public void GetChartPoints_IfOnlyMasterPeakExtremumWithLongShadow_OnlyLimitedNumberOfPointsIsCreated()
{
//Arrange
DataSet ds5 = utf.getDataSet(5);
Price basePrice = utf.getPrice(ds5);
Extremum master = new Extremum(basePrice, ExtremumType.PeakByClose);
Quotation quotation5 = new Quotation(ds5)
{
Id = 5, Open = 1.09193, High = 1.09307, Low = 1.09165, Close = 1.09207, Volume = 1819
};
ExtremumGroup extremumGroup = new ExtremumGroup(master, null);
Mock <IProcessManager> mockManager = new Mock <IProcessManager>();
mockManager.Setup(m => m.GetDataSet(5)).Returns(ds5);
//Act
TrendlineProcessor processor = new TrendlineProcessor(mockManager.Object);
//Assert
processor.MaxChartPointsForExtremumGroup = 6;
processor.MinDistanceBetweenChartPoints = 0.0001;
var result = processor.GetChartPoints(extremumGroup);
var expectedResult = new List <ChartPoint>();
expectedResult.Add(new ChartPoint(master.GetIndexNumber(), 1.09207));
expectedResult.Add(new ChartPoint(master.GetIndexNumber(), 1.09227));
expectedResult.Add(new ChartPoint(master.GetIndexNumber(), 1.09247));
expectedResult.Add(new ChartPoint(master.GetIndexNumber(), 1.09267));
expectedResult.Add(new ChartPoint(master.GetIndexNumber(), 1.09287));
expectedResult.Add(new ChartPoint(master.GetIndexNumber(), 1.09307));
var isEqual = expectedResult.HasEqualItems(result);
Assert.IsTrue(isEqual);
}
public void GetChartPoints_IfOnlySlavePeakExtremumWithShortShadow_PointsFromShadowTopToHighestAdjacentShadow()
{
//Arrange
DataSet ds5 = utf.getDataSet(5);
Price price5 = utf.getPrice(ds5);
Quotation quotation5 = new Quotation(ds5)
{
Id = 5, Open = 1.09193, High = 1.09209, Low = 1.09165, Close = 1.09207, Volume = 1819
};
Extremum slave = new Extremum(price5, ExtremumType.PeakByHigh);
ExtremumGroup extremumGroup = new ExtremumGroup(null, slave);
Mock <IProcessManager> mockManager = new Mock <IProcessManager>();
mockManager.Setup(m => m.GetDataSet(5)).Returns(ds5);
//Act
TrendlineProcessor processor = new TrendlineProcessor(mockManager.Object);
processor.MinDistanceBetweenChartPoints = 1;
//Assert
processor.MaxChartPointsForExtremumGroup = 6;
processor.MinDistanceBetweenChartPoints = 0.0001;
var result = processor.GetChartPoints(extremumGroup);
var expectedResult = new List <ChartPoint>();
expectedResult.Add(new ChartPoint(slave.GetIndexNumber(), 1.09207));
expectedResult.Add(new ChartPoint(slave.GetIndexNumber(), 1.09209));
var isEqual = expectedResult.HasEqualItems(result);
Assert.IsTrue(isEqual);
}
public void GetIndexNumberForLevelForTrough_IfThereAreBothQuotationsAndLevelLowerThanMasterLowPrice_ReturnsSlaveQuotationIndexNumber()
{
//Arrange
DataSet ds5 = utf.getDataSet(5);
Price price5 = utf.getPrice(ds5);
Quotation quotation5 = new Quotation(ds5)
{
Id = 5, Open = 1.09127, High = 1.09235, Low = 1.09015, Close = 1.09067, Volume = 1519
};
Extremum master = new Extremum(price5, ExtremumType.TroughByClose);
DataSet ds6 = utf.getDataSet(6);
Price price6 = utf.getPrice(ds6);
Quotation quotation6 = new Quotation(ds6)
{
Id = 6, Open = 1.09067, High = 1.09102, Low = 1.08947, Close = 1.09087, Volume = 1819
};
Extremum slave = new Extremum(price6, ExtremumType.TroughByLow);
ExtremumGroup extremumGroup = new ExtremumGroup(master, slave);
//Act
int indexNumber = extremumGroup.GetIndexNumberForLevel(1.0900);
//Assert
int expectedIndex = 6;
Assert.AreEqual(expectedIndex, indexNumber);
}
