wehub-resource-sync
592 lines
22 KiB
C#
592 lines
22 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 TradeBarConsolidatorTests: BaseConsolidatorTests
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{
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[Test]
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public void ZeroCountAlwaysFires()
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{
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// defining a TradeBarConsolidator with a zero max count should cause it to always fire identity
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TradeBar consolidated = null;
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using var consolidator = new TradeBarConsolidator(0);
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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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consolidator.Update(new TradeBar());
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Assert.IsNotNull(consolidated);
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}
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[Test]
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public void OneCountAlwaysFires()
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{
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// defining a TradeBarConsolidator with a one max count should cause it to always fire identity
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TradeBar consolidated = null;
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using var consolidator = new TradeBarConsolidator(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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consolidator.Update(new TradeBar());
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Assert.IsNotNull(consolidated);
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}
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[Test]
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public void TwoCountFiresEveryOther()
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{
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// defining a TradeBarConsolidator with a two max count should cause it to fire every other TradeBar
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TradeBar consolidated = null;
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using var consolidator = new TradeBarConsolidator(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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consolidator.Update(new TradeBar());
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Assert.IsNull(consolidated);
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consolidator.Update(new TradeBar());
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Assert.IsNotNull(consolidated);
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consolidated = null;
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consolidator.Update(new TradeBar());
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Assert.IsNull(consolidated);
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consolidator.Update(new TradeBar());
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Assert.IsNotNull(consolidated);
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}
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[Test]
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public void ZeroSpanAlwaysThrows()
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{
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// defining a TradeBarConsolidator with a zero period should cause it to always throw an exception
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TradeBar consolidated = null;
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using var consolidator = new TradeBarConsolidator(TimeSpan.Zero);
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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(2014, 12, 01, 01, 01, 00);
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Assert.Throws<ArgumentException>(() => consolidator.Update(new TradeBar { Time = reference, Period = Time.OneDay }));
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}
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[Test]
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public void ConsolidatesOHLCV()
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{
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// verifies that the TradeBarConsolidator correctly consolidates OHLCV data into a new TradeBar instance
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TradeBar consolidated = null;
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using var consolidator = new TradeBarConsolidator(3);
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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 tb1 = new TradeBar
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{
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Symbol = Symbols.SPY,
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Open = 10,
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High = 100,
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Low = 1,
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Close = 50,
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Volume = 75,
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DataType = MarketDataType.TradeBar
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};
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var tb2 = new TradeBar
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{
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Symbol = Symbols.SPY,
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Open = 50,
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High = 123,
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Low = 35,
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Close = 75,
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Volume = 100,
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DataType = MarketDataType.TradeBar
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};
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var tb3 = new TradeBar
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{
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Symbol = Symbols.SPY,
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Open = 75,
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High = 100,
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Low = 50,
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Close = 83,
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Volume = 125,
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DataType = MarketDataType.TradeBar
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};
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consolidator.Update(tb1);
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consolidator.Update(tb2);
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consolidator.Update(tb3);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(Symbols.SPY, consolidated.Symbol);
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Assert.AreEqual(10m, consolidated.Open);
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Assert.AreEqual(123m, consolidated.High);
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Assert.AreEqual(1m, consolidated.Low);
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Assert.AreEqual(83m, consolidated.Close);
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Assert.AreEqual(300L, consolidated.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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// verifies that the TradeBarConsolidator does not consolidate data with different symbols
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using var consolidator = new TradeBarConsolidator(2);
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var tb1 = new TradeBar
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{
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Symbol = Symbols.AAPL,
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Open = 10,
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High = 100,
