wehub-resource-sync
181 lines
9.4 KiB
C#
181 lines
9.4 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.Market;
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using QuantConnect.Indicators;
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using System.Linq;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class AdvanceDeclineVolumeRatioTests : AdvanceDeclineDifferenceTests
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{
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protected override IndicatorBase<TradeBar> CreateIndicator()
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{
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var advr = new AdvanceDeclineVolumeRatio("test_name");
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if (SymbolList.Count > 2)
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{
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SymbolList.Take(3).ToList().ForEach(advr.AddStock);
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}
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else
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{
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advr.Add(Symbols.AAPL);
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advr.Add(Symbols.IBM);
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advr.Add(Symbols.GOOG);
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RenkoBarSize = 5000000;
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}
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return advr;
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}
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[Test]
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public override void ShouldIgnoreRemovedStocks()
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{
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var advr = (AdvanceDeclineVolumeRatio)CreateIndicator();
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var reference = System.DateTime.Today;
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advr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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advr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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advr.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, advr.Current.Value);
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advr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 100, Time = reference.AddMinutes(2) });
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advr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 100, Time = reference.AddMinutes(2) });
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advr.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 100, Time = reference.AddMinutes(2) });
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Assert.AreEqual(2m, advr.Current.Value);
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advr.Reset();
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advr.Remove(Symbols.AAPL);
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advr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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advr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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advr.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, advr.Current.Value);
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advr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 100, Time = reference.AddMinutes(2) });
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advr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 100, Time = reference.AddMinutes(2) });
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advr.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 150, Time = reference.AddMinutes(2) });
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Assert.AreEqual(1.5m, advr.Current.Value);
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}
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[Test]
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public override void IgnorePeriodIfAnyStockMissed()
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{
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var adr = (AdvanceDeclineVolumeRatio)CreateIndicator();
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adr.Add(Symbols.MSFT);
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var reference = System.DateTime.Today;
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adr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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adr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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adr.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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adr.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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// value is not ready yet
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Assert.AreEqual(0m, adr.Current.Value);
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adr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 100, Time = reference.AddMinutes(2) });
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adr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 100, Time = reference.AddMinutes(2) });
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adr.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 100, Time = reference.AddMinutes(2) });
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Assert.AreEqual(0m, adr.Current.Value);
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adr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 3, Volume = 100, Time = reference.AddMinutes(3) });
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adr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 100, Time = reference.AddMinutes(3) });
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adr.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 1, Volume = 200, Time = reference.AddMinutes(3) });
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adr.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = 1, Volume = 100, Time = reference.AddMinutes(3) });
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Assert.AreEqual(1m, adr.Current.Value);
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adr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 100, Time = reference.AddMinutes(4) });
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adr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 2, Volume = 250, Time = reference.AddMinutes(4) });
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adr.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 2, Volume = 100, Time = reference.AddMinutes(4) });
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adr.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = 2, Volume = 150, Time = reference.AddMinutes(4) });
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Assert.AreEqual(5m, adr.Current.Value);
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adr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 3, Volume = 220, Time = reference.AddMinutes(5) });
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adr.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 2, Volume = 120, Time = reference.AddMinutes(5) });
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adr.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = 1, Volume = 100, Time = reference.AddMinutes(5) });
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Assert.AreEqual(5m, adr.Current.Value);
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adr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 70, Time = reference.AddMinutes(6) });
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adr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 3, Volume = 200, Time = reference.AddMinutes(6) });
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adr.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 10, Time = reference.AddMinutes(6) });
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Assert.AreEqual(5m, adr.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 = 20, 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 = 5, 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 = 10, Time = reference.AddMinutes(2) });
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Assert.IsTrue(indicator.IsReady);
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Assert.AreEqual(6m, 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 override 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 = 20, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 5, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 10, Time = reference.AddMinutes(2) });
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Assert.IsTrue(indicator.IsReady);
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Assert.AreEqual(6m, indicator.Current.Value);
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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 Volume Ratio";
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/// <summary>
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/// The final value of this indicator is zero because it uses the Volume of the bars it receives.
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/// Since RenkoBar's don't always have Volume, the final current value is zero. Therefore we
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/// skip this test
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/// </summary>
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/// <param name="indicator"></param>
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protected override void IndicatorValueIsNotZeroAfterReceiveRenkoBars(IndicatorBase indicator)
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{
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}
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}
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} |