wehub-resource-sync
364 lines
13 KiB
C#
364 lines
13 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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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture]
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public class TickConsolidatorTests: BaseConsolidatorTests
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{
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[Test]
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public void AggregatesNewTradeBarsProperly()
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{
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TradeBar newTradeBar = null;
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using var consolidator = new TickConsolidator(4);
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consolidator.DataConsolidated += (sender, tradeBar) =>
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{
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newTradeBar = tradeBar;
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};
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var reference = DateTime.Today;
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var bar1 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference,
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Value = 5,
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Quantity = 10
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};
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consolidator.Update(bar1);
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Assert.IsNull(newTradeBar);
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var bar2 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(1),
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Value = 10,
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Quantity = 20
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};
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consolidator.Update(bar2);
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Assert.IsNull(newTradeBar);
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var bar3 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(2),
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Value = 1,
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Quantity = 10
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};
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consolidator.Update(bar3);
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Assert.IsNull(newTradeBar);
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var bar4 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(3),
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Value = 9,
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Quantity = 20
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};
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consolidator.Update(bar4);
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Assert.IsNotNull(newTradeBar);
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Assert.AreEqual(Symbols.SPY, newTradeBar.Symbol);
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Assert.AreEqual(bar1.Time, newTradeBar.Time);
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Assert.AreEqual(bar1.Value, newTradeBar.Open);
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Assert.AreEqual(bar2.Value, newTradeBar.High);
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Assert.AreEqual(bar3.Value, newTradeBar.Low);
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Assert.AreEqual(bar4.Value, newTradeBar.Close);
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Assert.AreEqual(bar4.EndTime, newTradeBar.EndTime);
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Assert.AreEqual(bar1.Quantity + bar2.Quantity + bar3.Quantity + bar4.Quantity, newTradeBar.Volume);
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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 TickConsolidator(2);
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var reference = DateTime.Today;
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var tick1 = new Tick
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{
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Symbol = Symbols.AAPL,
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Time = reference,
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BidPrice = 1000,
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BidSize = 20,
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TickType = TickType.Quote,
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};
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var tick2 = new Tick
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{
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Symbol = Symbols.ZNGA,
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Time = reference,
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BidPrice = 20,
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BidSize = 30,
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TickType = TickType.Quote,
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};
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consolidator.Update(tick1);
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Exception ex = Assert.Throws<InvalidOperationException>(() => consolidator.Update(tick2));
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Assert.IsTrue(ex.Message.Contains("is not the same"));
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}
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[Test]
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public void AggregatesPeriodInCountModeWithDailyData()
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{
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TradeBar consolidated = null;
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using var consolidator = new TickConsolidator(2);
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consolidator.DataConsolidated += (sender, bar) =>
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{
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consolidated = bar;
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};
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var reference = new DateTime(2015, 04, 13);
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consolidator.Update(new Tick { Time = reference});
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Assert.IsNull(consolidated);
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consolidator.Update(new Tick { Time = reference.AddMilliseconds(1)});
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Assert.IsNotNull(consolidated);
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// The EndTime of the consolidated bar should match the EndTime of the last data point
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Assert.AreEqual(reference.AddMilliseconds(1), consolidated.EndTime);
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Assert.AreEqual(TimeSpan.FromMilliseconds(1), consolidated.Period);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddMilliseconds(2)});
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Assert.IsNull(consolidated);
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consolidator.Update(new Tick { Time = reference.AddMilliseconds(3)});
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(reference.AddMilliseconds(3), consolidated.EndTime);
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Assert.AreEqual(TimeSpan.FromMilliseconds(1), consolidated.Period);
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}
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[Test]
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public void AggregatesPeriodInPeriodModeWithDailyData()
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{
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TradeBar consolidated = null;
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using var consolidator = new TickConsolidator(TimeSpan.FromDays(1));
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consolidator.DataConsolidated += (sender, bar) =>
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{
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consolidated = bar;
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};
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var reference = new DateTime(2015, 04, 13);
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consolidator.Update(new Tick { Time = reference});
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Assert.IsNull(consolidated);
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consolidator.Update(new Tick { Time = reference.AddDays(1)});
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddDays(2)});
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddDays(3)});
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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}
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[Test]
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public void AggregatesPeriodInPeriodModeWithDailyDataAndRoundedTime()
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{
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TradeBar consolidated = null;
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using var consolidator = new TickConsolidator(TimeSpan.FromDays(1));
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consolidator.DataConsolidated += (sender, bar) =>
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{
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consolidated = bar;
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};
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var reference = new DateTime(2015, 04, 13);
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consolidator.Update(new Tick { Time = reference.AddSeconds(5) });
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Assert.IsNull(consolidated);
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consolidator.Update(new Tick { Time = reference.AddDays(1).AddSeconds(15) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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Assert.AreEqual(reference, consolidated.Time);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddDays(2).AddMinutes(1) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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Assert.AreEqual(reference.AddDays(1), consolidated.Time);
