wehub-resource-sync
289 lines
11 KiB
C#
289 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.Collections.Generic;
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using NUnit.Framework;
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using Python.Runtime;
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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 class ClassicRenkoConsolidatorTests: BaseConsolidatorTests
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{
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[Test]
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public void ClassicOutputTypeIsRenkoBar()
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{
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using var consolidator = new ClassicRenkoConsolidator(10, x => x.Value, x => 0);
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Assert.AreEqual(typeof(RenkoBar), consolidator.OutputType);
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}
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[Test]
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public void ClassicConsolidatesOnBrickHigh()
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{
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RenkoBar bar = null;
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using var consolidator = new ClassicRenkoConsolidator(10, x => x.Value, x => 0);
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consolidator.DataConsolidated += (sender, consolidated) =>
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{
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bar = consolidated;
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};
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var reference = DateTime.Today;
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consolidator.Update(new IndicatorDataPoint(reference, 0m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddHours(1), 5m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddHours(2), 10m));
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Assert.IsNotNull(bar);
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Assert.AreEqual(0m, bar.Open);
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Assert.AreEqual(10m, bar.Close);
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Assert.IsTrue(bar.IsClosed);
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}
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[Test]
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public void ClassicConsolidatesOnBrickLow()
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{
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RenkoBar bar = null;
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using var consolidator = new ClassicRenkoConsolidator(10, x => x.Value, x => 0);
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consolidator.DataConsolidated += (sender, consolidated) =>
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{
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bar = consolidated;
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};
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var reference = DateTime.Today;
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consolidator.Update(new IndicatorDataPoint(reference, 10m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddHours(1), 2m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddHours(2), 0m));
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Assert.IsNotNull(bar);
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Assert.AreEqual(10m, bar.Open);
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Assert.AreEqual(0m, bar.Close);
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Assert.IsTrue(bar.IsClosed);
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}
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[Test]
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public void ConsistentRenkos()
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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 = new List<decimal>
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{
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1.38687m, 1.38688m, 1.38687m, 1.38686m, 1.38685m, 1.38683m,
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1.38682m, 1.38682m, 1.38684m, 1.38682m, 1.38682m, 1.38680m,
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1.38681m, 1.38686m, 1.38688m, 1.38688m, 1.38690m, 1.38690m,
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1.38691m, 1.38692m, 1.38694m, 1.38695m, 1.38697m, 1.38697m,
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1.38700m, 1.38699m, 1.38699m, 1.38699m, 1.38698m, 1.38699m,
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1.38697m, 1.38698m, 1.38698m, 1.38697m, 1.38698m, 1.38698m,
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1.38697m, 1.38697m, 1.38700m, 1.38702m, 1.38701m, 1.38699m,
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1.38697m, 1.38698m, 1.38696m, 1.38698m, 1.38697m, 1.38695m,
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1.38695m, 1.38696m, 1.38693m, 1.38692m, 1.38693m, 1.38693m,
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1.38692m, 1.38693m, 1.38692m, 1.38690m, 1.38686m, 1.38685m,
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1.38687m, 1.38686m, 1.38686m, 1.38686m, 1.38686m, 1.38685m,
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1.38684m, 1.38678m, 1.38679m, 1.38680m, 1.38680m, 1.38681m,
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1.38685m, 1.38685m, 1.38683m, 1.38682m, 1.38682m, 1.38683m,
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1.38682m, 1.38683m, 1.38682m, 1.38681m, 1.38680m, 1.38681m,
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1.38681m, 1.38681m, 1.38682m, 1.38680m, 1.38679m, 1.38678m,
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1.38675m, 1.38678m, 1.38678m, 1.38678m, 1.38682m, 1.38681m,
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1.38682m, 1.38680m, 1.38682m, 1.38683m, 1.38685m, 1.38683m,
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1.38683m, 1.38684m, 1.38683m, 1.38683m, 1.38684m, 1.38685m,
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1.38684m, 1.38683m, 1.38686m, 1.38685m, 1.38685m, 1.38684m,
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1.38685m, 1.38682m, 1.38684m, 1.38683m, 1.38682m, 1.38683m,
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1.38685m, 1.38685m, 1.38685m, 1.38683m, 1.38685m, 1.38684m,
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1.38686m, 1.38693m, 1.38695m, 1.38693m, 1.38694m, 1.38693m,
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1.38692m, 1.38693m, 1.38695m, 1.38697m, 1.38698m, 1.38695m,
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1.38696m
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};
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var consolidator1 = new ClassicRenkoConsolidator(0.0001m);
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var consolidator2 = new ClassicRenkoConsolidator(0.0001m);
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var consolidator3 = new ClassicRenkoConsolidator(0.0001m);
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// Update each of our consolidators starting at different indexes of test values
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for (int i = 0; i < testValues.Count; i++)
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{
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var data = new IndicatorDataPoint(time.AddSeconds(i), testValues[i]);
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consolidator1.Update(data);
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if (i > 10)
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{
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consolidator2.Update(data);
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}
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if (i > 20)
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{
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consolidator3.Update(data);
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}
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}
