wehub-resource-sync
468 lines
22 KiB
C#
468 lines
22 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2024 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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*/
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using System;
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using NUnit.Framework;
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using QuantConnect.Data.Market;
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using QuantConnect.Data.Consolidators;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture]
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public class MarketHourAwareConsolidatorTests : BaseConsolidatorTests
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{
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[Test]
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public void MarketAlwaysOpen()
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{
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var symbol = Symbols.BTCUSD;
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using var consolidator = new MarketHourAwareConsolidator(true, Resolution.Daily, typeof(TradeBar), TickType.Trade, false);
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var consolidatedBarsCount = 0;
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TradeBar latestBar = null;
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consolidator.DataConsolidated += (sender, bar) =>
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{
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latestBar = (TradeBar)bar;
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consolidatedBarsCount++;
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};
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var time = new DateTime(2015, 04, 13, 5, 0, 0);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 100 });
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time = new DateTime(2015, 04, 13, 10, 0, 0);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 1 });
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Assert.IsNull(latestBar);
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time = time.AddHours(2);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 2 });
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Assert.IsNull(latestBar);
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time = new DateTime(2015, 04, 13, 15, 15, 0);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 3 });
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Assert.IsNull(latestBar);
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time = new DateTime(2015, 04, 14, 0, 0, 0);
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consolidator.Scan(time);
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// Assert that the bar emitted
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Assert.IsNotNull(latestBar);
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Assert.AreEqual(time, latestBar.EndTime);
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Assert.AreEqual(time.AddDays(-1), latestBar.Time);
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Assert.AreEqual(1, consolidatedBarsCount);
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Assert.AreEqual(100, latestBar.High);
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Assert.AreEqual(1, latestBar.Low);
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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 symbol = Symbols.BTCUSD;
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using var consolidator = new MarketHourAwareConsolidator(true, Resolution.Daily, typeof(TradeBar), TickType.Trade, false);
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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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var time = new DateTime(2015, 04, 13, 10, 0, 0);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 100 });
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time = new DateTime(2015, 04, 14, 0, 0, 0);
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consolidator.Scan(time);
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// The handler receives the new bar as argument while Consolidated still holds the previous
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// state, which is null here since this is the first consolidation
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Assert.IsNotNull(eventArgument);
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Assert.IsNull(consolidatedInsideHandler);
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// Once the handler returned, the window reflects the just-consolidated bar
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Assert.AreEqual(eventArgument, ((ConsolidatorBase)consolidator).Consolidated);
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}
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[TestCase(true)]
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[TestCase(false)]
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public void Daily(bool strictEndTime)
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{
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var symbol = strictEndTime ? Symbols.SPX : Symbols.SPY;
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using var consolidator = new MarketHourAwareConsolidator(strictEndTime, Resolution.Daily, typeof(TradeBar), TickType.Trade, false);
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var consolidatedBarsCount = 0;
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TradeBar latestBar = null;
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consolidator.DataConsolidated += (sender, bar) =>
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{
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latestBar = (TradeBar)bar;
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consolidatedBarsCount++;
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};
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var time = new DateTime(2015, 04, 13, 5, 0, 0);
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// this bar will be ignored because it's during market closed hours
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 100 });
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time = new DateTime(2015, 04, 13, 10, 0, 0);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 1 });
