public void ThrowsErrorWhenDataShapeIsNotExpected()
{
var consolidator = new DynamicDataConsolidator(1, true, true);
var data = new CustomData();
consolidator.Update(data);
}
public void AggregatesTimeValuePairsWithVolumeProperly()
{
TradeBar newTradeBar = null;
var consolidator = new DynamicDataConsolidator(4);
consolidator.DataConsolidated += (sender, tradeBar) =>
{
newTradeBar = tradeBar;
};
var reference = DateTime.Today;
dynamic bar1 = new CustomData
{
Symbol = Symbols.SPY,
Time = reference,
Value = 5,
};
bar1.Volume = 75L;
consolidator.Update(bar1);
Assert.IsNull(newTradeBar);
dynamic bar2 = new CustomData
{
Symbol = Symbols.SPY,
Time = reference.AddHours(1),
Value = 10
};
bar2.Volume = 100L;
consolidator.Update(bar2);
Assert.IsNull(newTradeBar);
dynamic bar3 = new CustomData
{
Symbol = Symbols.SPY,
Time = reference.AddHours(2),
Value = 1
};
bar3.Volume = 115L;
consolidator.Update(bar3);
Assert.IsNull(newTradeBar);
dynamic bar4 = new CustomData
{
Symbol = Symbols.SPY,
Time = reference.AddHours(3),
Value = 9
};
bar4.Volume = 85L;
consolidator.Update(bar4);
Assert.IsNotNull(newTradeBar);
Assert.AreEqual(Symbols.SPY, newTradeBar.Symbol);
Assert.AreEqual(bar1.Time, newTradeBar.Time);
Assert.AreEqual(bar1.Value, newTradeBar.Open);
Assert.AreEqual(bar2.Value, newTradeBar.High);
Assert.AreEqual(bar3.Value, newTradeBar.Low);
Assert.AreEqual(bar4.Value, newTradeBar.Close);
Assert.AreEqual(bar1.Volume + bar2.Volume + bar3.Volume + bar4.Volume, newTradeBar.Volume);
}
public void AggregatesTimeValuePairsWithOutVolumeProperly()
{
TradeBar newTradeBar = null;
var consolidator = new DynamicDataConsolidator(4);
consolidator.DataConsolidated += (sender, tradeBar) =>
{
newTradeBar = tradeBar;
};
var reference = DateTime.Today;
var bar1 = new CustomData
{
Symbol = Symbols.SPY,
Time = reference,
Value = 5
};
consolidator.Update(bar1);
Assert.IsNull(newTradeBar);
var bar2 = new CustomData
{
Symbol = Symbols.SPY,
Time = reference.AddHours(1),
Value = 10
};
consolidator.Update(bar2);
Assert.IsNull(newTradeBar);
var bar3 = new CustomData
{
Symbol = Symbols.SPY,
Time = reference.AddHours(2),
Value = 1
};
consolidator.Update(bar3);
Assert.IsNull(newTradeBar);
var bar4 = new CustomData
{
Symbol = Symbols.SPY,
Time = reference.AddHours(3),
Value = 9
};
consolidator.Update(bar4);
Assert.IsNotNull(newTradeBar);
Assert.AreEqual(Symbols.SPY, newTradeBar.Symbol);
Assert.AreEqual(bar1.Time, newTradeBar.Time);
Assert.AreEqual(bar1.Value, newTradeBar.Open);
Assert.AreEqual(bar2.Value, newTradeBar.High);
Assert.AreEqual(bar3.Value, newTradeBar.Low);
Assert.AreEqual(bar4.Value, newTradeBar.Close);
Assert.AreEqual(0, newTradeBar.Volume);
Assert.AreEqual(bar4.EndTime, newTradeBar.EndTime);
}
public void AggregatesTradeBarsWithVolumeProperly()
{
TradeBar consolidated = null;
var consolidator = new DynamicDataConsolidator(3, true, true);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = DateTime.Today;
dynamic bar1 = new CustomData();
bar1.Symbol = "SPY";
bar1.Time = reference;
bar1.Open = 10;
