wehub-resource-sync
363 lines
14 KiB
C#
363 lines
14 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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*/
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using System;
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using NUnit.Framework;
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using QuantConnect.Data;
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using System.Collections;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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using Tick = QuantConnect.Data.Market.Tick;
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using QuantConnect.Lean.Engine.DataFeeds.Enumerators;
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using System.Linq;
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namespace QuantConnect.Tests.Engine.DataFeeds.Enumerators
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{
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[TestFixture]
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public class PriceScaleFactorEnumeratorTests
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{
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private SubscriptionDataConfig _config;
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private RawDataEnumerator _rawDataEnumerator;
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[SetUp]
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public void Setup()
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{
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_config = GetConfig(Symbols.SPY, Resolution.Daily);
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_rawDataEnumerator = new RawDataEnumerator();
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}
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[Test]
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public void EquityTradeBar()
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{
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var enumerator = new PriceScaleFactorEnumerator(
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_rawDataEnumerator,
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_config,
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TestGlobals.FactorFileProvider);
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_rawDataEnumerator.CurrentValue = new TradeBar(
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new DateTime(2018, 1, 1),
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_config.Symbol,
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10,
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10,
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10,
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10,
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100);
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Assert.IsTrue(enumerator.MoveNext());
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var tradeBar = enumerator.Current as TradeBar;
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var expectedValue = 10 * _config.PriceScaleFactor;
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Assert.Less(expectedValue, 10);
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Assert.AreEqual(expectedValue, tradeBar.Price);
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Assert.AreEqual(expectedValue, tradeBar.Open);
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Assert.AreEqual(expectedValue, tradeBar.Close);
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Assert.AreEqual(expectedValue, tradeBar.High);
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Assert.AreEqual(expectedValue, tradeBar.Low);
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Assert.AreEqual(expectedValue, tradeBar.Value);
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enumerator.Dispose();
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}
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[Test]
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public void EquityQuoteBar()
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{
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var enumerator = new PriceScaleFactorEnumerator(
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_rawDataEnumerator,
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_config,
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TestGlobals.FactorFileProvider);
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_rawDataEnumerator.CurrentValue = new QuoteBar(
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new DateTime(2018, 1, 1),
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_config.Symbol,
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new Bar(10, 10, 10, 10),
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100,
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new Bar(10, 10, 10, 10),
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100);
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Assert.IsTrue(enumerator.MoveNext());
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var quoteBar = enumerator.Current as QuoteBar;
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var expectedValue = 10 * _config.PriceScaleFactor;
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Assert.Less(expectedValue, 10);
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Assert.AreEqual(expectedValue, quoteBar.Price);
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Assert.AreEqual(expectedValue, quoteBar.Value);
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Assert.AreEqual(expectedValue, quoteBar.Open);
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Assert.AreEqual(expectedValue, quoteBar.Close);
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Assert.AreEqual(expectedValue, quoteBar.High);
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Assert.AreEqual(expectedValue, quoteBar.Low);
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// bid
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Assert.AreEqual(expectedValue, quoteBar.Bid.Open);
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Assert.AreEqual(expectedValue, quoteBar.Bid.Close);
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Assert.AreEqual(expectedValue, quoteBar.Bid.High);
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Assert.AreEqual(expectedValue, quoteBar.Bid.Low);
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// ask
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Assert.AreEqual(expectedValue, quoteBar.Ask.Open);
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Assert.AreEqual(expectedValue, quoteBar.Ask.Close);
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Assert.AreEqual(expectedValue, quoteBar.Ask.High);
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Assert.AreEqual(expectedValue, quoteBar.Ask.Low);
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enumerator.Dispose();
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}
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[Test]
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public void EquityTick()
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{
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var enumerator = new PriceScaleFactorEnumerator(
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_rawDataEnumerator,
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_config,
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TestGlobals.FactorFileProvider);
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_rawDataEnumerator.CurrentValue = new Tick(
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new DateTime(2018, 1, 1),
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_config.Symbol,
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10,
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10,
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10);
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Assert.IsTrue(enumerator.MoveNext());
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var tick = enumerator.Current as Tick;
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var expectedValue = 10 * _config.PriceScaleFactor;
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Assert.Less(expectedValue, 10);