public void ExtremumGroup_Constructor_IfTroughMasterAndPeakSlaveIsGiven_ExceptionIsThrown()
{
//Arrange
Price p = utf.getPrice(10);
Extremum ex1 = new Extremum(p, ExtremumType.TroughByClose);
Extremum ex2 = new Extremum(p, ExtremumType.PeakByHigh);
//Act
ExtremumGroup eg = new ExtremumGroup(ex1, ex2);
}
private Dictionary <int, ExtremumGroup> GetExtremumGroupsMap(int assetId, int timeframeId)
{
_repository = new EFTrendlineRepository();
Dictionary <int, ExtremumGroup> map = new Dictionary <int, ExtremumGroup>();
foreach (var dto in _repository.GetExtremumGroups(assetId, timeframeId))
{
var eg = ExtremumGroup.FromDto(dto);
map.Add(eg.ExtremumGroupId, eg);
}
return(map);
}
public void ExtremumGroup_Constructor_IfPeakMasterAndTroughSlaveIsGiven_ExceptionIsThrown()
{
//Arrange
Price p = utf.getPrice(10);
Extremum ex1 = new Extremum(p, ExtremumType.PeakByClose);
Extremum ex2 = new Extremum(p, ExtremumType.TroughByLow);
//Act
ExtremumGroup eg = new ExtremumGroup(ex1, ex2);
//Assert
Assert.AreEqual(false, eg.IsPeak);
}
public void ExtremumGroup_Constructor_ForTroughExtremum_IsPeakPropertyIsCorrectlySet()
{
//Arrange
Price p = utf.getPrice(10);
Extremum ex1 = new Extremum(p, ExtremumType.TroughByClose);
Extremum ex2 = new Extremum(p, ExtremumType.TroughByLow);
//Act
ExtremumGroup eg = new ExtremumGroup(ex1, ex2);
//Assert
Assert.AreEqual(false, eg.IsPeak);
}
public void ExtremumGroup_Constructor_IfOnlySlavePassed_ProperObjectIsCreated()
{
//Arrange
Price p = utf.getPrice(10);
Extremum ex = new Extremum(p, ExtremumType.PeakByHigh);
//Act
ExtremumGroup eg = new ExtremumGroup(null, ex);
//Assert
Assert.IsNotNull(eg);
Assert.AreEqual(ex, eg.MasterExtremum);
Assert.AreEqual(ex, eg.SecondExtremum);
}
public void ExtremumGroup_Constructor_IfMasterAndSlavedPassed_ProperObjectIsCreated()
{
//Arrange
Price p = utf.getPrice(10);
Extremum ex1 = new Extremum(p, ExtremumType.PeakByClose);
Extremum ex2 = new Extremum(p, ExtremumType.PeakByHigh);
//Act
ExtremumGroup eg = new ExtremumGroup(ex1, ex2);
//Assert
Assert.IsNotNull(eg);
Assert.AreEqual(ex1, eg.MasterExtremum);
Assert.AreEqual(ex2, eg.SecondExtremum);
}
public void GetIndexNumberForLevelForTrough_ThrowsArgumentException_IfQuotationLevelAboveRange()
{
//Arrange
DataSet ds5 = utf.getDataSet(5);
Price price5 = utf.getPrice(ds5);
Quotation quotation5 = new Quotation(ds5)
{
Id = 5, Open = 1.09127, High = 1.09235, Low = 1.09095, Close = 1.09157, Volume = 1519
};
Extremum slave = new Extremum(price5, ExtremumType.TroughByLow);
ExtremumGroup extremumGroup = new ExtremumGroup(null, slave);
//Act
int indexNumber = extremumGroup.GetIndexNumberForLevel(1.0916);
}
public void GetIndexNumberForLevelForPeak_ThrowsArgumentException_IfQuotationLevelAboveRange()
{
//Arrange
DataSet ds5 = utf.getDataSet(5);
Price price5 = utf.getPrice(ds5);
Quotation quotation5 = new Quotation(ds5)
{
Id = 5, Open = 1.09127, High = 1.09235, Low = 1.09095, Close = 1.09207, Volume = 1519
};
Extremum master = new Extremum(price5, ExtremumType.PeakByClose);
ExtremumGroup extremumGroup = new ExtremumGroup(master, null);
//Act
int indexNumber = extremumGroup.GetIndexNumberForLevel(1.0941);
}
public void GetLateIndexNumber_IfThereIsOnlyMasterExtremum_MasterExtremumIndexIsReturned()
{
//Arrange
DataSet ds = utf.getDataSet(50);
Price price = utf.getPrice(ds);
Quotation quotation = new Quotation(ds);
Extremum master = new Extremum(price, ExtremumType.PeakByClose);
