wehub-resource-sync
240 lines
11 KiB
C#
240 lines
11 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;
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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 ArmsIndexTests : AdvanceDeclineDifferenceTests
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{
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protected override IndicatorBase<TradeBar> CreateIndicator()
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{
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var indicator = new ArmsIndex("test_name");
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if (SymbolList.Count > 2)
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{
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SymbolList.Take(3).ToList().ForEach(indicator.AddStock);
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}
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else
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{
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indicator.Add(Symbols.AAPL);
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indicator.Add(Symbols.IBM);
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indicator.Add(Symbols.GOOG);
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RenkoBarSize = 5000000;
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}
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return indicator;
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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 trin = (ArmsIndex)CreateIndicator();
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var reference = System.DateTime.Today;
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trin.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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trin.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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trin.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, trin.Current.Value);
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trin.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 100, Time = reference.AddMinutes(2) });
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trin.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 100, Time = reference.AddMinutes(2) });
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trin.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 100, Time = reference.AddMinutes(2) });
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Assert.AreEqual(1m, trin.Current.Value);
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trin.Reset();
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trin.Remove(Symbols.IBM);
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trin.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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trin.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 100, Time = reference.AddMinutes(1) });
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trin.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, trin.Current.Value);
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trin.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 100, Time = reference.AddMinutes(2) });
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trin.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 100, Time = reference.AddMinutes(2) });
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trin.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 100, Time = reference.AddMinutes(2) });
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Assert.AreNotEqual(1m, trin.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 = (ArmsIndex)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(2m, 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(3m / 5m, adr.Current.Value);
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adr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 140, Time = reference.AddMinutes(5) });
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adr.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 5, Volume = 110, Time = reference.AddMinutes(5) });
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adr.Update(new TradeBar() { Symbol = Symbols.MSFT, Close = 1, Volume = 150, Time = reference.AddMinutes(5) });
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Assert.AreEqual(3m / 5m, adr.Current.Value);
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adr.Update(new TradeBar() { Symbol = Symbols.AAPL, Close = 2, Volume = 120, Time = reference.AddMinutes(6) });
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adr.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 3, Volume = 350, Time = reference.AddMinutes(6) });
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adr.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 4, Volume = 200, Time = reference.AddMinutes(6) });
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Assert.AreEqual(3m / 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 = 60, 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 = 10, 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 = 40, Time = reference.AddMinutes(2) });
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Assert.IsTrue(indicator.IsReady);
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Assert.AreEqual(0.2m, 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 = 60, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 0.5m, Volume = 10, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Volume = 40, Time = reference.AddMinutes(2) });
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Assert.IsTrue(indicator.IsReady);
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Assert.AreEqual(0.2m, indicator.Current.Value);
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}
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[Test]
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public override void TimeMovesForward()
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{
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var indicator = CreateIndicator();
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var period = (indicator as IIndicatorWarmUpPeriodProvider)?.WarmUpPeriod;
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if (!period.HasValue)
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{
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Assert.Ignore($"{indicator.Name} is not IIndicatorWarmUpPeriodProvider");
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return;
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}
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var startDate = new DateTime(2019, 1, 1);
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for (var i = 10; i > 0; i--)
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{
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var input = GetInput(Symbols.AAPL, startDate, i);
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indicator.Update(input);
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}
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for (var i = 10; i > 0; i--)
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{
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var input = GetInput(Symbols.IBM, startDate, i);
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indicator.Update(input);
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}
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for (var i = 10; i > 0; i--)
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{
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var input = GetInput(Symbols.GOOG, startDate, i);
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indicator.Update(input);
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}
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Assert.AreEqual(3, indicator.Samples);
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indicator.Reset();
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for (var i = 0; i < 10; i++)
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{
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var input = GetInput(Symbols.AAPL, startDate, i);
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indicator.Update(input);
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}
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for (var i = 0; i < 10; i++)
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{
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var input = GetInput(Symbols.IBM, startDate, i);
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indicator.Update(input);
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}
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for (var i = 0; i < 10; i++)
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{
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var input = GetInput(Symbols.GOOG, startDate, i);
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indicator.Update(input);
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}
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Assert.AreEqual(30, indicator.Samples);
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}
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protected override string TestFileName => "arms_data.txt";
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protected override string TestColumnName => "TRIN";
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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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}
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