/* * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals. * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation. * * Licensed under the Apache License, Version 2.0 (the "License"); * you may not use this file except in compliance with the License. * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 * * Unless required by applicable law or agreed to in writing, software * distributed under the License is distributed on an "AS IS" BASIS, * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. * See the License for the specific language governing permissions and * limitations under the License. */ using System; using System.IO; using System.Text; using NUnit.Framework; using QuantConnect.Data; using QuantConnect.Securities; using QuantConnect.Data.Market; namespace QuantConnect.Tests.Common.Data.Market { [TestFixture] public class TradeBarTests { [Test] public void UpdatesProperly() { var bar = new TradeBar(); bar.UpdateTrade(10, 10); Assert.AreEqual(10, bar.Open); Assert.AreEqual(10, bar.High); Assert.AreEqual(10, bar.Low); Assert.AreEqual(10, bar.Close); Assert.AreEqual(10, bar.Volume); bar.UpdateTrade(20, 5); Assert.AreEqual(10, bar.Open); Assert.AreEqual(20, bar.High); Assert.AreEqual(10, bar.Low); Assert.AreEqual(20, bar.Close); Assert.AreEqual(15, bar.Volume); bar.UpdateTrade(5, 50); Assert.AreEqual(10, bar.Open); Assert.AreEqual(20, bar.High); Assert.AreEqual(5, bar.Low); Assert.AreEqual(5, bar.Close); Assert.AreEqual(65, bar.Volume); bar.UpdateTrade(11, 100); Assert.AreEqual(10, bar.Open); Assert.AreEqual(20, bar.High); Assert.AreEqual(5, bar.Low); Assert.AreEqual(11, bar.Close); Assert.AreEqual(165, bar.Volume); } [Test] public void HandlesAssetWithValidZeroPrice() { var bar = new TradeBar(); bar.UpdateTrade(10, 10); Assert.AreEqual(10, bar.Open); Assert.AreEqual(10, bar.High); Assert.AreEqual(10, bar.Low); Assert.AreEqual(10, bar.Close); Assert.AreEqual(10, bar.Volume); bar.UpdateTrade(0, 100); Assert.AreEqual(10, bar.Open); Assert.AreEqual(10, bar.High); Assert.AreEqual(0, bar.Low); Assert.AreEqual(0, bar.Close); Assert.AreEqual(110, bar.Volume); bar.UpdateTrade(-5, 100); Assert.AreEqual(10, bar.Open); Assert.AreEqual(10, bar.High); Assert.AreEqual(-5, bar.Low); Assert.AreEqual(-5, bar.Close); Assert.AreEqual(210, bar.Volume); bar.UpdateTrade(5, 100); Assert.AreEqual(10, bar.Open); Assert.AreEqual(10, bar.High); Assert.AreEqual(-5, bar.Low); Assert.AreEqual(5, bar.Close); Assert.AreEqual(310, bar.Volume); bar.UpdateTrade(50, 100); Assert.AreEqual(10, bar.Open); Assert.AreEqual(50, bar.High); Assert.AreEqual(-5, bar.Low); Assert.AreEqual(50, bar.Close); Assert.AreEqual(410, bar.Volume); } [Test] public void TradeBarParseScalesOptionsWithEquityUnderlying() { var factory = new TradeBar(); var underlying = Symbol.Create("SPY", SecurityType.Equity, QuantConnect.Market.USA); var optionSymbol = Symbol.CreateOption( underlying, QuantConnect.Market.CME, OptionStyle.American, OptionRight.Put, 4200m, SecurityIdentifier.DefaultDate); var config = new SubscriptionDataConfig( typeof(TradeBar), optionSymbol, Resolution.Minute, TimeZones.Chicago, TimeZones.Chicago, true, false, false, false, TickType.Trade, true, DataNormalizationMode.Raw); var tradeLine = "40560000,10000,15000,10000,15000,90"; using var memoryStream = new MemoryStream(Encoding.UTF8.GetBytes(tradeLine)); using var stream = new StreamReader(memoryStream); var tradeBarFromLine = (TradeBar)factory.Reader(config, tradeLine, new DateTime(2020, 9, 22), false); var tradeBarFromStream = (TradeBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false); Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), tradeBarFromLine.EndTime); Assert.AreEqual(optionSymbol, tradeBarFromLine.Symbol); Assert.AreEqual(1m, tradeBarFromLine.Open); Assert.AreEqual(1.5m, tradeBarFromLine.High); Assert.AreEqual(1m, tradeBarFromLine.Low); Assert.AreEqual(1.5m, tradeBarFromLine.Close); Assert.AreEqual(90m, tradeBarFromLine.Volume); Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), tradeBarFromStream.EndTime); Assert.AreEqual(optionSymbol, tradeBarFromStream.Symbol); Assert.AreEqual(1m, tradeBarFromStream.Open); Assert.AreEqual(1.5m, tradeBarFromStream.High); Assert.AreEqual(1m, tradeBarFromStream.Low); Assert.AreEqual(1.5m, tradeBarFromStream.Close); Assert.AreEqual(90m, tradeBarFromStream.Volume); } [Test] public