ExtremumGroup group = new ExtremumGroup(master, null);
//Assert
int lateIndexNumber = group.GetLateIndexNumber();
//Act
int expected = 50;
Assert.AreEqual(expected, lateIndexNumber);
}
public void GetLateIndexNumber_IfThereIsOnlySlaveExtremum_SlaveExtremumIndexIsReturned()
{
//Arrange
DataSet ds = utf.getDataSet(51);
Price price = utf.getPrice(ds);
Quotation quotation = new Quotation(ds);
Extremum slave = new Extremum(price, ExtremumType.PeakByHigh);
ExtremumGroup group = new ExtremumGroup(null, slave);
//Assert
int lateIndexNumber = group.GetLateIndexNumber();
//Act
int expected = 51;
Assert.AreEqual(expected, lateIndexNumber);
}
public void GetChartPoints_IfBothPeakExtremaAndSlaveLater_PointsAreProperlyGenerated()
{
//Arrange
DataSet ds5 = utf.getDataSet(5);
Price price5 = utf.getPrice(ds5);
Quotation quotation5 = new Quotation(ds5)
{
Id = 5, Open = 1.09127, High = 1.09235, Low = 1.09095, Close = 1.09207, Volume = 1519
};
Extremum master = new Extremum(price5, ExtremumType.PeakByClose);
DataSet ds6 = utf.getDataSet(6);
Price price6 = utf.getPrice(ds6);
Quotation quotation6 = new Quotation(ds6)
{
Id = 6, Open = 1.09207, High = 1.09307, Low = 1.08947, Close = 1.09067, Volume = 1819
};
Extremum slave = new Extremum(price6, ExtremumType.PeakByHigh);
ExtremumGroup extremumGroup = new ExtremumGroup(master, slave);
Mock <IProcessManager> mockManager = new Mock <IProcessManager>();
mockManager.Setup(m => m.GetDataSet(5)).Returns(ds5);
mockManager.Setup(m => m.GetDataSet(6)).Returns(ds6);
//Act
TrendlineProcessor processor = new TrendlineProcessor(mockManager.Object);
//Assert
processor.MaxChartPointsForExtremumGroup = 6;
processor.MinDistanceBetweenChartPoints = 0.0001;
var result = processor.GetChartPoints(extremumGroup);
var expectedResult = new List <ChartPoint>();
expectedResult.Add(new ChartPoint(master.GetIndexNumber(), 1.09207));
expectedResult.Add(new ChartPoint(master.GetIndexNumber(), 1.09227));
expectedResult.Add(new ChartPoint(slave.GetIndexNumber(), 1.09247));
expectedResult.Add(new ChartPoint(slave.GetIndexNumber(), 1.09267));
expectedResult.Add(new ChartPoint(slave.GetIndexNumber(), 1.09287));
expectedResult.Add(new ChartPoint(slave.GetIndexNumber(), 1.09307));
var isEqual = expectedResult.HasEqualItems(result);
Assert.IsTrue(isEqual);
}
public void GetLateIndexNumber_IfMasterExtremumIsEarlier_SlaveExtremumIndexIsReturned()
{
//Arrange
Price price50 = utf.getPrice(50);
Price price51 = utf.getPrice(51);
Extremum master = new Extremum(price50, ExtremumType.PeakByClose);
Extremum slave = new Extremum(price51, ExtremumType.PeakByHigh);
ExtremumGroup group = new ExtremumGroup(master, slave);
//Assert
int lateIndexNumber = group.GetLateIndexNumber();
//Act
int expected = 51;
Assert.AreEqual(expected, lateIndexNumber);
}
public void GetIndexNumberForLevelForTrough_IfThereIsOnlySlaveQuotation_ReturnsSlaveQuotationIndexNumber()
{
//Arrange
DataSet ds5 = utf.getDataSet(5);
Price price5 = utf.getPrice(ds5);
Quotation quotation5 = new Quotation(ds5)
{
Id = 5, Open = 1.09127, High = 1.09235, Low = 1.09065, Close = 1.09107, Volume = 1519
};
Extremum slave = new Extremum(price5, ExtremumType.TroughByLow);
ExtremumGroup extremumGroup = new ExtremumGroup(null, slave);
//Act
int indexNumber = extremumGroup.GetIndexNumberForLevel(1.09075);
//Assert
int expectedIndex = 5;
Assert.AreEqual(expectedIndex, indexNumber);
}
