wehub-resource-sync
256 lines
10 KiB
C#
256 lines
10 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.Securities;
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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 TradeBarTests
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{
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[Test]
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public void UpdatesProperly()
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{
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var bar = new TradeBar();
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bar.UpdateTrade(10, 10);
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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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Assert.AreEqual(10, bar.Volume);
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bar.UpdateTrade(20, 5);
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Assert.AreEqual(10, bar.Open);
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Assert.AreEqual(20, bar.High);
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Assert.AreEqual(10, bar.Low);
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Assert.AreEqual(20, bar.Close);
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Assert.AreEqual(15, bar.Volume);
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bar.UpdateTrade(5, 50);
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Assert.AreEqual(10, bar.Open);
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Assert.AreEqual(20, bar.High);
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Assert.AreEqual(5, bar.Low);
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Assert.AreEqual(5, bar.Close);
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Assert.AreEqual(65, bar.Volume);
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bar.UpdateTrade(11, 100);
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Assert.AreEqual(10, bar.Open);
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Assert.AreEqual(20, bar.High);
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Assert.AreEqual(5, bar.Low);
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Assert.AreEqual(11, bar.Close);
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Assert.AreEqual(165, bar.Volume);
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}
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[Test]
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public void HandlesAssetWithValidZeroPrice()
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{
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var bar = new TradeBar();
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bar.UpdateTrade(10, 10);
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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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Assert.AreEqual(10, bar.Volume);
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bar.UpdateTrade(0, 100);
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Assert.AreEqual(10, bar.Open);
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Assert.AreEqual(10, bar.High);
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Assert.AreEqual(0, bar.Low);
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Assert.AreEqual(0, bar.Close);
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Assert.AreEqual(110, bar.Volume);
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bar.UpdateTrade(-5, 100);
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Assert.AreEqual(10, bar.Open);
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Assert.AreEqual(10, bar.High);
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Assert.AreEqual(-5, bar.Low);
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Assert.AreEqual(-5, bar.Close);
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Assert.AreEqual(210, bar.Volume);
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bar.UpdateTrade(5, 100);
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Assert.AreEqual(10, bar.Open);
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Assert.AreEqual(10, bar.High);
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Assert.AreEqual(-5, bar.Low);
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Assert.AreEqual(5, bar.Close);
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Assert.AreEqual(310, bar.Volume);
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bar.UpdateTrade(50, 100);
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Assert.AreEqual(10, bar.Open);
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Assert.AreEqual(50, bar.High);
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Assert.AreEqual(-5, bar.Low);
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Assert.AreEqual(50, bar.Close);
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Assert.AreEqual(410, bar.Volume);
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}
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[Test]
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public void TradeBarParseScalesOptionsWithEquityUnderlying()
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{
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var factory = new TradeBar();
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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(TradeBar),
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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.Trade,
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true,
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DataNormalizationMode.Raw);
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var tradeLine = "40560000,10000,15000,10000,15000,90";
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using var memoryStream = new MemoryStream(Encoding.UTF8.GetBytes(tradeLine));
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using var stream = new StreamReader(memoryStream);
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var tradeBarFromLine = (TradeBar)factory.Reader(config, tradeLine, new DateTime(2020, 9, 22), false);
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var tradeBarFromStream = (TradeBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), tradeBarFromLine.EndTime);
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Assert.AreEqual(optionSymbol, tradeBarFromLine.Symbol);
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Assert.AreEqual(1m, tradeBarFromLine.Open);
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Assert.AreEqual(1.5m, tradeBarFromLine.High);
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Assert.AreEqual(1m, tradeBarFromLine.Low);
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Assert.AreEqual(1.5m, tradeBarFromLine.Close);
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Assert.AreEqual(90m, tradeBarFromLine.Volume);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), tradeBarFromStream.EndTime);
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Assert.AreEqual(optionSymbol, tradeBarFromStream.Symbol);
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Assert.AreEqual(1m, tradeBarFromStream.Open);
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Assert.AreEqual(1.5m, tradeBarFromStream.High);
