wehub-resource-sync
220 lines
9.0 KiB
C#
220 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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using System;
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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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namespace QuantConnect.Tests.Indicators
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{
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[TestFixture]
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public class VolumeProfileTests : CommonIndicatorTests<TradeBar>
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{
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protected override string TestFileName => "vp_datatest.csv";
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protected override string TestColumnName => "POCPrice";
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protected override IndicatorBase<TradeBar> CreateIndicator()
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{
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RenkoBarSize = 1m;
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return new VolumeProfile(3);
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}
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protected override Action<IndicatorBase<TradeBar>, double> Assertion
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{
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get { return (indicator, expected) => Assert.AreEqual(expected, (double)indicator.Current.Value, 0.01); }
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}
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[Test]
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public void ComparesWithExternalDataPOCVolume()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"POCVolume",
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(ind, expected) => Assert.AreEqual(expected, (double)((VolumeProfile)ind).POCVolume)
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);
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}
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[Test]
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public void ComparesWithExternalDataProfileHigh()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"PH",
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(ind, expected) => Assert.AreEqual(expected, (double)((VolumeProfile)ind).ProfileHigh)
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);
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}
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[Test]
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public void ComparesWithExternalDataProfileLow()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"PL",
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(ind, expected) => Assert.AreEqual(expected, (double)((VolumeProfile)ind).ProfileLow)
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);
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}
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[Test]
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public void ComparesWithExternalDataValueArea()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"VA",
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(ind, expected) => Assert.AreEqual(expected, (double)((VolumeProfile)ind).ValueAreaVolume, 0.01)
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);
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}
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[Test]
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public void ComparesWithExternalDataVAH()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"VAH",
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(ind, expected) => Assert.AreEqual(expected, (double)((VolumeProfile)ind).ValueAreaHigh)
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);
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}
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[Test]
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public void ComparesWithExternalDataVAL()
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{
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TestHelper.TestIndicator(
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CreateIndicator(),
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TestFileName,
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"VAL",
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(ind, expected) => Assert.AreEqual(expected, (double)((VolumeProfile)ind).ValueAreaLow)
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);
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}
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[Test]
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public override void ResetsProperly()
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{
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var vp = (VolumeProfile)CreateIndicator();
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var reference = new System.DateTime(2020, 8, 1);
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Assert.IsFalse(vp.IsReady);
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for (int i = 0; i < 3; i++)
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{
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vp.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 1, Time = reference.AddDays(1 + i) });
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}
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Assert.IsTrue(vp.IsReady);
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vp.Reset();
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TestHelper.AssertIndicatorIsInDefaultState(vp);
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vp.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 1, Time = reference.AddDays(1) });
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Assert.AreEqual(vp.Current.Value, 1m);
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}
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[Test]
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public override void WarmsUpProperly()
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{
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var vp = new VolumeProfile(20);
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var reference = new DateTime(2000, 1, 1);
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var period = ((IIndicatorWarmUpPeriodProvider)vp).WarmUpPeriod;
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// Check VolumeProfile indicator assigns properly a WarmUpPeriod
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Assert.AreEqual(20, period);
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for (var i = 0; i < period; i++)
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{
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vp.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddDays(1 + i) });
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Assert.AreEqual(i == period - 1, vp.IsReady);
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}
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}
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[TestCaseSource(nameof(BarsSequenceCases))]
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public void DoesNotFailWithZeroVolumeBars(Bar[] bars)
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{
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var vp = new VolumeProfile(2);
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var reference = new DateTime(2000, 1, 1);
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var period = ((IIndicatorWarmUpPeriodProvider)vp).WarmUpPeriod;
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for (var i = 0; i < bars.Length; i++)
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{
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var dataPoint = new TradeBar() { Symbol = Symbols.AAPL, Close = bars[i].closePrice, Volume = bars[i].volume, Time = reference.AddDays(1 + i) };
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Assert.DoesNotThrow(() => vp.Update(dataPoint));
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Assert.AreEqual(bars[i].expectedPOCPrice, vp.Current.Value);
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}
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}
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public static Bar[][] BarsSequenceCases =
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{
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new Bar[] // Represents a sequence of real bars and a zero volume bar
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{
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new Bar(){ closePrice = 314.25m, volume = 100, expectedPOCPrice = 314.25m},
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new Bar(){ closePrice = 314.242m, volume = 100, expectedPOCPrice = 314.25m},
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new Bar(){ closePrice = 314.248m, volume = 0, expectedPOCPrice = 314.25m},
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new Bar(){ closePrice = 315.25m, volume = 100, expectedPOCPrice = 315.25m},
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new Bar(){ closePrice = 315.241m, volume = 100, expectedPOCPrice = 315.25m}
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},
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new Bar[] // Represents a sequence of a real bar and zero volume bars
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{
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new Bar(){ closePrice = 313.25m, volume = 100, expectedPOCPrice = 313.25m},
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 313.25m},
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 0},
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 0},
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new Bar(){ closePrice = 313.241m, volume = 0, expectedPOCPrice = 0}
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},
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new Bar[] // Represents a sequence of zero volume bars and a real bar
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{
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new Bar(){ closePrice = 314.243m, volume = 0, expectedPOCPrice = 314.25m},
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new Bar(){ closePrice = 314.243m, volume = 0, expectedPOCPrice = 314.25m},
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new Bar(){ closePrice = 314.243m, volume = 0, expectedPOCPrice = 0},
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new Bar(){ closePrice = 314.243m, volume = 0, expectedPOCPrice = 0},
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new Bar(){ closePrice = 315.243m, volume = 100, expectedPOCPrice = 315.25m},
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},
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new Bar[] // Represents an alternant sequence of zero volume bars and real bars
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{
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new Bar(){ closePrice = 312.25m, volume = 100, expectedPOCPrice = 312.25m},
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new Bar(){ closePrice = 312.243m, volume = 0, expectedPOCPrice = 312.25m},
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new Bar(){ closePrice = 312.25m, volume = 100, expectedPOCPrice = 312.25m},
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new Bar(){ closePrice = 312.243m, volume = 0, expectedPOCPrice = 312.25m},
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new Bar(){ closePrice = 312.243m, volume = 100, expectedPOCPrice = 312.25m},
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},
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new Bar[] // Represents a sequence of zero volume bars, a real bar and zero volume bars
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{
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 313.25m},
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 313.25m},
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new Bar(){ closePrice = 313.25m, volume = 100, expectedPOCPrice = 313.25m},
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 313.25m},
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 0},
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},
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new Bar[] // Represents a sequence of zero volume bars
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{
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 313.25m},
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 313.25m},
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new Bar(){ closePrice = 313.25m, volume = 0, expectedPOCPrice = 0},
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 0},
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new Bar(){ closePrice = 313.243m, volume = 0, expectedPOCPrice = 0},
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}
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};
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public class Bar
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{
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public decimal closePrice { get; set; }
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public decimal volume { get; set; }
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public decimal expectedPOCPrice { get; set; }
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}
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}
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}
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