wehub-resource-sync
68 lines
3.0 KiB
Python
68 lines
3.0 KiB
Python
# 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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from AlgorithmImports import *
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### <summary>
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### Regression algorithm asserting that consolidators expose a built-in rolling window
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### </summary>
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class ConsolidatorRollingWindowRegressionAlgorithm(QCAlgorithm):
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def initialize(self):
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self.set_start_date(2013, 10, 7)
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self.set_end_date(2013, 10, 11)
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self.add_equity("SPY", Resolution.MINUTE)
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self._consolidation_count = 0
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self._consolidator = TradeBarConsolidator(timedelta(minutes=10))
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self._consolidator.data_consolidated += self._on_data_consolidated
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self.subscription_manager.add_consolidator("SPY", self._consolidator)
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def _on_data_consolidated(self, sender, bar):
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self._consolidation_count += 1
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if self._consolidator.current != self._consolidator[0]:
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raise AssertionError("Expected current to be the same as window[0]")
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# consolidator[0] must always match the bar just fired
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current_bar = self._consolidator[0]
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if current_bar.time != bar.time:
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raise AssertionError(f"Expected consolidator[0].time == {bar.time} but was {current_bar.time}")
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if current_bar.value != bar.close:
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raise AssertionError(f"Expected consolidator[0].value == {bar.close} but was {current_bar.value}")
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# After the second consolidation the previous bar must be at index 1
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if self._consolidator.window.count >= 2:
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previous = self._consolidator[1]
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if self._consolidator.previous != self._consolidator[1]:
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raise AssertionError("Expected previous to be the same as window[1]")
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if previous.time >= bar.time:
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raise AssertionError(
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f"consolidator[1].time ({previous.time}) should be earlier "
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f"than consolidator[0].time ({bar.time})"
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)
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if previous.value <= 0:
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raise AssertionError("consolidator[1].value should be greater than zero")
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def on_data(self, data):
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pass
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def on_end_of_algorithm(self):
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if self._consolidation_count == 0:
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raise AssertionError("Expected at least one consolidation but got zero")
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# Default window size is 2, it must be full
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if self._consolidator.window.count != 2:
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raise AssertionError(f"Expected window count of 2 but was {self._consolidator.window.count}")
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