wehub-resource-sync
130 lines
4.4 KiB
C#
130 lines
4.4 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 System;
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using NUnit.Framework;
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using System.Collections.Generic;
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using QuantConnect.Indicators;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class AugenPriceSpikeTests : CommonIndicatorTests<IndicatorDataPoint>
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{
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protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
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{
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return new AugenPriceSpike(20);
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}
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protected override string TestFileName => "spy_aps.txt";
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protected override string TestColumnName => "APS";
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[Test]
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public void TestWithStream()
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{
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var aps = new AugenPriceSpike(22);
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foreach (var data in TestHelper.GetDataStream(50))
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{
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aps.Update(data.Time, data.Value);
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}
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}
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[Test]
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public void TestForPeriod()
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{
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Assert.Throws<ArgumentException>(() => new AugenPriceSpike(1));
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Assert.Throws<ArgumentException>(() => new AugenPriceSpike(2));
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}
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protected override Action<IndicatorBase<IndicatorDataPoint>, double> Assertion
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{
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get { return (indicator, expected) => Assert.AreEqual(expected, (double)indicator.Current.Value, 1); }
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}
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[Test]
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public void PeriodSet()
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{
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var aps = new AugenPriceSpike(period: 20);
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var reference = DateTime.Today;
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double correctValue = 0.31192350881956543;
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decimal finalTestValue = 22;
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int count = 0;
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List<double> testValues = new List<double>() { 1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15, 16, 17, 18, 19, 20, 21 };
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foreach (decimal i in testValues)
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{
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count += 1;
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aps.Update(reference.AddMinutes(count), i);
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Assert.IsFalse(aps.IsReady);
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Assert.AreEqual(0, aps.Current.Value);
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}
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aps.Update(reference.AddMinutes(count + 1), finalTestValue);
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Assert.IsTrue(aps.IsReady);
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Assert.AreEqual(correctValue, (double)aps.Current.Value, 0.00001);
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}
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[Test]
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public override void ResetsProperly()
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{
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var aps = new AugenPriceSpike(10);
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var reference = DateTime.Today;
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aps.Update(reference.AddMinutes(1), 5);
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aps.Update(reference.AddMinutes(2), 10);
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aps.Update(reference.AddMinutes(3), 8);
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aps.Update(reference.AddMinutes(4), 12);
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aps.Update(reference.AddMinutes(5), 103);
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aps.Update(reference.AddMinutes(6), 82);
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aps.Update(reference.AddMinutes(7), 55);
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aps.Update(reference.AddMinutes(8), 10);
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aps.Update(reference.AddMinutes(9), 878);
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aps.Update(reference.AddMinutes(10), 84);
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aps.Update(reference.AddMinutes(11), 832);
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aps.Update(reference.AddMinutes(12), 81);
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aps.Update(reference.AddMinutes(13), 867);
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aps.Update(reference.AddMinutes(14), 89);
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Assert.IsTrue(aps.IsReady);
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Assert.AreNotEqual(0m, aps.Current.Value);
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aps.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(aps);
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}
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[Test]
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public void DoesNotThrowOverflowException()
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{
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var aps = new AugenPriceSpike(5);
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var values = new List<decimal>
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{
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decimal.MaxValue,
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0,
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1e-18m,
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decimal.MaxValue,
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1m
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};
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var date = new DateTime(2024, 12, 2, 12, 0, 0);
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for (var i = 0; i < values.Count; i++)
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{
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Assert.DoesNotThrow(() => aps.Update(date, values[i]));
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}
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}
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}
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}
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