public void GetIndexNumberForLevelForPeak_IfThereIsOnlyMasterQuotation_ReturnsMasterQuotationIndexNumber()
{
//Arrange
DataSet ds5 = utf.getDataSet(5);
Price price5 = utf.getPrice(ds5);
Quotation quotation5 = new Quotation(ds5)
{
Id = 5, Open = 1.09127, High = 1.09235, Low = 1.09095, Close = 1.09207, Volume = 1519
};
Extremum master = new Extremum(price5, ExtremumType.PeakByClose);
ExtremumGroup extremumGroup = new ExtremumGroup(master, null);
//Act
int indexNumber = extremumGroup.GetIndexNumberForLevel(1.09208);
//Assert
int expectedIndex = 5;
Assert.AreEqual(expectedIndex, indexNumber);
}
private Dictionary <int, TrendHit> GetTrendHitsMap(int assetId, int timeframeId)
{
_repository = new EFTrendlineRepository();
IEnumerable <TrendHitDto> dtos = _repository.GetTrendHits();
IEnumerable <TrendHit> trendHits = dtos.Select(th => TrendHit.FromDto(th));
Dictionary <int, TrendHit> trendHitsMap = new Dictionary <int, TrendHit>();
Dictionary <int, ExtremumGroup> extremumGroupsMap = GetExtremumGroupsMap(assetId, timeframeId);
foreach (var trendHit in trendHits)
{
ExtremumGroup eg = null;
extremumGroupsMap.TryGetValue(trendHit.ExtremumGroupId, out eg);
if (eg != null)
{
trendHit.ExtremumGroup = eg;
}
trendHitsMap.Add(trendHit.TrendHitId, trendHit);
}
return(trendHitsMap);
}
public void CanCreateTrendlines_ReturnTrue_IfDistanceIsSuitable()
{
//Arrange
Mock <IProcessManager> mockManager = new Mock <IProcessManager>();
Price basePrice = utf.getPrice(100);
Extremum baseMaster = new Extremum(basePrice, ExtremumType.PeakByClose);
ExtremumGroup baseExtremumGroup = new ExtremumGroup(baseMaster, null);
Price footholdPrice = utf.getPrice(200);
Extremum footholdMaster = new Extremum(footholdPrice, ExtremumType.PeakByClose);
ExtremumGroup footholdExtremumGroup = new ExtremumGroup(footholdMaster, null);
//Act
TrendlineProcessor processor = new TrendlineProcessor(mockManager.Object);
processor.MaxDistanceBetweenExtrema = 150;
//Assert
var result = processor.CanCreateTrendline(baseExtremumGroup, footholdExtremumGroup);
Assert.IsTrue(result);
}
private Trendline getDefaultTrendline()
{
AtsSettings settings = new AtsSettings(DEFAULT_ASSET_ID, DEFAULT_TIMEFRAME_ID, DEFAULT_SIMULATION_ID);
Price basePrice = getPrice(DEFAULT_START_INDEX);
Extremum baseMaster = new Extremum(basePrice, ExtremumType.PeakByClose);
ExtremumGroup baseGroup = new ExtremumGroup(baseMaster, null);
TrendlinePoint basePoint = new TrendlinePoint(baseGroup, DEFAULT_START_LEVEL);
Price secondPrice = getPrice(DEFAULT_FOOTHOLD_INDEX);
Extremum secondMaster = new Extremum(secondPrice, ExtremumType.PeakByClose);
ExtremumGroup secondGroup = new ExtremumGroup(secondMaster, null);
TrendlinePoint footholdPoint = new TrendlinePoint(secondGroup, DEFAULT_FOOTHOLD_LEVEL);
Trendline trendline = new Trendline(settings, basePoint, footholdPoint);
trendline.Id = DEFAULT_ID;
trendline.Value = DEFAULT_VALUE;
trendline.LastUpdateIndex = DEFAULT_LAST_UPDATE_INDEX;
trendline.FootholdSlaveIndex = DEFAULT_FOOTHOLD_SLAVE_INDEX;
trendline.CurrentIsPeak = DEFAULT_CURRENT_IS_PEAK;
return(trendline);
}
public IEnumerable <ExtremumGroup> GetExtremumGroups(int assetId, int timeframeId)
{
_repository = new EFTrendlineRepository();
return(_repository.GetExtremumGroups(assetId, timeframeId).Select(dto => ExtremumGroup.FromDto(dto)));
}
public void ExtremumGroup_Constructor_IfNoneExtremumIsGiven_ExceptionIsThrown()
{
//Act
ExtremumGroup eg = new ExtremumGroup(null, null);
}
