wehub-resource-sync
313 lines
10 KiB
C#
313 lines
10 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 NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Consolidators;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Tests.Common.Data
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{
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[TestFixture]
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public class DynamicDataConsolidatorTests: BaseConsolidatorTests
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{
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[Test]
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public void AggregatesTimeValuePairsWithOutVolumeProperly()
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{
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TradeBar newTradeBar = null;
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using var consolidator = new DynamicDataConsolidator(4);
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consolidator.DataConsolidated += (sender, tradeBar) =>
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{
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newTradeBar = tradeBar;
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};
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var reference = DateTime.Today;
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var bar1 = new CustomData
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{
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Symbol = Symbols.SPY,
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Time = reference,
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Value = 5
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};
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consolidator.Update(bar1);
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Assert.IsNull(newTradeBar);
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var bar2 = new CustomData
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(1),
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Value = 10
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};
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consolidator.Update(bar2);
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Assert.IsNull(newTradeBar);
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var bar3 = new CustomData
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(2),
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Value = 1
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};
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consolidator.Update(bar3);
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Assert.IsNull(newTradeBar);
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var bar4 = new CustomData
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(3),
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Value = 9
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};
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consolidator.Update(bar4);
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Assert.IsNotNull(newTradeBar);
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Assert.AreEqual(Symbols.SPY, newTradeBar.Symbol);
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Assert.AreEqual(bar1.Time, newTradeBar.Time);
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Assert.AreEqual(bar1.Value, newTradeBar.Open);
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Assert.AreEqual(bar2.Value, newTradeBar.High);
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Assert.AreEqual(bar3.Value, newTradeBar.Low);
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Assert.AreEqual(bar4.Value, newTradeBar.Close);
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Assert.AreEqual(0, newTradeBar.Volume);
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Assert.AreEqual(bar4.EndTime, newTradeBar.EndTime);
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}
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[Test]
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public void AggregatesTimeValuePairsWithVolumeProperly()
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{
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TradeBar newTradeBar = null;
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using var consolidator = new DynamicDataConsolidator(4);
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consolidator.DataConsolidated += (sender, tradeBar) =>
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{
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newTradeBar = tradeBar;
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};
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var reference = DateTime.Today;
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dynamic bar1 = new CustomData
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{
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Symbol = Symbols.SPY,
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Time = reference,
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Value = 5,
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};
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bar1.Volume = 75L;
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consolidator.Update(bar1);
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Assert.IsNull(newTradeBar);
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dynamic bar2 = new CustomData
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(1),
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Value = 10
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};
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bar2.Volume = 100L;
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consolidator.Update(bar2);
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Assert.IsNull(newTradeBar);
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dynamic bar3 = new CustomData
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(2),
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Value = 1
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};
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bar3.Volume = 115L;
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consolidator.Update(bar3);
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Assert.IsNull(newTradeBar);
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dynamic bar4 = new CustomData
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{
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Symbol = Symbols.SPY,
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Time = reference.AddHours(3),
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Value = 9
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};
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bar4.Volume = 85L;
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consolidator.Update(bar4);
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Assert.IsNotNull(newTradeBar);
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Assert.AreEqual(Symbols.SPY, newTradeBar.Symbol);
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Assert.AreEqual(bar1.Time, newTradeBar.Time);
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Assert.AreEqual(bar1.Value, newTradeBar.Open);
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Assert.AreEqual(bar2.Value, newTradeBar.High);
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Assert.AreEqual(bar3.Value, newTradeBar.Low);
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Assert.AreEqual(bar4.Value, newTradeBar.Close);
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Assert.AreEqual(bar1.Volume + bar2.Volume + bar3.Volume + bar4.Volume, newTradeBar.Volume);
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}
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[Test]
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public void AggregatesTradeBarsWithVolumeProperly()
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{
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TradeBar consolidated = null;
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using var consolidator = new DynamicDataConsolidator(3);
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consolidator.DataConsolidated += (sender, bar) =>
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{
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consolidated = bar;
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};
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var reference = DateTime.Today;
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dynamic bar1 = new CustomData();
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bar1.Symbol = Symbols.SPY;
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bar1.Time = reference;
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bar1.Open = 10;
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bar1.High = 100m;
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bar1.Low = 1m;
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bar1.Close = 50m;
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bar1.Volume = 75L;
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dynamic bar2 = new CustomData();
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bar2.Symbol = Symbols.SPY;
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bar2.Time = reference.AddHours(1);
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bar2.Open = 50m;
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bar2.High = 123m;
