wehub-resource-sync
307 lines
15 KiB
C#
307 lines
15 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 System.Linq;
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using Common.Data.Consolidators;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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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 SessionConsolidatorTests
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{
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[Test]
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public void CalculatesOHLCVRespectingMarketHours()
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{
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var symbol = Symbols.SPY;
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using var consolidator = GetConsolidator(TickType.Trade);
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var date = new DateTime(2025, 8, 25);
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var tradeBar1 = new TradeBar(date.AddHours(12), symbol, 100, 101, 99, 100.5m, 1000, TimeSpan.FromHours(1));
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var tradeBar2 = new TradeBar(date.AddHours(13), symbol, 101, 102, 100, 101.5m, 1100, TimeSpan.FromHours(1));
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var tradeBar3 = new TradeBar(date.AddHours(14), symbol, 102, 103, 101, 102.5m, 1200, TimeSpan.FromHours(1));
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consolidator.Update(tradeBar1);
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consolidator.Update(tradeBar2);
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consolidator.Update(tradeBar3);
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var eventTime = new DateTime(2025, 8, 26, 0, 0, 0);
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// This should fire the scan, because is the end of the day
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consolidator.ValidateAndScan(eventTime);
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Assert.IsNotNull(consolidator.Consolidated);
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var consolidated = (SessionBar)consolidator.Consolidated;
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Assert.AreEqual(100, consolidated.Open);
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Assert.AreEqual(103, consolidated.High);
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Assert.AreEqual(99, consolidated.Low);
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Assert.AreEqual(102.5, consolidated.Close);
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Assert.AreEqual(3300, consolidated.Volume);
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}
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[Test]
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public void TracksOpenInterestFromOpenInterestTicks()
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{
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var symbol = Symbols.SPY;
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using var consolidator = GetConsolidator(TickType.Quote);
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var date = new DateTime(2025, 8, 25);
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var openInterest = new Tick(date.AddHours(12), symbol, 5);
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var tick1 = new Tick(date.AddHours(12), symbol, 100, 101);
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var tick2 = new Tick(date.AddHours(13), symbol, 101, 102);
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var tick3 = new Tick(date.AddHours(14), symbol, 102, 103);
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consolidator.Update(openInterest);
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consolidator.Update(tick1);
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consolidator.Update(tick2);
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consolidator.Update(tick3);
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var workingData = (SessionBar)consolidator.WorkingData;
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Assert.AreEqual(5, workingData.OpenInterest);
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Assert.AreEqual(0, workingData.Volume);
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Assert.AreEqual(100.5, workingData.Open);
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Assert.AreEqual(102.5, workingData.High);
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Assert.AreEqual(100.5, workingData.Low);
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Assert.AreEqual(102.5, workingData.Close);
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}
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[Test]
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public void AccumulatesVolumeFromTradeBarsAndTradeTicksCorrectly()
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{
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var symbol = Symbols.SPY;
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using var consolidator = GetConsolidator(TickType.Quote);
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var date = new DateTime(2025, 8, 25);
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// QuoteBars will be processed normally
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var quoteBar1 = new QuoteBar(date.AddHours(11), symbol, new Bar(100, 101, 100, 101), 0, new Bar(101, 102, 100, 101), 0);
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var quoteBar2 = new QuoteBar(date.AddHours(12), symbol, new Bar(100, 101, 100, 101), 0, new Bar(101, 102, 100, 101), 0);
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consolidator.Update(quoteBar1);
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consolidator.Update(quoteBar2);
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// We will handle the volume manually for trade bars and ticks(trade)
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// We will take the volume (1000) from the trade bar