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Assert.AreEqual(1m, tradeBarFromStream.Low);
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Assert.AreEqual(1.5m, tradeBarFromStream.Close);
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Assert.AreEqual(90m, tradeBarFromStream.Volume);
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}
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[Test]
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public void TradeBarParseDoesNotScaleOptionsWithNonEquityUnderlying()
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{
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var factory = new TradeBar();
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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(TradeBar),
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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.Trade,
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true,
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DataNormalizationMode.Raw);
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var tradeLine = "40560000,1.0,1.5,1.0,1.5,90.0";
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using var memoryStream = new MemoryStream(Encoding.UTF8.GetBytes(tradeLine));
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using var stream = new StreamReader(memoryStream);
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var unscaledTradeBarFromLine = (TradeBar)factory.Reader(config, tradeLine, new DateTime(2020, 9, 22), false);
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var unscaledTradeBarFromStream = (TradeBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledTradeBarFromLine.EndTime);
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Assert.AreEqual(optionSymbol, unscaledTradeBarFromLine.Symbol);
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Assert.AreEqual(1m, unscaledTradeBarFromLine.Open);
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Assert.AreEqual(1.5m, unscaledTradeBarFromLine.High);
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Assert.AreEqual(1m, unscaledTradeBarFromLine.Low);
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Assert.AreEqual(1.5m, unscaledTradeBarFromLine.Close);
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Assert.AreEqual(90m, unscaledTradeBarFromLine.Volume);
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Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledTradeBarFromStream.EndTime);
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Assert.AreEqual(optionSymbol, unscaledTradeBarFromStream.Symbol);
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Assert.AreEqual(1m, unscaledTradeBarFromStream.Open);
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Assert.AreEqual(1.5m, unscaledTradeBarFromStream.High);
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Assert.AreEqual(1m, unscaledTradeBarFromStream.Low);
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Assert.AreEqual(1.5m, unscaledTradeBarFromStream.Close);
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Assert.AreEqual(90m, unscaledTradeBarFromStream.Volume);
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}
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[TestCase(Resolution.Minute, "43140000,21.04,21.44,20.4,21.24,0")]
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[TestCase(Resolution.Hour, "20200922 11:00,21.04,21.44,20.4,21.24,0")]
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[TestCase(Resolution.Daily, "20200921 00:00,21.04,21.44,20.4,21.24,0")]
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public void TradeBarIndexLowResolutionParsing(Resolution resolution, string tradeLine)
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{
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var factory = new TradeBar();
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var symbol = Symbols.CreateIndexSymbol("VIX");
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var entry = MarketHoursDatabase.FromDataFolder()
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.GetEntry(symbol.ID.Market, symbol, symbol.SecurityType);
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var config = new SubscriptionDataConfig(
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typeof(TradeBar),
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symbol,
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resolution,
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entry.DataTimeZone,
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entry.ExchangeHours.TimeZone,
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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.Trade,
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true,
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DataNormalizationMode.Raw);
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using var memoryStream = new MemoryStream(Encoding.UTF8.GetBytes(tradeLine));
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using var stream = new StreamReader(memoryStream);
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var fromLine = (TradeBar)factory.Reader(config, tradeLine, new DateTime(2020, 9, 22), false);
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var fromStream = (TradeBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false);
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var expectedEndTime = new DateTime(2020, 9, 22, 12, 0, 0);
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if (resolution == Resolution.Daily)
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{
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expectedEndTime = new DateTime(2020, 9, 22, 0, 0, 0);
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}
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Assert.AreEqual(expectedEndTime, fromLine.EndTime);
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Assert.AreEqual(symbol, fromLine.Symbol);
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Assert.AreEqual(21.04m, fromLine.Open);
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Assert.AreEqual(21.44m, fromLine.High);
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Assert.AreEqual(20.4m, fromLine.Low);
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Assert.AreEqual(21.24m, fromLine.Close);
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Assert.AreEqual(0m, fromLine.Volume);
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Assert.AreEqual(expectedEndTime, fromStream.EndTime);
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Assert.AreEqual(symbol, fromLine.Symbol);
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Assert.AreEqual(21.04m, fromLine.Open);
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Assert.AreEqual(21.44m, fromLine.High);
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Assert.AreEqual(20.4m, fromLine.Low);
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Assert.AreEqual(21.24m, fromLine.Close);
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Assert.AreEqual(0m, fromLine.Volume);
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}
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}
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}
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