wehub-resource-sync
103 lines
3.7 KiB
C#
103 lines
3.7 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.Engine.DataFeeds
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{
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[TestFixture]
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public class PrecalculatedSubscriptionDataTests
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{
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private SubscriptionDataConfig _config;
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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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}
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[Test]
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public void ChangeDataNormalizationMode()
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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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};
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var factor = 0.5m;
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var sumOfDividends = 100m;
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var adjustedTb = tb.Clone(tb.IsFillForward).Normalize(factor, DataNormalizationMode.Adjusted, 0);
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var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc);
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var offsetProvider = new TimeZoneOffsetProvider(TimeZones.Utc, new DateTime(2020, 5, 21), new DateTime(2020, 5, 22));
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var emitTimeUtc = offsetProvider.ConvertToUtc(tb.EndTime);
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_config.SumOfDividends = sumOfDividends;
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var subscriptionData = new PrecalculatedSubscriptionData(
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_config,
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tb,
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adjustedTb,
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DataNormalizationMode.Adjusted,
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emitTimeUtc);
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_config.DataNormalizationMode = DataNormalizationMode.Raw;
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Assert.AreEqual(tb.Open, (subscriptionData.Data as TradeBar).Open);
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Assert.AreEqual(tb.High, (subscriptionData.Data as TradeBar).High);
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Assert.AreEqual(tb.Low, (subscriptionData.Data as TradeBar).Low);
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Assert.AreEqual(tb.Close, (subscriptionData.Data as TradeBar).Close);
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_config.DataNormalizationMode = DataNormalizationMode.Adjusted;
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Assert.AreEqual(tb.Open * factor, (subscriptionData.Data as TradeBar).Open);
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Assert.AreEqual(tb.High * factor, (subscriptionData.Data as TradeBar).High);
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Assert.AreEqual(tb.Low * factor, (subscriptionData.Data as TradeBar).Low);
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Assert.AreEqual(tb.Close * factor, (subscriptionData.Data as TradeBar).Close);
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_config.DataNormalizationMode = DataNormalizationMode.TotalReturn;
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Assert.Throws<ArgumentException>(() =>
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{
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var data = subscriptionData.Data;
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}
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);
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_config.DataNormalizationMode = DataNormalizationMode.SplitAdjusted;
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Assert.Throws<ArgumentException>(() =>
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{
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var data = subscriptionData.Data;
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}
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);
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}
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}
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}
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