wehub-resource-sync
237 lines
9.9 KiB
C#
237 lines
9.9 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.Securities;
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using QuantConnect.Data.Market;
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using System.Collections.Generic;
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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class SessionTests
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{
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[TestCase(0)]
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[TestCase(1)]
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[TestCase(2)]
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public void AddMethodPreservesPreviousValuesInSessionWindow(int initialSize)
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{
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var symbol = Symbols.SPY;
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var session = GetSession(TickType.Trade, initialSize: initialSize);
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session.Size = 2;
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var date = new DateTime(2025, 8, 25);
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var bar1 = new TradeBar(date.AddHours(12), symbol, 100, 101, 99, 100, 1000, TimeSpan.FromHours(1));
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session.Update(bar1);
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var bar2 = new TradeBar(date.AddHours(13), symbol, 101, 102, 100, 101, 1100, TimeSpan.FromHours(1));
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session.Update(bar2);
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// Verify current session values after multiple updates
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Assert.AreEqual(100, session[0].Open);
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Assert.AreEqual(102, session[0].High);
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Assert.AreEqual(99, session[0].Low);
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Assert.AreEqual(101, session[0].Close);
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Assert.AreEqual(2100, session[0].Volume);
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// Start of a new trading day
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date = date.AddDays(1);
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session.Scan(date);
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bar1 = new TradeBar(date.AddHours(12), symbol, 200, 201, 199, 200, 2000, TimeSpan.FromHours(1));
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session.Update(bar1);
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bar2 = new TradeBar(date.AddHours(13), symbol, 300, 301, 299, 300, 3100, TimeSpan.FromHours(1));
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session.Update(bar2);
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// Verify current session reflects new day data
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Assert.AreEqual(200, session[0].Open);
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Assert.AreEqual(301, session[0].High);
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Assert.AreEqual(199, session[0].Low);
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Assert.AreEqual(300, session[0].Close);
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Assert.AreEqual(5100, session[0].Volume);
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// Verify previous session values are preserved
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Assert.AreEqual(100, session[1].Open);
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Assert.AreEqual(102, session[1].High);
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Assert.AreEqual(99, session[1].Low);
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Assert.AreEqual(101, session[1].Close);
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Assert.AreEqual(2100, session[1].Volume);
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}
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[Test]
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public void EndTimeDoesNotOverflowWhenAccessedBeforeFirstUpdate()
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{
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var symbol = Symbols.SPY;
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var session = GetSession(TickType.Trade, 3);
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// Verify EndTime does not overflow when accessed before the first Update()
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Assert.DoesNotThrow(() =>
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{
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var currentEndTime = session.EndTime;
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});
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session.Update(new TradeBar(new DateTime(2025, 8, 25, 10, 0, 0), symbol, 100, 101, 99, 100, 1000, TimeSpan.FromHours(1)));
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Assert.AreEqual(new DateTime(2025, 8, 26), session.EndTime);
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Assert.AreEqual(100, session.Open);
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Assert.AreEqual(101, session.High);
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Assert.AreEqual(99, session.Low);
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Assert.AreEqual(100, session.Close);
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Assert.AreEqual(1000, session.Volume);
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}
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private static IEnumerable<TestCaseData> ConsolidationTestCases()
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{
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// Hour resolution during regular market hours
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yield return new TestCaseData(new DateTime(2025, 8, 25, 10, 0, 0), Resolution.Hour);
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// Daily resolution and bar emitted at midnight
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yield return new TestCaseData(new DateTime(2025, 8, 25, 0, 0, 0), Resolution.Daily);
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}
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[TestCaseSource(nameof(ConsolidationTestCases))]
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public void ConsolidatesDaily(DateTime baseDate, Resolution resolution)
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{
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var symbol = Symbols.SPY;
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var session = GetSession(TickType.Trade, 4);
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var days = new[]
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{
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new { Expected = new TradeBar(baseDate.Date, symbol, 100, 101, 99, 100, 6000, Time.OneDay) },
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new { Expected = new TradeBar(baseDate.Date.AddDays(1), symbol, 100, 101, 99, 100, 6000, Time.OneDay) },
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new { Expected = new TradeBar(baseDate.Date.AddDays(2), symbol, 100, 101, 99, 100, 6000, Time.OneDay) },
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};
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Assert.AreEqual(1, session.Samples);
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for (int i = 0; i < days.Length; i++)
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{
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var startDate = baseDate.AddDays(i);
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var endDate = startDate.Date.AddDays(1);
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if (resolution == Resolution.Hour)
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{
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for (int j = 0; j < 6; j++)
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{
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session.Update(new TradeBar(startDate.AddHours(j), symbol, 100, 101, 99, 100, 1000, Time.OneHour));
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}