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Assert.IsNull(latestBar);
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time = time.AddHours(2);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 2 });
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Assert.IsNull(latestBar);
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time = new DateTime(2015, 04, 13, 15, 15, 0);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 3 });
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Assert.IsNull(latestBar);
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time = strictEndTime ? time : new DateTime(2015, 04, 14, 0, 0, 0);
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consolidator.Scan(time);
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// Assert that the bar emitted
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Assert.IsNotNull(latestBar);
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Assert.AreEqual(strictEndTime ? new DateTime(2015, 04, 13, 15, 15, 0) : time, latestBar.EndTime);
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Assert.AreEqual(strictEndTime ? new DateTime(2015, 04, 13, 8, 30, 0) : time.AddDays(-1), latestBar.Time);
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Assert.AreEqual(1, consolidatedBarsCount);
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Assert.AreEqual(3, latestBar.High);
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Assert.AreEqual(1, latestBar.Low);
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}
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[Test]
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public void BarIsSkippedWhenDataResolutionIsNotHourAndMarketIsClose()
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{
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var symbol = Symbols.SPY;
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using var consolidator = new MarketHourAwareConsolidator(true, Resolution.Daily, typeof(TradeBar), TickType.Trade, false);
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var consolidatedBarsCount = 0;
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TradeBar latestBar = null;
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consolidator.DataConsolidated += (sender, bar) =>
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{
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latestBar = (TradeBar)bar;
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consolidatedBarsCount++;
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};
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var time = new DateTime(2020, 05, 01, 09, 30, 0);
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// this bar will be ignored because it's during market closed hours and the bar resolution is not Hour
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, Open = 1 });
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Assert.IsNull(latestBar);
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Assert.AreEqual(0, consolidatedBarsCount);
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}
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[Test]
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public void DailyBarCanBeConsolidatedFromHourData()
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{
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var symbol = Symbols.SPY;
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using var consolidator = new MarketHourAwareConsolidator(true, Resolution.Daily, typeof(TradeBar), TickType.Trade, false);
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var consolidatedBarsCount = 0;
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TradeBar latestBar = null;
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consolidator.DataConsolidated += (sender, bar) =>
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{
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latestBar = (TradeBar)bar;
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consolidatedBarsCount++;
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};
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var time = new DateTime(2020, 05, 01, 09, 0, 0);
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var hourBars = new List<TradeBar>()
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{
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new TradeBar() { Time = time, Period = Time.OneHour, Symbol = symbol, Open = 2 },
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new TradeBar() { Time = time.AddHours(1), Period = Time.OneHour, Symbol = symbol, High = 200 },
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new TradeBar() { Time = time.AddHours(2), Period = Time.OneHour, Symbol = symbol, Low = 0.02m },
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new TradeBar() { Time = time.AddHours(3), Period = Time.OneHour, Symbol = symbol, Close = 20 },
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new TradeBar() { Time = time.AddHours(4), Period = Time.OneHour, Symbol = symbol, Open = 3 },
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new TradeBar() { Time = time.AddHours(5), Period = Time.OneHour, Symbol = symbol, High = 300 },
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new TradeBar() { Time = time.AddHours(6), Period = Time.OneHour, Symbol = symbol, Low = 0.03m, Close = 30 },
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};
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foreach (var bar in hourBars)
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{
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consolidator.Update(bar);
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}
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consolidator.Scan(time.AddHours(7));
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// Assert that the bar emitted
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Assert.IsNotNull(latestBar);
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Assert.AreEqual(time.AddHours(7), latestBar.EndTime);
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Assert.AreEqual(time.AddMinutes(30), latestBar.Time);
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Assert.AreEqual(1, consolidatedBarsCount);
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Assert.AreEqual(2, latestBar.Open);