bar1.High = 100m;
bar1.Low = 1m;
bar1.Close = 50m;
bar1.Volume = 75L;
dynamic bar2 = new CustomData();
bar2.Symbol = "SPY";
bar2.Time = reference.AddHours(1);
bar2.Open = 50m;
bar2.High = 123m;
bar2.Low = 35m;
bar2.Close = 75m;
bar2.Volume = 100L;
dynamic bar3 = new CustomData();
bar3.Symbol = "SPY";
bar3.Time = reference.AddHours(1);
bar3.Open = 75m;
bar3.High = 100m;
bar3.Low = 50m;
bar3.Close = 83m;
bar3.Volume = 125L;
consolidator.Update(bar1);
Assert.IsNull(consolidated);
consolidator.Update(bar2);
Assert.IsNull(consolidated);
consolidator.Update(bar3);
Assert.IsNotNull(consolidated);
Assert.AreEqual("SPY", consolidated.Symbol);
Assert.AreEqual(bar1.Open, consolidated.Open);
Assert.AreEqual(Math.Max(bar1.High, Math.Max(bar2.High, bar3.High)), consolidated.High);
Assert.AreEqual(Math.Min(bar1.Low, Math.Min(bar2.Low, bar3.Low)), consolidated.Low);
Assert.AreEqual(bar3.Close, consolidated.Close);
Assert.AreEqual(bar1.Volume + bar2.Volume + bar3.Volume, consolidated.Volume);
}
public void PythonCustomDataTypes_AreAddedToConsolidator_Successfully()
{
var qcAlgorithm = new AlgorithmPythonWrapper("Test_CustomDataAlgorithm");
// Initialize contains the statements:
// self.AddData(Nifty, "NIFTY")
// self.AddData(QuandlFuture, "SCF/CME_CL1_ON", Resolution.Daily)
qcAlgorithm.Initialize();
var niftyConsolidator = new DynamicDataConsolidator(TimeSpan.FromDays(2));
Assert.DoesNotThrow(() => qcAlgorithm.SubscriptionManager.AddConsolidator("NIFTY", niftyConsolidator));
var quandlConsolidator = new DynamicDataConsolidator(TimeSpan.FromDays(2));
Assert.DoesNotThrow(() => qcAlgorithm.SubscriptionManager.AddConsolidator("SCF/CME_CL1_ON", quandlConsolidator));
}
public void PythonCustomDataTypes_AreAddedToConsolidator_Successfully()
{
var qcAlgorithm = new AlgorithmPythonWrapper("Test_CustomDataAlgorithm");
qcAlgorithm.SubscriptionManager.SetDataManager(new DataManagerStub(qcAlgorithm));
// Initialize contains the statements:
// self.AddData(Nifty, "NIFTY")
// self.AddData(CustomPythonData, "IBM", Resolution.Daily)
qcAlgorithm.Initialize();
var niftyConsolidator = new DynamicDataConsolidator(TimeSpan.FromDays(2));
Assert.DoesNotThrow(() => qcAlgorithm.SubscriptionManager.AddConsolidator("NIFTY", niftyConsolidator));
var customDataConsolidator = new DynamicDataConsolidator(TimeSpan.FromDays(2));
Assert.DoesNotThrow(() => qcAlgorithm.SubscriptionManager.AddConsolidator("IBM", customDataConsolidator));
}
public void PythonCustomDataTypes_AreAddedToConsolidator_Successfully()
{
var pythonPath = new System.IO.DirectoryInfo("RegressionAlgorithms");
Environment.SetEnvironmentVariable("PYTHONPATH", pythonPath.FullName);
var qcAlgorithm = new AlgorithmPythonWrapper("Test_CustomDataAlgorithm");
// Initialize contains the statements:
// self.AddData(Nifty, "NIFTY")
// self.AddData(QuandlFuture, "SCF/CME_CL1_ON", Resolution.Daily)
qcAlgorithm.Initialize();
var niftyConsolidator = new DynamicDataConsolidator(TimeSpan.FromDays(2));
Assert.DoesNotThrow(() => qcAlgorithm.SubscriptionManager.AddConsolidator("NIFTY", niftyConsolidator));
