wehub-resource-sync
303 lines
14 KiB
C#
303 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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using NUnit.Framework;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using System.Collections.Generic;
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using System.Linq;
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using static QuantConnect.Tests.Indicators.TestHelper;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class AdvanceDeclineDifferenceTests : CommonIndicatorTests<TradeBar>
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{
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protected override IndicatorBase<TradeBar> CreateIndicator()
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{
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var adDifference = new AdvanceDeclineDifference("test_name");
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if (SymbolList.Count > 2)
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{
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SymbolList.Take(3).ToList().ForEach(adDifference.AddStock);
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}
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else
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{
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adDifference.AddStock(Symbols.AAPL);
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adDifference.AddStock(Symbols.IBM);
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adDifference.AddStock(Symbols.GOOG);
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RenkoBarSize = 5000000;
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}
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return adDifference;
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}
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protected override List<Symbol> GetSymbols()
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{
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return [Symbols.SPY, Symbols.AAPL, Symbols.IBM];
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}
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[Test]
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public virtual void ShouldIgnoreRemovedStocks()
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{
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var adDifference = (AdvanceDeclineDifference)CreateIndicator();
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var reference = System.DateTime.Today;
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adDifference.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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// value is not ready yet
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Assert.AreEqual(0m, adDifference.Current.Value);
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adDifference.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 100, Time = reference.AddMinutes(2) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 100, Time = reference.AddMinutes(2) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 100, Time = reference.AddMinutes(2) });
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Assert.AreEqual(1m, adDifference.Current.Value);
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adDifference.Reset();
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adDifference.RemoveStock(Symbols.GOOG);
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adDifference.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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// value is not ready yet
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Assert.AreEqual(0m, adDifference.Current.Value);
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adDifference.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 100, Time = reference.AddMinutes(2) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 100, Time = reference.AddMinutes(2) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 100, Time = reference.AddMinutes(2) });
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Assert.AreEqual(0m, adDifference.Current.Value);
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}
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[Test]
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public virtual void IgnorePeriodIfAnyStockMissed()
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{
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var adDifference = (AdvanceDeclineDifference)CreateIndicator();
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adDifference.AddStock(Symbols.MSFT);
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var reference = System.DateTime.Today;
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adDifference.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Time = reference.AddMinutes(1) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Time = reference.AddMinutes(1) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 1, Time = reference.AddMinutes(1) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = 1, Time = reference.AddMinutes(1) });
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// value is not ready yet
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Assert.AreEqual(0m, adDifference.Current.Value);
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adDifference.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Time = reference.AddMinutes(2) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Time = reference.AddMinutes(2) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Time = reference.AddMinutes(2) });
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Assert.AreEqual(0m, adDifference.Current.Value);
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adDifference.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 3, Time = reference.AddMinutes(3) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Time = reference.AddMinutes(3) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 2, Time = reference.AddMinutes(3) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = 1, Time = reference.AddMinutes(3) });
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Assert.AreEqual(1m, adDifference.Current.Value);
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adDifference.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Time = reference.AddMinutes(4) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 2, Time = reference.AddMinutes(4) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Time = reference.AddMinutes(4) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = 2, Time = reference.AddMinutes(4) });
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Assert.AreEqual(2m, adDifference.Current.Value);
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adDifference.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Time = reference.AddMinutes(5) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 3, Time = reference.AddMinutes(5) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = 1, Time = reference.AddMinutes(5) });
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Assert.AreEqual(2m, adDifference.Current.Value);
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adDifference.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Time = reference.AddMinutes(6) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 4, Time = reference.AddMinutes(6) });
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adDifference.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = 5, Time = reference.AddMinutes(6) });
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Assert.AreEqual(2m, adDifference.Current.Value);
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}
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[Test]
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public override void WarmsUpProperly()
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{
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var indicator = CreateIndicator();
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var reference = System.DateTime.Today;
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 1, Volume = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 1, Time = reference.AddMinutes(2) });
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Assert.IsTrue(indicator.IsReady);
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Assert.AreEqual(1m, indicator.Current.Value);
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Assert.AreEqual(6, indicator.Samples);
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}
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[Test]
