/* * 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 NUnit.Framework; using QuantConnect.Data.Market; using QuantConnect.Indicators; namespace QuantConnect.Tests.Indicators { [TestFixture] public class TimeProfileTests : CommonIndicatorTests { protected override string TestFileName => "tp_datatest.csv"; protected override string TestColumnName => "POCPrice"; protected override IndicatorBase CreateIndicator() { RenkoBarSize = 1m; return new TimeProfile(3); } protected override Action, double> Assertion { get { return (indicator, expected) => Assert.AreEqual(expected, (double)indicator.Current.Value, 0.01); } } [Test] public void ComparesWithExternalDataPOCVolume() { TestHelper.TestIndicator( CreateIndicator(), TestFileName, "POCVolume", (ind, expected) => Assert.AreEqual(expected, (double)((TimeProfile)ind).POCVolume) ); } [Test] public void ComparesWithExternalDataProfileHigh() { TestHelper.TestIndicator( CreateIndicator(), TestFileName, "PH", (ind, expected) => Assert.AreEqual(expected, (double)((TimeProfile)ind).ProfileHigh) ); } [Test] public void ComparesWithExternalDataProfileLow() { TestHelper.TestIndicator( CreateIndicator(), TestFileName, "PL", (ind, expected) => Assert.AreEqual(expected, (double)((TimeProfile)ind).ProfileLow) ); } [Test] public void ComparesWithExternalDataValueArea() { TestHelper.TestIndicator( CreateIndicator(), TestFileName, "VA", (ind, expected) => Assert.AreEqual(expected, (double)((TimeProfile)ind).ValueAreaVolume,0.01) ); } [Test] public void ComparesWithExternalDataVAH() { TestHelper.TestIndicator( CreateIndicator(), TestFileName, "VAH", (ind, expected) => Assert.AreEqual(expected, (double)((TimeProfile)ind).ValueAreaHigh) ); } [Test] public void ComparesWithExternalDataVAL() { TestHelper.TestIndicator( CreateIndicator(), TestFileName, "VAL", (ind, expected) => Assert.AreEqual(expected, (double)((TimeProfile)ind).ValueAreaLow) ); } [Test] public override void ResetsProperly() { var tp = (TimeProfile)CreateIndicator(); var reference = new System.DateTime(2020, 8, 1); Assert.IsFalse(tp.IsReady); for (int i = 0; i < 3; i++) { tp.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 1, Time = reference.AddDays(1 + i) }); } Assert.IsTrue(tp.IsReady); tp.Reset(); TestHelper.AssertIndicatorIsInDefaultState(tp); tp.Update(new TradeBar() { Symbol = Symbols.IBM, Close = 1, Volume = 1, Time = reference.AddDays(1) }); Assert.AreEqual(tp.Current.Value, 1m); } [Test] public override void WarmsUpProperly() { var tp = new TimeProfile(20); var reference = new DateTime(2000, 1, 1); var period = ((IIndicatorWarmUpPeriodProvider)tp).WarmUpPeriod; // Check TimeProfile indicator assigns properly a WarmUpPeriod Assert.AreEqual(20, period); for (var i = 0; i < period; i++) { tp.Update(new TradeBar() { Symbol = Symbols.AAPL, Low = 1, High = 2, Volume = 100, Time = reference.AddDays(1 + i) }); Assert.AreEqual(i == period - 1, tp.IsReady); } } } }