var quandlConsolidator = new DynamicDataConsolidator(TimeSpan.FromDays(2));
Assert.DoesNotThrow(() => qcAlgorithm.SubscriptionManager.AddConsolidator("SCF/CME_CL1_ON", quandlConsolidator));
}
public void AggregatesTradeBarsWithVolumeProperly()
{
TradeBar consolidated = null;
var consolidator = new DynamicDataConsolidator(3);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = DateTime.Today;
dynamic bar1 = new CustomData();
bar1.Symbol = "SPY";
bar1.Time = reference;
bar1.Open = 10;
bar1.High = 100m;
bar1.Low = 1m;
bar1.Close = 50m;
bar1.Volume = 75L;
dynamic bar2 = new CustomData();
bar2.Symbol = "SPY";
bar2.Time = reference.AddHours(1);
bar2.Open = 50m;
bar2.High = 123m;
bar2.Low = 35m;
bar2.Close = 75m;
bar2.Volume = 100L;
dynamic bar3 = new CustomData();
bar3.Symbol = "SPY";
bar3.Time = reference.AddHours(1);
bar3.Open = 75m;
bar3.High = 100m;
bar3.Low = 50m;
bar3.Close = 83m;
bar3.Volume = 125L;
consolidator.Update(bar1);
Assert.IsNull(consolidated);
consolidator.Update(bar2);
Assert.IsNull(consolidated);
consolidator.Update(bar3);
Assert.IsNotNull(consolidated);
Assert.AreEqual("SPY", consolidated.Symbol.Permtick);
Assert.AreEqual(bar1.Open, consolidated.Open);
Assert.AreEqual(Math.Max(bar1.High, Math.Max(bar2.High, bar3.High)), consolidated.High);
Assert.AreEqual(Math.Min(bar1.Low, Math.Min(bar2.Low, bar3.Low)), consolidated.Low);
Assert.AreEqual(bar3.Close, consolidated.Close);
Assert.AreEqual(bar1.Volume + bar2.Volume + bar3.Volume, consolidated.Volume);
}
public void AggregatesTimeValuePairsWithVolumeProperly()
{
TradeBar newTradeBar = null;
var consolidator = new DynamicDataConsolidator(4, false, true);
consolidator.DataConsolidated += (sender, tradeBar) =>
{
newTradeBar = tradeBar;
};
var reference = DateTime.Today;
dynamic bar1 = new CustomData
{
Symbol = "SPY",
Time = reference,
Value = 5,
};
bar1.Volume = 75L;
consolidator.Update(bar1);
Assert.IsNull(newTradeBar);
dynamic bar2 = new CustomData
{
Symbol = "SPY",
Time = reference.AddHours(1),
Value = 10
};
bar2.Volume = 100L;
consolidator.Update(bar2);
Assert.IsNull(newTradeBar);
dynamic bar3 = new CustomData
{
Symbol = "SPY",
Time = reference.AddHours(2),
Value = 1
};
bar3.Volume = 115L;
consolidator.Update(bar3);
Assert.IsNull(newTradeBar);
dynamic bar4 = new CustomData
{
Symbol = "SPY",
Time = reference.AddHours(3),
Value = 9
};
bar4.Volume = 85L;
consolidator.Update(bar4);
Assert.IsNotNull(newTradeBar);
Assert.AreEqual("SPY", newTradeBar.Symbol);
Assert.AreEqual(bar1.Time, newTradeBar.Time);
Assert.AreEqual(bar1.Value, newTradeBar.Open);
Assert.AreEqual(bar2.Value, newTradeBar.High);
Assert.AreEqual(bar3.Value, newTradeBar.Low);
Assert.AreEqual(bar4.Value, newTradeBar.Close);
Assert.AreEqual(bar1.Volume + bar2.Volume + bar3.Volume + bar4.Volume, newTradeBar.Volume);
}
public void ThrowsErrorWhenDataShapeIsNotExpected()
{
var consolidator = new DynamicDataConsolidator(1, true, true);
var data = new CustomData();
consolidator.Update(data);
}