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Low = 1,
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Close = 50,
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Volume = 75,
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DataType = MarketDataType.TradeBar
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};
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var tb2 = new TradeBar
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{
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Symbol = Symbols.ZNGA,
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Open = 50,
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High = 123,
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Low = 35,
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Close = 75,
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Volume = 100,
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DataType = MarketDataType.TradeBar
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};
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consolidator.Update(tb1);
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Exception ex = Assert.Throws<InvalidOperationException>(() => consolidator.Update(tb2));
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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 ConsolidatedTimeIsFromBeginningOfBar()
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{
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// verifies that the consolidated bar uses the time from the beginning of the first bar
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// in the period that covers the current bar
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using var consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(2));
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TradeBar consolidated = null;
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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(2014, 12, 1, 10, 00, 0);
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//10:00 - start new
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consolidator.Update(new TradeBar {Time = reference});
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Assert.IsNull(consolidated);
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//10:01 - aggregate
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(1)});
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Assert.IsNull(consolidated);
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//10:02 - fire & start new
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(2)});
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(reference, consolidated.Time);
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consolidated = null;
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//10:03 - aggregate
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(3)});
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Assert.IsNull(consolidated);
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//10:05 - fire & start new
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(5)});
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(reference.AddMinutes(2), consolidated.Time);
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consolidated = null;
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//10:08 - fire & start new
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(8)});
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(reference.AddMinutes(4), consolidated.Time);
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consolidated = null;
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//10:08:01 - aggregate
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(8).AddSeconds(1)});
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Assert.IsNull(consolidated);
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//10:09 - aggregate
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(9)});
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Assert.IsNull(consolidated);
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}
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[Test]
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public void HandlesDataGapsInMixedMode()
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{
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// define a three minute consolidator on a one minute stream of data
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using var consolidator = new TradeBarConsolidator(3, TimeSpan.FromMinutes(3));
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TradeBar consolidated = null;
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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(2014, 12, 1, 10, 00, 0);
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//10:00 - new
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consolidator.Update(new TradeBar {Time = reference});
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Assert.IsNull(consolidated);
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//10:01 - aggregate
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(1)});
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Assert.IsNull(consolidated);
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//10:02 - fire
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(2)});
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(reference, consolidated.Time);
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//10:03 - new
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(3)});
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Assert.AreEqual(reference, consolidated.Time);
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//10:06 - aggregate/fire
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(6)});
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Assert.AreEqual(reference.AddMinutes(3), consolidated.Time);
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//10:08 - new/fire -- will have timestamp from 10:08, instead of 10:06
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consolidator.Update(new TradeBar {Time = reference.AddMinutes(8)});
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Assert.AreEqual(reference.AddMinutes(8), consolidated.Time);
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}
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[Test]
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public void HandlesGappingAcrossDays()
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{
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// this test requires inspection to verify we're getting clean bars on the correct times
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using var consolidator = new TradeBarConsolidator(TimeSpan.FromHours(1));
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TradeBar consolidated = null;
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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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// from 1/1 9:30 to 1/2 12:00 by minute
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var start = new DateTime(2014, 01, 01, 09, 30, 00, 00);
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var end = new DateTime(2014, 01, 02, 12, 00, 00, 00);
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foreach (var bar in StreamTradeBars(start, end, TimeSpan.FromMinutes(1)))
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{
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consolidator.Update(bar);
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}
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}
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/// <summary>
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/// Testing the behaviors where, the bar range is closed on the left and open on
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/// the right in time span mode: [T, T+TimeSpan).
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/// For example, if time span is 1 minute, we have [10:00, 10:01): so data at
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/// 10:01 is not included in the bar starting at 10:00.