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// Assert that consolidator 2 and 3 price is the same as 1. Even though they started at different
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// indexes they should be the same
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var bar1 = consolidator1.Consolidated as RenkoBar;
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var bar2 = consolidator2.Consolidated as RenkoBar;
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var bar3 = consolidator3.Consolidated as RenkoBar;
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Assert.AreEqual(bar1.Close, bar2.Close);
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Assert.AreEqual(bar1.Close, bar3.Close);
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consolidator1.Dispose();
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consolidator2.Dispose();
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consolidator3.Dispose();
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}
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[Test]
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public void ClassicCyclesUpAndDown()
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{
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RenkoBar bar = null;
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int rcount = 0;
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using var consolidator = new ClassicRenkoConsolidator(1m, x => x.Value, x => 0);
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consolidator.DataConsolidated += (sender, consolidated) =>
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{
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rcount++;
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bar = consolidated;
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};
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var reference = DateTime.Today;
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// opens at 0
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consolidator.Update(new IndicatorDataPoint(reference, 0));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(1), .5m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(2), 1m));
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Assert.IsNotNull(bar);
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Assert.AreEqual(0m, bar.Open);
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Assert.AreEqual(1m, bar.Close);
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Assert.AreEqual(0, bar.Volume);
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Assert.AreEqual(1m, bar.High);
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Assert.AreEqual(0m, bar.Low);
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Assert.IsTrue(bar.IsClosed);
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Assert.AreEqual(reference, bar.Start);
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Assert.AreEqual(reference.AddSeconds(2), bar.EndTime);
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bar = null;
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(3), 1.5m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(4), 1m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(5), .5m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(6), 0m));
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Assert.IsNotNull(bar);
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// ReSharper disable HeuristicUnreachableCode - ReSharper doesn't realiz this can be set via the event handler
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Assert.AreEqual(1m, bar.Open);
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Assert.AreEqual(0m, bar.Close);
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Assert.AreEqual(0, bar.Volume);
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Assert.AreEqual(1.5m, bar.High);
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Assert.AreEqual(0m, bar.Low);
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Assert.IsTrue(bar.IsClosed);
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Assert.AreEqual(reference.AddSeconds(2), bar.Start);
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Assert.AreEqual(reference.AddSeconds(6), bar.EndTime);
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bar = null;
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(7), -0.5m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(8), -0.9999999m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(9), -0.01m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(10), 0.25m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(9), 0.75m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(10), 0.9999999m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(10), 0.25m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(9), -0.25m));
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Assert.IsNull(bar);
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consolidator.Update(new IndicatorDataPoint(reference.AddSeconds(10), -1m));
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Assert.IsNotNull(bar);
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Assert.AreEqual(0m, bar.Open);
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Assert.AreEqual(-1m, bar.Close);
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Assert.AreEqual(0, bar.Volume);
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Assert.AreEqual(0.9999999m, bar.High);
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Assert.AreEqual(-1m, bar.Low);
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Assert.IsTrue(bar.IsClosed);
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Assert.AreEqual(reference.AddSeconds(6), bar.Start);
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Assert.AreEqual(reference.AddSeconds(10), bar.EndTime);
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// ReSharper restore HeuristicUnreachableCode
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void SelectorCanBeOptionalWhenVolumeSelectorIsPassed(Language language)
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{
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if (language == Language.CSharp)
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{
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Assert.DoesNotThrow(() =>
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{
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using var consolidator = new ClassicRenkoConsolidator(10, null, x => x.Value);
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});
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}
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else
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{
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using (Py.GIL())
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{
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var testModule = PyModule.FromString("test", @"
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from AlgorithmImports import *
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def getConsolidator():
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return ClassicRenkoConsolidator(10, None, lambda x: x.Value)
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");
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Assert.DoesNotThrow(() =>
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{
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var consolidator = testModule.GetAttr("getConsolidator").Invoke();
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});
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}
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}
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}
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protected override IDataConsolidator CreateConsolidator()
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{
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return new ClassicRenkoConsolidator(0.0001m);
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}
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}
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}
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