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var tradeBar = new TradeBar(date.AddHours(13), symbol, 100, 101, 99, 100.5m, 1000, TimeSpan.FromHours(1));
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consolidator.Update(tradeBar);
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// We will take the quantity (500) from the tick
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var tick1 = new Tick(date.AddHours(14), symbol, "", "", 500, 5);
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consolidator.Update(tick1);
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var workingData = (SessionBar)consolidator.WorkingData;
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Assert.AreEqual(1500, workingData.Volume);
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Assert.AreEqual(100.5, workingData.Open);
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Assert.AreEqual(101.5, workingData.High);
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Assert.AreEqual(100, workingData.Low);
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Assert.AreEqual(101, workingData.Close);
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}
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[Test]
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public void AccumulatesVolumeCorrectlyAfterReset()
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{
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var symbol = Symbols.SPY;
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using var consolidator = GetConsolidator(TickType.Quote);
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var date = new DateTime(2025, 8, 25, 0, 0, 0);
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// Resolution = Hour, accumulates normally
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var tradeBar1 = new TradeBar(date.AddHours(12), symbol, 100, 101, 99, 100.5m, 1000, TimeSpan.FromHours(1));
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var tradeBar2 = new TradeBar(date.AddHours(13), symbol, 101, 102, 100, 101.5m, 1100, TimeSpan.FromHours(1));
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consolidator.Update(tradeBar1);
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consolidator.Update(tradeBar2);
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Assert.AreEqual(2100, ((SessionBar)consolidator.WorkingData).Volume);
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consolidator.Reset();
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tradeBar1 = new TradeBar(date.AddHours(12), symbol, 100, 101, 99, 100.5m, 2000, TimeSpan.FromMinutes(1));
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tradeBar2 = new TradeBar(date.AddHours(12).AddMinutes(1), symbol, 101, 102, 100, 101.5m, 3000, TimeSpan.FromMinutes(1));
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consolidator.Update(tradeBar1);
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consolidator.Update(tradeBar2);
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Assert.AreEqual(5000, ((SessionBar)consolidator.WorkingData).Volume);
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}
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[Test]
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public void PreservesSymbolAfterConsolidation()
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{
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var symbol = Symbols.SPY;
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using var consolidator = GetConsolidator(TickType.Trade);
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var date = new DateTime(2025, 8, 25);
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var tradeBar = new TradeBar(date.AddHours(12), symbol, 100, 101, 99, 100.5m, 1000, TimeSpan.FromHours(1));
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consolidator.Update(tradeBar);
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Assert.AreEqual(symbol, consolidator.WorkingData.Symbol);
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var eventTime = new DateTime(2025, 8, 26, 0, 0, 0);
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// This should fire the scan, because is the end of the day
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consolidator.ValidateAndScan(eventTime);
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Assert.AreEqual(symbol, consolidator.Consolidated.Symbol);
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}
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[TestCase(TickType.Trade, Resolution.Tick, Resolution.Second)]
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[TestCase(TickType.Trade, Resolution.Tick, Resolution.Minute)]
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[TestCase(TickType.Trade, Resolution.Tick, Resolution.Hour)]
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[TestCase(TickType.Trade, Resolution.Second, Resolution.Minute)]
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[TestCase(TickType.Trade, Resolution.Second, Resolution.Hour)]
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[TestCase(TickType.Trade, Resolution.Minute, Resolution.Hour)]
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[TestCase(TickType.Quote, Resolution.Tick, Resolution.Second)]
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[TestCase(TickType.Quote, Resolution.Tick, Resolution.Minute)]
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[TestCase(TickType.Quote, Resolution.Tick, Resolution.Hour)]
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[TestCase(TickType.Quote, Resolution.Second, Resolution.Minute)]
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[TestCase(TickType.Quote, Resolution.Second, Resolution.Hour)]
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[TestCase(TickType.Quote, Resolution.Minute, Resolution.Hour)]
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public void IgnoresOverlappingHigherResolutionData(TickType tickType, Resolution firstResolution, Resolution secondResolution)