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public virtual void WarmsUpOrdered()
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{
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var indicator = CreateIndicator();
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var reference = System.DateTime.Today;
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 1, Volume = 1, Time = reference.AddMinutes(1) });
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// indicator is not ready yet
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Assert.IsFalse(indicator.IsReady);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 1, Time = reference.AddMinutes(2) });
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Assert.IsTrue(indicator.IsReady);
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Assert.AreEqual(1m, indicator.Current.Value);
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}
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[Test]
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public override void AcceptsRenkoBarsAsInput()
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{
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var indicator = CreateIndicator();
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if (indicator is IndicatorBase<TradeBar>)
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{
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var aaplRenkoConsolidator = new RenkoConsolidator(10000m);
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aaplRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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var googRenkoConsolidator = new RenkoConsolidator(100000m);
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googRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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var ibmRenkoConsolidator = new RenkoConsolidator(10000m);
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ibmRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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foreach (var parts in GetCsvFileStream(TestFileName))
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{
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var tradebar = parts.GetTradeBar();
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if (tradebar.Symbol.Value == "AAPL")
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{
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aaplRenkoConsolidator.Update(tradebar);
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}
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else if (tradebar.Symbol.Value == "GOOG")
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{
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googRenkoConsolidator.Update(tradebar);
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}
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else
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{
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ibmRenkoConsolidator.Update(tradebar);
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}
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}
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Assert.IsTrue(indicator.IsReady);
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Assert.AreNotEqual(0, indicator.Samples);
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IndicatorValueIsNotZeroAfterReceiveRenkoBars(indicator);
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aaplRenkoConsolidator.Dispose();
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googRenkoConsolidator.Dispose();
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ibmRenkoConsolidator.Dispose();
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}
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}
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[Test]
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public override void AcceptsVolumeRenkoBarsAsInput()
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{
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var indicator = CreateIndicator();
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if (indicator is IndicatorBase<TradeBar>)
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{
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var aaplRenkoConsolidator = new VolumeRenkoConsolidator(10000000m);
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aaplRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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var googRenkoConsolidator = new VolumeRenkoConsolidator(500000m);
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googRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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var ibmRenkoConsolidator = new VolumeRenkoConsolidator(500000m);
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ibmRenkoConsolidator.DataConsolidated += (sender, renkoBar) =>
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{
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Assert.DoesNotThrow(() => indicator.Update(renkoBar));
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};
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foreach (var parts in GetCsvFileStream(TestFileName))
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{
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var tradebar = parts.GetTradeBar();
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if (tradebar.Symbol.Value == "AAPL")
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{
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aaplRenkoConsolidator.Update(tradebar);
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}
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else if (tradebar.Symbol.Value == "GOOG")
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{
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googRenkoConsolidator.Update(tradebar);
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}
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else
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{
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ibmRenkoConsolidator.Update(tradebar);
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}
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}
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Assert.IsTrue(indicator.IsReady);
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Assert.AreNotEqual(0, indicator.Samples);
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IndicatorValueIsNotZeroAfterReceiveVolumeRenkoBars(indicator);
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aaplRenkoConsolidator.Dispose();
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googRenkoConsolidator.Dispose();
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ibmRenkoConsolidator.Dispose();
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}
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}
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[Test]
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public override void IndicatorShouldHaveSymbolAfterUpdates()
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{
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var indicator = CreateIndicator();
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var reference = System.DateTime.Today;
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for (int i = 0; i < 10; i++)
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{
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 1, Volume = 1, Time = reference.AddMinutes(1) });
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// indicator is not ready yet
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 1, Time = reference.AddMinutes(2) });
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// indicator is ready
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// The last update used Symbol.GOOG, so the indicator's current Symbol should be GOOG
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Assert.AreEqual(Symbols.GOOG, indicator.Current.Symbol);
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}
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}
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protected override string TestFileName => "arms_data.txt";
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protected override string TestColumnName => "A/D Difference";
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}
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}
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