wehub-resource-sync
105 lines
4.2 KiB
C#
105 lines
4.2 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.Consolidators;
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using QuantConnect.Indicators;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Tests.Indicators
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{
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public interface ITestMcClellanOscillator
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{
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public void TestUpdate(IndicatorDataPoint input);
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}
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/// <summary>
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/// Miscellaneous tool for McClellan Indicator test
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/// </summary>
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public class McClellanIndicatorTestHelper
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{
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/// <summary>
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/// Run test for McClellan Indicator
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/// </summary>
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/// <param name="indicator">McClellan Indicator instance</param>
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/// <param name="fileName">External source file name</param>
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/// <param name="columnName">External source reference column name</param>
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public static void RunTestIndicator<T>(T indicator, string fileName, string columnName)
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where T : TradeBarIndicator, ITestMcClellanOscillator
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{
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foreach (var parts in TestHelper.GetCsvFileStream(fileName))
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{
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parts.TryGetValue("a/d difference", out var adDifference);
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parts.TryGetValue("date", out var date);
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var data = new IndicatorDataPoint(Parse.DateTimeExact(date, "yyyyMMdd"), adDifference.ToDecimal());
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indicator.TestUpdate(data);
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if (!indicator.IsReady || !parts.TryGetValue(columnName, out var expected))
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{
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continue;
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}
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// Source data has only 2 decimal places
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Assert.AreEqual(Parse.Double(expected), (double)indicator.Current.Value, 0.02d);
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}
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}
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/// <summary>
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/// Updates the given consolidator with the entries from the given external CSV file
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/// </summary>
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/// <param name="renkoConsolidator">RenkoConsoliadtor instance</param>
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/// <param name="fileName">External source file name</param>
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public static void UpdateRenkoConsolidator(IDataConsolidator renkoConsolidator, string fileName)
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{
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var closeValue = 1m;
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foreach (var parts in TestHelper.GetCsvFileStream(fileName))
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{
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parts.TryGetValue("a/d difference", out var adDifference);
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parts.TryGetValue("date", out var date);
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var data = new TradeBar() { Symbol = Symbols.SPY, Close = closeValue, Open = closeValue - 1, Volume = 1, Time = Parse.DateTimeExact(date, "yyyyMMdd") };
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closeValue++;
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renkoConsolidator.Update(data);
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}
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}
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/// <summary>
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/// Get the simulated number of advance and decline asset
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/// </summary>
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/// <param name="adDifference">Number of advancing asset minus that of declining ones</param>
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/// <param name="advance">Simulated number of advancing asset</param>
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/// <param name="decline">Simulated number of declining asset</param>
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public static bool GetAdvanceDeclineNumber(decimal adDifference, out int advance, out int decline)
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{
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// x + (3000 - x) = adDifference
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var simulatedAdvance = (adDifference + 2530m) / 2m;
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// Both -0.5 if `simulatedAdvance` is not divisible by 2
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if (simulatedAdvance % 1 != 0)
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{
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advance = (int)Math.Floor(simulatedAdvance);
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decline = 2530 - advance - 1;
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return false;
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}
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advance = (int)simulatedAdvance;
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decline = 2530 - advance;
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return true;
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}
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}
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}
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