wehub-resource-sync
233 lines
9.0 KiB
C#
233 lines
9.0 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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*/
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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.Lean.Engine.DataFeeds;
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using QuantConnect.Securities;
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using System;
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namespace QuantConnect.Tests.Common.Util
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{
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[TestFixture]
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public class BaseDataExtensionsTests
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{
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private SubscriptionDataConfig _config;
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const decimal _factor = 0.5m;
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[SetUp]
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public void Setup()
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{
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_config = new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.SPY,
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Resolution.Daily,
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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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_config.DataNormalizationMode = DataNormalizationMode.Adjusted;
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_config.PriceScaleFactor = _factor;
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}
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[Test]
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public void AdjustTradeBar()
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{
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var tb = new TradeBar
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Period = TimeSpan.FromHours(1),
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Symbol = Symbols.SPY,
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Open = 100,
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High = 200,
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Low = 300,
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Close = 400,
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Volume = 10000
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};
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var adjustedTb = tb.Clone(tb.IsFillForward).Normalize(_factor, DataNormalizationMode.Adjusted, 0);
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Assert.AreEqual(tb.Open * _factor, (adjustedTb as TradeBar).Open);
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Assert.AreEqual(tb.High * _factor, (adjustedTb as TradeBar).High);
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Assert.AreEqual(tb.Low * _factor, (adjustedTb as TradeBar).Low);
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Assert.AreEqual(tb.Close * _factor, (adjustedTb as TradeBar).Close);
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Assert.AreEqual(tb.Volume / _factor, (adjustedTb as TradeBar).Volume);
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}
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[Test]
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public void AdjustTick()
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{
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var tick = new Tick
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Symbol = Symbols.SPY,
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Value = 100,
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Quantity = 10
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};
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var adjustedTick = tick.Clone(tick.IsFillForward).Normalize(_factor, DataNormalizationMode.Adjusted, 0);
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Assert.AreEqual(tick.Value * _factor, (adjustedTick as Tick).Value);
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Assert.AreEqual(tick.Quantity / _factor, (adjustedTick as Tick).Quantity);
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}
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[Test]
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public void AdjustQuoteTick()
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{
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var tick = new Tick
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Symbol = Symbols.SPY,
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TickType = TickType.Quote,
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AskPrice = 100,
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BidPrice = 99,
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AskSize = 100,
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BidSize = 10
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};
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var adjustedTick = tick.Clone(tick.IsFillForward).Normalize(_factor, DataNormalizationMode.Adjusted, 0);
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Assert.AreEqual(tick.AskPrice * _factor, (adjustedTick as Tick).AskPrice);
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Assert.AreEqual(tick.BidPrice * _factor, (adjustedTick as Tick).BidPrice);
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Assert.AreEqual(tick.AskSize / _factor, (adjustedTick as Tick).AskSize);
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Assert.AreEqual(tick.BidSize / _factor, (adjustedTick as Tick).BidSize);
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}
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[Test]
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public void AdjustQuoteBar()
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{
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var qb = new QuoteBar(
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new DateTime(2018, 1, 1),
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_config.Symbol,
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new Bar(10, 10, 10, 10),
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100,
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new Bar(10, 10, 10, 10),
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100);
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var adjustedQb = qb.Clone(qb.IsFillForward).Normalize(_factor, DataNormalizationMode.Adjusted, 0);
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Assert.AreEqual(qb.Value, qb.Close);
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// bid
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Assert.AreEqual(qb.Bid.Open * _factor, (adjustedQb as QuoteBar).Bid.Open);
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Assert.AreEqual(qb.Bid.Close * _factor, (adjustedQb as QuoteBar).Bid.Close);
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Assert.AreEqual(qb.Bid.High * _factor, (adjustedQb as QuoteBar).Bid.High);
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Assert.AreEqual(qb.Bid.Low * _factor, (adjustedQb as QuoteBar).Bid.Low);
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Assert.AreEqual(qb.LastBidSize / _factor, (adjustedQb as QuoteBar).LastBidSize);
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// ask
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Assert.AreEqual(qb.Ask.Open * _factor, (adjustedQb as QuoteBar).Ask.Open);
