wehub-resource-sync
110 lines
4.2 KiB
C#
110 lines
4.2 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.Collections;
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using System.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture]
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public abstract class BaseConsolidatorTests
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{
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protected abstract IDataConsolidator CreateConsolidator();
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protected virtual void AssertConsolidator(IDataConsolidator consolidator)
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{
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Assert.IsNull(consolidator.Consolidated);
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}
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protected virtual Func<IBaseData, IBaseData, bool> AssertConsolidatedValues => (first, second) =>
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{
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Assert.AreEqual(first.Value, second.Value);
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Assert.AreEqual(first.Price, second.Price);
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Assert.AreEqual(first.DataType, second.DataType);
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Assert.AreEqual(first.Symbol, second.Symbol);
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Assert.AreEqual(first.EndTime, second.EndTime);
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return true;
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};
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protected virtual dynamic GetTestValues()
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{
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var time = new DateTime(2016, 1, 1);
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return new List<IndicatorDataPoint>()
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{
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new IndicatorDataPoint(time, 1.38687m),
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new IndicatorDataPoint(time.AddSeconds(1), 1.38687m),
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new IndicatorDataPoint(time.AddSeconds(2), 1.38688m),
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new IndicatorDataPoint(time.AddSeconds(3), 1.38687m),
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new IndicatorDataPoint(time.AddSeconds(4), 1.38686m),
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new IndicatorDataPoint(time.AddSeconds(5), 1.38685m),
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new IndicatorDataPoint(time.AddSeconds(6), 1.38683m),
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new IndicatorDataPoint(time.AddSeconds(7), 1.38682m),
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new IndicatorDataPoint(time.AddSeconds(8), 1.38682m),
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new IndicatorDataPoint(time.AddSeconds(9), 1.38684m),
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new IndicatorDataPoint(time.AddSeconds(10), 1.38682m),
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new IndicatorDataPoint(time.AddSeconds(11), 1.38680m),
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new IndicatorDataPoint(time.AddSeconds(12), 1.38681m),
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new IndicatorDataPoint(time.AddSeconds(13), 1.38686m),
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new IndicatorDataPoint(time.AddSeconds(14), 1.38688m),
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};
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}
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[Test]
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public void ResetWorksAsExpected()
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{
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// Test Renko bar consistency amongst three consolidators starting at different times
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var time = new DateTime(2016, 1, 1);
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var testValues = GetTestValues();
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var consolidatedBarsBefore = new List<IBaseData>();
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var consolidator = CreateConsolidator();
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foreach (var data in testValues)
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{
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consolidator.Update(data);
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if (consolidator.Consolidated != null)
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{
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consolidatedBarsBefore.Add(consolidator.Consolidated);
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}
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}
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consolidator.Reset();
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AssertConsolidator(consolidator);
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var consolidatedBarsAfter = new List<IBaseData>();
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foreach (var data in testValues)
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{
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consolidator.Update(data);
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if (consolidator.Consolidated != null)
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{
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consolidatedBarsAfter.Add(consolidator.Consolidated);
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}
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}
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Assert.AreEqual(consolidatedBarsBefore.Count, consolidatedBarsAfter.Count);
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consolidatedBarsBefore.Zip<IBaseData, IBaseData, bool>(consolidatedBarsAfter, AssertConsolidatedValues);
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consolidator.Dispose();
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}
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}
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}
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