wehub-resource-sync
119 lines
4.5 KiB
C#
119 lines
4.5 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 Python.Runtime;
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using System;
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using QuantConnect.Logging;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Research
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{
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[TestFixture]
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public class QuantBookIndicatorsTests
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{
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private ILogHandler _logHandler;
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dynamic _module;
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[OneTimeSetUp]
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public void Setup()
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{
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// Store initial handler
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_logHandler = Log.LogHandler;
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SymbolCache.Clear();
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MarketHoursDatabase.Reset();
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using (Py.GIL())
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{
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_module = Py.Import("Test_QuantBookIndicator");
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}
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}
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[OneTimeTearDown]
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public void OneTimeTearDown()
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{
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// Reset to initial handler
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Log.LogHandler = _logHandler;
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}
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[TestCase(2013, 10, 11, SecurityType.Equity, "SPY")]
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[TestCase(2014, 5, 9, SecurityType.Forex, "EURUSD")]
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[TestCase(2016, 10, 9, SecurityType.Crypto, "BTCUSD")]
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public void QuantBookIndicatorTests(int year, int month, int day, SecurityType securityType, string symbol)
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{
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using (Py.GIL())
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{
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var startDate = new DateTime(year, month, day);
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var indicatorTest = _module.IndicatorTest(startDate, securityType, symbol);
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var endDate = startDate;
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startDate = endDate.AddYears(-1);
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// Tests a data point indicator
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var dfBB = indicatorTest.test_bollinger_bands(symbol, startDate, endDate, Resolution.Daily).DataFrame;
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Assert.IsTrue(GetDataFrameLength(dfBB) > 0);
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// Tests a bar indicator
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var dfATR = indicatorTest.test_average_true_range(symbol, startDate, endDate, Resolution.Daily).DataFrame;
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Assert.IsTrue(GetDataFrameLength(dfATR) > 0);
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if (securityType == SecurityType.Forex)
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{
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return;
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}
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// Tests a trade bar indicator
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var dfOBV = indicatorTest.test_on_balance_volume(symbol, startDate, endDate, Resolution.Daily).DataFrame;
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Assert.IsTrue(GetDataFrameLength(dfOBV) > 0);
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}
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}
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[TestCase(2013, 10, 11, SecurityType.Equity, "SPY")]
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[TestCase(2014, 5, 9, SecurityType.Forex, "EURUSD")]
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[TestCase(2016, 10, 9, SecurityType.Crypto, "BTCUSD")]
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public void QuantBookIndicatorTests_BackwardsCompatibility(int year, int month, int day, SecurityType securityType, string symbol)
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{
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using (Py.GIL())
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{
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var startDate = new DateTime(year, month, day);
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var indicatorTest = _module.IndicatorTest(startDate, securityType, symbol);
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var endDate = startDate;
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startDate = endDate.AddYears(-1);
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// Tests a data point indicator
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var dfBB = indicatorTest.test_bollinger_bands_backwards_compatibility(symbol, startDate, endDate, Resolution.Daily);
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Assert.IsTrue(GetDataFrameLength(dfBB) > 0);
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// Tests a bar indicator
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var dfATR = indicatorTest.test_average_true_range_backwards_compatibility(symbol, startDate, endDate, Resolution.Daily);
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Assert.IsTrue(GetDataFrameLength(dfATR) > 0);
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if (securityType == SecurityType.Forex)
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{
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return;
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}
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// Tests a trade bar indicator
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var dfOBV = indicatorTest.test_on_balance_volume_backwards_compatibility(symbol, startDate, endDate, Resolution.Daily);
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Assert.IsTrue(GetDataFrameLength(dfOBV) > 0);
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}
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}
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internal static int GetDataFrameLength(dynamic df) => (int)(df.shape[0] as PyObject).AsManagedObject(typeof(int));
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}
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}
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