wehub-resource-sync
479 lines
17 KiB
C#
479 lines
17 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.Market;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data;
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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture]
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public class QuoteBarConsolidatorTests: BaseConsolidatorTests
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{
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[Test]
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public void ThrowsWhenPeriodIsSmallerThanDataPeriod()
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{
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QuoteBar quoteBar = null;
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using var creator = new QuoteBarConsolidator(Time.OneHour);
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creator.DataConsolidated += (sender, args) =>
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{
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quoteBar = args;
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};
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var time = new DateTime(2022, 6, 6, 13, 30, 1);
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var bar1 = new QuoteBar
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{
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Time = time,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = TimeSpan.FromDays(1)
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};
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Assert.Throws<ArgumentException>(() => creator.Update(bar1));
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}
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[Test]
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public void MultipleResolutionConsolidation()
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{
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QuoteBar quoteBar = null;
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using var creator = new QuoteBarConsolidator(Time.OneDay);
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creator.DataConsolidated += (sender, args) =>
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{
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quoteBar = args;
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};
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var time = new DateTime(2022, 6, 6);
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var bar1 = new QuoteBar
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{
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Time = time,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = TimeSpan.FromDays(1)
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};
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creator.Update(bar1);
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Assert.IsNull(quoteBar);
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creator.Scan(bar1.EndTime);
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Assert.IsNotNull(quoteBar);
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quoteBar = null;
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// now let's send in other resolution data
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var previousBar = bar1;
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for (int i = 0; i <= 24; i++)
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{
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previousBar = new QuoteBar
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{
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Time = previousBar.EndTime,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = TimeSpan.FromHours(1)
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};
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creator.Update(previousBar);
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if (i < 24)
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{
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Assert.IsNull(quoteBar, $"{i} {previousBar.EndTime}");
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}
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else
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{
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Assert.IsNotNull(quoteBar, $"{i} {previousBar.EndTime}");
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}
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}
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}
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[Test]
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public void GentlyHandlesPeriodAndDataAreSameResolution()
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{
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QuoteBar quoteBar = null;
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using var creator = new QuoteBarConsolidator(Time.OneDay);
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creator.DataConsolidated += (sender, args) =>
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{
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quoteBar = args;
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};
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var time = new DateTime(2022, 6, 6, 13, 30, 1);
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var bar1 = new QuoteBar
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{
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Time = time,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = TimeSpan.FromDays(1)
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};
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creator.Update(bar1);
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Assert.IsNull(quoteBar);
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creator.Scan(bar1.EndTime);
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Assert.IsNotNull(quoteBar);
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Assert.AreEqual(bar1.Symbol, quoteBar.Symbol);
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Assert.AreEqual(bar1.Ask, quoteBar.Ask);
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Assert.AreEqual(bar1.Bid.Open, quoteBar.Bid.Open);
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Assert.AreEqual(bar1.Bid.High, quoteBar.Bid.High);
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Assert.AreEqual(bar1.Bid.Low, quoteBar.Bid.Low);
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Assert.AreEqual(bar1.Bid.Close, quoteBar.Bid.Close);
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Assert.AreEqual(bar1.LastBidSize, quoteBar.LastBidSize);
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Assert.AreEqual(bar1.LastAskSize, quoteBar.LastAskSize);
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Assert.AreEqual(bar1.Value, quoteBar.Value);
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Assert.AreEqual(bar1.EndTime, quoteBar.EndTime);
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Assert.AreEqual(bar1.Time, quoteBar.Time);
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Assert.AreEqual(bar1.Period, quoteBar.Period);
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}
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[Test]
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public void AggregatesNewCountQuoteBarProperlyDaily()
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{
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QuoteBar quoteBar = null;
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using var creator = new QuoteBarConsolidator(1);
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creator.DataConsolidated += (sender, args) =>
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{
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quoteBar = args;
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};
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var time = new DateTime(2022, 6, 6, 13, 30, 1);
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var bar1 = new QuoteBar
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{
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Time = time,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = TimeSpan.FromDays(1)
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};
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creator.Update(bar1);
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Assert.IsNotNull(quoteBar);
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Assert.AreEqual(bar1.Symbol, quoteBar.Symbol);
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Assert.AreEqual(bar1.Ask, quoteBar.Ask);
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Assert.AreEqual(bar1.Bid.Open, quoteBar.Bid.Open);
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Assert.AreEqual(bar1.Bid.High, quoteBar.Bid.High);
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Assert.AreEqual(bar1.Bid.Low, quoteBar.Bid.Low);
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Assert.AreEqual(bar1.Bid.Close, quoteBar.Bid.Close);
