public void GetHistoryRequirementsWorks()
{
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new RelativeStandardDeviationVolatilityModel(TimeSpan.FromDays(2), 4);
model.SetSubscriptionDataConfigProvider(new MockSubscriptionDataConfigProvider(config));
var result = model.GetHistoryRequirements(security, DateTime.UtcNow).First();
Assert.AreEqual(config.DataNormalizationMode, result.DataNormalizationMode);
Assert.AreEqual(config.Symbol, result.Symbol);
Assert.AreEqual(config.DataTimeZone, result.DataTimeZone);
Assert.AreEqual(config.IsCustomData, result.IsCustomData);
Assert.AreEqual(config.FillDataForward, result.FillForwardResolution != null);
Assert.AreEqual(config.ExtendedMarketHours, result.IncludeExtendedMarketHours);
Assert.AreEqual(Resolution.Minute, result.Resolution);
}
public void DoesntUpdateOnZeroPrice()
{
const int periods = 3;
var periodSpan = Time.OneMinute;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5
var second = new IndicatorDataPoint(reference.AddMinutes(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(value, model.Volatility);
var third = new IndicatorDataPoint(reference.AddMinutes(2), 3m);
security.SetMarketPrice(third);
Assert.AreEqual(0.5m, model.Volatility);
// update should not be applied as price is 0
var forth = new IndicatorDataPoint(reference.AddMinutes(3), 0m);
security.SetMarketPrice(forth);
Assert.AreEqual(0.5m, model.Volatility);
}
public void UpdatesAfterCorrectPeriodElapses()
{
const int periods = 3;
var periodSpan = Time.OneMinute;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash("USD", 0, 0), SymbolProperties.GetDefault("USD"));
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5
var second = new IndicatorDataPoint(reference.AddMinutes(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(value, model.Volatility);
// update should not be applied since not enough time has passed
var third = new IndicatorDataPoint(reference.AddMinutes(1.01), 1000);
security.SetMarketPrice(third);
Assert.AreEqual(value, model.Volatility);
var fourth = new IndicatorDataPoint(reference.AddMinutes(2), 3m);
security.SetMarketPrice(fourth);
Assert.AreEqual(0.5m, model.Volatility);
}
