wehub-resource-sync
302 lines
13 KiB
C#
302 lines
13 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 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 class ConsolidatorBaseTests
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{
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[TestCaseSource(nameof(WindowTestCases))]
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public void WindowStoresConsolidatedBars(IDataConsolidator consolidator, IBaseData[] bars, decimal expectedWindow0, decimal expectedWindow1)
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{
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var windowConsolidator = (ConsolidatorBase)consolidator;
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foreach (var bar in bars)
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{
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consolidator.Update(bar);
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}
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Assert.AreEqual(2, windowConsolidator.Window.Count);
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Assert.AreEqual(expectedWindow0, windowConsolidator.Window[0].Value);
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Assert.AreEqual(expectedWindow1, windowConsolidator.Window[1].Value);
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Assert.AreEqual(windowConsolidator.Window[0], windowConsolidator.Consolidated);
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Assert.AreEqual(expectedWindow0, windowConsolidator[0].Value);
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Assert.AreEqual(expectedWindow1, windowConsolidator.Previous.Value);
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consolidator.Dispose();
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}
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[Test]
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public void HandlerSeesPreviousConsolidatedBarWhileReceivingTheNewOne()
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{
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var reference = new DateTime(2015, 4, 13);
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var spy = Symbols.SPY;
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var consolidator = new IdentityDataConsolidator<TradeBar>();
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IBaseData eventArgument = null;
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IBaseData consolidatedInsideHandler = null;
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consolidator.DataConsolidated += (_, bar) =>
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{
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eventArgument = bar;
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consolidatedInsideHandler = ((ConsolidatorBase)consolidator).Consolidated;
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};
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// First bar: inside the handler Consolidated is still null (no previous bar yet)
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var first = new TradeBar { Symbol = spy, Time = reference, Close = 10m, Value = 10m, Period = Time.OneMinute };
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consolidator.Update(first);
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Assert.AreEqual(first, eventArgument);
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Assert.IsNull(consolidatedInsideHandler);
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// Second bar: the handler receives the new bar as argument while Consolidated still holds the previous one
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var second = new TradeBar { Symbol = spy, Time = reference.AddMinutes(1), Close = 20m, Value = 20m, Period = Time.OneMinute };
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consolidator.Update(second);
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Assert.AreEqual(second, eventArgument);
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Assert.AreEqual(first, consolidatedInsideHandler);
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// Once the handler returns, the window reflects the latest consolidated bar
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Assert.AreEqual(second, ((ConsolidatorBase)consolidator).Consolidated);
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consolidator.Dispose();
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}
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[Test]
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public void WindowHoldsTheNewBarInsideTypedHandler()
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{
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// regression for consolidators that fired their typed event before populating the window:
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// inside the handler consolidator[0] must be the bar that was just produced
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var reference = new DateTime(2015, 4, 13);
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var spy = Symbols.SPY;
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var consolidator = new RenkoConsolidator(1m);
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var windowConsolidator = (ConsolidatorBase)consolidator;
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var handlerCalls = 0;
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consolidator.DataConsolidated += (_, bar) =>
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{
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handlerCalls++;
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Assert.AreEqual(bar, windowConsolidator[0]);
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Assert.AreEqual(bar, windowConsolidator.Current);
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Assert.AreEqual(bar.Value, windowConsolidator.Current.Value);
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};
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consolidator.Update(new IndicatorDataPoint(spy, reference, 10m));
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consolidator.Update(new IndicatorDataPoint(spy, reference.AddMinutes(1), 12.1m));
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Assert.Greater(handlerCalls, 0);
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consolidator.Dispose();
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}
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[Test]
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public void InterfaceAndConcreteDataConsolidatedShareOneSubscriptionList()
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{
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// regression for the interface event and the concrete event being two separate handler lists:
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// subscribing through one and unsubscribing through the other must cancel out
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var reference = new DateTime(2015, 4, 13);
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var spy = Symbols.SPY;