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Assert.AreEqual(bar1.LastBidSize, quoteBar.LastBidSize);
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Assert.AreEqual(bar1.LastAskSize, quoteBar.LastAskSize);
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Assert.AreEqual(bar1.Value, quoteBar.Value);
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Assert.AreEqual(bar1.EndTime, quoteBar.EndTime);
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Assert.AreEqual(bar1.Time, quoteBar.Time);
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Assert.AreEqual(bar1.Period, quoteBar.Period);
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}
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[Test]
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public void AggregatesNewCountQuoteBarProperly()
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{
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QuoteBar quoteBar = null;
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using var creator = new QuoteBarConsolidator(4);
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creator.DataConsolidated += (sender, args) =>
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{
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quoteBar = args;
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};
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var time = DateTime.Today;
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var bar1 = new QuoteBar
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{
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Time = time,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = Time.OneMinute
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};
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creator.Update(bar1);
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Assert.IsNull(quoteBar);
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var bar2 = new QuoteBar
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{
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Time = bar1.EndTime,
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Symbol = Symbols.SPY,
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Bid = new Bar(1.1m, 2.2m, 0.9m, 2.1m),
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LastBidSize = 3,
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Ask = new Bar(2.2m, 4.4m, 3.3m, 3.3m),
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LastAskSize = 0,
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Value = 1,
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Period = Time.OneMinute
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};
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creator.Update(bar2);
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Assert.IsNull(quoteBar);
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var bar3 = new QuoteBar
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{
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Time = bar2.EndTime,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.5m, 1.75m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = Time.OneMinute
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};
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creator.Update(bar3);
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Assert.IsNull(quoteBar);
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var bar4 = new QuoteBar
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{
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Time = bar3.EndTime,
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Symbol = Symbols.SPY,
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Bid = null,
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LastBidSize = 0,
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Ask = new Bar(1, 7, 0.5m, 4.4m),
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LastAskSize = 4,
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Value = 1,
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Period = Time.OneMinute
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};
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creator.Update(bar4);
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Assert.IsNotNull(quoteBar);
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Assert.AreEqual(bar1.Symbol, quoteBar.Symbol);
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Assert.AreEqual(bar1.Bid.Open, quoteBar.Bid.Open);
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Assert.AreEqual(bar2.Ask.Open, quoteBar.Ask.Open);
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Assert.AreEqual(bar2.Bid.High, quoteBar.Bid.High);
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Assert.AreEqual(bar4.Ask.High, quoteBar.Ask.High);
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Assert.AreEqual(bar3.Bid.Low, quoteBar.Bid.Low);
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Assert.AreEqual(bar4.Ask.Low, quoteBar.Ask.Low);
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Assert.AreEqual(bar3.Bid.Close, quoteBar.Bid.Close);
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Assert.AreEqual(bar4.Ask.Close, quoteBar.Ask.Close);
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Assert.AreEqual(bar3.LastBidSize, quoteBar.LastBidSize);
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Assert.AreEqual(bar4.LastAskSize, quoteBar.LastAskSize);
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Assert.AreEqual(bar1.Value, quoteBar.Value);
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Assert.AreEqual(bar1.Time, quoteBar.Time);
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Assert.AreEqual(bar4.EndTime, quoteBar.EndTime);
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Assert.AreEqual(TimeSpan.FromMinutes(4), quoteBar.Period);
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}
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[Test]
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public void AggregatesNewTimeSpanQuoteBarProperly()
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{
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QuoteBar quoteBar = null;
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using var creator = new QuoteBarConsolidator(TimeSpan.FromMinutes(2));
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creator.DataConsolidated += (sender, args) =>
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{
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quoteBar = args;
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};
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var time = DateTime.Today;
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var bar1 = new QuoteBar
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{
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Time = time,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = Time.OneMinute
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};
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creator.Update(bar1);
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Assert.IsNull(quoteBar);
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var bar2 = new QuoteBar
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{
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Time = bar1.EndTime,
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Symbol = Symbols.SPY,
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Bid = new Bar(1.1m, 2.2m, 0.9m, 2.1m),
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LastBidSize = 3,
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Ask = new Bar(2.2m, 4.4m, 3.3m, 3.3m),
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LastAskSize = 0,
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Value = 1,
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Period = Time.OneMinute
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};
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creator.Update(bar2);
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Assert.IsNull(quoteBar);
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// pushing another bar to force the fire
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var bar3 = new QuoteBar
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{
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Time = bar2.EndTime,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.5m, 1.75m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = Time.OneMinute
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};
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creator.Update(bar3);
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Assert.IsNotNull(quoteBar);
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Assert.AreEqual(bar1.Symbol, quoteBar.Symbol);
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Assert.AreEqual(bar1.Time, quoteBar.Time);
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Assert.AreEqual(bar2.EndTime, quoteBar.EndTime);
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Assert.AreEqual(TimeSpan.FromMinutes(2), quoteBar.Period);
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// Bid