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{
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var symbol = Symbols.SPY;
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using var consolidator = GetConsolidator(tickType);
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var currentTime = new DateTime(2025, 8, 25, 11, 0, 0);
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var dataDictionary = new Dictionary<(TickType, Resolution), BaseData>
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{
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{ (TickType.Trade, Resolution.Tick), new Tick(currentTime, symbol, "", "", 600, 15) },
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{ (TickType.Quote, Resolution.Tick), new Tick(currentTime, symbol, 100, 101) },
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{ (TickType.Trade, Resolution.Second), new TradeBar(currentTime, symbol, 100, 101, 99, 100.5m, 1000, TimeSpan.FromSeconds(1)) },
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{ (TickType.Quote, Resolution.Second), new QuoteBar(currentTime, symbol, new Bar(300, 301, 300, 301), 0, new Bar(300, 301, 300, 301), 0, TimeSpan.FromSeconds(1)) },
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{ (TickType.Trade, Resolution.Minute), new TradeBar(currentTime, symbol, 100, 101, 99, 100.5m, 1000, TimeSpan.FromMinutes(1)) },
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{ (TickType.Quote, Resolution.Minute), new QuoteBar(currentTime, symbol, new Bar(300, 301, 300, 301), 0, new Bar(300, 301, 300, 301), 0, TimeSpan.FromMinutes(1)) },
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{ (TickType.Trade, Resolution.Hour), new TradeBar(currentTime, symbol, 100, 101, 99, 100.5m, 1000, TimeSpan.FromHours(1)) },
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{ (TickType.Quote, Resolution.Hour), new QuoteBar(currentTime, symbol, new Bar(300, 301, 300, 301), 0, new Bar(300, 301, 300, 301), 0, TimeSpan.FromHours(1)) }
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};
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// First update with lower-resolution data (should be accepted)
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var firstData = dataDictionary[(tickType, firstResolution)];
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firstData.Time = currentTime.AddTicks(1);
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consolidator.Update(firstData);
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var workingData = (SessionBar)consolidator.WorkingData;
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var currentTimeAfterFirstUpdate = workingData.Time;
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// Second update with higher-resolution overlapping data (should be ignored)
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var secondData = dataDictionary[(tickType, secondResolution)];
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consolidator.Update(secondData);
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workingData = (SessionBar)consolidator.WorkingData;
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var currentTimeAfterSecondUpdate = workingData.Time;
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// Verify that the higher-resolution update did not overwrite the current session state
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Assert.AreEqual(currentTimeAfterFirstUpdate, currentTimeAfterSecondUpdate);
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}
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[TestCase(TickType.Trade, true)]
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[TestCase(TickType.Trade, false)]
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[TestCase(TickType.Quote, true)]
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[TestCase(TickType.Quote, false)]
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public void ConsolidateUsingBars(TickType tickType, bool isTick)
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{
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var symbol = Symbols.SPY;
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using var consolidator = GetConsolidator(tickType);
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var date = new DateTime(2025, 8, 25, 9, 0, 0);
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var tradeBars = new List<TradeBar>
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{
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new TradeBar(date, symbol, 100, 101, 99, 100.5m, 1000, TimeSpan.FromHours(1)),
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new TradeBar(date.AddHours(1), symbol, 200, 201, 199, 200.5m, 2000, TimeSpan.FromHours(1)),
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new TradeBar(date.AddHours(2), symbol, 300, 301, 299, 300.5m, 3000, TimeSpan.FromHours(1)),
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new TradeBar(date.AddHours(3), symbol, 400, 401, 399, 400.5m, 4000, TimeSpan.FromHours(1)),
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new TradeBar(date.AddHours(4), symbol, 500, 501, 499, 500.5m, 5000, TimeSpan.FromHours(1)),
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new TradeBar(date.AddHours(5), symbol, 600, 601, 599, 600.5m, 6000, TimeSpan.FromHours(1)),
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new TradeBar(date.AddHours(6), symbol, 700, 701, 699, 700.5m, 7000, TimeSpan.FromHours(1))
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};
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var tradeTicks = new List<Tick>
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{
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new Tick(date.AddHours(1), symbol, "", "", 600, 15),
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new Tick(date.AddHours(2), symbol, "", "", 700, 25),
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new Tick(date.AddHours(3), symbol, "", "", 800, 35),
