wehub-resource-sync
246 lines
14 KiB
C#
246 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.Market;
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using QuantConnect.Indicators;
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using System;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class NewHighsNewLowsDifferenceTests : NewHighsNewLowsTestsBase<IBaseDataBar>
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{
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protected override NewHighsNewLows<IBaseDataBar> CreateNewHighsNewLowsIndicator()
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{
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// For test purposes we use period of two
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return new NewHighsNewLows("test_name", 2);
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}
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protected override IndicatorBase<IBaseDataBar> GetSubIndicator(IndicatorBase<IBaseDataBar> mainIndicator)
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{
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return (mainIndicator as NewHighsNewLows).Difference;
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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 indicator = CreateIndicator() as NewHighsNewLows;
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var reference = DateTime.Today;
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) });
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// value is not ready yet
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Assert.AreEqual(0m, indicator.Difference.Current.Value);
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// new low
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.5m, Time = reference.AddMinutes(3) });
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// new low
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.3m, Time = reference.AddMinutes(3) });
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// new low
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.2m, Time = reference.AddMinutes(3) });
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Assert.AreEqual(-3m, indicator.Difference.Current.Value);
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indicator.Reset();
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indicator.Remove(Symbols.GOOG);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.9m, Time = reference.AddMinutes(2) });
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// value is not ready yet
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Assert.AreEqual(0m, indicator.Difference.Current.Value);
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// new low
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 0.5m, Time = reference.AddMinutes(3) });
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// new low
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.3m, Time = reference.AddMinutes(3) });
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// new low (ignored)
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 0.2m, Time = reference.AddMinutes(3) });
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Assert.AreEqual(-2m, indicator.Difference.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 indicator = CreateIndicator() as NewHighsNewLows;
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indicator.Add(Symbols.MSFT);
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var reference = DateTime.Today;
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 2, Low = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 2, Low = 1, Time = reference.AddMinutes(2) });
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// value is not ready yet
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Assert.AreEqual(0m, indicator.Difference.Current.Value);
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Time = reference.AddMinutes(3) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.5m, Time = reference.AddMinutes(3) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, Close = 3, Low = 1, Time = reference.AddMinutes(3) });
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Assert.AreEqual(0m, indicator.Difference.Current.Value);
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 4, Low = 1, Time = reference.AddMinutes(4) });
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// new low
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.3m, Time = reference.AddMinutes(4) });
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// no change
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Time = reference.AddMinutes(4) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 4, Low = 1, Time = reference.AddMinutes(4) });
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Assert.AreEqual(1m, indicator.Difference.Current.Value);
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 5, Low = 1, Time = reference.AddMinutes(5) });
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// new low
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 2, Low = 0.2m, Time = reference.AddMinutes(5) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 4, Low = 1, Time = reference.AddMinutes(5) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 5, Low = 1, Time = reference.AddMinutes(5) });
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Assert.AreEqual(2m, indicator.Difference.Current.Value);
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 6, Low = 1, Time = reference.AddMinutes(6) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 3, Low = 1, Time = reference.AddMinutes(6) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 6, Low = 1, Time = reference.AddMinutes(6) });
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Assert.AreEqual(2m, indicator.Difference.Current.Value);
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 7, Low = 1, Time = reference.AddMinutes(7) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 1, Time = reference.AddMinutes(7) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.MSFT, High = 7, Low = 1, Time = reference.AddMinutes(7) });
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Assert.AreEqual(2m, indicator.Difference.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() as NewHighsNewLows;
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var reference = DateTime.Today;
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// setup period (unordered)
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.5m, Low = 0.2m, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Time = reference.AddMinutes(2) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Time = reference.AddMinutes(3) });
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// new low
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.75m, Low = 0.1m, Time = reference.AddMinutes(3) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 2, Time = reference.AddMinutes(3) });
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Assert.IsTrue(indicator.IsReady);
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Assert.AreEqual(1m, indicator.Difference.Current.Value);
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Assert.AreEqual(9, indicator.Samples);
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Assert.AreEqual(1, indicator.Difference.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() as NewHighsNewLows;
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var reference = DateTime.Today;
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// setup period (ordered)
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 0.5m, Low = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Time = reference.AddMinutes(2) });
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// indicator is not ready yet
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Assert.IsFalse(indicator.IsReady);
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Time = reference.AddMinutes(3) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 4, Low = 1, Time = reference.AddMinutes(3) });
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// new high
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 5, Low = 1, Time = reference.AddMinutes(3) });
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Assert.IsTrue(indicator.IsReady);
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Assert.AreEqual(3m, indicator.Difference.Current.Value);
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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() as NewHighsNewLows;
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var reference = 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, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 1, Low = 1, Volume = 1, Time = reference.AddMinutes(1) });
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 2, Low = 1, Volume = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.5m, Volume = 1, Time = reference.AddMinutes(2) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 3, Low = 1, Volume = 1, Time = reference.AddMinutes(2) });
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// indicator is not ready yet
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, High = 3, Low = 1, Volume = 1, Time = reference.AddMinutes(3) });
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, High = 1, Low = 0.3m, Volume = 1, Time = reference.AddMinutes(3) });
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indicator.Update(new TradeBar() { Symbol = Symbols.GOOG, High = 4, Low = 1, Volume = 1, Time = reference.AddMinutes(3) });
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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.Difference.Current.Symbol);
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}
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}
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protected override string TestFileName => "nhnl_data.csv";
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protected override string TestColumnName => "NH/NL Difference";
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}
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}
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