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Assert.AreEqual(300, latestBar.High);
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Assert.AreEqual(0.02, latestBar.Low);
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Assert.AreEqual(30, latestBar.Close);
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}
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[TestCase(true)]
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[TestCase(false)]
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public void DailyExtendedMarketHours(bool strictEndTime)
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{
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var symbol = strictEndTime ? Symbols.SPX : Symbols.SPY;
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using var consolidator = new MarketHourAwareConsolidatorTest(Resolution.Daily, typeof(TradeBar), TickType.Trade, true);
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var consolidatedBarsCount = 0;
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TradeBar latestBar = null;
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consolidator.DataConsolidated += (sender, bar) =>
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{
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latestBar = (TradeBar)bar;
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consolidatedBarsCount++;
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};
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var time = new DateTime(2015, 04, 13, 8, 31, 0);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 10 });
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time = new DateTime(2015, 04, 13, 10, 0, 0);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 15 });
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Assert.IsNull(latestBar);
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if (!strictEndTime)
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{
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time = new DateTime(2015, 04, 13, 18, 15, 0);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = symbol, High = 20 });
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Assert.IsNull(latestBar);
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}
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time = new DateTime(2015, 04, 13, 20, 0, 0);
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consolidator.Scan(time);
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// Assert that the bar emitted
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Assert.IsNotNull(latestBar);
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Assert.AreEqual(strictEndTime ? new DateTime(2015, 04, 13, 15, 15, 0) : time, latestBar.EndTime);
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Assert.AreEqual(strictEndTime ? new DateTime(2015, 04, 13, 8, 30, 0) : new DateTime(2015, 04, 13, 4, 0, 0), latestBar.Time);
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Assert.AreEqual(1, consolidatedBarsCount);
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Assert.AreEqual(strictEndTime ? 15 : 20, latestBar.High);
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Assert.AreEqual(10, latestBar.Low);
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}
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[Test]
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public void MarketHoursRespected()
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{
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using var consolidator = new MarketHourAwareConsolidator(true, Resolution.Hour, typeof(TradeBar), TickType.Trade, false);
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var consolidatedBarsCount = 0;
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TradeBar latestBar = null;
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consolidator.DataConsolidated += (sender, bar) =>
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{
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latestBar = (TradeBar)bar;
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consolidatedBarsCount++;
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};
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var time = new DateTime(2015, 04, 13, 9, 0, 0);
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// this bar will be ignored because it's during market closed hours
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 100 });
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time = new DateTime(2015, 04, 13, 9, 31, 0);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 1 });
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Assert.IsNull(latestBar);
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time = time.AddMinutes(2);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 2 });
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Assert.IsNull(latestBar);
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time = time.AddMinutes(2);
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consolidator.Update(new TradeBar() { Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 3 });
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Assert.IsNull(latestBar);
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time = new DateTime(2015, 04, 13, 10, 0, 0);
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consolidator.Scan(time);
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// Assert that the bar emitted
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Assert.IsNotNull(latestBar);
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Assert.AreEqual(time, latestBar.EndTime);
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Assert.AreEqual(new DateTime(2015, 04, 13, 9, 0, 0), latestBar.Time);
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Assert.AreEqual(1, consolidatedBarsCount);
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Assert.AreEqual(3, latestBar.High);
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Assert.AreEqual(1, latestBar.Low);
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}
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[Test]
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public void WorksWithDailyResolutionAndPreciseEndTimeFalse()
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{
