wehub-resource-sync
425 lines
16 KiB
C#
425 lines
16 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 System.Collections.Generic;
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using System.Globalization;
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using System.Linq;
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using System.Linq.Expressions;
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using System.Reflection;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Logging;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Indicators
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{
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/// <summary>
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/// Test class for QuantConnect.Indicators.Indicator
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/// </summary>
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[TestFixture]
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public class IndicatorTests
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{
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[Test]
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public void NameSaves()
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{
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// just testing that we get the right name out
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const string name = "name";
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var target = new TestIndicator(name);
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Assert.AreEqual(name, target.Name);
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}
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[Test]
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public void UpdatesProperly()
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{
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// we want to make sure the initialized value is the default value
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// for a datapoint, and also verify the our indicator updates as we
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// expect it to, in this case, it should return identity
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var target = new TestIndicator();
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Assert.AreEqual(DateTime.MinValue, target.Current.Time);
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Assert.AreEqual(0m, target.Current.Value);
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var time = DateTime.UtcNow;
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var data = new IndicatorDataPoint(time, 1m);
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target.Update(data);
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Assert.AreEqual(1m, target.Current.Value);
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target.Update(new IndicatorDataPoint(time.AddMilliseconds(1), 2m));
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Assert.AreEqual(2m, target.Current.Value);
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}
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[Test]
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public void ShouldNotThrowOnDifferentDataType()
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{
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var target = new TestIndicator();
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Assert.DoesNotThrow(() =>
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{
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target.Update(new Tick());
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});
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}
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[Test]
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public void PassesOnDuplicateTimes()
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{
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var target = new TestIndicator();
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var time = DateTime.UtcNow;
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const decimal value1 = 1m;
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var data = new IndicatorDataPoint(time, value1);
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target.Update(data);
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Assert.AreEqual(value1, target.Current.Value);
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// this won't update because we told it to ignore duplicate
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// data based on time
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target.Update(data);
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Assert.AreEqual(value1, target.Current.Value);
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}
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[Test]
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public void SortsTheSameAsDecimalDescending()
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{
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int count = 100;
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var targets = Enumerable.Range(0, count)
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.Select(x => new TestIndicator(x.ToString(CultureInfo.InvariantCulture)))
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.ToList();
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for (int i = 0; i < targets.Count; i++)
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{
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targets[i].Update(DateTime.Today, i);
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}
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var expected = Enumerable.Range(0, count)
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.Select(x => (decimal)x)
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.OrderByDescending(x => x)
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.ToList();
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var actual = targets.OrderByDescending(x => x).ToList();
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foreach (var pair in expected.Zip<decimal, TestIndicator, Tuple<decimal, TestIndicator>>(actual, Tuple.Create))
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{
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Assert.AreEqual(pair.Item1, pair.Item2.Current.Value);
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}
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}
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[Test]
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public void SortsTheSameAsDecimalAsecending()
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{
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int count = 100;
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var targets = Enumerable.Range(0, count).Select(x => new TestIndicator(x.ToString(CultureInfo.InvariantCulture))).ToList();
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for (int i = 0; i < targets.Count; i++)
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{
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targets[i].Update(DateTime.Today, i);
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}
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var expected = Enumerable.Range(0, count).Select(x => (decimal)x).OrderBy(x => x).ToList();
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var actual = targets.OrderBy(x => x).ToList();
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foreach (var pair in expected.Zip<decimal, TestIndicator, Tuple<decimal, TestIndicator>>(actual, Tuple.Create))
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{
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Assert.AreEqual(pair.Item1, pair.Item2.Current.Value);
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}
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}
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[Test]
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public void ComparisonFunctions()
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{
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TestComparisonOperators<int>();
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TestComparisonOperators<long>();
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TestComparisonOperators<float>();
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TestComparisonOperators<double>();
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}
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[Test]
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public void EqualsMethodShouldNotThrowExceptions()
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{
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var indicator = new TestIndicator();
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var res = true;
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try
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{
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res = indicator.Equals(new Exception(""));
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}
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catch (InvalidCastException)
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{
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Assert.Fail();
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}
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Assert.IsFalse(res);
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}
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[Test]
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public void IndicatorMustBeEqualToItself()
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{
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var indicators = typeof(Indicator).Assembly.GetTypes()
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.Where(t => t.BaseType.Name != "CandlestickPattern" && !t.Name.StartsWith("<"))
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.OrderBy(t => t.Name)
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.ToList();
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var counter = 0;
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object instantiatedIndicator;
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foreach (var indicator in indicators)
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{
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try
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{
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instantiatedIndicator = Activator.CreateInstance(indicator, new object[] { 10 });
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counter++;
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}
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catch (Exception)
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{
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// Some indicators will fail because they don't have a single-parameter constructor.