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/// </summary>
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[Test]
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public void ClosedLeftOpenRightInTimeSpanModeTest()
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{
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// define a three minute consolidator
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int timeSpanUnits = 3;
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using var consolidator = new TradeBarConsolidator(TimeSpan.FromMinutes(timeSpanUnits));
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TradeBar consolidated = null;
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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 refDateTime = new DateTime(2014, 12, 1, 10, 00, 0);
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// loop for 3 times the timeSpanUnits + 1, so it would consolidate the bars 3 times
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for (int i=0; i < 3*timeSpanUnits + 1 ; ++i)
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{
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consolidator.Update(new TradeBar { Time = refDateTime });
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if (i < timeSpanUnits) // before initial consolidation happens
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{
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Assert.IsNull(consolidated);
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}
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else
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{
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Assert.IsNotNull(consolidated);
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if (i % timeSpanUnits == 0) // i = 3, 6, 9
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{
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Assert.AreEqual(refDateTime.AddMinutes(-timeSpanUnits), consolidated.Time);
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}
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}
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refDateTime = refDateTime.AddMinutes(1);
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}
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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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var period = TimeSpan.FromDays(1);
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using var consolidator = new TradeBarConsolidator(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 TradeBar { Time = reference, Period = period});
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Assert.IsNull(consolidated);
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consolidator.Update(new TradeBar { Time = reference.AddDays(1), Period = period });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(2), consolidated.Period);
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consolidated = null;
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consolidator.Update(new TradeBar { Time = reference.AddDays(2), Period = period });
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Assert.IsNull(consolidated);
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consolidator.Update(new TradeBar { Time = reference.AddDays(3), Period = period });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(TimeSpan.FromDays(2), 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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var period = TimeSpan.FromDays(2);
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using var consolidator = new TradeBarConsolidator(period);
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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 TradeBar { Time = reference, Period = Time.OneDay});
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Assert.IsNull(consolidated);
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consolidator.Update(new TradeBar { Time = reference.AddDays(1), Period = Time.OneDay });
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Assert.IsNull(consolidated);
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consolidator.Update(new TradeBar { Time = reference.AddDays(2), Period = Time.OneDay });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(period, consolidated.Period);
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consolidated = null;
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consolidator.Update(new TradeBar { Time = reference.AddDays(3), Period = Time.OneDay });
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Assert.IsNull(consolidated);
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consolidator.Update(new TradeBar { Time = reference.AddDays(4), Period = Time.OneDay });
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(period, consolidated.Period);
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}
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[Test]
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public void ThrowsWhenPeriodIsSmallerThanDataPeriod()
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{
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TradeBar consolidated = null;
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using var consolidator = new TradeBarConsolidator(Time.OneHour);
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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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Assert.Throws<ArgumentException>(() => consolidator.Update(new TradeBar { Time = reference, Period = Time.OneDay }));
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}
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[Test]
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public void GentlyHandlesPeriodAndDataAreSameResolution()
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{
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TradeBar consolidated = null;
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using var consolidator = new TradeBarConsolidator(Time.OneDay);
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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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var bar = new TradeBar { Time = reference, Period = Time.OneDay };
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consolidator.Update(bar);
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Assert.IsNull(consolidated);
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consolidator.Scan(bar.EndTime);
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Assert.IsNotNull(consolidated);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(reference, consolidated.Time);
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Assert.AreEqual(Time.OneDay, consolidated.Period);
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}
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[Test]
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public void FiresEventAfterTimePassesViaScan()
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{
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TradeBar consolidated = null;
