chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,236 @@
|
||||
/*
|
||||
* 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.Securities;
|
||||
using QuantConnect.Data.Market;
|
||||
using System.Collections.Generic;
|
||||
|
||||
namespace QuantConnect.Tests.Indicators
|
||||
{
|
||||
[TestFixture]
|
||||
public class SessionTests
|
||||
{
|
||||
[TestCase(0)]
|
||||
[TestCase(1)]
|
||||
[TestCase(2)]
|
||||
public void AddMethodPreservesPreviousValuesInSessionWindow(int initialSize)
|
||||
{
|
||||
var symbol = Symbols.SPY;
|
||||
var session = GetSession(TickType.Trade, initialSize: initialSize);
|
||||
session.Size = 2;
|
||||
|
||||
var date = new DateTime(2025, 8, 25);
|
||||
|
||||
var bar1 = new TradeBar(date.AddHours(12), symbol, 100, 101, 99, 100, 1000, TimeSpan.FromHours(1));
|
||||
session.Update(bar1);
|
||||
var bar2 = new TradeBar(date.AddHours(13), symbol, 101, 102, 100, 101, 1100, TimeSpan.FromHours(1));
|
||||
session.Update(bar2);
|
||||
|
||||
// Verify current session values after multiple updates
|
||||
Assert.AreEqual(100, session[0].Open);
|
||||
Assert.AreEqual(102, session[0].High);
|
||||
Assert.AreEqual(99, session[0].Low);
|
||||
Assert.AreEqual(101, session[0].Close);
|
||||
Assert.AreEqual(2100, session[0].Volume);
|
||||
|
||||
// Start of a new trading day
|
||||
date = date.AddDays(1);
|
||||
session.Scan(date);
|
||||
bar1 = new TradeBar(date.AddHours(12), symbol, 200, 201, 199, 200, 2000, TimeSpan.FromHours(1));
|
||||
session.Update(bar1);
|
||||
bar2 = new TradeBar(date.AddHours(13), symbol, 300, 301, 299, 300, 3100, TimeSpan.FromHours(1));
|
||||
session.Update(bar2);
|
||||
|
||||
// Verify current session reflects new day data
|
||||
Assert.AreEqual(200, session[0].Open);
|
||||
Assert.AreEqual(301, session[0].High);
|
||||
Assert.AreEqual(199, session[0].Low);
|
||||
Assert.AreEqual(300, session[0].Close);
|
||||
Assert.AreEqual(5100, session[0].Volume);
|
||||
|
||||
// Verify previous session values are preserved
|
||||
Assert.AreEqual(100, session[1].Open);
|
||||
Assert.AreEqual(102, session[1].High);
|
||||
Assert.AreEqual(99, session[1].Low);
|
||||
Assert.AreEqual(101, session[1].Close);
|
||||
Assert.AreEqual(2100, session[1].Volume);
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void EndTimeDoesNotOverflowWhenAccessedBeforeFirstUpdate()
|
||||
{
|
||||
var symbol = Symbols.SPY;
|
||||
var session = GetSession(TickType.Trade, 3);
|
||||
|
||||
// Verify EndTime does not overflow when accessed before the first Update()
|
||||
Assert.DoesNotThrow(() =>
|
||||
{
|
||||
var currentEndTime = session.EndTime;
|
||||
});
|
||||
|
||||
session.Update(new TradeBar(new DateTime(2025, 8, 25, 10, 0, 0), symbol, 100, 101, 99, 100, 1000, TimeSpan.FromHours(1)));
|
||||
Assert.AreEqual(new DateTime(2025, 8, 26), session.EndTime);
|
||||
Assert.AreEqual(100, session.Open);
|
||||
Assert.AreEqual(101, session.High);
|
||||
Assert.AreEqual(99, session.Low);
|
||||
Assert.AreEqual(100, session.Close);
|
||||
Assert.AreEqual(1000, session.Volume);
|
||||
}
|
||||
|
||||
private static IEnumerable<TestCaseData> ConsolidationTestCases()
|
||||
{
|
||||
// Hour resolution during regular market hours
|
||||
yield return new TestCaseData(new DateTime(2025, 8, 25, 10, 0, 0), Resolution.Hour);
|
||||
|
||||
// Daily resolution and bar emitted at midnight
|
||||
yield return new TestCaseData(new DateTime(2025, 8, 25, 0, 0, 0), Resolution.Daily);
|
||||
}
|
||||
|
||||
[TestCaseSource(nameof(ConsolidationTestCases))]
|
||||
public void ConsolidatesDaily(DateTime baseDate, Resolution resolution)
|
||||
{
|
||||
var symbol = Symbols.SPY;
|
||||
var session = GetSession(TickType.Trade, 4);
|
||||
var days = new[]
|
||||
{
|
||||
new { Expected = new TradeBar(baseDate.Date, symbol, 100, 101, 99, 100, 6000, Time.OneDay) },
|
||||
new { Expected = new TradeBar(baseDate.Date.AddDays(1), symbol, 100, 101, 99, 100, 6000, Time.OneDay) },
|
||||
new { Expected = new TradeBar(baseDate.Date.AddDays(2), symbol, 100, 101, 99, 100, 6000, Time.OneDay) },
|
||||
};
|
||||
|
||||
Assert.AreEqual(1, session.Samples);
|
||||
|
||||
for (int i = 0; i < days.Length; i++)
|
||||
{
|
||||
var startDate = baseDate.AddDays(i);
|
||||
var endDate = startDate.Date.AddDays(1);
|
||||
|
||||
if (resolution == Resolution.Hour)
|
||||
{
|
||||
for (int j = 0; j < 6; j++)
