wehub-resource-sync
271 lines
11 KiB
C#
271 lines
11 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Linq;
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using NUnit.Framework;
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using System.Collections.Generic;
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using QuantConnect.Algorithm.Framework.Alphas;
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namespace QuantConnect.Tests.Algorithm.Framework.Alphas
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{
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[TestFixture]
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public class InsightCollectionTests
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{
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private static readonly DateTime _referenceTime = new DateTime(2019, 1, 1);
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[Test]
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public void InsightCollectionShouldBeAbleToBeConvertedToListWithoutStackOverflow()
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{
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var insightCollection = new InsightCollection
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{
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new Insight(Symbols.AAPL, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up)
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{
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CloseTimeUtc = new DateTime(2019, 1, 1),
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},
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new Insight(Symbols.AAPL, new TimeSpan(1, 0, 0, 0), InsightType.Volatility, InsightDirection.Up)
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{
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CloseTimeUtc = new DateTime(2019, 1, 2),
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}
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};
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Assert.DoesNotThrow(() => insightCollection.OrderBy(x => x.CloseTimeUtc).ToList());
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}
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[Test]
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public void HasActiveInsights()
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{
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var collection = new InsightCollection();
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Assert.IsFalse(collection.HasActiveInsights(Symbols.AAPL, DateTime.MinValue));
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collection.AddRange(GetTestInsight());
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Assert.IsFalse(collection.HasActiveInsights(Symbols.AAPL, DateTime.MaxValue));
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Assert.IsTrue(collection.HasActiveInsights(Symbols.AAPL, _referenceTime));
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}
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[Test]
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public void GetNextExpiryTime()
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{
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var collection = new InsightCollection();
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Assert.AreEqual(null, collection.GetNextExpiryTime());
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collection.AddRange(GetTestInsight());
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Assert.AreEqual(_referenceTime, collection.GetNextExpiryTime());
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var nextDay = _referenceTime.AddDays(1);
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Assert.AreEqual(1, collection.RemoveExpiredInsights(nextDay).Count);
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Assert.AreEqual(nextDay, collection.GetNextExpiryTime());
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}
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[Test]
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public void TryGetValue()
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{
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var collection = new InsightCollection();
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Assert.IsFalse(collection.TryGetValue(Symbols.AAPL, out var _));
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collection.AddRange(GetTestInsight());
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Assert.IsTrue(collection.TryGetValue(Symbols.AAPL, out var insights));
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Assert.AreEqual(2, insights.Count);
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Assert.AreEqual(2, insights.Count(insight => insight.Symbol == Symbols.AAPL));
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}
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[Test]
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public void KeyNotFoundException()
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{
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var collection = new InsightCollection();
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Assert.Throws<KeyNotFoundException>(() =>
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{
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var insight = collection[Symbols.AAPL];
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});
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}
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[Test]
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public void Contains()
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{
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var collection = new InsightCollection();
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var insights = GetTestInsight();
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collection.AddRange(insights);
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foreach (var insight in insights)
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{
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Assert.IsTrue(collection.Contains(insight));
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Assert.IsTrue(collection.ContainsKey(insight.Symbol));
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}
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Assert.IsFalse(collection.ContainsKey(Symbols.BTCEUR));
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var anotherInsight = new Insight(Symbols.BTCEUR, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up);
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Assert.IsFalse(collection.Contains(anotherInsight));
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}
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[Test]
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public void Addition()
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{
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var collection = new InsightCollection();
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var insight = new Insight(Symbols.AAPL, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up) { CloseTimeUtc = _referenceTime };
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collection.Add(insight);
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collection.Add(new Insight(Symbols.SPY, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up) { CloseTimeUtc = _referenceTime });
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collection.Add(new Insight(Symbols.IBM, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Down) { CloseTimeUtc = _referenceTime.AddDays(-1) });
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var beforeExpiration = insight.CloseTimeUtc.AddDays(-1);
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Assert.AreEqual(3, collection.Count);
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Assert.IsTrue(collection.TryGetValue(Symbols.AAPL, out var insightInCollection));
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Assert.IsTrue(collection.HasActiveInsights(Symbols.AAPL, beforeExpiration));
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Assert.AreEqual(insight, insightInCollection.Single());
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Assert.AreEqual(insight, collection[Symbols.AAPL].Single());
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Assert.AreEqual(3, collection.Count);
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Assert.AreEqual(3, collection.GetActiveInsights(beforeExpiration).Count);
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Assert.AreEqual(3, collection.GetInsights().Count);
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Assert.AreEqual(insight, collection.GetInsights(x => insight == x).Single());
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Assert.AreEqual(0, collection.GetActiveInsights(_referenceTime.AddYears(1)).Count);
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Assert.AreEqual(3, collection.TotalCount);
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}
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[Test]
