chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
5008 changed files with 910633 additions and 0 deletions
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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 NUnit.Framework;
+using QuantConnect.Data.Consolidators;
+using QuantConnect.Indicators;
+using QuantConnect.Data.Market;
+
+namespace QuantConnect.Tests.Indicators
+{
+    public interface ITestMcClellanOscillator
+    {
+        public void TestUpdate(IndicatorDataPoint input);
+    }
+
+    /// <summary> 
+    /// Miscellaneous tool for McClellan Indicator test
+    /// </summary>
+    public class McClellanIndicatorTestHelper
+    {
+        /// <summary> 
+        /// Run test for McClellan Indicator
+        /// </summary>
+        /// <param name="indicator">McClellan Indicator instance</param>
+        /// <param name="fileName">External source file name</param>
+        /// <param name="columnName">External source reference column name</param>
+        public static void RunTestIndicator<T>(T indicator, string fileName, string columnName)
+            where T : TradeBarIndicator, ITestMcClellanOscillator
+        {
+            foreach (var parts in TestHelper.GetCsvFileStream(fileName))
+            {
+                parts.TryGetValue("a/d difference", out var adDifference);
+                parts.TryGetValue("date", out var date);
+
+                var data = new IndicatorDataPoint(Parse.DateTimeExact(date, "yyyyMMdd"), adDifference.ToDecimal());
+                indicator.TestUpdate(data);
+
+                if (!indicator.IsReady || !parts.TryGetValue(columnName, out var expected))
+                {
+                    continue;
+                }
+
+                // Source data has only 2 decimal places
+                Assert.AreEqual(Parse.Double(expected), (double)indicator.Current.Value, 0.02d);
+            }
+        }
+
+        /// <summary>
+        /// Updates the given consolidator with the entries from the given external CSV file
+        /// </summary>
+        /// <param name="renkoConsolidator">RenkoConsoliadtor instance</param>
+        /// <param name="fileName">External source file name</param>
+        public static void UpdateRenkoConsolidator(IDataConsolidator renkoConsolidator, string fileName)
+        {
+            var closeValue = 1m;
+            foreach (var parts in TestHelper.GetCsvFileStream(fileName))
+            {
+                parts.TryGetValue("a/d difference", out var adDifference);
+                parts.TryGetValue("date", out var date);
+
+                var data = new TradeBar() { Symbol = Symbols.SPY, Close = closeValue, Open = closeValue - 1, Volume = 1, Time = Parse.DateTimeExact(date, "yyyyMMdd") };
+                closeValue++;
+                renkoConsolidator.Update(data);
+            }
+        }
+
+        /// <summary> 
+        /// Get the simulated number of advance and decline asset
+        /// </summary>
+        /// <param name="adDifference">Number of advancing asset minus that of declining ones</param>
+        /// <param name="advance">Simulated number of advancing asset</param>
+        /// <param name="decline">Simulated number of declining asset</param>
+        public static bool GetAdvanceDeclineNumber(decimal adDifference, out int advance, out int decline)
+        {
+            // x + (3000 - x) = adDifference
+            var simulatedAdvance = (adDifference + 2530m) / 2m;
+
+            // Both -0.5 if `simulatedAdvance` is not divisible by 2
+            if (simulatedAdvance % 1 != 0)
+            {
+                advance = (int)Math.Floor(simulatedAdvance);
+                decline = 2530 - advance - 1;
+                return false;
+            }
+
+            advance = (int)simulatedAdvance;
+            decline = 2530 - advance;
+            return true;
+        }
+    }
+}