wehub-resource-sync
127 lines
5.5 KiB
C#
127 lines
5.5 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 QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class RelativeDailyVolumeTests : CommonIndicatorTests<TradeBar>
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{
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protected override IndicatorBase<TradeBar> CreateIndicator()
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{
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RenkoBarSize = 0.1m;
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return new RelativeDailyVolume(2);
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}
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protected override string TestFileName => "spy_rdv.txt";
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protected override string TestColumnName => "RDV";
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protected override Action<IndicatorBase<TradeBar>, double> Assertion
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{
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get { return (indicator, expected) => Assert.AreEqual(expected, (double)indicator.Current.Value, 0.001); }
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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 rdv = new RelativeDailyVolume(2); // Default resolution is daily
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var reference = System.DateTime.Today;
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rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddDays(1) });
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rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 3, High = 4, Volume = 200, Time = reference.AddDays(2) });
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rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 5, High = 6, Volume = 300, Time = reference.AddDays(3) });
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Assert.IsTrue(rdv.IsReady);
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Assert.AreNotEqual(0m, rdv.Current.Value);
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rdv.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(rdv);
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}
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public void AddTradeBarData(ref RelativeDailyVolume rdv, int iterations, Resolution resolution, DateTime reference)
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{
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for (int i = 0; i < iterations; i++)
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{
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if (resolution == Resolution.Daily)
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{
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rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddDays(1 + i) });
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}
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else if (resolution == Resolution.Hour)
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{
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rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddHours(1 + i) });
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}
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else if (resolution == Resolution.Minute)
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{
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rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddMinutes(1 + i) });
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}
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else if (resolution == Resolution.Second)
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{
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rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddSeconds(1 + i) });
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}
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else
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{
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rdv.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddSeconds(1 + i) });
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}
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}
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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 rdv1 = new RelativeDailyVolume(2);
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var rdv2 = new RelativeDailyVolume(2);
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var rdv3 = new RelativeDailyVolume(2);
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var rdv4 = new RelativeDailyVolume(2);
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var rdv5 = new RelativeDailyVolume(2);
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var rdv6 = new RelativeDailyVolume(2);
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var rdv7 = new RelativeDailyVolume(2);
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var rdv8 = new RelativeDailyVolume(2);
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var reference = new DateTime(2000, 1, 1, 0, 0, 0);
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AddTradeBarData(ref rdv1, 2 + 1, Resolution.Daily, reference); // Needs one more datapoint after x days to be ready
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AddTradeBarData(ref rdv2, 48, Resolution.Hour, reference);
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AddTradeBarData(ref rdv3, (1440 * 2), Resolution.Minute, reference);
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AddTradeBarData(ref rdv4, (86400 * 2), Resolution.Second, reference);
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AddTradeBarData(ref rdv5, 2, Resolution.Daily, reference);
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AddTradeBarData(ref rdv6, 47, Resolution.Hour, reference);
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AddTradeBarData(ref rdv7, (1440 * 2) - 1, Resolution.Minute, reference);
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AddTradeBarData(ref rdv8, (86400 * 2) - 1, Resolution.Second, reference);
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Assert.IsTrue(rdv1.IsReady);
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Assert.IsTrue(rdv2.IsReady);
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Assert.IsTrue(rdv3.IsReady);
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Assert.IsTrue(rdv4.IsReady);
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Assert.IsFalse(rdv5.IsReady);
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Assert.IsFalse(rdv6.IsReady);
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Assert.IsFalse(rdv7.IsReady);
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Assert.IsFalse(rdv8.IsReady);
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}
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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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