wehub-resource-sync
335 lines
14 KiB
C#
335 lines
14 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.IO;
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using System.Text;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Tests.Common.Data.Market
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{
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[TestFixture]
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public class QuoteBarTests
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{
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private QuoteBar _quoteBar;
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[OneTimeSetUp]
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public void Setup()
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{
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_quoteBar = new QuoteBar();
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}
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[Test]
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public void DoesntGenerateCorruptedPricesIfBidOrAskAreMissing()
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{
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var bar = new QuoteBar();
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bar.UpdateAsk(10, 15);
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Assert.AreEqual(10, bar.Open);
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Assert.AreEqual(10, bar.High);
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Assert.AreEqual(10, bar.Low);
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Assert.AreEqual(10, bar.Close);
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bar = new QuoteBar();
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bar.Ask = new Bar(11,11,11,11);
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Assert.AreEqual(11, bar.Open);
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Assert.AreEqual(11, bar.High);
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Assert.AreEqual(11, bar.Low);
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Assert.AreEqual(11, bar.Close);
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}
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[Test]
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public void QuoteBarReader_CanParseMalformattedData_Successfully()
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{
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var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
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// Neither a quote or a trade
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var line = "14340000,1.10907,1.109075,1.108985,1.1090214400000,1.109005,1.109005,1.10884,1.10887";
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var date = DateTime.MaxValue;
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var isLiveMode = false;
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var quoteBar = new QuoteBar();
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var parsedQuoteBar = (QuoteBar)quoteBar.Reader(config, line, date, isLiveMode);
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Assert.AreEqual(parsedQuoteBar.Symbol, Symbols.SPY);
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Assert.AreEqual(parsedQuoteBar.Ask.Open, 0);
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Assert.AreEqual(parsedQuoteBar.Ask.High, 0);
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Assert.AreEqual(parsedQuoteBar.Ask.Low, 0);
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Assert.AreEqual(parsedQuoteBar.Ask.Close, 0);
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Assert.AreEqual(parsedQuoteBar.Bid.Open, 0);
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Assert.AreEqual(parsedQuoteBar.Bid.High, 0);
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Assert.AreEqual(parsedQuoteBar.Bid.Low, 0);
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Assert.AreEqual(parsedQuoteBar.Bid.Close, 0);
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}
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[Test]
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public void QuoteBarReader_CanParseQuoteBar_Successfully()
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{
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var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
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// Neither a quote or a trade
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var line = "14340000,11090,11090,11089,11090,100,11090,11088,11088,11090,10000";
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var date = DateTime.MaxValue;
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var isLiveMode = false;
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var quoteBar = new QuoteBar();
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var parsedQuoteBar = (QuoteBar)quoteBar.Reader(config, line, date, isLiveMode);
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Assert.AreEqual(parsedQuoteBar.Symbol, Symbols.SPY);
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Assert.AreEqual(parsedQuoteBar.Bid.Open, 1.1090);
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Assert.AreEqual(parsedQuoteBar.Bid.High, 1.1090);
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Assert.AreEqual(parsedQuoteBar.Bid.Low, 1.1089);
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Assert.AreEqual(parsedQuoteBar.Bid.Close, 1.1090);
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Assert.AreEqual(parsedQuoteBar.Ask.Open, 1.10900);
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Assert.AreEqual(parsedQuoteBar.Ask.High, 1.1088);
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Assert.AreEqual(parsedQuoteBar.Ask.Low, 1.1088);
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Assert.AreEqual(parsedQuoteBar.Ask.Close, 1.1090);
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}
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[Test]
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public void QuoteBar_CanParseEquity_Successfully()
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{
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var config = new SubscriptionDataConfig(typeof(QuoteBar), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
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var line = "14340000,10000,20000,30000,40000,0,50000,60000,70000,80000,1";
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var quoteBar = _quoteBar.ParseEquity(config, line, DateTime.MinValue);
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Assert.AreEqual(quoteBar.Bid.Open, 1m);
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Assert.AreEqual(quoteBar.Bid.High, 2m);
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Assert.AreEqual(quoteBar.Bid.Low, 3m);
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Assert.AreEqual(quoteBar.Bid.Close, 4m);
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Assert.AreEqual(quoteBar.LastBidSize, 0m);
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Assert.AreEqual(quoteBar.Ask.Open, 5m);
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Assert.AreEqual(quoteBar.Ask.High, 6m);
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Assert.AreEqual(quoteBar.Ask.Low, 7m);
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Assert.AreEqual(quoteBar.Ask.Close, 8m);
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Assert.AreEqual(quoteBar.LastAskSize, 1m);
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}
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[Test]
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public void QuoteBar_CanParseForex_Successfully()
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{
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var config = new SubscriptionDataConfig(typeof(QuoteBar), Symbols.EURUSD, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
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var line = "14340000,1,2,3,4,0,5,6,7,8,1";
