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.Market;
+using QuantConnect.Indicators;
+
+namespace QuantConnect.Tests.Indicators
+{
+    [TestFixture, Parallelizable(ParallelScope.Fixtures)]
+    public class RelativeDailyVolumeTests : CommonIndicatorTests<TradeBar>
+    {
+        protected override IndicatorBase<TradeBar> CreateIndicator()
+        {
+            RenkoBarSize = 0.1m;
+            return new RelativeDailyVolume(2);
+        }
+
+        protected override string TestFileName => "spy_rdv.txt";
+
+        protected override string TestColumnName => "RDV";
+
+        protected override Action<IndicatorBase<TradeBar>, double> Assertion
+        {
+            get { return (indicator, expected) => Assert.AreEqual(expected, (double)indicator.Current.Value, 0.001); }
+        }
+
+        [Test]
+        public override void ResetsProperly()
+        {
+            var rdv = new RelativeDailyVolume(2); // Default resolution is daily
+            var reference = System.DateTime.Today;
+
+            rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddDays(1) });
+            rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 3, High = 4, Volume = 200, Time = reference.AddDays(2) });
+            rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 5, High = 6, Volume = 300, Time = reference.AddDays(3) });
+            Assert.IsTrue(rdv.IsReady);
+            Assert.AreNotEqual(0m, rdv.Current.Value);
+
+            rdv.Reset();
+            TestHelper.AssertIndicatorIsInDefaultState(rdv);
+        }
+
+        public void AddTradeBarData(ref RelativeDailyVolume rdv, int iterations, Resolution resolution, DateTime reference)
+        {
+            for (int i = 0; i < iterations; i++)
+            {
+                if (resolution == Resolution.Daily)
+                {
+                    rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddDays(1 + i) });
+                }
+                else if (resolution == Resolution.Hour)
+                {
+                    rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddHours(1 + i) });
+                }
+                else if (resolution == Resolution.Minute)
+                {
+                    rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddMinutes(1 + i) });
+                }
+                else if (resolution == Resolution.Second)
+                {
+                    rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddSeconds(1 + i) });
+                }
+                else
+                {
+                    rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddSeconds(1 + i) });
+                }
+            }
+        }
+
+        [Test]
+        public override void WarmsUpProperly()
+        {
+            var rdv1 = new RelativeDailyVolume(2);
+            var rdv2 = new RelativeDailyVolume(2);
+            var rdv3 = new RelativeDailyVolume(2);
+            var rdv4 = new RelativeDailyVolume(2);
+            var rdv5 = new RelativeDailyVolume(2);
+            var rdv6 = new RelativeDailyVolume(2);
+            var rdv7 = new RelativeDailyVolume(2);
+            var rdv8 = new RelativeDailyVolume(2);
+            var reference = new DateTime(2000, 1, 1, 0, 0, 0);
+
+            AddTradeBarData(ref rdv1, 2 + 1, Resolution.Daily, reference); // Needs one more datapoint after x days to be ready
+            AddTradeBarData(ref rdv2, 48, Resolution.Hour, reference);
+            AddTradeBarData(ref rdv3, (1440 * 2), Resolution.Minute, reference);
+            AddTradeBarData(ref rdv4, (86400 * 2), Resolution.Second, reference);
+            AddTradeBarData(ref rdv5, 2, Resolution.Daily, reference);
+            AddTradeBarData(ref rdv6, 47, Resolution.Hour, reference);
+            AddTradeBarData(ref rdv7, (1440 * 2) - 1, Resolution.Minute, reference);
+            AddTradeBarData(ref rdv8, (86400 * 2) - 1, Resolution.Second, reference);
+
+            Assert.IsTrue(rdv1.IsReady);
+            Assert.IsTrue(rdv2.IsReady);
+            Assert.IsTrue(rdv3.IsReady);
+            Assert.IsTrue(rdv4.IsReady);
+            Assert.IsFalse(rdv5.IsReady);
+            Assert.IsFalse(rdv6.IsReady);
+            Assert.IsFalse(rdv7.IsReady);
+            Assert.IsFalse(rdv8.IsReady);
+        }
+
+        /// <summary>
+        /// The final value of this indicator is zero because it uses the Volume of the bars it receives.
+        /// Since RenkoBar's don't always have Volume, the final current value is zero. Therefore we
+        /// skip this test
+        /// </summary>
+        /// <param name="indicator"></param>
+        protected override void IndicatorValueIsNotZeroAfterReceiveRenkoBars(IndicatorBase indicator)
+        {
+        }
+    }
+}