|
||||
{
|
||||
session.Update(new TradeBar(startDate.AddHours(j), symbol, 100, 101, 99, 100, 1000, Time.OneHour));
|
||||
}
|
||||
}
|
||||
else
|
||||
{
|
||||
session.Update(new TradeBar(startDate, symbol, 100, 101, 99, 100, 6000, Time.OneDay));
|
||||
}
|
||||
|
||||
session.Scan(endDate);
|
||||
Assert.AreEqual(i + 2, session.Samples);
|
||||
Assert.IsTrue(BarsAreEqual(days[i].Expected, session[1]));
|
||||
}
|
||||
}
|
||||
|
||||
[TestCaseSource(nameof(NextSessionTradingDayCases))]
|
||||
public void CreatesNewSessionBarWithCorrectNextTradingDay(DateTime startDate, DateTime expectedDate)
|
||||
{
|
||||
var symbol = Symbols.SPY;
|
||||
var session = GetSession(TickType.Trade, 3);
|
||||
var endDate = startDate.AddHours(14);
|
||||
|
||||
for (int i = 0; i < 6; i++)
|
||||
{
|
||||
session.Update(new TradeBar(startDate.AddHours(i), symbol, 100, 101, 99, 100, 1000, TimeSpan.FromHours(1)));
|
||||
}
|
||||
|
||||
session.Scan(endDate);
|
||||
|
||||
var sessionBar = session[0];
|
||||
Assert.AreNotEqual(DateTime.MaxValue, sessionBar.Time);
|
||||
Assert.AreEqual(expectedDate, sessionBar.Time);
|
||||
Assert.AreEqual(expectedDate.AddDays(1), sessionBar.EndTime);
|
||||
Assert.AreEqual(0, sessionBar.Open);
|
||||
Assert.AreEqual(0, sessionBar.High);
|
||||
Assert.AreEqual(0, sessionBar.Low);
|
||||
Assert.AreEqual(0, sessionBar.Close);
|
||||
Assert.AreEqual(0, sessionBar.Volume);
|
||||
}
|
||||
|
||||
private static IEnumerable<TestCaseData> NextSessionTradingDayCases()
|
||||
{
|
||||
// Regular weekday: next trading day is simply the next calendar day
|
||||
yield return new TestCaseData(new DateTime(2025, 8, 25, 10, 0, 0), new DateTime(2025, 8, 26));
|
||||
|
||||
// Friday before Labor Day weekend -> next trading day is Tuesday (Sep 2, 2025)
|
||||
yield return new TestCaseData(new DateTime(2025, 8, 29, 10, 0, 0), new DateTime(2025, 9, 2));
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void ManualDailyBarUpdateProducesOneConsolidationPerBar()
|
||||
{
|
||||
var symbol = Symbols.SPY;
|
||||
var barCount = 20;
|
||||
var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
|
||||
var session = new Session(TickType.Trade, exchangeHours, symbol, barCount + 1);
|
||||
|
||||
var barDate = new DateTime(2025, 9, 2, 9, 30, 0);
|
||||
for (var i = 0; i < barCount; i++)
|
||||
{
|
||||
session.Update(new TradeBar(barDate, symbol, 100 + i, 101 + i, 99 + i, 100 + i, 1000, Time.OneDay));
|
||||
barDate = barDate.AddDays(1);
|
||||
while (!exchangeHours.IsDateOpen(barDate.Date, false))
|
||||
{
|
||||
barDate = barDate.AddDays(1);
|
||||
}
|
||||
}
|
||||
|
||||
Assert.AreEqual(barCount, session.Samples);
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void GapDayDataPreservesCorrectTimestampAndContent()
|
||||
{
|
||||
var symbol = Symbols.SPY;
|
||||
var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
|
||||
var session = new Session(TickType.Trade, exchangeHours, symbol, 5);
|
||||
|
||||
var sep2 = new DateTime(2025, 9, 2, 9, 30, 0);
|
||||
var sep4 = new DateTime(2025, 9, 4, 9, 30, 0);
|
||||
var sep5 = new DateTime(2025, 9, 5, 9, 30, 0);
|
||||
|
||||
session.Update(new TradeBar(sep2, symbol, 100, 110, 90, 105, 1000, Time.OneDay));
|
||||
session.Update(new TradeBar(sep4, symbol, 200, 210, 190, 205, 2000, Time.OneDay));
|
||||
session.Update(new TradeBar(sep5, symbol, 300, 310, 290, 305, 3000, Time.OneDay));
|
||||
|
||||
Assert.AreEqual(sep4.Date, session[1].Time);
|
||||
Assert.AreEqual(200, session[1].Open);
|
||||
Assert.AreEqual(sep2.Date, session[2].Time);
|
||||
Assert.AreEqual(100, session[2].Open);
|
||||
}
|
||||
|
||||
private static Session GetSession(TickType tickType, int initialSize)
|
||||
{
|
||||
var symbol = Symbols.SPY;
|
||||
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
|
||||
var exchangeHours = marketHoursDatabase.GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
|
||||
return new Session(tickType, exchangeHours, symbol, initialSize);
|
||||
}
|
||||
|
||||
private static bool BarsAreEqual(TradeBar bar1, TradeBar bar2)
|
||||
{
|
||||
return bar1.Time == bar2.Time &&
|
||||
bar1.EndTime == bar2.EndTime &&
|
||||
bar1.Open == bar2.Open &&
|
||||
bar1.High == bar2.High &&
|
||||
bar1.Low == bar2.Low &&
|
||||
bar1.Close == bar2.Close &&
|
||||
bar1.Volume == bar2.Volume;
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user