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using var consolidator = new MarketHourAwareConsolidator(false, Resolution.Daily, typeof(TradeBar), TickType.Trade, false);
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var time = new DateTime(2015, 04, 13, 0, 0, 0);
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consolidator.Update(new TradeBar() { Time = time, Period = Time.OneDay, Symbol = Symbols.SPY, Open = 100, High = 100, Low = 100, Close = 100 });
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Assert.IsNotNull(consolidator.WorkingData);
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var workingData = (TradeBar)consolidator.WorkingData;
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Assert.AreEqual(100, workingData.Open);
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Assert.AreEqual(100, workingData.Low);
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Assert.AreEqual(100, workingData.Close);
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Assert.AreEqual(100, workingData.High);
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// Trigger the consolidation
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consolidator.Scan(time.AddDays(1));
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Assert.IsNotNull(consolidator.Consolidated);
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var consolidatedData = (TradeBar)consolidator.Consolidated;
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Assert.AreEqual(100, consolidatedData.Open);
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Assert.AreEqual(100, consolidatedData.Low);
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Assert.AreEqual(100, consolidatedData.Close);
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Assert.AreEqual(100, consolidatedData.High);
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}
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[Test]
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public void IntradayConsolidatorIsAnchoredToMarketOpen()
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{
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var symbol = Symbols.Future_ESZ18_Dec2018;
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var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
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var marketOpen = exchangeHours.GetNextMarketOpen(new DateTime(2024, 11, 30, 12, 0, 0), extendedMarketHours: true);
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using var consolidator = new MarketHourAwareConsolidator(false, TimeSpan.FromMinutes(7), typeof(TradeBar), TickType.Trade, extendedMarketHours: true);
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var bars = new List<TradeBar>();
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consolidator.DataConsolidated += (_, b) => bars.Add((TradeBar)b);
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// feed the first 30 minutes after the open, one bar per minute
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Feed(consolidator, symbol, marketOpen, 30);
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Assert.GreaterOrEqual(bars.Count, 3);
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Assert.AreEqual(marketOpen, bars[0].Time);
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Assert.AreEqual(marketOpen.AddMinutes(7), bars[0].EndTime);
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Assert.AreEqual(marketOpen.AddMinutes(14), bars[1].EndTime);
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Assert.AreEqual(marketOpen.AddMinutes(21), bars[2].EndTime);
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}
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[Test]
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public void IntradayConsolidatorLastBarEndsAtMarketClose()
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{
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var symbol = Symbols.SPY;
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using var consolidator = new MarketHourAwareConsolidator(false, TimeSpan.FromMinutes(7), typeof(TradeBar), TickType.Trade, extendedMarketHours: false);
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var bars = new List<TradeBar>();
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consolidator.DataConsolidated += (_, b) => bars.Add((TradeBar)b);
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// feed the last 10 minutes of day 1 (up to the 16:00 close) and the first 10 of day 2
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Feed(consolidator, symbol, new DateTime(2015, 04, 13, 15, 50, 0), 10);
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Feed(consolidator, symbol, new DateTime(2015, 04, 14, 9, 30, 0), 10);
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// day 1 produces two 7 minute bars anchored to the market open at 9:30
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var day1Bars = bars.FindAll(b => b.Time.Date == new DateTime(2015, 04, 13));
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Assert.AreEqual(2, day1Bars.Count);
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Assert.AreEqual(new DateTime(2015, 04, 13, 15, 48, 0), day1Bars[0].Time);
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Assert.AreEqual(new DateTime(2015, 04, 13, 15, 55, 0), day1Bars[0].EndTime);
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Assert.AreEqual(new DateTime(2015, 04, 13, 15, 55, 0), day1Bars[1].Time);
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Assert.AreEqual(new DateTime(2015, 04, 13, 16, 0, 0), day1Bars[1].EndTime);
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// next day starts over at the market open at 9:30
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var day2Open = new DateTime(2015, 04, 14, 9, 30, 0);
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var firstDay2 = bars.Find(b => b.Time == day2Open);
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Assert.IsNotNull(firstDay2);
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Assert.AreEqual(day2Open.AddMinutes(7), firstDay2.EndTime);
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}
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[TestCase(true)]
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[TestCase(false)]
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public void ConsolidatesPeriodGreaterThanOneDay(bool dailyStrictEndTimeEnabled)