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Assert.AreEqual(qb.Ask.Close * _factor, (adjustedQb as QuoteBar).Ask.Close);
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Assert.AreEqual(qb.Ask.High * _factor, (adjustedQb as QuoteBar).Ask.High);
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Assert.AreEqual(qb.Ask.Low * _factor, (adjustedQb as QuoteBar).Ask.Low);
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Assert.AreEqual(qb.LastAskSize / _factor, (adjustedQb as QuoteBar).LastAskSize);
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}
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[Test]
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public void AdjustTradeBarUsingConfig()
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{
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var tb = new TradeBar
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Period = TimeSpan.FromHours(1),
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Symbol = Symbols.SPY,
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Open = 100,
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High = 200,
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Low = 300,
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Close = 400,
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Volume = 1000
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};
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var adjustedTb = tb.Clone(tb.IsFillForward).Normalize(_config.PriceScaleFactor, _config.DataNormalizationMode, _config.SumOfDividends);
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Assert.AreEqual(tb.Open * _factor, (adjustedTb as TradeBar).Open);
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Assert.AreEqual(tb.High * _factor, (adjustedTb as TradeBar).High);
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Assert.AreEqual(tb.Low * _factor, (adjustedTb as TradeBar).Low);
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Assert.AreEqual(tb.Close * _factor, (adjustedTb as TradeBar).Close);
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Assert.AreEqual(tb.Volume / _factor, (adjustedTb as TradeBar).Volume);
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}
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[Test]
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public void AdjustTickUsingConfig()
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{
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var tick = new Tick
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Symbol = Symbols.SPY,
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Value = 100,
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Quantity = 10
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};
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var adjustedTick = tick.Clone(tick.IsFillForward).Normalize(_config.PriceScaleFactor, _config.DataNormalizationMode, _config.SumOfDividends);
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Assert.AreEqual(tick.Value * _factor, (adjustedTick as Tick).Value);
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Assert.AreEqual(tick.Quantity / _factor, (adjustedTick as Tick).Quantity);
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}
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[Test]
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public void AdjustQuoteTickUsingConfig()
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{
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var tick = new Tick
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{
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Time = new DateTime(2020, 5, 21, 8, 9, 0),
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Symbol = Symbols.SPY,
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TickType = TickType.Quote,
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AskPrice = 100,
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BidPrice = 99,
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AskSize = 100,
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BidSize = 10
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};
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var adjustedTick = tick.Clone(tick.IsFillForward).Normalize(_config.PriceScaleFactor, _config.DataNormalizationMode, _config.SumOfDividends);
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Assert.AreEqual(tick.AskPrice * _factor, (adjustedTick as Tick).AskPrice);
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Assert.AreEqual(tick.BidPrice * _factor, (adjustedTick as Tick).BidPrice);
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Assert.AreEqual(tick.AskSize / _factor, (adjustedTick as Tick).AskSize);
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Assert.AreEqual(tick.BidSize / _factor, (adjustedTick as Tick).BidSize);
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}
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[Test]
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public void AdjustQuoteBarUsingConfig()
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{
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var qb = new QuoteBar(
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new DateTime(2018, 1, 1),
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_config.Symbol,
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new Bar(10, 10, 10, 10),
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100,
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new Bar(10, 10, 10, 10),
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100);
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var adjustedQb = qb.Clone(qb.IsFillForward).Normalize(_config.PriceScaleFactor, _config.DataNormalizationMode, _config.SumOfDividends);
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Assert.AreEqual(qb.Value, qb.Close);
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// bid
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Assert.AreEqual(qb.Bid.Open * _factor, (adjustedQb as QuoteBar).Bid.Open);
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Assert.AreEqual(qb.Bid.Close * _factor, (adjustedQb as QuoteBar).Bid.Close);
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Assert.AreEqual(qb.Bid.High * _factor, (adjustedQb as QuoteBar).Bid.High);
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Assert.AreEqual(qb.Bid.Low * _factor, (adjustedQb as QuoteBar).Bid.Low);
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Assert.AreEqual(qb.LastBidSize / _factor, (adjustedQb as QuoteBar).LastBidSize);
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// ask
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Assert.AreEqual(qb.Ask.Open * _factor, (adjustedQb as QuoteBar).Ask.Open);
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Assert.AreEqual(qb.Ask.Close * _factor, (adjustedQb as QuoteBar).Ask.Close);
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Assert.AreEqual(qb.Ask.High * _factor, (adjustedQb as QuoteBar).Ask.High);
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Assert.AreEqual(qb.Ask.Low * _factor, (adjustedQb as QuoteBar).Ask.Low);
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Assert.AreEqual(qb.LastAskSize / _factor, (adjustedQb as QuoteBar).LastAskSize);
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}
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}
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}
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