wehub-resource-sync
258 lines
11 KiB
C#
258 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 Python.Runtime;
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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 VolumeRenkoConsolidatorTests: BaseConsolidatorTests
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{
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[Test]
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public void OutputTypeIsVolumeRenkoBar()
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{
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using var consolidator = new VolumeRenkoConsolidator(10);
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Assert.AreEqual(typeof(VolumeRenkoBar), consolidator.OutputType);
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}
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[Test]
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public void ConsolidatesOnTickVolumeReached()
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{
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VolumeRenkoBar bar = null;
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using var consolidator = new VolumeRenkoConsolidator(10);
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consolidator.DataConsolidated += (sender, consolidated) =>
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{
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bar = consolidated;
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};
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var reference = new DateTime(2013, 10, 1);
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consolidator.Update(new Tick(reference, Symbol.Empty, String.Empty, String.Empty, 2m, 1m));
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Assert.IsNull(bar);
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consolidator.Update(new Tick(reference.AddHours(1), Symbol.Empty, String.Empty, String.Empty, 3m, 2m));
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Assert.IsNull(bar);
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consolidator.Update(new Tick(reference.AddHours(2), Symbol.Empty, String.Empty, String.Empty, 3m, 3m));
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Assert.IsNull(bar);
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consolidator.Update(new Tick(reference.AddHours(3), Symbol.Empty, String.Empty, String.Empty, 2m, 2m));
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Assert.IsNotNull(bar);
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Assert.AreEqual(1m, bar.Open);
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Assert.AreEqual(3m, bar.High);
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Assert.AreEqual(1m, bar.Low);
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Assert.AreEqual(2m, bar.Close);
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Assert.AreEqual(10m, bar.Volume);
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Assert.AreEqual(10m, bar.BrickSize);
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Assert.AreEqual(Symbol.Empty, bar.Symbol);
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Assert.AreEqual(reference, bar.Start);
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Assert.AreEqual(reference.AddHours(3), bar.EndTime);
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Assert.IsTrue(bar.IsClosed);
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}
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[Test]
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public void ConsolidatesOnTraderBarVolumeReached()
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{
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VolumeRenkoBar bar = null;
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using var consolidator = new VolumeRenkoConsolidator(10);
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consolidator.DataConsolidated += (sender, consolidated) =>
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{
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bar = consolidated;
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};
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var reference = new DateTime(2013, 10, 1);
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consolidator.Update(new TradeBar(reference, Symbol.Empty, 1m, 2m, 0.5m, 1.5m, 2m, new TimeSpan(1, 0, 0)));
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Assert.IsNull(bar);
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consolidator.Update(new TradeBar(reference.AddHours(1), Symbol.Empty, 1.5m, 3m, 1m, 3m, 3m, new TimeSpan(1, 0, 0)));
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Assert.IsNull(bar);
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consolidator.Update(new TradeBar(reference.AddHours(2), Symbol.Empty, 3m, 3m, 1m, 2m, 3m, new TimeSpan(1, 0, 0)));
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Assert.IsNull(bar);
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consolidator.Update(new TradeBar(reference.AddHours(3), Symbol.Empty, 2m, 4m, 1.5m, 2.5m, 2m, new TimeSpan(1, 0, 0)));
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Assert.IsNotNull(bar);
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Assert.AreEqual(1m, bar.Open);
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Assert.AreEqual(4m, bar.High);
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Assert.AreEqual(0.5m, bar.Low);
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Assert.AreEqual(2.5m, bar.Close);
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Assert.AreEqual(10m, bar.Volume);
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Assert.AreEqual(10m, bar.BrickSize);
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Assert.AreEqual(Symbol.Empty, bar.Symbol);
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Assert.AreEqual(reference, bar.Start);
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Assert.AreEqual(reference.AddHours(4), bar.EndTime);
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Assert.IsTrue(bar.IsClosed);
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}