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var consolidator = new IdentityDataConsolidator<TradeBar>();
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IDataConsolidator asInterface = consolidator;
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var calls = 0;
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DataConsolidatedHandler handler = (_, __) => calls++;
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asInterface.DataConsolidated += handler;
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consolidator.DataConsolidated -= handler;
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consolidator.Update(new TradeBar { Symbol = spy, Time = reference, Close = 10m, Value = 10m, Period = Time.OneMinute });
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Assert.AreEqual(0, calls);
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consolidator.Dispose();
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}
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[Test]
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public void OutOfOrderDataDoesNotClearWindow()
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{
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// regression for count mode emitting a null bar on an out of order data point, which
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// previously reset the whole rolling window through the Consolidated setter
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var reference = new DateTime(2015, 4, 13);
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var spy = Symbols.SPY;
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var consolidator = new TradeBarConsolidator(1);
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var windowConsolidator = (ConsolidatorBase)consolidator;
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consolidator.Update(new TradeBar { Symbol = spy, Time = reference, Close = 10m, Value = 10m, Period = Time.OneMinute });
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consolidator.Update(new TradeBar { Symbol = spy, Time = reference.AddMinutes(1), Close = 20m, Value = 20m, Period = Time.OneMinute });
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Assert.AreEqual(2, windowConsolidator.Window.Count);
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consolidator.Update(new TradeBar { Symbol = spy, Time = reference.AddMinutes(-5), Close = 30m, Value = 30m, Period = Time.OneMinute });
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Assert.AreEqual(2, windowConsolidator.Window.Count);
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Assert.AreEqual(20m, windowConsolidator.Window[0].Value);
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Assert.AreEqual(10m, windowConsolidator.Window[1].Value);
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consolidator.Dispose();
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}
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[Test]
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public void CurrentAndPreviousAreNullBeforeFirstConsolidation()
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{
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var consolidator = new TradeBarConsolidator(1);
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var windowConsolidator = (ConsolidatorBase)consolidator;
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Assert.IsNull(windowConsolidator.Consolidated);
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Assert.IsNull(windowConsolidator.Current);
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Assert.IsNull(windowConsolidator.Previous);
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Assert.IsNull(windowConsolidator[0]);
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Assert.AreEqual(0, windowConsolidator.Window.Count);
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consolidator.Dispose();
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}
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[Test]
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public void ResetClearsWindowAndConsolidated()
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{
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var reference = new DateTime(2015, 4, 13);
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var spy = Symbols.SPY;
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var consolidator = new TradeBarConsolidator(1);
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var windowConsolidator = (ConsolidatorBase)consolidator;
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consolidator.Update(new TradeBar { Symbol = spy, Time = reference, Close = 10m, Value = 10m, Period = Time.OneMinute });
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consolidator.Update(new TradeBar { Symbol = spy, Time = reference.AddMinutes(1), Close = 20m, Value = 20m, Period = Time.OneMinute });
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Assert.AreEqual(2, windowConsolidator.Window.Count);
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Assert.IsNotNull(windowConsolidator.Consolidated);
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windowConsolidator.Reset();
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Assert.AreEqual(0, windowConsolidator.Window.Count);
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Assert.IsNull(windowConsolidator.Consolidated);
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Assert.IsNull(windowConsolidator.Current);
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Assert.IsNull(windowConsolidator.Previous);
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consolidator.Dispose();
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}
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private static IEnumerable<TestCaseData> WindowTestCases()
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{
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var reference = new DateTime(2015, 4, 13);
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var spy = Symbols.SPY;
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var ibm = Symbols.IBM;
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yield return new TestCaseData(
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new TradeBarConsolidator(1),
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new IBaseData[]
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{
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new TradeBar { Symbol = spy, Time = reference, Close = 10m, Value = 10m, Period = Time.OneMinute },
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new TradeBar { Symbol = spy, Time = reference.AddMinutes(1), Close = 20m, Value = 20m, Period = Time.OneMinute }
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},
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20m, 10m
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).SetName("TradeBarConsolidator");
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yield return new TestCaseData(
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new QuoteBarConsolidator(1),