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continue;
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}
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Assert.IsTrue(instantiatedIndicator.Equals(instantiatedIndicator));
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var anotherInstantiatedIndicator = Activator.CreateInstance(indicator, new object[] { 10 });
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Assert.IsFalse(instantiatedIndicator.Equals(anotherInstantiatedIndicator));
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}
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Log.Trace($"{counter} indicators out of {indicators.Count} were tested.");
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}
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[Test]
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public void IndicatorsOfDifferentTypeDiplaySameCurrentTime()
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var spy = algorithm.AddEquity("SPY");
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var indicatorTimeList = new List<DateTime>();
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// RSI is a DataPointIndicator
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algorithm.RSI(spy.Symbol, 14).Updated += (_, e) => indicatorTimeList.Add(e.EndTime);
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// STO is a BarIndicator
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algorithm.STO(spy.Symbol, 14, 2, 2).Updated += (_, e) => indicatorTimeList.Add(e.EndTime);
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// MFI is a TradeBarIndicator
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algorithm.MFI(spy.Symbol, 14).Updated += (_, e) => indicatorTimeList.Add(e.EndTime);
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var consolidators = spy.Subscriptions.SelectMany(x => x.Consolidators).ToList();
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Assert.AreEqual(3, consolidators.Count); // One consolidator for each indicator
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var bars = new[] { 30, 31 }.Select(d =>
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new TradeBar(new DateTime(2020, 03, 04, 9, d, 0),
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spy.Symbol, 100, 100, 100, 100, 1000));
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foreach (var bar in bars)
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{
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foreach (var consolidator in consolidators)
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{
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consolidator.Update(bar);
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}
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}
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// All indicators should have the same EndTime, with xx:31:00 & xx:32:00
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Assert.AreEqual(6, indicatorTimeList.Count);
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Assert.AreEqual(2, indicatorTimeList.Distinct().Count());
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Assert.AreEqual(3, indicatorTimeList.Count(x => x.Minute == 31));
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Assert.AreEqual(3, indicatorTimeList.Count(x => x.Minute == 32));
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}
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[TestCase(2)]
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[TestCase(5)]
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[TestCase(10)]
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public void IndicatorKeepsHistory(int historyWindow)
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{
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var indicator = new TestIndicator("Test indicator");
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indicator.Window.Size = historyWindow;
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var points = new List<IndicatorDataPoint>(100);
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var referenceDate = new DateTime(2023, 06, 12, 9, 0, 0);
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for (int i = 0; i < 100; i++)
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{
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// The first iteration will not update the indicator. By default, first value is IndicatorDataPoint(DateTime.MinValue, 0)
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if (i == 0)
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{
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var defaultValue = new IndicatorDataPoint(DateTime.MinValue, 0);
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Assert.AreEqual(defaultValue, indicator.Current);
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Assert.AreEqual(defaultValue, indicator[0]);
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}
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else
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{
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var dateTime = referenceDate.AddMinutes(i);
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indicator.Update(dateTime, i);
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var expected = new IndicatorDataPoint(dateTime, i);
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Assert.AreEqual(expected, indicator.Current);
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Assert.AreEqual(expected, indicator[0]);
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}
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points.Insert(0, indicator[0]);
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var startIndex = Math.Max(0, i - historyWindow + 1);
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for (int j = startIndex; j <= i; j++)
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{
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Assert.AreEqual(points[i - j], indicator[i - j]);
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}
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// Check the enumerator
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var windowPoints = indicator.ToList();
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var count = i - startIndex < historyWindow ? i - startIndex + 1 : historyWindow;
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CollectionAssert.AreEqual(points.GetRange(0, count), windowPoints);
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}
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}
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[Test]
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public void HistoryWindowIsCorrectlyReset()
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{
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var indicator = new TestIndicator("Test indicator");
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indicator.Window.Size = 20;
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// Update the indicator a few times
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var referenceDate = new DateTime(2023, 06, 12, 9, 0, 0);
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for (var i = 1; i < indicator.Window.Size; i++)
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{
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indicator.Update(referenceDate.AddMinutes(i - 1), i);
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}
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Assert.AreEqual(indicator.Window.Size, indicator.Window.Count);
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indicator.Reset();
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// Window size is kept
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Assert.AreEqual(20, indicator.Window.Size);
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// Window values are removed
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Assert.AreEqual(1, indicator.Window.Count);
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Assert.AreEqual(new IndicatorDataPoint(DateTime.MinValue, 0), indicator[0]);
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Assert.IsNull(indicator[1]);
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}
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[Test]
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public void CanAccessCurrentAndPreviousState()
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{
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var indicator = new TestIndicator("Test indicator");
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indicator.Window.Size = 10;
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// Update the indicator a few times
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var referenceDate = new DateTime(2023, 06, 12, 9, 0, 0);
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var dataPoints = new List<IndicatorDataPoint>(indicator.Window.Size);
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for (var i = 0; i < indicator.Window.Size; i++)
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{
