wehub-resource-sync
296 lines
14 KiB
C#
296 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 System;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Common.Data;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class StandardDeviationOfReturnsVolatilityModelTests
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{
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[Test]
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public void UpdatesAfterCorrectDailyPeriodElapses()
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{
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const int periods = 3;
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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config,
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new Cash(Currencies.USD, 0, 0),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var model = new StandardDeviationOfReturnsVolatilityModel(periods);
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security.VolatilityModel = model;
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var first = new IndicatorDataPoint(reference, 1);
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security.SetMarketPrice(first);
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Assert.AreEqual(0m, model.Volatility);
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var second = new IndicatorDataPoint(reference.AddDays(1), 2);
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security.SetMarketPrice(second);
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Assert.AreEqual(0, model.Volatility);
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// update should not be applied since not enough time has passed
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var third = new IndicatorDataPoint(reference.AddDays(1.01), 1000);
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security.SetMarketPrice(third);
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Assert.AreEqual(0, model.Volatility);
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var fourth = new IndicatorDataPoint(reference.AddDays(2), 3);
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security.SetMarketPrice(fourth);
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Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
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}
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[Test]
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public void DoesntUpdateOnZeroPrice()
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{
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const int periods = 3;
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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config,
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new Cash(Currencies.USD, 0, 0),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var model = new StandardDeviationOfReturnsVolatilityModel(periods);
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security.VolatilityModel = model;
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var first = new IndicatorDataPoint(reference, 1);
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security.SetMarketPrice(first);
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Assert.AreEqual(0m, model.Volatility);
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var second = new IndicatorDataPoint(reference.AddDays(1), 2);
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security.SetMarketPrice(second);
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Assert.AreEqual(0, model.Volatility);
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// update should not be applied since not enough time has passed
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var third = new IndicatorDataPoint(reference.AddDays(1.01), 1000);
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security.SetMarketPrice(third);
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Assert.AreEqual(0, model.Volatility);
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var fourth = new IndicatorDataPoint(reference.AddDays(2), 3);
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security.SetMarketPrice(fourth);
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Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
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// update should not be applied as price is 0
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var fifth = new IndicatorDataPoint(reference.AddDays(3), 0m);
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security.SetMarketPrice(fifth);
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Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
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}
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[Test]
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public void GetHistoryRequirementsWorks()
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{
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const int periods = 3;
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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config,
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new Cash(Currencies.USD, 0, 0),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var model = new StandardDeviationOfReturnsVolatilityModel(periods);
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model.SetSubscriptionDataConfigProvider(new MockSubscriptionDataConfigProvider(config));
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var result = model.GetHistoryRequirements(security, DateTime.UtcNow).First();
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Assert.AreEqual(config.DataNormalizationMode, result.DataNormalizationMode);
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Assert.AreEqual(config.Symbol, result.Symbol);
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Assert.AreEqual(config.DataTimeZone, result.DataTimeZone);
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Assert.AreEqual(config.IsCustomData, result.IsCustomData);
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Assert.AreEqual(config.FillDataForward, result.FillForwardResolution != null);
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Assert.AreEqual(config.ExtendedMarketHours, result.IncludeExtendedMarketHours);
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// the StandardDeviationOfReturnsVolatilityModel always uses daily
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Assert.AreEqual(Resolution.Daily, result.Resolution);
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}
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[Test]
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public void GetHistoryRequirementsWorksForTwoDifferentSubscriptions()
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{
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const int periods = 3;
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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config,
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new Cash(Currencies.USD, 0, 0),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var model = new StandardDeviationOfReturnsVolatilityModel(periods);
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var mock = new MockSubscriptionDataConfigProvider(config);
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mock.SubscriptionDataConfigs.Add(
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new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Second,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true,
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true,
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false,
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true));
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model.SetSubscriptionDataConfigProvider(mock);
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var result = model.GetHistoryRequirements(security, DateTime.UtcNow).First();
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Assert.AreEqual(config.DataNormalizationMode, result.DataNormalizationMode);
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Assert.AreEqual(config.Symbol, result.Symbol);
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Assert.AreEqual(config.DataTimeZone, result.DataTimeZone);
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Assert.AreEqual(true, result.IsCustomData);
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Assert.AreEqual(true, result.FillForwardResolution != null);
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Assert.AreEqual(true, result.IncludeExtendedMarketHours);
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// the StandardDeviationOfReturnsVolatilityModel always uses daily
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Assert.AreEqual(Resolution.Daily, result.Resolution);
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}
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[Test]
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public void UpdatesOnCustomConfigurationParametersOneMinute()
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{
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const int periods = 5;
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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config,
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new Cash(Currencies.USD, 0, 0),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var model = new StandardDeviationOfReturnsVolatilityModel(periods, Resolution.Minute, TimeSpan.FromMinutes(1));
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for (var i = 0; i < 5; i++)
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{
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if (i < 3)
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{
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Assert.AreEqual(0, model.Volatility);
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}
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else
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{
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Assert.AreNotEqual(0, model.Volatility);
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}
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model.Update(security, new TradeBar
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{
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Open = 11 + (i - 1),
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High = 11 + i,
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Low = 9 - i,
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Close = 11 + i,
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Symbol = security.Symbol,
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Time = reference.AddMinutes(i)
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});
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}
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Assert.AreNotEqual(0, model.Volatility);
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}
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[Test]
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public void MinuteResolutionSelectedForFuturesOptions()
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{
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const int periods = 5;
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var reference = new DateTime(2016, 04, 06, 12, 0, 0);
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var referenceUtc = reference.ConvertToUtc(TimeZones.Chicago);
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var timeKeeper = new TimeKeeper(referenceUtc);
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var underlyingSymbol = Symbol.Create("ES", SecurityType.Future, Market.CME);
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var futureOption = Symbol.CreateOption(
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underlyingSymbol,
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Market.CME,
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OptionStyle.American,
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OptionRight.Call,
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0,
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SecurityIdentifier.DefaultDate);
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var underlyingConfig = new SubscriptionDataConfig(typeof(TradeBar), underlyingSymbol, Resolution.Minute, TimeZones.Chicago, TimeZones.Chicago, true, false, false);
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var futureOptionConfig = new SubscriptionDataConfig(typeof(TradeBar), futureOption, Resolution.Minute, TimeZones.Chicago, TimeZones.Chicago, true, false, false);
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var underlyingSecurity = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Chicago),
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underlyingConfig,
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new Cash(Currencies.USD, 0, 0),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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var futureOptionSecurity = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Chicago),
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futureOptionConfig,
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new Cash(Currencies.USD, 0, 0),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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underlyingSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.Chicago));
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futureOptionSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.Chicago));
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var mock = new MockSubscriptionDataConfigProvider();
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mock.SubscriptionDataConfigs.Add(underlyingConfig);
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mock.SubscriptionDataConfigs.Add(futureOptionConfig);
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var model = new StandardDeviationOfReturnsVolatilityModel(periods, Resolution.Minute, TimeSpan.FromMinutes(1));
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model.SetSubscriptionDataConfigProvider(mock);
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var futureHistoryRequirements = model.GetHistoryRequirements(underlyingSecurity, referenceUtc);
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var optionHistoryRequirements = model.GetHistoryRequirements(futureOptionSecurity, referenceUtc);
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Assert.IsTrue(futureHistoryRequirements.All(x => x.Resolution == Resolution.Minute));
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Assert.IsTrue(optionHistoryRequirements.All(x => x.Resolution == Resolution.Minute));
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}
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}
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}
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