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Assert.AreEqual(bar1.Bid.Open, quoteBar.Bid.Open);
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Assert.AreEqual(bar2.Bid.Close, quoteBar.Bid.Close);
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Assert.AreEqual(Math.Max(bar2.Bid.High, bar1.Bid.High), quoteBar.Bid.High);
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Assert.AreEqual(Math.Min(bar2.Bid.Low, bar1.Bid.Low), quoteBar.Bid.Low);
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// Ask
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Assert.AreEqual(bar2.Ask.Open, quoteBar.Ask.Open);
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Assert.AreEqual(bar2.Ask.Close, quoteBar.Ask.Close);
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Assert.AreEqual(bar2.Ask.High, quoteBar.Ask.High);
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Assert.AreEqual(bar2.Ask.Low, quoteBar.Ask.Low);
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Assert.AreEqual(bar1.LastAskSize, quoteBar.LastAskSize);
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Assert.AreEqual(1, quoteBar.Value);
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}
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[Test]
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public void DoesNotConsolidateDifferentSymbols()
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{
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using var consolidator = new QuoteBarConsolidator(2);
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var time = DateTime.Today;
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var period = TimeSpan.FromMinutes(1);
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var bar1 = new QuoteBar
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{
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Symbol = Symbols.AAPL,
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Time = time,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = period
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};
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var bar2 = new QuoteBar
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{
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Symbol = Symbols.ZNGA,
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Time = time,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = period
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};
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consolidator.Update(bar1);
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Exception ex = Assert.Throws<InvalidOperationException>(() => consolidator.Update(bar2));
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Assert.IsTrue(ex.Message.Contains("is not the same", StringComparison.InvariantCultureIgnoreCase));
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}
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[Test]
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public void LastCloseAndCurrentOpenPriceShouldBeSameConsolidatedOnTimeSpan()
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{
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QuoteBar quoteBar = null;
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using var creator = new QuoteBarConsolidator(TimeSpan.FromMinutes(2));
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creator.DataConsolidated += (sender, args) =>
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{
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quoteBar = args;
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};
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var time = DateTime.Today;
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var period = TimeSpan.FromMinutes(1);
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var bar1 = new QuoteBar
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{
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Time = time,
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.75m, 1.25m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = period
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};
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creator.Update(bar1);
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Assert.IsNull(quoteBar);
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var bar2 = new QuoteBar
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{
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Time = time + TimeSpan.FromMinutes(1),
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Symbol = Symbols.SPY,
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Bid = null,
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LastBidSize = 0,
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Ask = new Bar(2.2m, 4.4m, 3.3m, 3.3m),
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LastAskSize = 10,
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Value = 1,
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Period = period
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};
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creator.Update(bar2);
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Assert.IsNull(quoteBar);
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// pushing another bar to force the fire
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var bar3 = new QuoteBar
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{
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Time = time + TimeSpan.FromMinutes(2),
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Symbol = Symbols.SPY,
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Bid = new Bar(1, 2, 0.5m, 1.75m),
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LastBidSize = 3,
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Ask = null,
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LastAskSize = 0,
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Value = 1,
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Period = period
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};
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creator.Update(bar3);
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Assert.IsNotNull(quoteBar);
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//force the consolidator to emit DataConsolidated
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creator.Scan(time.AddMinutes(4));
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Assert.AreEqual(bar1.Symbol, quoteBar.Symbol);
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Assert.AreEqual(time + TimeSpan.FromMinutes(4), quoteBar.EndTime);
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Assert.AreEqual(TimeSpan.FromMinutes(2), quoteBar.Period);
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// Bid
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Assert.AreEqual(quoteBar.Bid.Open, bar1.Bid.Close);
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// Ask
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Assert.AreEqual(quoteBar.Ask.Open, bar2.Ask.Close);
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}
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protected override IDataConsolidator CreateConsolidator()
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{
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return new QuoteBarConsolidator(2);
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}
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protected override IEnumerable<IBaseData> GetTestValues()
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{
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var time = DateTime.Today;
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return new List<QuoteBar>()
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{
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(1, 2, 0.5m, 1.75m), Ask = new Bar(2.2m, 4.4m, 3.3m, 3.3m), LastBidSize = 10, LastAskSize = 0 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(0, 4, 0.4m, 3.75m), Ask = new Bar(2.3m, 9.4m, 2.3m, 4.5m), LastBidSize = 5, LastAskSize = 4 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(2, 2, 0.9m, 1.45m), Ask = new Bar(2.7m, 8.4m, 3.6m, 3.6m), LastBidSize = 8, LastAskSize = 4 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(2, 6, 2.5m, 5.55m), Ask = new Bar(3.2m, 6.4m, 2.3m, 5.3m), LastBidSize = 9, LastAskSize = 4 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(1, 2, 1.5m, 0.34m), Ask = new Bar(3.6m, 9.4m, 3.7m, 3.8m), LastBidSize = 5, LastAskSize = 8 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(1, 2, 1.1m, 0.75m), Ask = new Bar(3.8m, 8.4m, 7.3m, 5.3m), LastBidSize = 9, LastAskSize = 5 },
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new QuoteBar(){Time = time, Symbol = Symbols.SPY, Bid = new Bar(3, 3, 2.2m, 1.12m), Ask = new Bar(4.5m, 7.2m, 7.1m, 6.1m), LastBidSize = 6, LastAskSize = 3 },
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};
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}
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}
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}
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