wehub-resource-sync
171 lines
8.2 KiB
C#
171 lines
8.2 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.Logging;
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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture]
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public class OpenInterestConsolidatorTests : BaseConsolidatorTests
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{
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[TestCaseSource(nameof(HourAndDailyTestValues))]
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public void HourAndDailyConsolidationKeepsTimeOfDay(TimeSpan period, List<(OpenInterest, bool)> data)
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{
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using var consolidator = new OpenInterestConsolidator(period);
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var consolidatedOpenInterest = (OpenInterest)null;
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consolidator.DataConsolidated += (sender, consolidated) =>
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{
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Log.Debug($"{consolidated.EndTime} - {consolidated}");
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consolidatedOpenInterest = consolidated;
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};
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var prevData = (OpenInterest)null;
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foreach (var (openInterest, shouldConsolidate) in data)
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{
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consolidator.Update(openInterest);
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if (shouldConsolidate)
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{
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Assert.IsNotNull(consolidatedOpenInterest);
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Assert.AreEqual(prevData.Symbol, consolidatedOpenInterest.Symbol);
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Assert.AreEqual(prevData.Value, consolidatedOpenInterest.Value);
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Assert.AreEqual(prevData.EndTime, consolidatedOpenInterest.EndTime);
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consolidatedOpenInterest = null;
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}
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else
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{
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Assert.IsNull(consolidatedOpenInterest);
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}
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prevData = openInterest;
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}
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}
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protected override IDataConsolidator CreateConsolidator()
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{
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return new OpenInterestConsolidator(TimeSpan.FromDays(1));
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}
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protected override IEnumerable<IBaseData> GetTestValues()
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{
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var time = new DateTime(2015, 04, 13, 8, 31, 0);
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return new List<OpenInterest>()
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{
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new OpenInterest(){ Time = time, Symbol = Symbols.SPY, Value = 10 },
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new OpenInterest(){ Time = time.AddMinutes(1), Symbol = Symbols.SPY, Value = 12 },
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new OpenInterest(){ Time = time.AddMinutes(2), Symbol = Symbols.SPY, Value = 10 },
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new OpenInterest(){ Time = time.AddMinutes(3), Symbol = Symbols.SPY, Value = 5 },
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new OpenInterest(){ Time = time.AddMinutes(4), Symbol = Symbols.SPY, Value = 15 },
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new OpenInterest(){ Time = time.AddMinutes(5), Symbol = Symbols.SPY, Value = 20 },
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new OpenInterest(){ Time = time.AddMinutes(6), Symbol = Symbols.SPY, Value = 18 },
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new OpenInterest(){ Time = time.AddMinutes(7), Symbol = Symbols.SPY, Value = 12 },
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new OpenInterest(){ Time = time.AddMinutes(8), Symbol = Symbols.SPY, Value = 25 },
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new OpenInterest(){ Time = time.AddMinutes(9), Symbol = Symbols.SPY, Value = 30 },
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new OpenInterest(){ Time = time.AddMinutes(10), Symbol = Symbols.SPY, Value = 26 },
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};
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}
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private static IEnumerable<TestCaseData> HourAndDailyTestValues()
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{
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var symbol = Symbols.SPY_C_192_Feb19_2016;
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var time = new DateTime(2015, 04, 13, 6, 30, 0);
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var period = Time.OneDay;
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yield return new TestCaseData(
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period,
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new List<(OpenInterest, bool)>()
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{
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(new OpenInterest(time, symbol, 10), false),
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(new OpenInterest(time.AddDays(1), symbol, 11), true),
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(new OpenInterest(time.AddDays(2), symbol, 12), true),
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(new OpenInterest(time.AddDays(3), symbol, 13), true),
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(new OpenInterest(time.AddDays(4), symbol, 14), true),
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(new OpenInterest(time.AddDays(5), symbol, 15), true),
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});
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yield return new TestCaseData(
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period,
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new List<(OpenInterest, bool)>()
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{
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(new OpenInterest(time, symbol, 10), false),
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(new OpenInterest(time.AddDays(1), symbol, 11), true),
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// Same date, should not consolidate
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(new OpenInterest(time.AddDays(1).AddMinutes(1), symbol, 12), false),
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// Same date, should not consolidate
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(new OpenInterest(time.AddDays(1).AddMinutes(2), symbol, 13), false),
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// Same date, should not consolidate
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(new OpenInterest(time.AddDays(1).AddMinutes(3), symbol, 14), false),
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// Not the full period passed but different date, should consolidate
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(new OpenInterest(time.AddDays(2).AddHours(-1), symbol, 15), true),
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(new OpenInterest(time.AddDays(3).AddHours(-2), symbol, 16), true),
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(new OpenInterest(time.AddDays(4).AddHours(-3), symbol, 17), true),
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(new OpenInterest(time.AddDays(5).AddHours(-4), symbol, 18), true),
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});
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period = Time.OneHour;
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yield return new TestCaseData(
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period,
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new List<(OpenInterest, bool)>()
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{
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(new OpenInterest(time, symbol, 10), false),
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(new OpenInterest(time.AddHours(1), symbol, 11), true),
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(new OpenInterest(time.AddHours(2), symbol, 12), true),
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(new OpenInterest(time.AddHours(3), symbol, 13), true),
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(new OpenInterest(time.AddHours(4), symbol, 14), true),
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(new OpenInterest(time.AddHours(5), symbol, 15), true),
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});
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yield return new TestCaseData(
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period,
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new List<(OpenInterest, bool)>()
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{
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(new OpenInterest(time.AddHours(0.5).AddMinutes(10), symbol, 10), false),
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(new OpenInterest(time.AddHours(2.5).AddMinutes(20), symbol, 11), true),
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(new OpenInterest(time.AddHours(4.5).AddMinutes(30), symbol, 12), true),
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(new OpenInterest(time.AddHours(6.5).AddMinutes(40), symbol, 13), true),
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(new OpenInterest(time.AddHours(8.5), symbol, 14), true),
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(new OpenInterest(time.AddHours(10.5).AddMinutes(50), symbol, 15), true),
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});
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yield return new TestCaseData(
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period,
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new List<(OpenInterest, bool)>()
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{
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(new OpenInterest(time, symbol, 10), false),
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(new OpenInterest(time.AddHours(1), symbol, 11), true),
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// Same date, should not consolidate
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(new OpenInterest(time.AddHours(1).AddMinutes(5), symbol, 12), false),
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// Same date, should not consolidate
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(new OpenInterest(time.AddHours(1).AddMinutes(10), symbol, 13), false),
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// Same date, should not consolidate
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(new OpenInterest(time.AddHours(1).AddMinutes(15), symbol, 14), false),
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// Not the full period passed but different date, should consolidate
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(new OpenInterest(time.AddHours(2).AddMinutes(-5), symbol, 15), true),
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(new OpenInterest(time.AddHours(3).AddMinutes(-10), symbol, 16), true),
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(new OpenInterest(time.AddHours(4).AddMinutes(-15), symbol, 17), true),
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(new OpenInterest(time.AddHours(5).AddMinutes(-20), symbol, 18), true),
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});
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}
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}
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}
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