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var period = TimeSpan.FromDays(2);
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using var consolidator = new TradeBarConsolidator(period);
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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 TradeBar { Time = reference, Period = Time.OneDay });
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Assert.IsNull(consolidated);
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consolidator.Scan(reference + period);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(reference, consolidated.Time);
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}
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[Test]
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public void ConsolidatedPeriodEqualsTimeBasedConsolidatorPeriod()
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{
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TradeBar consolidated = null;
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var period = TimeSpan.FromMinutes(2);
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using var consolidator = new TradeBarConsolidator(period);
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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, 10, 20, 0);
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var time = reference;
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consolidator.Update(new TradeBar { Time = time, Period = Time.OneMinute });
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time = reference.Add(period);
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consolidator.Scan(time);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(reference, consolidated.Time);
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Assert.AreEqual(period, consolidated.Period);
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}
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[Test]
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public void FiresEventAfterTimePassesViaScanWithMultipleResolutions()
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{
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TradeBar consolidated = null;
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var period = TimeSpan.FromMinutes(2);
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using var consolidator = new TradeBarConsolidator(period);
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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, 10, 20, 0);
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var time = reference;
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for (int i = 0; i < 10; i++)
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{
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consolidator.Update(new TradeBar {Time = time, Period = Time.OneSecond});
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time = time.AddSeconds(1);
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consolidator.Scan(time);
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Assert.IsNull(consolidated);
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}
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consolidator.Update(new TradeBar { Time = time, Period = Time.OneMinute });
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time = reference.Add(period);
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consolidator.Scan(time);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(reference, consolidated.Time);
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Assert.AreEqual(period, consolidated.Period);
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consolidated = null;
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consolidator.Update(new TradeBar { Time = time, Period = Time.OneSecond });
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time = time.AddSeconds(1);
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consolidator.Scan(time);
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Assert.IsNull(consolidated);
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time = time.AddSeconds(-1);
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consolidator.Update(new TradeBar { Time = time, Period = Time.OneMinute });
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time = time.AddMinutes(1);
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consolidator.Scan(time);
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Assert.IsNull(consolidated);
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consolidator.Update(new TradeBar { Time = time, Period = Time.OneMinute });
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time = time.AddMinutes(1);
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consolidator.Scan(time);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(reference.AddMinutes(2), consolidated.Time);
|
|
Assert.AreEqual(period, consolidated.Period);
|
|
}
|
|
|
|
private readonly TimeSpan marketStop = new DateTime(2000, 1, 1, 12 + 4, 0, 0).TimeOfDay;
|
|
private readonly TimeSpan marketStart = new DateTime(2000, 1, 1, 9, 30, 0).TimeOfDay;
|
|
private IEnumerable<TradeBar> StreamTradeBars(DateTime start, DateTime end, TimeSpan resolution, bool skipAferMarketHours = true)
|
|
{
|
|
DateTime current = start;
|
|
while (current < end)
|
|
{
|
|
var timeOfDay = current.TimeOfDay;
|
|
if (skipAferMarketHours && (marketStart > timeOfDay || marketStop < timeOfDay))
|
|
{
|
|
// set current to the next days market start
|
|
current = current.Date.AddDays(1).Add(marketStart);
|
|
continue;
|
|
}
|
|
|
|
// either we don't care about after market hours or it's within regular market hours
|
|
yield return new TradeBar {Time = current};
|
|
current = current + resolution;
|
|
}
|
|
}
|
|
|
|
protected override IDataConsolidator CreateConsolidator()
|
|
{
|
|
return new TradeBarConsolidator(2);
|
|
}
|
|
|
|
protected override IEnumerable<IBaseData> GetTestValues()
|
|
{
|
|
var time = new DateTime(2015, 04, 13, 8, 31, 0);
|
|
return new List<TradeBar>()
|
|
{
|
|
new TradeBar(){ Time = time, Period = Time.OneMinute, Symbol = Symbols.SPY, High = 10 },
|
|
new TradeBar(){ Time = time.AddMinutes(1), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 12 },
|
|
new TradeBar(){ Time = time.AddMinutes(2), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 10 },
|
|
new TradeBar(){ Time = time.AddMinutes(3), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 5 },
|
|
new TradeBar(){ Time = time.AddMinutes(4), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 15 },
|
|
new TradeBar(){ Time = time.AddMinutes(5), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 20 },
|
|
new TradeBar(){ Time = time.AddMinutes(6), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 18 },
|
|
new TradeBar(){ Time = time.AddMinutes(7), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 12 },
|
|
new TradeBar(){ Time = time.AddMinutes(8), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 25 },
|
|
new TradeBar(){ Time = time.AddMinutes(9), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 30 },
|
|
new TradeBar(){ Time = time.AddMinutes(10), Period = Time.OneMinute, Symbol = Symbols.SPY, High = 26 },
|
|
};
|
|
}
|
|
}
|
|
}
|