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Assert.AreEqual(expectedValue, tick.Price);
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Assert.AreEqual(expectedValue, tick.Value);
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enumerator.Dispose();
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}
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[Test]
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public void FactorFileIsNull()
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{
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var enumerator = new PriceScaleFactorEnumerator(
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_rawDataEnumerator,
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_config,
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null);
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_rawDataEnumerator.CurrentValue = new Tick(
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new DateTime(2018, 1, 1),
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_config.Symbol,
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10,
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10,
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10);
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Assert.IsTrue(enumerator.MoveNext());
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var tick = enumerator.Current as Tick;
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Assert.AreEqual(10, tick.Price);
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Assert.AreEqual(10, tick.Value);
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enumerator.Dispose();
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}
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[Test]
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public void RawEnumeratorReturnsFalse()
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{
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var enumerator = new PriceScaleFactorEnumerator(
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_rawDataEnumerator,
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_config,
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TestGlobals.FactorFileProvider);
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_rawDataEnumerator.CurrentValue = new Tick(
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new DateTime(2018, 1, 1),
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_config.Symbol,
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10,
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10,
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10);
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_rawDataEnumerator.MoveNextReturnValue = false;
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Assert.IsFalse(enumerator.MoveNext());
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Assert.AreEqual(_rawDataEnumerator.CurrentValue, enumerator.Current);
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enumerator.Dispose();
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}
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[Test]
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public void RawEnumeratorCurrentIsNull()
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{
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var enumerator = new PriceScaleFactorEnumerator(
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_rawDataEnumerator,
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_config,
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TestGlobals.FactorFileProvider);
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_rawDataEnumerator.CurrentValue = null;
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Assert.IsTrue(enumerator.MoveNext());
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Assert.IsNull(enumerator.Current);
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enumerator.Dispose();
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}
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[Test]
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public void UpdatesFactorFileCorrectly()
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{
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var dateBeforeUpadate = new DateTime(2018, 3, 14);
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var dateAtUpadate = new DateTime(2018, 3, 15);
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var dateAfterUpadate = new DateTime(2018, 3, 16);
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var enumerator = new PriceScaleFactorEnumerator(
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_rawDataEnumerator,
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_config,
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TestGlobals.FactorFileProvider);
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// Before factor file update date (2018, 3, 15)
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_rawDataEnumerator.CurrentValue = new Tick(
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dateBeforeUpadate,
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_config.Symbol,
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10,
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10,
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10);
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Assert.IsTrue(enumerator.MoveNext());
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var factorFile = TestGlobals.FactorFileProvider.Get(_config.Symbol);
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var expectedFactor = factorFile.GetPriceFactor(dateBeforeUpadate, DataNormalizationMode.Adjusted);
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var tick = enumerator.Current as Tick;
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Assert.AreEqual(expectedFactor, _config.PriceScaleFactor);
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Assert.AreEqual(10 * expectedFactor, tick.Price);
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Assert.AreEqual(10 * expectedFactor, tick.Value);
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// At factor file update date (2018, 3, 15)
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_rawDataEnumerator.CurrentValue = new Tick(
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dateAtUpadate,
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_config.Symbol,
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10,
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10,
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10);
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Assert.IsTrue(enumerator.MoveNext());
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var expectedFactor2 = factorFile.GetPriceFactor(dateAtUpadate, DataNormalizationMode.Adjusted);
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var tick2 = enumerator.Current as Tick;
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Assert.AreEqual(expectedFactor2, _config.PriceScaleFactor);
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Assert.AreEqual(10 * expectedFactor2, tick2.Price);
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Assert.AreEqual(10 * expectedFactor2, tick2.Value);
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// After factor file update date (2018, 3, 15)
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_rawDataEnumerator.CurrentValue = new Tick(
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dateAfterUpadate,
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_config.Symbol,
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10,
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10,
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10);
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Assert.IsTrue(enumerator.MoveNext());
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var expectedFactor3 = factorFile.GetPriceFactor(dateAfterUpadate, DataNormalizationMode.Adjusted);
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var tick3 = enumerator.Current as Tick;
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Assert.AreEqual(expectedFactor3, _config.PriceScaleFactor);
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Assert.AreEqual(10 * expectedFactor3, tick3.Price);
