wehub-resource-sync
191 lines
8.8 KiB
C#
191 lines
8.8 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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using QuantConnect.Tests.Common.Data;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class RelativeStandardDeviationVolatilityModelTests
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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 periodSpan = Time.OneMinute;
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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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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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods);
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security.VolatilityModel = model;
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var first = new IndicatorDataPoint(reference, 1);
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security.SetMarketPrice(first);
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Assert.AreEqual(0m, model.Volatility);
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const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5
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var second = new IndicatorDataPoint(reference.AddMinutes(1), 2);
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security.SetMarketPrice(second);
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Assert.AreEqual(value, model.Volatility);
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// update should not be applied since not enough time has passed
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var third = new IndicatorDataPoint(reference.AddMinutes(1.01), 1000);
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security.SetMarketPrice(third);
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Assert.AreEqual(value, model.Volatility);
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var fourth = new IndicatorDataPoint(reference.AddMinutes(2), 3m);
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security.SetMarketPrice(fourth);
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Assert.AreEqual(0.5m, 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 periodSpan = Time.OneMinute;
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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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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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods);
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security.VolatilityModel = model;
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var first = new IndicatorDataPoint(reference, 1);
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security.SetMarketPrice(first);
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Assert.AreEqual(0m, model.Volatility);
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const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5
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var second = new IndicatorDataPoint(reference.AddMinutes(1), 2);
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security.SetMarketPrice(second);
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Assert.AreEqual(value, model.Volatility);
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var third = new IndicatorDataPoint(reference.AddMinutes(2), 3m);
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security.SetMarketPrice(third);
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Assert.AreEqual(0.5m, model.Volatility);
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// update should not be applied as price is 0
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var forth = new IndicatorDataPoint(reference.AddMinutes(3), 0m);
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security.SetMarketPrice(forth);
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Assert.AreEqual(0.5m, 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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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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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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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var model = new RelativeStandardDeviationVolatilityModel(TimeSpan.FromDays(2), 4);
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model.SetSubscriptionDataConfigProvider(new MockSubscriptionDataConfigProvider(config));
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var result = model.GetHistoryRequirements(security, DateTime.UtcNow).First();
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Assert.AreEqual(config.DataNormalizationMode, result.DataNormalizationMode);
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Assert.AreEqual(config.Symbol, result.Symbol);
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Assert.AreEqual(config.DataTimeZone, result.DataTimeZone);
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Assert.AreEqual(config.IsCustomData, result.IsCustomData);
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Assert.AreEqual(config.FillDataForward, result.FillForwardResolution != null);
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Assert.AreEqual(config.ExtendedMarketHours, result.IncludeExtendedMarketHours);
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Assert.AreEqual(Resolution.Minute, result.Resolution);
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}
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[Test]
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public void GetHistoryRequirementsWorksForTwoDifferentSubscriptions()
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{
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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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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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var model = new RelativeStandardDeviationVolatilityModel(TimeSpan.FromDays(2), 4);
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var mock = new MockSubscriptionDataConfigProvider(config);
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mock.SubscriptionDataConfigs.Add(
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new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Second,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true,
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true,
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false,
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true));
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model.SetSubscriptionDataConfigProvider(mock);
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var result = model.GetHistoryRequirements(security, DateTime.UtcNow).First();
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Assert.AreEqual(config.DataNormalizationMode, result.DataNormalizationMode);
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Assert.AreEqual(config.Symbol, result.Symbol);
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Assert.AreEqual(config.DataTimeZone, result.DataTimeZone);
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Assert.AreEqual(Resolution.Second, result.Resolution);
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Assert.AreEqual(true, result.IsCustomData);
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Assert.AreEqual(true, result.FillForwardResolution != null);
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Assert.AreEqual(true, result.IncludeExtendedMarketHours);
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}
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}
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}
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