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{
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var symbol = Symbols.SPX;
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using var consolidator = new MarketHourAwareConsolidator(dailyStrictEndTimeEnabled, TimeSpan.FromDays(2), typeof(TradeBar), TickType.Trade, extendedMarketHours: true);
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var bars = new List<TradeBar>();
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consolidator.DataConsolidated += (_, b) => bars.Add((TradeBar)b);
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// feed 4 daily bars
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var start = new DateTime(2015, 04, 13, 10, 0, 0);
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for (var i = 0; i < 4; i++)
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{
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consolidator.Update(new TradeBar { Time = start.AddDays(i), Period = Time.OneDay, Symbol = symbol, Open = 1, High = 1, Low = 1, Close = 1, Volume = 1 });
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}
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consolidator.Scan(start.AddDays(4));
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Assert.AreEqual(2, bars.Count);
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// first bar
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Assert.AreEqual(TimeSpan.FromDays(2), bars[0].Period);
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Assert.AreEqual(start, bars[0].Time);
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Assert.AreEqual(start.AddDays(2), bars[0].EndTime);
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// second bar
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Assert.AreEqual(TimeSpan.FromDays(2), bars[1].Period);
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Assert.AreEqual(start.AddDays(2), bars[1].Time);
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Assert.AreEqual(start.AddDays(4), bars[1].EndTime);
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}
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private static void Feed(IDataConsolidator consolidator, Symbol symbol, DateTime from, int minutes)
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{
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for (var i = 0; i < minutes; i++)
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{
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var t = from.AddMinutes(i);
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consolidator.Update(new TradeBar { Time = t, Period = Time.OneMinute, Symbol = symbol, Open = 1, High = 1, Low = 1, Close = 1, Volume = 1 });
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}
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}
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[Test]
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public void WindowIsPopulatedOnConsolidation()
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{
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var symbol = Symbols.SPY;
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using var consolidator = new MarketHourAwareConsolidator(false, Resolution.Daily, typeof(TradeBar), TickType.Trade, false);
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consolidator.Update(new TradeBar() { Time = new DateTime(2015, 04, 13, 12, 0, 0), Period = Time.OneMinute, Symbol = symbol, Close = 100 });
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consolidator.Scan(new DateTime(2015, 04, 14, 0, 0, 0));
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Assert.AreEqual(1, consolidator.Window.Count);
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consolidator.Update(new TradeBar() { Time = new DateTime(2015, 04, 14, 12, 0, 0), Period = Time.OneMinute, Symbol = symbol, Close = 200 });
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consolidator.Scan(new DateTime(2015, 04, 15, 0, 0, 0));
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Assert.AreEqual(2, consolidator.Window.Count);
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Assert.AreEqual(200, ((TradeBar)consolidator.Window[0]).Close);
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Assert.AreEqual(100, ((TradeBar)consolidator.Window[1]).Close);
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}
|
|
|
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protected override IDataConsolidator CreateConsolidator()
|
|
{
|
|
return new MarketHourAwareConsolidator(true, Resolution.Hour, typeof(TradeBar), TickType.Trade, false);
|
|
}
|
|
|
|
protected override IEnumerable<IBaseData> GetTestValues()
|
|
{
|
|
var time = new DateTime(2015, 04, 13, 8, 31, 0);
|
|
return new List<TradeBar>()
|
|
{
|
|
new TradeBar(){ Time = time, Period = Time.OneMinute, Symbol = Symbols.SPY, High = 10 },
|
|
new TradeBar(){ Time = time.AddMinutes(1), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 12 },
|
|
new TradeBar(){ Time = time.AddMinutes(2), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 10 },
|
|
new TradeBar(){ Time = time.AddMinutes(3), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 5 },
|
|
new TradeBar(){ Time = time.AddMinutes(4), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 15 },
|
|
new TradeBar(){ Time = time.AddMinutes(5), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 20 },
|
|
new TradeBar(){ Time = time.AddMinutes(6), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 18 },
|
|
new TradeBar(){ Time = time.AddMinutes(7), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 12 },
|
|
new TradeBar(){ Time = time.AddMinutes(8), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 25 },
|
|
new TradeBar(){ Time = time.AddMinutes(9), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 30 },
|
|
new TradeBar(){ Time = time.AddMinutes(10), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 26 },
|
|
};
|
|
}
|
|
|
|
private class MarketHourAwareConsolidatorTest : MarketHourAwareConsolidator
|
|
{
|
|
public MarketHourAwareConsolidatorTest(Resolution resolution, Type dataType, TickType tickType, bool extendedMarketHours)
|
|
: base(true, resolution, dataType, tickType, extendedMarketHours)
|
|
{
|
|
}
|
|
|
|
protected override bool UseStrictEndTime(Symbol symbol)
|
|
{
|
|
return true;
|
|
}
|
|
}
|
|
}
|
|
}
|