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Assert.AreEqual(10 * expectedFactor3, tick3.Value);
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enumerator.Dispose();
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}
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[Test]
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public void PricesAreProperlyAdjustedForLookAheadScaledRawDataNormalizationMode()
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{
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var factorFileEntries = new[]
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{
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new DateTime(2005, 02, 25),
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new DateTime(2012, 08, 08),
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new DateTime(2013, 05, 08),
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new DateTime(2014, 08, 06),
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new DateTime(2015, 08, 05)
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};
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var endDate = factorFileEntries.Last().AddDays(1);
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var config = GetConfig(Symbols.AAPL, Resolution.Daily);
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config.DataNormalizationMode = DataNormalizationMode.ScaledRaw;
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using var enumerator = new PriceScaleFactorEnumerator(
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_rawDataEnumerator,
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config,
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TestGlobals.FactorFileProvider,
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endDate: endDate);
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var price = 100m;
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var factorFile = TestGlobals.FactorFileProvider.Get(config.Symbol);
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var endDateFactor = factorFile.GetPriceFactor(endDate, config.DataNormalizationMode);
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var performAssertions = (DateTime date) =>
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{
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var expectedFactor = factorFile.GetPriceFactor(date, config.DataNormalizationMode);
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Assert.AreEqual(expectedFactor / endDateFactor, config.PriceScaleFactor);
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var tradeBar = enumerator.Current as TradeBar;
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var expectedValue = price * config.PriceScaleFactor;
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Assert.AreEqual(expectedValue, tradeBar.Price);
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Assert.AreEqual(expectedValue, tradeBar.Open);
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Assert.AreEqual(expectedValue, tradeBar.Close);
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Assert.AreEqual(expectedValue, tradeBar.High);
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Assert.AreEqual(expectedValue, tradeBar.Low);
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Assert.AreEqual(expectedValue, tradeBar.Value);
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return expectedFactor;
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};
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foreach (var factorFileDate in factorFileEntries)
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{
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// before split
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var dateBeforeSplit = factorFileDate.AddDays(-1);
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_rawDataEnumerator.CurrentValue = new TradeBar(dateBeforeSplit, config.Symbol, price, price, price, price, price);
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Assert.IsTrue(enumerator.MoveNext());
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var expectedFactorBeforeSplit = performAssertions(dateBeforeSplit);
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// at split
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_rawDataEnumerator.CurrentValue = new TradeBar(factorFileDate, config.Symbol, price, price, price, price, price);
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Assert.IsTrue(enumerator.MoveNext());
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var expectedFactorAtSplit = performAssertions(factorFileDate);
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Assert.AreEqual(expectedFactorBeforeSplit, expectedFactorAtSplit);
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// after split
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var dateAfterSplit = factorFileDate.AddDays(1);
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_rawDataEnumerator.CurrentValue = new TradeBar(dateAfterSplit, config.Symbol, price, price, price, price, price);
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Assert.IsTrue(enumerator.MoveNext());
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var expectedFactorAfterSplit = performAssertions(dateAfterSplit);
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Assert.AreNotEqual(expectedFactorAtSplit, expectedFactorAfterSplit);
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if (factorFileDate == factorFileEntries.Last())
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{
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// prices should have been adjusted to the end date prices, instead of the latest factor file entry (today),
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// So the last factor should be 1.
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Assert.AreEqual(1m, config.PriceScaleFactor);
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}
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}
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}
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private static SubscriptionDataConfig GetConfig(Symbol symbol, Resolution resolution)
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{
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return new SubscriptionDataConfig(typeof(TradeBar),
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symbol,
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resolution,
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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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}
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private class RawDataEnumerator : IEnumerator<BaseData>
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{
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public bool MoveNextReturnValue { get; set; }
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public BaseData CurrentValue { get; set; }
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public BaseData Current => CurrentValue;
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object IEnumerator.Current => CurrentValue;
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public RawDataEnumerator()
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{
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MoveNextReturnValue = true;
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}
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public bool MoveNext()
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{
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return MoveNextReturnValue;
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}
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public void Reset()
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{
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throw new NotImplementedException();
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}
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public void Dispose()
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{
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}
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}
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}
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}
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