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[Test]
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public void ConsolidatesOnQuoteBar()
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{
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using var consolidator = new VolumeRenkoConsolidator(10);
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var reference = new DateTime(2013, 10, 1);
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Assert.Throws<ArgumentException>(() =>
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consolidator.Update(new QuoteBar(reference, Symbol.Empty, new Bar(1m, 1m, 1m, 1m), 1m, new Bar(1m, 1m, 1m, 1m), 1m, TimeSpan.MinValue)));
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}
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[Test]
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public void ConsistentRenkos()
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{
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// Test Renko bar consistency amongst three consolidators starting at different times
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var time = new DateTime(2016, 1, 1);
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var testValues = new List<decimal[]>
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{
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new decimal[]{5m, 5m}, new decimal[]{5m, 3m}, new decimal[]{5m, 7m}, new decimal[]{5m, 6m},
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new decimal[]{5m, 5m}, new decimal[]{5m, 3m}, new decimal[]{5m, 7m}, new decimal[]{5m, 6m},
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new decimal[]{5m, 5m}, new decimal[]{5m, 3m}, new decimal[]{5m, 7m}, new decimal[]{5m, 6m},
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new decimal[]{5m, 5m}, new decimal[]{5m, 3m}, new decimal[]{5m, 7m}, new decimal[]{5m, 6m}
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};
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var consolidator1 = new VolumeRenkoConsolidator(20m);
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var consolidator2 = new VolumeRenkoConsolidator(20m);
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var consolidator3 = new VolumeRenkoConsolidator(20m);
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// Update each of our consolidators starting at different indexes of test values
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for (int i = 0; i < testValues.Count; i++)
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{
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var data = new Tick(time.AddSeconds(i), Symbol.Empty, String.Empty, String.Empty, testValues[i][0], testValues[i][1]);
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consolidator1.Update(data);
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if (i > 3)
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{
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consolidator2.Update(data);
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}
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if (i > 7)
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{
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consolidator3.Update(data);
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}
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}
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// Assert that consolidator 2 and 3 price is the same as 1. Even though they started at different
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// indexes they should be the same
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var bar1 = consolidator1.Consolidated as VolumeRenkoBar;
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var bar2 = consolidator2.Consolidated as VolumeRenkoBar;
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var bar3 = consolidator3.Consolidated as VolumeRenkoBar;
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Assert.AreEqual(bar1.Close, bar2.Close);
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Assert.AreEqual(bar1.Close, bar3.Close);
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consolidator1.Dispose();
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consolidator2.Dispose();
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consolidator3.Dispose();
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}
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[Test]
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public void MultipleConsoldation()
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{
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VolumeRenkoBar bar = null;
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using var consolidator = new VolumeRenkoConsolidator(10m);
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consolidator.DataConsolidated += (sender, consolidated) =>
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{
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bar = consolidated;
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};
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var reference = new DateTime(2013, 10, 1);
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consolidator.Update(new Tick(reference, Symbol.Empty, String.Empty, String.Empty, 2m, 1m));
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Assert.IsNull(bar);
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consolidator.Update(new Tick(reference.AddHours(1), Symbol.Empty, String.Empty, String.Empty, 3m, 2m));
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Assert.IsNull(bar);
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consolidator.Update(new Tick(reference.AddHours(2), Symbol.Empty, String.Empty, String.Empty, 3m, 3m));
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Assert.IsNull(bar);
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consolidator.Update(new Tick(reference.AddHours(3), Symbol.Empty, String.Empty, String.Empty, 2m, 2m));
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Assert.IsNotNull(bar);
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Assert.AreEqual(1m, bar.Open);
