wehub-resource-sync
136 lines
6.9 KiB
C#
136 lines
6.9 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 NUnit.Framework;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using System;
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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 DualSymbolIndicatorTests
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{
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private DateTime _reference = new DateTime(2020, 1, 1);
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[Test]
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public void TimeMovesForward()
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{
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var indicator = new TestAverageIndicator(Symbols.IBM, Symbols.SPY, 5);
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for (var i = 10; i > 0; i--)
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{
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indicator.Update(new TradeBar() { Symbol = Symbols.IBM, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
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indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 500, Time = _reference.AddDays(1 + i) });
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}
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Assert.AreEqual(2, indicator.Samples);
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}
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[Test]
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public void ValidateCalculation()
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{
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var indicator = new TestAverageIndicator(Symbols.AAPL, Symbols.SPX, 3);
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var bars = new List<TradeBar>()
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{
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 10, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 35, Time = _reference.AddDays(1), EndTime = _reference.AddDays(2) },
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2),EndTime = _reference.AddDays(3) },
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 2, Time = _reference.AddDays(2), EndTime = _reference.AddDays(3) },
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 15, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 80, Time = _reference.AddDays(3), EndTime = _reference.AddDays(4) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 4, Time = _reference.AddDays(4), EndTime = _reference.AddDays(5) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 37, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) },
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 90, Time = _reference.AddDays(5), EndTime = _reference.AddDays(6) },
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new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 105, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) },
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new TradeBar() { Symbol = Symbols.SPX, Low = 1, High = 2, Volume = 100, Close = 302, Time = _reference.AddDays(6), EndTime = _reference.AddDays(7) },
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};
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foreach (var bar in bars)
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{
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indicator.Update(bar);
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}
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var closeAAPL = new List<decimal>() { 10, 15, 90, 105 };
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var closeSPX = new List<decimal>() { 35, 80, 37, 302 };
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var expectedValue = 0m;
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for (var i = 0; i < closeAAPL.Count; i++)
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{
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expectedValue += (closeAAPL[i] + closeSPX[i]) / 2;
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}
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Assert.AreEqual(expectedValue, indicator.Current.Value);
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}
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[Test]
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public void WorksWithDifferentTimeZones()
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{
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var indicator = new TestAverageIndicator(Symbols.SPY, Symbols.BTCUSD, 5);
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for (int i = 0; i < 10; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 100, Time = startTime, EndTime = endTime });
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indicator.Update(new TradeBar() { Symbol = Symbols.BTCUSD, Low = 1, High = 2, Volume = 100, Close = 100, Time = startTime, EndTime = endTime });
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}
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Assert.AreEqual(100 * 10, indicator.Current.Value);
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}
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[Test]
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public void TracksPreviousState()
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{
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var period = 5;
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var indicator = new TestAverageIndicator(Symbols.SPY, Symbols.AAPL, period);
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var previousValue = indicator.Current.Value;
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// Update the indicator and verify the previous values
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for (var i = 1; i < 2 * period; i++)
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{
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var startTime = _reference.AddDays(1 + i);
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var endTime = startTime.AddDays(1);
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indicator.Update(new TradeBar() { Symbol = Symbols.SPY, Low = 1, High = 2, Volume = 100, Close = 1000 + i * 10, Time = startTime, EndTime = endTime });
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indicator.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Close = 1000 + (i * 15), Time = startTime, EndTime = endTime });
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// Verify the previous value matches the indicator's previous value
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Assert.AreEqual(previousValue, indicator.Previous.Value);
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// Update previousValue to the current value for the next iteration
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previousValue = indicator.Current.Value;
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}
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}
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private class TestAverageIndicator : DualSymbolIndicator<IBaseDataBar>
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{
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public TestAverageIndicator(Symbol targetSymbol, Symbol referenceSymbol, int period)
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: base("TestIndicator", targetSymbol, referenceSymbol, period)
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{
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}
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public override bool IsReady => TargetDataPoints.IsReady && ReferenceDataPoints.IsReady;
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protected override decimal ComputeIndicator()
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{
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var prevValue = IndicatorValue;
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var result = IndicatorValue += (TargetDataPoints[0].Close + ReferenceDataPoints[0].Close) / 2;
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Console.WriteLine($"Previous Value: {prevValue}, Current Value: {IndicatorValue} (Inputs: {TargetDataPoints[^1]} and {ReferenceDataPoints[^1]})");
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return result;
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}
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}
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}
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}
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