public void WarmupDifferentResolutions(Resolution resolution, SecurityType securityType)
{
_algorithm = TestSetupHandler.TestAlgorithm = new TestWarmupAlgorithm(resolution);
_algorithm.SecurityType = securityType;
if (securityType == SecurityType.Forex)
{
_algorithm.StartDateToUse = new DateTime(2014, 05, 03);
_algorithm.EndDateToUse = new DateTime(2014, 05, 04);
}
else if (securityType == SecurityType.Equity)
{
_algorithm.StartDateToUse = new DateTime(2013, 10, 09);
_algorithm.EndDateToUse = new DateTime(2013, 10, 10);
}
else if (securityType == SecurityType.Crypto)
{
_algorithm.StartDateToUse = new DateTime(2018, 04, 06);
_algorithm.EndDateToUse = new DateTime(2018, 04, 07);
}
AlgorithmRunner.RunLocalBacktest(nameof(TestWarmupAlgorithm),
new Dictionary <string, string> {
{ "Total Trades", "1" }
},
null,
Language.CSharp,
AlgorithmStatus.Completed,
setupHandler: "TestSetupHandler");
int estimateExpectedDataCount;
switch (resolution)
{
case Resolution.Tick:
estimateExpectedDataCount = 2 * (securityType == SecurityType.Forex ? 19 : 4) * 60 * 60;
break;
case Resolution.Second:
estimateExpectedDataCount = 2 * (securityType == SecurityType.Forex ? 19 : 6) * 60 * 60;
break;
case Resolution.Minute:
estimateExpectedDataCount = 2 * (securityType == SecurityType.Forex ? 19 : 6) * 60;
break;
case Resolution.Hour:
estimateExpectedDataCount = 2 * (securityType == SecurityType.Forex ? 19 : 6);
break;
case Resolution.Daily:
estimateExpectedDataCount = 2;
break;
default:
throw new ArgumentOutOfRangeException(nameof(resolution), resolution, null);
}
Log.Trace($"WarmUpDataCount: {_algorithm.WarmUpDataCount}. Resolution {resolution}. SecurityType {securityType}");
Assert.GreaterOrEqual(_algorithm.WarmUpDataCount, estimateExpectedDataCount);
}
public void WarmupDifferentResolutions(Resolution resolution, SecurityType securityType)
{
_algorithm = TestSetupHandler.TestAlgorithm = new TestWarmupAlgorithm(resolution);
_algorithm.SecurityType = securityType;
if (securityType == SecurityType.Forex)
{
_algorithm.StartDateToUse = new DateTime(2014, 05, 03);
_algorithm.EndDateToUse = new DateTime(2014, 05, 04);
}
else if (securityType == SecurityType.Equity)
{
_algorithm.StartDateToUse = new DateTime(2013, 10, 09);
_algorithm.EndDateToUse = new DateTime(2013, 10, 10);
}
else if (securityType == SecurityType.Crypto)
{
_algorithm.StartDateToUse = new DateTime(2018, 04, 06);
_algorithm.EndDateToUse = new DateTime(2018, 04, 07);
}
AlgorithmRunner.RunLocalBacktest(nameof(TestWarmupAlgorithm),
new Dictionary <string, string> {
{ "Total Trades", "1" }
},
null,
Language.CSharp,
AlgorithmStatus.Completed,
setupHandler: "TestSetupHandler");
int estimateExpectedDataCount;
switch (resolution)
{
case Resolution.Tick:
estimateExpectedDataCount = 2 * (securityType == SecurityType.Forex ? 19 : 4) * 60;
break;
case Resolution.Second:
estimateExpectedDataCount = 2 * (securityType == SecurityType.Forex ? 19 : 6) * 60 * 60;
break;
case Resolution.Minute:
estimateExpectedDataCount = 2 * (securityType == SecurityType.Forex ? 19 : 6) * 60;
break;
case Resolution.Hour:
estimateExpectedDataCount = 2 * (securityType == SecurityType.Forex ? 19 : 6);
break;
case Resolution.Daily:
// Warmup is 2 days. During warmup we expect the daily data point which goes from T-2 to T-1, once warmup finished,
// we will get T-1 to T data point which is let through but the data feed since the algorithm starts at T
estimateExpectedDataCount = 1;
break;
default:
throw new ArgumentOutOfRangeException(nameof(resolution), resolution, null);
}
Log.Debug($"WarmUpDataCount: {_algorithm.WarmUpDataCount}. Resolution {resolution}. SecurityType {securityType}");
Assert.GreaterOrEqual(_algorithm.WarmUpDataCount, estimateExpectedDataCount);
}