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Assert.AreEqual(3m, bar.High);
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Assert.AreEqual(1m, bar.Low);
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Assert.AreEqual(2m, bar.Close);
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Assert.AreEqual(10m, bar.Volume);
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Assert.AreEqual(10m, bar.BrickSize);
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Assert.AreEqual(Symbol.Empty, bar.Symbol);
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Assert.AreEqual(reference, bar.Start);
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Assert.AreEqual(reference.AddHours(3), bar.EndTime);
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Assert.IsTrue(bar.IsClosed);
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consolidator.Update(new Tick(reference.AddHours(4), Symbol.Empty, String.Empty, String.Empty, 4m, 1m));
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consolidator.Update(new Tick(reference.AddHours(5), Symbol.Empty, String.Empty, String.Empty, 3m, 2m));
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consolidator.Update(new Tick(reference.AddHours(6), Symbol.Empty, String.Empty, String.Empty, 4m, 3m));
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Assert.AreEqual(2m, bar.Open);
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Assert.AreEqual(3m, bar.High);
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Assert.AreEqual(1m, bar.Low);
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Assert.AreEqual(3m, bar.Close);
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Assert.AreEqual(10m, bar.Volume);
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Assert.AreEqual(10m, bar.BrickSize);
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Assert.AreEqual(Symbol.Empty, bar.Symbol);
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Assert.AreEqual(reference.AddHours(3), bar.Start);
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Assert.AreEqual(reference.AddHours(6), bar.EndTime);
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Assert.IsTrue(bar.IsClosed); // bar is always closed since it is the consolidated bar instance
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consolidator.Update(new Tick(reference.AddHours(7), Symbol.Empty, String.Empty, String.Empty, 5m, 10m));
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// Not yet consolidated, so bar is not updated yet
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Assert.AreEqual(2m, bar.Open);
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Assert.AreEqual(3m, bar.High);
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Assert.AreEqual(1m, bar.Low);
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Assert.AreEqual(3m, bar.Close);
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Assert.AreEqual(10m, bar.Volume);
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Assert.AreEqual(10m, bar.BrickSize);
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Assert.AreEqual(Symbol.Empty, bar.Symbol);
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Assert.AreEqual(reference.AddHours(3), bar.Start);
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Assert.AreEqual(reference.AddHours(6), bar.EndTime);
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Assert.IsTrue(bar.IsClosed);
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}
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protected override IEnumerable<IBaseData> GetTestValues()
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{
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var time = new DateTime(2016, 3, 1);
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return new List<Tick>()
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{
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new Tick(time, Symbol.Empty, String.Empty, String.Empty, 5m, 5m),
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new Tick(time.AddSeconds(1), Symbol.Empty, String.Empty, String.Empty, 5m, 3m),
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new Tick(time.AddSeconds(2), Symbol.Empty, String.Empty, String.Empty, 5m, 7m),
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new Tick(time.AddSeconds(3), Symbol.Empty, String.Empty, String.Empty, 5m, 6m),
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new Tick(time.AddSeconds(4), Symbol.Empty, String.Empty, String.Empty, 5m, 5m),
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new Tick(time.AddSeconds(5), Symbol.Empty, String.Empty, String.Empty, 5m, 3m),
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new Tick(time.AddSeconds(6), Symbol.Empty, String.Empty, String.Empty, 5m, 7m),
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new Tick(time.AddSeconds(7), Symbol.Empty, String.Empty, String.Empty, 5m, 6m),
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new Tick(time.AddSeconds(8), Symbol.Empty, String.Empty, String.Empty, 5m, 5m),
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new Tick(time.AddSeconds(9), Symbol.Empty, String.Empty, String.Empty, 5m, 6m),
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new Tick(time.AddSeconds(10), Symbol.Empty, String.Empty, String.Empty, 5m, 7m),
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new Tick(time.AddSeconds(11), Symbol.Empty, String.Empty, String.Empty, 5m, 8m),
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new Tick(time.AddSeconds(12), Symbol.Empty, String.Empty, String.Empty, 5m, 9m)
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};
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}
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protected override IDataConsolidator CreateConsolidator()
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{
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return new VolumeRenkoConsolidator(10m);
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}
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}
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}
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