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new IBaseData[]
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{
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new QuoteBar { Symbol = spy, Time = reference, Value = 10m, Period = Time.OneMinute },
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new QuoteBar { Symbol = spy, Time = reference.AddMinutes(1), Value = 20m, Period = Time.OneMinute }
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},
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20m, 10m
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).SetName("QuoteBarConsolidator");
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yield return new TestCaseData(
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new TickConsolidator(1),
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new IBaseData[]
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{
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new Tick { Symbol = spy, Time = reference, Value = 10m, TickType = TickType.Trade },
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new Tick { Symbol = spy, Time = reference.AddMinutes(1), Value = 20m, TickType = TickType.Trade }
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},
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20m, 10m
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).SetName("TickConsolidator");
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yield return new TestCaseData(
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new TickQuoteBarConsolidator(1),
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new IBaseData[]
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{
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new Tick { Symbol = spy, Time = reference, Value = 10m, TickType = TickType.Quote, BidPrice = 10m, AskPrice = 10m },
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new Tick { Symbol = spy, Time = reference.AddMinutes(1), Value = 20m, TickType = TickType.Quote, BidPrice = 20m, AskPrice = 20m }
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},
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20m, 10m
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).SetName("TickQuoteBarConsolidator");
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yield return new TestCaseData(
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new BaseDataConsolidator(1),
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new IBaseData[]
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{
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new TradeBar { Symbol = spy, Time = reference, Close = 10m, Value = 10m, Period = Time.OneMinute },
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new TradeBar { Symbol = spy, Time = reference.AddMinutes(1), Close = 20m, Value = 20m, Period = Time.OneMinute }
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},
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20m, 10m
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).SetName("BaseDataConsolidator");
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yield return new TestCaseData(
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new IdentityDataConsolidator<TradeBar>(),
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new IBaseData[]
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{
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new TradeBar { Symbol = spy, Time = reference, Close = 10m, Value = 10m, Period = Time.OneMinute },
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new TradeBar { Symbol = spy, Time = reference.AddMinutes(1), Close = 20m, Value = 20m, Period = Time.OneMinute }
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},
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20m, 10m
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).SetName("IdentityDataConsolidator");
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yield return new TestCaseData(
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new ClassicRenkoConsolidator(10),
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new IBaseData[]
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{
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new IndicatorDataPoint(spy, reference, 0m),
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new IndicatorDataPoint(spy, reference.AddMinutes(1), 10m),
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new IndicatorDataPoint(spy, reference.AddMinutes(2), 20m)
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},
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20m, 10m
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).SetName("ClassicRenkoConsolidator");
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yield return new TestCaseData(
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new RenkoConsolidator(1m),
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new IBaseData[]
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{
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new IndicatorDataPoint(spy, reference, 10m),
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new IndicatorDataPoint(spy, reference.AddMinutes(1), 12.1m)
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},
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12m, 11m
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).SetName("RenkoConsolidator");
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yield return new TestCaseData(
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new RangeConsolidator(100, x => x.Value, x => 0m),
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new IBaseData[]
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{
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new IndicatorDataPoint(ibm, reference, 90m),
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new IndicatorDataPoint(ibm, reference.AddMinutes(1), 94.5m)
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},
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94.03m, 93.02m
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).SetName("RangeConsolidator");
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yield return new TestCaseData(
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new SequentialConsolidator(new TradeBarConsolidator(1), new TradeBarConsolidator(1)),
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new IBaseData[]
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{
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new TradeBar { Symbol = spy, Time = reference, Close = 10m, Value = 10m, Period = Time.OneMinute },
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new TradeBar { Symbol = spy, Time = reference.AddMinutes(1), Close = 20m, Value = 20m, Period = Time.OneMinute }
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},
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20m, 10m
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).SetName("SequentialConsolidator");
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}
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}
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}
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