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var quoteBar = _quoteBar.ParseForex(config, line, DateTime.MinValue);
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Assert.AreEqual(quoteBar.Bid.Open, 1m);
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Assert.AreEqual(quoteBar.Bid.High, 2m);
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Assert.AreEqual(quoteBar.Bid.Low, 3m);
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Assert.AreEqual(quoteBar.Bid.Close, 4m);
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Assert.AreEqual(quoteBar.LastBidSize, 0m);
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Assert.AreEqual(quoteBar.Ask.Open, 5m);
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Assert.AreEqual(quoteBar.Ask.High, 6m);
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Assert.AreEqual(quoteBar.Ask.Low, 7m);
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Assert.AreEqual(quoteBar.Ask.Close, 8m);
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Assert.AreEqual(quoteBar.LastAskSize, 1m);
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}
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[Test]
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public void QuoteBar_CanParseCfd_Successfully()
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{
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var config = new SubscriptionDataConfig(typeof(QuoteBar), Symbols.DE10YBEUR, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
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var line = "14340000,1,2,3,4,0,5,6,7,8,1";
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var quoteBar = _quoteBar.ParseCfd(config, line, DateTime.MinValue);
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Assert.AreEqual(quoteBar.Bid.Open, 1m);
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Assert.AreEqual(quoteBar.Bid.High, 2m);
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Assert.AreEqual(quoteBar.Bid.Low, 3m);
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Assert.AreEqual(quoteBar.Bid.Close, 4m);
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Assert.AreEqual(quoteBar.LastBidSize, 0m);
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Assert.AreEqual(quoteBar.Ask.Open, 5m);
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Assert.AreEqual(quoteBar.Ask.High, 6m);
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Assert.AreEqual(quoteBar.Ask.Low, 7m);
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Assert.AreEqual(quoteBar.Ask.Close, 8m);
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Assert.AreEqual(quoteBar.LastAskSize, 1m);
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}
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[Test]
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public void QuoteBar_CanParseOption_Successfully()
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{
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var config = new SubscriptionDataConfig(typeof(QuoteBar), Symbols.SPY_C_192_Feb19_2016, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
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var line = "14340000,10000,20000,30000,40000,0,50000,60000,70000,80000,1";
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var quoteBar = _quoteBar.ParseOption(config, line, DateTime.MinValue);
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Assert.AreEqual(quoteBar.Bid.Open, 1m);
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Assert.AreEqual(quoteBar.Bid.High, 2m);
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Assert.AreEqual(quoteBar.Bid.Low, 3m);
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Assert.AreEqual(quoteBar.Bid.Close, 4m);
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Assert.AreEqual(quoteBar.LastBidSize, 0m);
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Assert.AreEqual(quoteBar.Ask.Open, 5m);
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Assert.AreEqual(quoteBar.Ask.High, 6m);
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Assert.AreEqual(quoteBar.Ask.Low, 7m);
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Assert.AreEqual(quoteBar.Ask.Close, 8m);
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Assert.AreEqual(quoteBar.LastAskSize, 1m);
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}
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[Test]
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public void QuoteBar_CanParseFuture_Successfully()
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{
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var config = new SubscriptionDataConfig(typeof(QuoteBar), Symbols.Fut_SPY_Feb19_2016, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
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var line = "14340000,1,2,3,4,0,5,6,7,8,1";
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var quoteBar = _quoteBar.ParseFuture(config, line, DateTime.MinValue);
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Assert.AreEqual(quoteBar.Bid.Open, 1m);
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Assert.AreEqual(quoteBar.Bid.High, 2m);
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Assert.AreEqual(quoteBar.Bid.Low, 3m);
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Assert.AreEqual(quoteBar.Bid.Close, 4m);
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Assert.AreEqual(quoteBar.LastBidSize, 0m);
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Assert.AreEqual(quoteBar.Ask.Open, 5m);
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Assert.AreEqual(quoteBar.Ask.High, 6m);
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Assert.AreEqual(quoteBar.Ask.Low, 7m);
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Assert.AreEqual(quoteBar.Ask.Close, 8m);
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Assert.AreEqual(quoteBar.LastAskSize, 1m);
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}
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[Test]
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public void QuoteBarParseScalesOptionsWithEquityUnderlying()
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{
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var factory = new QuoteBar();
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var underlying = Symbol.Create("SPY", SecurityType.Equity, QuantConnect.Market.USA);
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var optionSymbol = Symbol.CreateOption(
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underlying,
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QuantConnect.Market.CME,
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OptionStyle.American,
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OptionRight.Put,
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4200m,
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SecurityIdentifier.DefaultDate);
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var config = new SubscriptionDataConfig(
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typeof(QuoteBar),
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optionSymbol,
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Resolution.Minute,
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TimeZones.Chicago,
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TimeZones.Chicago,
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true,
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false,
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false,
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false,
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TickType.Quote,
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true,
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DataNormalizationMode.Raw);
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var quoteLine = "40560000,10000,15000,10000,15000,90,10000,15000,10000,15000,100";
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using var stream = new StreamReader(new MemoryStream(Encoding.UTF8.GetBytes(quoteLine)));
