public void SetUp()
{
_constantIndicator = new ConstantIndicator <Decimal>(Decimal.ValueOf(6));
_mockIndicator = new FixedIndicator <Decimal>(Decimal.ValueOf("-2.0"), Decimal.ValueOf("0.00"), Decimal.ValueOf("1.00"), Decimal.ValueOf("2.53"), Decimal.ValueOf("5.87"), Decimal.ValueOf("6.00"), Decimal.ValueOf("10.0"));
_mockIndicator2 = new FixedIndicator <Decimal>(Decimal.Zero, Decimal.One, Decimal.Two, Decimal.Three, Decimal.Ten, Decimal.ValueOf("-42"), Decimal.ValueOf("-1337"));
_sumIndicator = new SumIndicator(_constantIndicator, _mockIndicator, _mockIndicator2);
}
public void ComputesCorrectly()
{
var cons = new ConstantIndicator<IndicatorDataPoint>("c", 1m);
Assert.AreEqual(1m, cons.Current.Value);
Assert.IsTrue(cons.IsReady);
cons.Update(DateTime.Today, 3m);
Assert.AreEqual(1m, cons.Current.Value);
}
public void ComputesCorrectly()
{
var cons = new ConstantIndicator("c", 1d);
Assert.AreEqual(1d, cons.Current.Value);
Assert.IsTrue(cons.IsReady);
cons.Update(DateTime.Today, 3d);
Assert.AreEqual(1d, cons.Current.Value);
}
public void ComputesCorrectly()
{
var cons = new ConstantIndicator <IndicatorDataPoint>("c", 1m);
Assert.Equal(1m, cons.Current.Price);
Assert.True(cons.IsReady);
cons.Update(DateTime.Today, TimeZone.Utc, 3m);
Assert.Equal(1m, cons.Current.Price);
}
/// <summary>
/// Initializes a new instance of the BollingerBands class
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="period">The period of the standard deviation and moving average (middle band)</param>
/// <param name="k">The number of standard deviations specifying the distance between the middle band and upper or lower bands</param>
/// <param name="movingAverageType">The type of moving average to be used</param>
public BollingerBands(String name, int period, decimal k, MovingAverageType movingAverageType = MovingAverageType.Simple)
: base(name)
{
MovingAverageType = movingAverageType;
StandardDeviation = new StandardDeviation(name + "_StandardDeviation", period);
MiddleBand = movingAverageType.AsIndicator(name + "_MiddleBand", period);
var kConstant = new ConstantIndicator<IndicatorDataPoint>(k.ToString(), k);
LowerBand = MiddleBand.Minus(StandardDeviation.Times(kConstant), name + "_LowerBand");
UpperBand = MiddleBand.Plus(StandardDeviation.Times(kConstant), name + "_UpperBand");
}
public void ResetsProperly()
{
// constant reset should reset samples but the value should still be the same
var cons = new ConstantIndicator<IndicatorDataPoint>("c", 1m);
cons.Update(DateTime.Today, 3m);
cons.Update(DateTime.Today.AddDays(1), 10m);
cons.Reset();
Assert.AreEqual(1m, cons.Current.Value);
Assert.AreEqual(DateTime.MinValue, cons.Current.Time);
Assert.AreEqual(0, cons.Samples);
}
public void ResetsProperly()
{
// constant reset should reset samples but the value should still be the same
var cons = new ConstantIndicator("c", 1d);
cons.Update(DateTime.Today, 3d);
cons.Update(DateTime.Today.AddDays(1), 10d);
cons.Reset();
Assert.AreEqual(1d, cons.Current.Value);
Assert.AreEqual(0, cons.CurrentTime);
Assert.AreEqual(0, cons.Samples);
}
public void ResetsProperly()
{
// constant reset should reset samples but the value should still be the same
var cons = new ConstantIndicator <IndicatorDataPoint>("c", 1m);
cons.Update(DateTime.Today, TimeZone.Utc, 3m);
cons.Update(DateTime.Today.AddDays(1), TimeZone.Utc, 10m);
cons.Reset();
Assert.Equal(1m, cons.Current.Price);
Assert.Equal(DateTime.MinValue, cons.Current.Occured);
Assert.Equal(0, cons.Samples);
}
public void GetValueWithNullTimeSeries()
{
var constant = new ConstantIndicator <Decimal>(Decimal.Ten);