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new Tick(date.AddHours(4), symbol, "", "", 900, 45),
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new Tick(date.AddHours(5), symbol, "", "", 1000, 55),
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new Tick(date.AddHours(6), symbol, "", "", 1100, 65),
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new Tick(date.AddHours(7), symbol, "", "", 1200, 75)
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};
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var quoteBars = new List<QuoteBar>
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{
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new QuoteBar(date, symbol, new Bar(100, 101, 100, 101), 0, new Bar(100, 101, 100, 101), 0, TimeSpan.FromHours(1)),
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new QuoteBar(date.AddHours(1), symbol, new Bar(200, 201, 200, 201), 0, new Bar(200, 201, 200, 201), 0, TimeSpan.FromHours(1)),
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new QuoteBar(date.AddHours(2), symbol, new Bar(300, 301, 300, 301), 0, new Bar(300, 301, 300, 301), 0, TimeSpan.FromHours(1)),
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new QuoteBar(date.AddHours(3), symbol, new Bar(400, 401, 400, 401), 0, new Bar(400, 401, 400, 401), 0, TimeSpan.FromHours(1)),
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new QuoteBar(date.AddHours(4), symbol, new Bar(500, 501, 500, 501), 0, new Bar(500, 501, 500, 501), 0, TimeSpan.FromHours(1)),
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new QuoteBar(date.AddHours(5), symbol, new Bar(600, 601, 600, 601), 0, new Bar(600, 601, 600, 601), 0, TimeSpan.FromHours(1)),
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new QuoteBar(date.AddHours(6), symbol, new Bar(700, 701, 700, 701), 0, new Bar(700, 701, 700, 701), 0, TimeSpan.FromHours(1))
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};
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var quoteTicks = new List<Tick>
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{
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new Tick(date.AddHours(1), symbol, 100, 101),
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new Tick(date.AddHours(2), symbol, 200, 201),
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new Tick(date.AddHours(3), symbol, 300, 301),
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new Tick(date.AddHours(4), symbol, 400, 401),
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new Tick(date.AddHours(5), symbol, 500, 501),
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new Tick(date.AddHours(6), symbol, 600, 601),
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new Tick(date.AddHours(7), symbol, 700, 701)
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};
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var dataToUpdate = tickType == TickType.Trade
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? (isTick ? tradeTicks.Cast<BaseData>() : tradeBars.Cast<BaseData>())
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: (isTick ? quoteTicks.Cast<BaseData>() : quoteBars.Cast<BaseData>());
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foreach (var data in dataToUpdate)
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{
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consolidator.Update(data);
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}
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var eventTime = new DateTime(2025, 8, 26, 0, 0, 0);
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// This should fire the scan, because is the end of the day
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consolidator.ValidateAndScan(eventTime);
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Assert.IsNotNull(consolidator.Consolidated);
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var consolidated = (SessionBar)consolidator.Consolidated;
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var (expectedOpen, expectedHigh, expectedLow, expectedClose, expectedVolume) =
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(tickType, isTick) switch
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{
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(TickType.Trade, true) => (15m, 65m, 15m, 65m, 5100L),
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(TickType.Trade, false) => (100m, 701m, 99m, 700.5m, 28000L),
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(TickType.Quote, true) => (100.5m, 600.5m, 100.5m, 600.5m, 0L),
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(TickType.Quote, false) => (100m, 701m, 100m, 701m, 0L),
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_ => throw new NotImplementedException()
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};
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Assert.AreEqual(expectedOpen, consolidated.Open);
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Assert.AreEqual(expectedHigh, consolidated.High);
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Assert.AreEqual(expectedLow, consolidated.Low);
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Assert.AreEqual(expectedClose, consolidated.Close);
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Assert.AreEqual(expectedVolume, consolidated.Volume);
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}
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private static SessionConsolidator GetConsolidator(TickType tickType)
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{
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var symbol = Symbols.SPY;
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var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
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return new SessionConsolidator(exchangeHours, tickType, symbol);
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}
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}
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}
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