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consolidated = null;
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consolidator.Update(new Tick { Time = reference.AddDays(3).AddMinutes(5) });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
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Assert.AreEqual(reference.AddDays(2), consolidated.Time);
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}
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[Test]
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public void AggregatesNewTicksInPeriodWithRoundedTime()
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{
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TradeBar consolidated = null;
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using var consolidator = new TickConsolidator(TimeSpan.FromMinutes(1));
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consolidator.DataConsolidated += (sender, bar) =>
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{
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consolidated = bar;
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};
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var reference = new DateTime(2015, 06, 02);
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var tick1 = new Tick
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{
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Symbol = Symbols.EURUSD,
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Time = reference.AddSeconds(3),
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Value = 1.1000m
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};
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consolidator.Update(tick1);
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Assert.IsNull(consolidated);
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var tick2 = new Tick
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{
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Symbol = Symbols.EURUSD,
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Time = reference.AddSeconds(10),
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Value = 1.1005m
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};
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consolidator.Update(tick2);
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Assert.IsNull(consolidated);
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var tick3 = new Tick
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{
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Symbol = Symbols.EURUSD,
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Time = reference.AddSeconds(61),
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Value = 1.1010m
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};
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consolidator.Update(tick3);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(consolidated.Time, reference);
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Assert.AreEqual(consolidated.Open, tick1.Value);
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Assert.AreEqual(consolidated.Close, tick2.Value);
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var tick4 = new Tick
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{
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Symbol = Symbols.EURUSD,
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Time = reference.AddSeconds(70),
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Value = 1.1015m
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};
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consolidator.Update(tick4);
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Assert.IsNotNull(consolidated);
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var tick5 = new Tick
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{
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Symbol = Symbols.EURUSD,
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Time = reference.AddSeconds(118),
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Value = 1.1020m
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};
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consolidator.Update(tick5);
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Assert.IsNotNull(consolidated);
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var tick6 = new Tick
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{
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Symbol = Symbols.EURUSD,
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Time = reference.AddSeconds(140),
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Value = 1.1025m
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};
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consolidator.Update(tick6);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(consolidated.Time, reference.AddSeconds(60));
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Assert.AreEqual(consolidated.Open, tick3.Value);
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Assert.AreEqual(consolidated.Close, tick5.Value);
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}
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[Test]
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public void ProcessesTradeTicksOnly()
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{
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TradeBar consolidated = null;
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using var consolidator = new TickConsolidator(TimeSpan.FromMinutes(1));
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consolidator.DataConsolidated += (sender, bar) =>
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{
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consolidated = bar;
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};
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var reference = new DateTime(2015, 06, 02);
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var tick1 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddSeconds(3),
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Value = 200m
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};
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consolidator.Update(tick1);
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Assert.IsNull(consolidated);
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var tick2 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddSeconds(10),
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Value = 20000m,
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TickType = TickType.OpenInterest
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};
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consolidator.Update(tick2);
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Assert.IsNull(consolidated);
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var tick3 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddSeconds(10),
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Value = 10000m,
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TickType = TickType.Quote
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};
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consolidator.Update(tick3);
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Assert.IsNull(consolidated);
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var tick4 = new Tick
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{
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Symbol = Symbols.SPY,
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Time = reference.AddSeconds(61),
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Value = 250m
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};
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consolidator.Update(tick4);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(consolidated.Time, reference);
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Assert.AreEqual(consolidated.Open, tick1.Value);
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Assert.AreEqual(consolidated.Close, tick1.Value);
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}
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protected override IDataConsolidator CreateConsolidator()
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{
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return new TickConsolidator(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<Tick>()
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{
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new Tick(){Symbol = Symbols.SPY, Time = time, Value = 10 },
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new Tick(){Symbol = Symbols.SPY, Time = time.AddSeconds(1), Value = 2 },
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new Tick(){Symbol = Symbols.SPY, Time = time.AddSeconds(2), Value = 8 },
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new Tick(){Symbol = Symbols.SPY, Time = time.AddSeconds(3), Value = 5 },
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new Tick(){Symbol = Symbols.SPY, Time = time.AddSeconds(4), Value = 13 },
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new Tick(){Symbol = Symbols.SPY, Time = time.AddSeconds(5), Value = 15 },
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new Tick(){Symbol = Symbols.SPY, Time = time.AddSeconds(6), Value = 10 },
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new Tick(){Symbol = Symbols.SPY, Time = time.AddSeconds(7), Value = 11 },
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new Tick(){Symbol = Symbols.SPY, Time = time.AddSeconds(8), Value = 11 },
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new Tick(){Symbol = Symbols.SPY, Time = time.AddSeconds(9), Value = 4 },
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new Tick(){Symbol = Symbols.SPY, Time = time.AddSeconds(10), Value = 7 },
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};
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}
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}
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}
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