Assert.AreEqual(Decimal.Ten, constant.GetValue(0));
Assert.AreEqual(Decimal.Ten, constant.GetValue(100));
Assert.IsNull(constant.TimeSeries);
var sma = new SmaIndicator(constant, 10);
Assert.AreEqual(Decimal.Ten, sma.GetValue(0));
Assert.AreEqual(Decimal.Ten, sma.GetValue(100));
Assert.IsNull(sma.TimeSeries);
}
public void getValueWithNullTimeSeries()
{
ConstantIndicator <decimal> constant = new ConstantIndicator <decimal>(Decimals.TEN);
Assert.AreEqual(Decimals.TEN, constant.GetValue(0));
Assert.AreEqual(Decimals.TEN, constant.GetValue(100));
Assert.IsNull(constant.TimeSeries);
SMAIndicator sma = new SMAIndicator(constant, 10);
Assert.AreEqual(Decimals.TEN, sma.GetValue(0));
Assert.AreEqual(Decimals.TEN, sma.GetValue(100));
Assert.IsNull(sma.TimeSeries);
}
public void setUp()
{
ConstantIndicator <decimal> constantIndicator = new ConstantIndicator <decimal>(6);
FixedIndicator <decimal> mockIndicator = new FixedIndicator <decimal>(
-2.0M,
0.00M,
1.00M,
2.53M,
5.87M,
6.00M,
10.0M
);
differenceIndicator = new DifferenceIndicator(constantIndicator, mockIndicator);
}
public void setUp()
{
ConstantIndicator <decimal> constantIndicator = new ConstantIndicator <decimal>(4);
transPlus = new DecimalTransformIndicator(constantIndicator, Decimals.TEN, decimalTransformType.Plus);
transMinus = new DecimalTransformIndicator(constantIndicator, Decimals.TEN, decimalTransformType.Minus);
transMultiply = new DecimalTransformIndicator(constantIndicator, Decimals.TEN, decimalTransformType.multiply);
transDivide = new DecimalTransformIndicator(constantIndicator, Decimals.TEN, decimalTransformType.divide);
transMax = new DecimalTransformIndicator(constantIndicator, Decimals.TEN, decimalTransformType.Max);
transMin = new DecimalTransformIndicator(constantIndicator, Decimals.TEN, decimalTransformType.Min);
transAbs = new DecimalTransformIndicator(new ConstantIndicator <decimal>(-4), decimalTransformSimpleType.abs);
transSqrt = new DecimalTransformIndicator(constantIndicator, decimalTransformSimpleType.sqrt);
transLog = new DecimalTransformIndicator(constantIndicator, decimalTransformSimpleType.log);
}
public void setUp()
{
ConstantIndicator <decimal> constantIndicator = new ConstantIndicator <decimal>(4);
transEquals = new BooleanTransformIndicator(constantIndicator, 4, BooleanTransformType.equals);
transIsGreaterThan = new BooleanTransformIndicator(constantIndicator, 3, BooleanTransformType.IsGreaterThan);
transIsGreaterThanOrEqual = new BooleanTransformIndicator(constantIndicator, 4, BooleanTransformType.IsGreaterThanOrEqual);
transIsLessThan = new BooleanTransformIndicator(constantIndicator, Decimals.TEN, BooleanTransformType.IsLessThan);
transIsLessThanOrEqual = new BooleanTransformIndicator(constantIndicator, 4, BooleanTransformType.IsLessThanOrEqual);
transIsNaN = new BooleanTransformIndicator(constantIndicator, BooleanTransformSimpleType.isNaN);
transIsNegative = new BooleanTransformIndicator(new ConstantIndicator <decimal>(-4), BooleanTransformSimpleType.isNegative);
transIsNegativeOrZero = new BooleanTransformIndicator(constantIndicator, BooleanTransformSimpleType.isNegativeOrZero);
transIsPositive = new BooleanTransformIndicator(constantIndicator, BooleanTransformSimpleType.isPositive);
transIsPositiveOrZero = new BooleanTransformIndicator(constantIndicator, BooleanTransformSimpleType.isPositiveOrZero);
transIsZero = new BooleanTransformIndicator(new ConstantIndicator <decimal>(Decimals.ZERO), BooleanTransformSimpleType.isZero);
}
public void setUp()
{
ConstantIndicator <decimal> constantIndicator = new ConstantIndicator <decimal>(6M);