void TradeBarParseDoesNotScaleOptionsWithNonEquityUnderlying() { var factory = new TradeBar(); var underlying = Symbol.CreateFuture("ES", QuantConnect.Market.CME, new DateTime(2021, 3, 19)); var optionSymbol = Symbol.CreateOption( underlying, QuantConnect.Market.CME, OptionStyle.American, OptionRight.Put, 4200m, SecurityIdentifier.DefaultDate); var config = new SubscriptionDataConfig( typeof(TradeBar), optionSymbol, Resolution.Minute, TimeZones.Chicago, TimeZones.Chicago, true, false, false, false, TickType.Trade, true, DataNormalizationMode.Raw); var tradeLine = "40560000,1.0,1.5,1.0,1.5,90.0"; using var memoryStream = new MemoryStream(Encoding.UTF8.GetBytes(tradeLine)); using var stream = new StreamReader(memoryStream); var unscaledTradeBarFromLine = (TradeBar)factory.Reader(config, tradeLine, new DateTime(2020, 9, 22), false); var unscaledTradeBarFromStream = (TradeBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false); Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledTradeBarFromLine.EndTime); Assert.AreEqual(optionSymbol, unscaledTradeBarFromLine.Symbol); Assert.AreEqual(1m, unscaledTradeBarFromLine.Open); Assert.AreEqual(1.5m, unscaledTradeBarFromLine.High); Assert.AreEqual(1m, unscaledTradeBarFromLine.Low); Assert.AreEqual(1.5m, unscaledTradeBarFromLine.Close); Assert.AreEqual(90m, unscaledTradeBarFromLine.Volume); Assert.AreEqual(new DateTime(2020, 9, 22, 11, 17, 0), unscaledTradeBarFromStream.EndTime); Assert.AreEqual(optionSymbol, unscaledTradeBarFromStream.Symbol); Assert.AreEqual(1m, unscaledTradeBarFromStream.Open); Assert.AreEqual(1.5m, unscaledTradeBarFromStream.High); Assert.AreEqual(1m, unscaledTradeBarFromStream.Low); Assert.AreEqual(1.5m, unscaledTradeBarFromStream.Close); Assert.AreEqual(90m, unscaledTradeBarFromStream.Volume); } [TestCase(Resolution.Minute, "43140000,21.04,21.44,20.4,21.24,0")] [TestCase(Resolution.Hour, "20200922 11:00,21.04,21.44,20.4,21.24,0")] [TestCase(Resolution.Daily, "20200921 00:00,21.04,21.44,20.4,21.24,0")] public void TradeBarIndexLowResolutionParsing(Resolution resolution, string tradeLine) { var factory = new TradeBar(); var symbol = Symbols.CreateIndexSymbol("VIX"); var entry = MarketHoursDatabase.FromDataFolder() .GetEntry(symbol.ID.Market, symbol, symbol.SecurityType); var config = new SubscriptionDataConfig( typeof(TradeBar), symbol, resolution, entry.DataTimeZone, entry.ExchangeHours.TimeZone, true, false, false, false, TickType.Trade, true, DataNormalizationMode.Raw); using var memoryStream = new MemoryStream(Encoding.UTF8.GetBytes(tradeLine)); using var stream = new StreamReader(memoryStream); var fromLine = (TradeBar)factory.Reader(config, tradeLine, new DateTime(2020, 9, 22), false); var fromStream = (TradeBar)factory.Reader(config, stream, new DateTime(2020, 9, 22), false); var expectedEndTime = new DateTime(2020, 9, 22, 12, 0, 0); if (resolution == Resolution.Daily) { expectedEndTime = new DateTime(2020, 9, 22, 0, 0, 0); } Assert.AreEqual(expectedEndTime, fromLine.EndTime); Assert.AreEqual(symbol, fromLine.Symbol); Assert.AreEqual(21.04m, fromLine.Open); Assert.AreEqual(21.44m, fromLine.High); Assert.AreEqual(20.4m, fromLine.Low); Assert.AreEqual(21.24m, fromLine.Close); Assert.AreEqual(0m, fromLine.Volume); Assert.AreEqual(expectedEndTime, fromStream.EndTime); Assert.AreEqual(symbol, fromLine.Symbol); Assert.AreEqual(21.04m, fromLine.Open); Assert.AreEqual(21.44m, fromLine.High); Assert.AreEqual(20.4m, fromLine.Low); Assert.AreEqual(21.24m, fromLine.Close); Assert.AreEqual(0m, fromLine.Volume); } } }