, period);
var previousValue = indicator.Current.Value;
// Update the indicator and verify the previous values
for (var i = 1; i < 2 * period; i++)
{
var startTime = _reference.AddDays(1 + i);
var endTime = startTime.AddDays(1);
indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime });
indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime });
// Verify the previous value matches the indicator's previous value
Assert.AreEqual(previousValue, indicator.Previous.Value);
// Update previousValue to the current value for the next iteration
previousValue = indicator.Current.Value;
}
}
private class TestAverageIndicator : DualSymbolIndicator<IBaseDataBar>
{
public TestAverageIndicator(Symbol targetSymbol, Symbol referenceSymbol, int period)
: base("TestIndicator", targetSymbol, referenceSymbol, period)
{
}
public override bool IsReady => TargetDataPoints.IsReady && ReferenceDataPoints.IsReady;
protected override decimal ComputeIndicator()
{
var prevValue = IndicatorValue;
var result = IndicatorValue += (TargetDataPoints[0].Close + ReferenceDataPoints[0].Close) / 2;
Console.WriteLine($"Previous Value: {prevValue}, Current Value: {IndicatorValue} (Inputs: {TargetDataPoints[^1]} and {ReferenceDataPoints[^1]})");
return result;
}
}
}
}