FixedIndicator <decimal> mockIndicator = new FixedIndicator <decimal>(
-2.0M, 0.00M, 1.00M, 2.53M, 5.87M, 6.00M, 10.0M
);
FixedIndicator <decimal> mockIndicator2 = new FixedIndicator <decimal>(
Decimals.ZERO,
Decimals.ONE,
Decimals.TWO,
Decimals.THREE,
Decimals.TEN,
-42M,
-1337M
);
sumIndicator = new SumIndicator(constantIndicator, mockIndicator, mockIndicator2);
}
/// <summary>
/// Create a new pair
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="asset1">The first asset's symbol in the pair</param>
/// <param name="asset2">The second asset's symbol in the pair</param>
/// <param name="period">Period over which this insight is expected to come to fruition</param>
/// <param name="threshold">The percent [0, 100] deviation of the ratio from the mean before emitting an insight</param>
public PairData(QCAlgorithm algorithm, Symbol asset1, Symbol asset2, TimeSpan period, decimal threshold)
{
_asset1 = asset1;
_asset2 = asset2;
_asset1Price = algorithm.Identity(asset1);
_asset2Price = algorithm.Identity(asset2);
_ratio = _asset1Price.Over(_asset2Price);
_mean = new ExponentialMovingAverage(500).Of(_ratio);
var upper = new ConstantIndicator <IndicatorDataPoint>("ct", 1 + threshold / 100m);
_upperThreshold = _mean.Times(upper, "UpperThreshold");
var lower = new ConstantIndicator <IndicatorDataPoint>("ct", 1 - threshold / 100m);
_lowerThreshold = _mean.Times(lower, "LowerThreshold");
_predictionInterval = period;
}
/// <summary>
/// Event fired each time the we add/remove securities from the data feed
/// </summary>
/// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
/// <param name="changes">The security additions and removals from the algorithm</param>
public override void OnSecuritiesChanged(QCAlgorithmFramework algorithm, SecurityChanges changes)
{
foreach (var added in changes.AddedSecurities)
{
// this model is limitted to looking at a single pair of assets
if (added.Symbol != _asset1 && added.Symbol != _asset2)
{
continue;
}
if (added.Symbol == _asset1)
{
_asset1Price = algorithm.Identity(added.Symbol);
}
else
{
_asset2Price = algorithm.Identity(added.Symbol);
}
}
if (_ratio == null)
{
// initialize indicators dependent on both assets
if (_asset1Price != null && _asset2Price != null)
{
_ratio = _asset1Price.Over(_asset2Price);
_mean = new ExponentialMovingAverage(500).Of(_ratio);
var upper = new ConstantIndicator <IndicatorDataPoint>("ct", 1 + _threshold / 100m);
_upperThreshold = _mean.Times(upper, "UpperThreshold");
var lower = new ConstantIndicator <IndicatorDataPoint>("ct", 1 - _threshold / 100m);
_lowerThreshold = _mean.Times(lower, "LowerThreshold");
}
}
}
public void SetUp()
{
_constantIndicator = new ConstantIndicator <Decimal>(Decimal.ValueOf("30.33"));
}
public void setUp()
{
constantIndicator = new ConstantIndicator <decimal>(30.33M);
}
public void setUp()
{
ConstantIndicator <decimal> constantIndicator = new ConstantIndicator <decimal>(6);
multiplierIndicator = new MultiplierIndicator(constantIndicator, 0.75M);
}
public void SetUp()
{
_constantIndicator = new ConstantIndicator <Decimal>(Decimal.ValueOf(6));
_multiplierIndicator = new MultiplierIndicator(_constantIndicator, Decimal.ValueOf("0.75"));
}
public void SetUp()
{
_constantIndicator = new ConstantIndicator <Decimal>(Decimal.ValueOf(6));
_mockIndicator = new FixedIndicator <Decimal>(Decimal.ValueOf("-2.0"), Decimal.ValueOf("0.00"), Decimal.ValueOf("1.00"), Decimal.ValueOf("2.53"), Decimal.ValueOf("5.87"), Decimal.ValueOf("6.00"), Decimal.ValueOf("10.0"));
_differenceIndicator = new DifferenceIndicator(_constantIndicator, _mockIndicator);
}
