wehub-resource-sync
116 lines
4.2 KiB
C#
116 lines
4.2 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.Linq;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class IndicatorVolatilityModelTests
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{
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[Test]
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public void UpdatesAfterCorrectPeriodElapses()
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{
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const int periods = 3;
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var model = new IndicatorVolatilityModel(
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new StandardDeviation(periods),
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(s, d, i) => i.Update(d)
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);
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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var security = GetSecurity(reference, model);
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for (var i = 0; i < periods; i++)
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{
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security.SetMarketPrice(new IndicatorDataPoint(reference.AddMinutes(i + 1), i + 1));
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}
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var expected = Math.Sqrt(2.0 / 3);
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Assert.AreEqual(expected, model.Volatility);
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}
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[Test]
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public void DoesntUpdateOnZeroPrice()
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{
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const int periods = 3;
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var model = new IndicatorVolatilityModel(
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new StandardDeviation(periods),
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(s, d, i) =>
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{
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if (s.Price > 0)
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i.Update(d);
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}
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);
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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var security = GetSecurity(reference, model);
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for (var i = 0; i < periods; i++)
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{
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security.SetMarketPrice(new IndicatorDataPoint(reference.AddMinutes(i + 1), i + 1));
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}
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var expected = Math.Sqrt(2.0 / 3);
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Assert.AreEqual(expected, model.Volatility);
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// update should not be applied as price is 0 since this condition is defined by indicatorUpdate
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security.SetMarketPrice(new IndicatorDataPoint(reference.AddMinutes(3), 0m));
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Assert.AreEqual(expected, model.Volatility);
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}
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[Test]
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public void GetHistoryRequirementsWorks()
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{
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const int periods = 3;
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var model = new IndicatorVolatilityModel(
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new StandardDeviation(periods),
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(s, d, i) => i.Update(d)
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);
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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var security = GetSecurity(reference, model);
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var result = model.GetHistoryRequirements(security, DateTime.UtcNow);
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Assert.AreEqual(Enumerable.Empty<HistoryRequest>(), result);
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}
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private static Security GetSecurity(DateTime reference, IVolatilityModel model)
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{
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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config,
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new Cash(Currencies.USD, 0, 0),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCache()
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);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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security.VolatilityModel = model;
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return security;
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}
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}
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}
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