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public void GetInsights()
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{
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var collection = new InsightCollection();
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var insights = GetTestInsight();
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collection.AddRange(insights);
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Assert.AreEqual(5, collection.Count);
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collection.RemoveInsights(x => x == insights[0]);
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Assert.AreEqual(4, collection.GetInsights().Count);
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Assert.AreEqual(4, collection.Count);
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}
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[Test]
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public void Removal()
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{
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var collection = new InsightCollection();
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var insights = GetTestInsight();
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collection.AddRange(insights);
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var insightCount = collection.Count;
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foreach (var insight in insights)
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{
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Assert.IsTrue(collection.Remove(insight));
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Assert.AreEqual(--insightCount, collection.Count);
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}
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// readd the first insight
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var firstInsight = insights[0];
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collection.Add(firstInsight);
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Assert.AreEqual(1, collection.Count);
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// we only remove 'firstInsight' from the global collection
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collection.RemoveInsights(x => x == firstInsight);
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Assert.AreEqual(4, collection.GetInsights().Count);
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Assert.AreEqual(0, collection.Count);
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Assert.AreEqual(6, collection.TotalCount);
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}
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[Test]
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public void ExpiredRemoval()
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{
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var collection = new InsightCollection();
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var insights = GetTestInsight();
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collection.AddRange(insights);
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Assert.AreEqual(5, collection.Count);
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Assert.AreEqual(0, collection.RemoveExpiredInsights(_referenceTime.AddDays(-1)).Count);
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// expire 1 insight
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Assert.AreEqual(insights[0], collection.RemoveExpiredInsights(_referenceTime.AddDays(1)).Single());
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// expire 2 insights
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Assert.AreEqual(2, collection.RemoveExpiredInsights(_referenceTime.AddDays(2)).Count);
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Assert.AreEqual(2, collection.Count);
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Assert.AreEqual(5, collection.TotalCount);
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}
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[Test]
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public void IndexAccess()
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{
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var collection = new InsightCollection();
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collection.AddRange(GetTestInsight());
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collection[Symbols.AAPL] = null;
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Assert.AreEqual(3, collection.Count);
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var insight = new Insight(Symbols.AAPL, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up) { CloseTimeUtc = new DateTime(2019, 1, 1) };
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var insight2 = new Insight(Symbols.AAPL, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up) { CloseTimeUtc = new DateTime(2019, 1, 2) };
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collection[Symbols.AAPL] = new() { insight, insight2 };
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Assert.AreEqual(5, collection.Count);
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collection[Symbols.AAPL] = null;
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Assert.AreEqual(3, collection.Count);
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Assert.AreEqual(7, collection.TotalCount);
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}
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[Test]
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public void AddRange()
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{
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var collection = new InsightCollection();
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var insights = GetTestInsight();
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collection.AddRange(insights);
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Assert.AreEqual(5, collection.Count);
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foreach (var insight in insights)
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{
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Assert.IsTrue(collection.Contains(insight));
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Assert.IsTrue(collection.ContainsKey(insight.Symbol));
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}
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Assert.AreEqual(5, collection.TotalCount);
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}
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[Test]
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public void ClearSymbols()
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{
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var collection = new InsightCollection();
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collection.AddRange(GetTestInsight());
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collection.Clear(Array.Empty<Symbol>());
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Assert.AreEqual(5, collection.Count);
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collection.Clear(new[] { Symbols.AAPL });
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Assert.AreEqual(3, collection.Count);
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Assert.IsTrue(collection.ContainsKey(Symbols.SPY));
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Assert.IsTrue(collection.ContainsKey(Symbols.IBM));
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Assert.IsFalse(collection.ContainsKey(Symbols.AAPL));
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Assert.AreEqual(5, collection.TotalCount);
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}
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private static List<Insight> GetTestInsight()
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{
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var insight = new Insight(Symbols.AAPL, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up) { CloseTimeUtc = _referenceTime };
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var insight2 = new Insight(Symbols.AAPL, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up) { CloseTimeUtc = _referenceTime.AddDays(1) };
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var insight3 = new Insight(Symbols.SPY, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Up) { CloseTimeUtc = _referenceTime.AddDays(1) };
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var insight4 = new Insight(Symbols.SPY, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Down) { CloseTimeUtc = _referenceTime.AddMonths(1) };
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var insight5 = new Insight(Symbols.IBM, new TimeSpan(1, 0, 0, 0), InsightType.Price, InsightDirection.Down) { CloseTimeUtc = _referenceTime.AddMonths(1) };
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return new List<Insight> { insight, insight2, insight3, insight4, insight5 };
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}
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}
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}
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