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bar2.Low = 35m;
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bar2.Close = 75m;
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bar2.Volume = 100L;
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dynamic bar3 = new CustomData();
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bar3.Symbol = Symbols.SPY;
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bar3.Time = reference.AddHours(1);
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bar3.Open = 75m;
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bar3.High = 100m;
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bar3.Low = 50m;
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bar3.Close = 83m;
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bar3.Volume = 125L;
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consolidator.Update(bar1);
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Assert.IsNull(consolidated);
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consolidator.Update(bar2);
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Assert.IsNull(consolidated);
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consolidator.Update(bar3);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(Symbols.SPY, consolidated.Symbol);
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Assert.AreEqual(bar1.Open, consolidated.Open);
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Assert.AreEqual(Math.Max(bar1.High, Math.Max(bar2.High, bar3.High)), consolidated.High);
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Assert.AreEqual(Math.Min(bar1.Low, Math.Min(bar2.Low, bar3.Low)), consolidated.Low);
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Assert.AreEqual(bar3.Close, consolidated.Close);
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Assert.AreEqual(bar1.Volume + bar2.Volume + bar3.Volume, consolidated.Volume);
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}
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[Test]
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public void AggregatesTradeBarsWithOutVolumeProperly()
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{
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TradeBar consolidated = null;
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using var consolidator = new DynamicDataConsolidator(3);
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consolidator.DataConsolidated += (sender, bar) =>
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{
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consolidated = bar;
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};
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var reference = DateTime.Today;
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dynamic bar1 = new CustomData();
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bar1.Symbol = Symbols.SPY;
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bar1.Time = reference;
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bar1.Open = 10;
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bar1.High = 100m;
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bar1.Low = 1m;
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bar1.Close = 50m;
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dynamic bar2 = new CustomData();
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bar2.Symbol = Symbols.SPY;
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bar2.Time = reference.AddHours(1);
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bar2.Open = 50m;
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bar2.High = 123m;
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bar2.Low = 35m;
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bar2.Close = 75m;
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dynamic bar3 = new CustomData();
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bar3.Symbol = Symbols.SPY;
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bar3.Time = reference.AddHours(1);
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bar3.Open = 75m;
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bar3.High = 100m;
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bar3.Low = 50m;
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bar3.Close = 83m;
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consolidator.Update(bar1);
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Assert.IsNull(consolidated);
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consolidator.Update(bar2);
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Assert.IsNull(consolidated);
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consolidator.Update(bar3);
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Assert.IsNotNull(consolidated);
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Assert.AreEqual(Symbols.SPY, consolidated.Symbol);
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Assert.AreEqual(bar1.Open, consolidated.Open);
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Assert.AreEqual(Math.Max(bar1.High, Math.Max(bar2.High, bar3.High)), consolidated.High);
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Assert.AreEqual(Math.Min(bar1.Low, Math.Min(bar2.Low, bar3.Low)), consolidated.Low);
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Assert.AreEqual(bar3.Close, consolidated.Close);
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Assert.AreEqual(0, consolidated.Volume);
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}
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protected override IEnumerable<IBaseData> GetTestValues()
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{
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var reference = DateTime.Today;
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dynamic bar1 = new CustomData();
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bar1.Symbol = Symbols.SPY;
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bar1.Time = reference;
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bar1.Open = 10;
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bar1.High = 100m;
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bar1.Low = 1m;
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bar1.Close = 50m;
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dynamic bar2 = new CustomData();
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bar2.Symbol = Symbols.SPY;
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bar2.Time = reference.AddHours(1);
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bar2.Open = 50m;
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bar2.High = 123m;
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bar2.Low = 35m;
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bar2.Close = 75m;
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dynamic bar3 = new CustomData();
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bar3.Symbol = Symbols.SPY;
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bar3.Time = reference.AddHours(2);
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bar3.Open = 75m;
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bar3.High = 100m;
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bar3.Low = 50m;
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bar3.Close = 83m;
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return new List<CustomData>()
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{
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bar1,
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bar2,
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bar3,
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bar1,
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bar3,
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bar2,
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bar1,
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bar1,
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bar3,
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bar1
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};
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}
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protected override IDataConsolidator CreateConsolidator()
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{
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return new DynamicDataConsolidator(3);
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}
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private class CustomData : DynamicData
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{
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public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
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{
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throw new NotImplementedException();
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}
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public override SubscriptionDataSource GetSource(SubscriptionDataConfig config, DateTime date, bool isLiveMode)
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{
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throw new NotImplementedException();
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}
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}
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}
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}
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