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var dateTime = referenceDate.AddMinutes(i);
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indicator.Update(dateTime, i);
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dataPoints.Add(new IndicatorDataPoint(dateTime, i));
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}
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Assert.AreEqual(dataPoints[^1], indicator.Current);
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Assert.AreEqual(dataPoints[^1], indicator[0]);
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Assert.AreEqual(dataPoints[^2], indicator.Previous);
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Assert.AreEqual(dataPoints[^2], indicator[1]);
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}
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[Test]
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public void PreviousValueIsNotNullAtStart()
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{
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var indicator = new TestIndicator("Test indicator");
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// Access current and previous without warming the indicator up
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var defaultValue = new IndicatorDataPoint(DateTime.MinValue, 0);
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Assert.IsNotNull(indicator.Current);
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Assert.AreEqual(defaultValue, indicator.Current);
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Assert.IsNotNull(indicator.Previous);
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Assert.AreEqual(defaultValue, indicator.Previous);
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}
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[Test]
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public void IndicatorShouldRetainSymbolWhenUpdatedWithDifferentDataType()
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{
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var target = new TestIndicator();
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var date = new DateTime(2020, 1, 1);
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target.Update(new Tick(date, Symbols.SPY, 1, 1));
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Assert.AreEqual(Symbols.SPY, target.Current.Symbol);
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}
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private static void TestComparisonOperators<TValue>()
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{
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var indicator = new TestIndicator();
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TestOperator(indicator, default(TValue), "GreaterThan", true, false);
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TestOperator(indicator, default(TValue), "GreaterThan", false, false);
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TestOperator(indicator, default(TValue), "GreaterThanOrEqual", true, true);
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TestOperator(indicator, default(TValue), "GreaterThanOrEqual", false, true);
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TestOperator(indicator, default(TValue), "LessThan", true, false);
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TestOperator(indicator, default(TValue), "LessThan", false, false);
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TestOperator(indicator, default(TValue), "LessThanOrEqual", true, true);
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TestOperator(indicator, default(TValue), "LessThanOrEqual", false, true);
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TestOperator(indicator, default(TValue), "Equality", true, true);
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TestOperator(indicator, default(TValue), "Equality", false, true);
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TestOperator(indicator, default(TValue), "Inequality", true, false);
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TestOperator(indicator, default(TValue), "Inequality", false, false);
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}
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private static void TestOperator<TIndicator, TValue>(TIndicator indicator, TValue value, string opName, bool tvalueIsFirstParm, bool expected)
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{
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var method = GetOperatorMethodInfo<TValue>(opName, tvalueIsFirstParm ? 0 : 1);
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var ctIndicator = Expression.Constant(indicator);
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var ctValue = Expression.Constant(value);
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var call = tvalueIsFirstParm ? Expression.Call(method, ctValue, ctIndicator) : Expression.Call(method, ctIndicator, ctValue);
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var lamda = Expression.Lambda<Func<bool>>(call);
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var func = lamda.Compile();
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Assert.AreEqual(expected, func());
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}
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private static MethodInfo GetOperatorMethodInfo<T>(string @operator, int argIndex)
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{
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var methodName = "op_" + @operator;
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var method =
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typeof(IndicatorBase).GetMethods(BindingFlags.Static | BindingFlags.Public)
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.SingleOrDefault(x => x.Name == methodName && x.GetParameters()[argIndex].ParameterType == typeof(T));
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if (method == null)
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{
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Assert.Fail("Failed to find method for " + @operator + " of type " + typeof(T).Name + " at index: " + argIndex);
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}
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return method;
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}
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private class TestIndicator : Indicator
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{
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/// <summary>
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/// Initializes a new instance of the Indicator class using the specified name.
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/// </summary>
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/// <param name="name">The name of this indicator</param>
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public TestIndicator(string name)
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: base(name)
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{
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}
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/// <summary>
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/// Initializes a new instance of the Indicator class using the name "test"
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/// </summary>
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public TestIndicator()
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: base("test")
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{
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}
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/// <summary>
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/// Gets a flag indicating when this indicator is ready and fully initialized
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/// </summary>
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public override bool IsReady
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{
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get { return true; }
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}
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/// <summary>
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/// Computes the next value of this indicator from the given state
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/// </summary>
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/// <param name="input">The input given to the indicator</param>
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/// <returns>A new value for this indicator</returns>
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protected override decimal ComputeNextValue(IndicatorDataPoint input)
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{
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return input.Value;
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}
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}
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}
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}
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