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var quoteBarFromLine = (QuoteBar)factory.Reader(config, quoteLine, new DateTime(2020, 9, 22), false);
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var quoteBarFromStream = (QuoteBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), quoteBarFromLine.EndTime);
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Assert.AreEqual(optionSymbol, quoteBarFromLine.Symbol);
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Assert.AreEqual(1m, quoteBarFromLine.Bid.Open);
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Assert.AreEqual(1.5m, quoteBarFromLine.Bid.High);
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Assert.AreEqual(1m, quoteBarFromLine.Bid.Low);
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Assert.AreEqual(1.5m, quoteBarFromLine.Bid.Close);
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Assert.AreEqual(90m, quoteBarFromLine.LastBidSize);
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Assert.AreEqual(1m, quoteBarFromLine.Ask.Open);
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Assert.AreEqual(1.5m, quoteBarFromLine.Ask.High);
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Assert.AreEqual(1m, quoteBarFromLine.Ask.Low);
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Assert.AreEqual(1.5m, quoteBarFromLine.Ask.Close);
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Assert.AreEqual(100m, quoteBarFromLine.LastAskSize);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), quoteBarFromStream.EndTime);
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Assert.AreEqual(optionSymbol, quoteBarFromStream.Symbol);
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Assert.AreEqual(1m, quoteBarFromStream.Bid.Open);
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Assert.AreEqual(1.5m, quoteBarFromStream.Bid.High);
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Assert.AreEqual(1m, quoteBarFromStream.Bid.Low);
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Assert.AreEqual(1.5m, quoteBarFromStream.Bid.Close);
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Assert.AreEqual(90m, quoteBarFromStream.LastBidSize);
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Assert.AreEqual(1m, quoteBarFromStream.Ask.Open);
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Assert.AreEqual(1.5m, quoteBarFromStream.Ask.High);
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Assert.AreEqual(1m, quoteBarFromStream.Ask.Low);
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Assert.AreEqual(1.5m, quoteBarFromStream.Ask.Close);
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Assert.AreEqual(100m, quoteBarFromStream.LastAskSize);
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}
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[Test]
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public void QuoteBarParseDoesNotScaleOptionsWithNonEquityUnderlying()
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{
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var factory = new QuoteBar();
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var underlying = Symbol.CreateFuture("ES", QuantConnect.Market.CME, new DateTime(2021, 3, 19));
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var optionSymbol = Symbol.CreateOption(
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underlying,
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QuantConnect.Market.CME,
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OptionStyle.American,
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OptionRight.Put,
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4200m,
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SecurityIdentifier.DefaultDate);
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var config = new SubscriptionDataConfig(
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typeof(QuoteBar),
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optionSymbol,
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Resolution.Minute,
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TimeZones.Chicago,
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TimeZones.Chicago,
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true,
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false,
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false,
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false,
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TickType.Quote,
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true,
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DataNormalizationMode.Raw);
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var quoteLine = "40560000,1.0,1.5,1.0,1.5,90.0,1.0,1.5,1.0,1.5,100.0";
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using var stream = new StreamReader(new MemoryStream(Encoding.UTF8.GetBytes(quoteLine)));
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var unscaledQuoteBarFromLine = (QuoteBar)factory.Reader(config, quoteLine, new DateTime(2020, 9, 22), false);
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var unscaledQuoteBarFromStream = (QuoteBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledQuoteBarFromLine.EndTime);
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Assert.AreEqual(optionSymbol, unscaledQuoteBarFromLine.Symbol);
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Assert.AreEqual(1m, unscaledQuoteBarFromLine.Bid.Open);
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Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Bid.High);
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Assert.AreEqual(1m, unscaledQuoteBarFromLine.Bid.Low);
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Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Bid.Close);
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Assert.AreEqual(90m, unscaledQuoteBarFromLine.LastBidSize);
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Assert.AreEqual(1m, unscaledQuoteBarFromLine.Ask.Open);
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Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Ask.High);
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Assert.AreEqual(1m, unscaledQuoteBarFromLine.Ask.Low);
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Assert.AreEqual(1.5m, unscaledQuoteBarFromLine.Ask.Close);
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Assert.AreEqual(100m, unscaledQuoteBarFromLine.LastAskSize);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledQuoteBarFromStream.EndTime);
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Assert.AreEqual(optionSymbol, unscaledQuoteBarFromStream.Symbol);
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Assert.AreEqual(1m, unscaledQuoteBarFromStream.Bid.Open);
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Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Bid.High);
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Assert.AreEqual(1m, unscaledQuoteBarFromStream.Bid.Low);
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Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Bid.Close);
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Assert.AreEqual(90m, unscaledQuoteBarFromStream.LastBidSize);
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Assert.AreEqual(1m, unscaledQuoteBarFromStream.Ask.Open);
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Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Ask.High);
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Assert.AreEqual(1m, unscaledQuoteBarFromStream.Ask.Low);
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Assert.AreEqual(1.5m, unscaledQuoteBarFromStream.Ask.Close);
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Assert.AreEqual(100m, unscaledQuoteBarFromStream.LastAskSize);
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}
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}
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}
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