wehub-resource-sync
292 lines
11 KiB
C#
292 lines
11 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 TickQuoteBarConsolidatorTests: BaseConsolidatorTests
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{
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[Test]
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public void AggregatesNewQuoteBarProperly()
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{
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QuoteBar quoteBar = null;
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using var creator = new TickQuoteBarConsolidator(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 reference = DateTime.Today;
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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,
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BidPrice = 10,
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BidSize = 20,
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TickType = TickType.Quote
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};
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creator.Update(tick1);
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Assert.IsNull(quoteBar);
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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.AddHours(1),
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AskPrice = 20,
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AskSize = 10,
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TickType = TickType.Quote
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};
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var badTick = 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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AskPrice = 25,
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AskSize = 100,
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BidPrice = -100,
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BidSize = 2,
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Value = 50,
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Quantity = 1234,
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TickType = TickType.Trade
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};
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creator.Update(badTick);
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Assert.IsNull(quoteBar);
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creator.Update(tick2);
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Assert.IsNull(quoteBar);
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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.AddHours(2),
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BidPrice = 12,
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BidSize = 50,
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TickType = TickType.Quote
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};
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creator.Update(tick3);
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Assert.IsNull(quoteBar);
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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.AddHours(3),
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AskPrice = 17,
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AskSize = 15,
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TickType = TickType.Quote
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};
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creator.Update(tick4);
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Assert.IsNotNull(quoteBar);
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Assert.AreEqual(Symbols.SPY, quoteBar.Symbol);
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Assert.AreEqual(tick1.Time, quoteBar.Time);
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Assert.AreEqual(tick4.EndTime, quoteBar.EndTime);
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Low);
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Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.High);
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Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close);
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Assert.AreEqual(tick3.BidSize, quoteBar.LastBidSize);
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
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Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Low);
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.High);
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Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close);
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Assert.AreEqual(tick4.AskSize, quoteBar.LastAskSize);
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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 TickQuoteBarConsolidator(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 LastCloseAndCurrentOpenPriceShouldBeSameConsolidatedOnCount()
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{
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QuoteBar quoteBar = null;
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using var creator = new TickQuoteBarConsolidator(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 reference = DateTime.Today;
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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,
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TickType = TickType.Quote,
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AskPrice = 0,
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BidPrice = 24,
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};
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creator.Update(tick1);
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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,
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TickType = TickType.Quote,
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AskPrice = 25,
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BidPrice = 0,
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};
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creator.Update(tick2);
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// bar 1 emitted
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Close);
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Close);
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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(1),
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TickType = TickType.Quote,
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AskPrice = 36,
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BidPrice = 35,
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};
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creator.Update(tick3);
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creator.Update(tick3);
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// bar 2 emitted
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// ask is from tick 2
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open, "Ask Open not equal to Previous Close");
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// bid is from tick 1
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Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open, "Bid Open not equal to Previous Close");
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Assert.AreEqual(tick3.AskPrice, quoteBar.Ask.Close, "Ask Close incorrect");
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Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close, "Bid Close incorrect");
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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 TickQuoteBarConsolidator(TimeSpan.FromMinutes(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 reference = DateTime.Today;
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// timeframe 1
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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,
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TickType = TickType.Quote,
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AskPrice = 25,
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BidPrice = 24,
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};
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creator.Update(tick1);
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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(1),
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TickType = TickType.Quote,
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AskPrice = 26,
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BidPrice = 0,
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};
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creator.Update(tick2);
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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(1),
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TickType = TickType.Quote,
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AskPrice = 0,
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BidPrice = 25,
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};
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creator.Update(tick3);
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// timeframe 2
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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.AddMinutes(1),
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TickType = TickType.Quote,
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AskPrice = 36,
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BidPrice = 35,
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};
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creator.Update(tick4);
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//force the consolidator to emit DataConsolidated
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creator.Scan(reference.AddMinutes(2));
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// bid is from tick 2
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Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open, "Ask Open not equal to Previous Close");
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// bid is from tick 3
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Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Open, "Bid Open not equal to Previous Close");
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Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close, "Ask Close incorrect");
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Assert.AreEqual(tick4.BidPrice, quoteBar.Bid.Close, "Bid Close incorrect");
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}
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protected override IDataConsolidator CreateConsolidator()
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{
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return new TickQuoteBarConsolidator(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, TickType = TickType.Quote, Time = time, Value = 10, AskPrice = 10, BidPrice = 5 },
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new Tick(){Symbol = Symbols.SPY, TickType = TickType.Quote, Time = time.AddSeconds(1), Value = 2, AskPrice = 10, BidPrice = 7 },
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new Tick(){Symbol = Symbols.SPY, TickType = TickType.Quote, Time = time.AddSeconds(2), Value = 8, AskPrice = 11, BidPrice = 9 },
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new Tick(){Symbol = Symbols.SPY, TickType = TickType.Quote, Time = time.AddSeconds(3), Value = 5, AskPrice = 15, BidPrice = 6 },
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new Tick(){Symbol = Symbols.SPY, TickType = TickType.Quote, Time = time.AddSeconds(4), Value = 13, AskPrice = 15, BidPrice = 7 },
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new Tick(){Symbol = Symbols.SPY, TickType = TickType.Quote, Time = time.AddSeconds(5), Value = 15 , AskPrice = 13, BidPrice = 8 },
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new Tick(){Symbol = Symbols.SPY, TickType = TickType.Quote, Time = time.AddSeconds(6), Value = 10 , AskPrice = 14, BidPrice = 7 },
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new Tick(){Symbol = Symbols.SPY, TickType = TickType.Quote, Time = time.AddSeconds(7), Value = 11 , AskPrice = 13, BidPrice = 8 },
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new Tick(){Symbol = Symbols.SPY, TickType = TickType.Quote, Time = time.AddSeconds(8), Value = 11 , AskPrice = 14, BidPrice = 6 },
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new Tick(){Symbol = Symbols.SPY, TickType = TickType.Quote, Time = time.AddSeconds(9), Value = 4 , AskPrice = 14, BidPrice = 9 },
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new Tick(){Symbol = Symbols.SPY, TickType = TickType.Quote, Time = time.AddSeconds(10), Value = 7 , AskPrice = 13, BidPrice = 5 },
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};
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}
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}
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}
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