wehub-resource-sync
77 lines
3.6 KiB
C#
77 lines
3.6 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 QuantConnect.Data.Consolidators;
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using System.Collections.Generic;
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using QuantConnect.Data.Market;
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using NUnit.Framework;
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using System;
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namespace QuantConnect.Tests.Common.Data
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{
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public class ClassicRangeConsolidatorTests : RangeConsolidatorTests
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{
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protected override RangeConsolidator CreateRangeConsolidator(int range)
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{
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return new ClassicRangeConsolidator(range, x => x.Value, x => 10m);
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}
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/// <summary>
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/// This test doesn't work for ClassicRangeConsolidator since this consolidator
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/// doesn't create intermediate/phantom bars
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/// </summary>
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[TestCaseSource(nameof(PriceGapBehaviorIsTheExpectedOneTestCases))]
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public override void PriceGapBehaviorIsTheExpectedOne(Symbol symbol, double minimumPriceVariation, double range)
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{
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}
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[TestCaseSource(nameof(ConsolidatorCreatesExpectedBarsTestCases))]
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public override void ConsolidatorCreatesExpectedBarsInDifferentScenarios(List<decimal> testValues, RangeBar[] expectedBars)
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{
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base.ConsolidatorCreatesExpectedBarsInDifferentScenarios(testValues, expectedBars);
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}
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private static object[] ConsolidatorCreatesExpectedBarsTestCases = new object[]
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{
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new object[] { new List<decimal>(){ 90m, 94.5m }, new RangeBar[] {
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new RangeBar{ Open = 90m, Low = 90m, High = 91m, Close = 91m, Volume = 10m, EndTime = new DateTime(2016, 1, 2) }
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}},
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new object[] { new List<decimal>(){ 94m, 89.5m }, new RangeBar[] {
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new RangeBar { Open = 94m, Low = 93m, High = 94m, Close = 93m, Volume = 10m, EndTime = new DateTime(2016, 1, 2) }
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}},
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new object[] { new List<decimal>{ 90m, 94.5m, 89.5m }, new RangeBar[] {
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new RangeBar { Open = 90m, Low = 90m, High = 91m, Close = 91m, Volume = 10m, EndTime = new DateTime(2016, 1, 2) },
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new RangeBar { Open = 94.5m, Low = 93.50m, High = 94.50m, Close = 93.50m, Volume = 10m, EndTime = new DateTime(2016, 1, 3)}
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}},
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new object[] { new List<decimal>{ 94.5m, 89.5m, 94.5m }, new RangeBar[] {
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new RangeBar { Open = 95m, Low = 94m, High = 95m, Close = 94m, Volume = 10m, EndTime = new DateTime(2016, 1, 2)},
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new RangeBar { Open = 89.50m, Low = 89.50m, High = 90.50m, Close = 90.50m, Volume = 10m , EndTime = new DateTime(2016, 1, 3)}
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}},
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};
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protected override decimal[][] GetRangeConsolidatorExpectedValues()
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{
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return new decimal[][] {
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new decimal[]{ 90m, 90m, 91m, 91m, 10m },
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new decimal[]{ 94.5m, 93.5m, 94.5m, 93.5m, 20m},
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new decimal[]{ 89.5m, 89m, 90m, 90m, 20m},
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new decimal[]{ 90.5m, 90m, 91m, 91m, 20m},
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new decimal[]{ 91.5m, 90.5m, 91.5m, 90.5m, 10m},
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new decimal[]{ 90m, 90m, 91m, 91m, 20m},
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};
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}
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}
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}
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