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}
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else
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{
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session.Update(new TradeBar(startDate, symbol, 100, 101, 99, 100, 6000, Time.OneDay));
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}
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session.Scan(endDate);
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Assert.AreEqual(i + 2, session.Samples);
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Assert.IsTrue(BarsAreEqual(days[i].Expected, session[1]));
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}
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}
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[TestCaseSource(nameof(NextSessionTradingDayCases))]
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public void CreatesNewSessionBarWithCorrectNextTradingDay(DateTime startDate, DateTime expectedDate)
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{
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var symbol = Symbols.SPY;
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var session = GetSession(TickType.Trade, 3);
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var endDate = startDate.AddHours(14);
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for (int i = 0; i < 6; i++)
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{
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session.Update(new TradeBar(startDate.AddHours(i), symbol, 100, 101, 99, 100, 1000, TimeSpan.FromHours(1)));
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}
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session.Scan(endDate);
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var sessionBar = session[0];
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Assert.AreNotEqual(DateTime.MaxValue, sessionBar.Time);
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Assert.AreEqual(expectedDate, sessionBar.Time);
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Assert.AreEqual(expectedDate.AddDays(1), sessionBar.EndTime);
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Assert.AreEqual(0, sessionBar.Open);
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Assert.AreEqual(0, sessionBar.High);
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Assert.AreEqual(0, sessionBar.Low);
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Assert.AreEqual(0, sessionBar.Close);
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Assert.AreEqual(0, sessionBar.Volume);
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}
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private static IEnumerable<TestCaseData> NextSessionTradingDayCases()
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{
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// Regular weekday: next trading day is simply the next calendar day
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yield return new TestCaseData(new DateTime(2025, 8, 25, 10, 0, 0), new DateTime(2025, 8, 26));
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// Friday before Labor Day weekend -> next trading day is Tuesday (Sep 2, 2025)
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yield return new TestCaseData(new DateTime(2025, 8, 29, 10, 0, 0), new DateTime(2025, 9, 2));
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}
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[Test]
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public void ManualDailyBarUpdateProducesOneConsolidationPerBar()
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{
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var symbol = Symbols.SPY;
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var barCount = 20;
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var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
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var session = new Session(TickType.Trade, exchangeHours, symbol, barCount + 1);
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var barDate = new DateTime(2025, 9, 2, 9, 30, 0);
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for (var i = 0; i < barCount; i++)
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{
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session.Update(new TradeBar(barDate, symbol, 100 + i, 101 + i, 99 + i, 100 + i, 1000, Time.OneDay));
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barDate = barDate.AddDays(1);
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while (!exchangeHours.IsDateOpen(barDate.Date, false))
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{
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barDate = barDate.AddDays(1);
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}
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}
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Assert.AreEqual(barCount, session.Samples);
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}
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[Test]
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public void GapDayDataPreservesCorrectTimestampAndContent()
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{
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var symbol = Symbols.SPY;
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var exchangeHours = MarketHoursDatabase.FromDataFolder().GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
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var session = new Session(TickType.Trade, exchangeHours, symbol, 5);
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var sep2 = new DateTime(2025, 9, 2, 9, 30, 0);
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var sep4 = new DateTime(2025, 9, 4, 9, 30, 0);
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var sep5 = new DateTime(2025, 9, 5, 9, 30, 0);
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session.Update(new TradeBar(sep2, symbol, 100, 110, 90, 105, 1000, Time.OneDay));
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session.Update(new TradeBar(sep4, symbol, 200, 210, 190, 205, 2000, Time.OneDay));
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session.Update(new TradeBar(sep5, symbol, 300, 310, 290, 305, 3000, Time.OneDay));
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Assert.AreEqual(sep4.Date, session[1].Time);
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Assert.AreEqual(200, session[1].Open);
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Assert.AreEqual(sep2.Date, session[2].Time);
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Assert.AreEqual(100, session[2].Open);
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}
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private static Session GetSession(TickType tickType, int initialSize)
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{
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var symbol = Symbols.SPY;
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var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
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var exchangeHours = marketHoursDatabase.GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
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return new Session(tickType, exchangeHours, symbol, initialSize);
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}
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private static bool BarsAreEqual(TradeBar bar1, TradeBar bar2)
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{
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return bar1.Time == bar2.Time &&
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bar1.EndTime == bar2.EndTime &&
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bar1.Open == bar2.Open &&
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bar1.High == bar2.High &&
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bar1.Low == bar2.Low &&
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bar1.Close == bar2.Close &&
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bar1.Volume == bar2.Volume;
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}
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}
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}
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