public void ReturnsSymbolDataMatrixIsSimilarToPandasDataFrame(bool odd)
{
var symbols = new[] { "A", "B", "C", "D", "E" }
.Select(x => Symbol.Create(x, SecurityType.Equity, Market.USA, x));
var slices = GetHistory(symbols, odd);
var expected = GetExpectedValue(slices);
var symbolDataDict = new Dictionary <Symbol, ReturnsSymbolData>();
slices.PushThrough(bar =>
{
ReturnsSymbolData symbolData;
if (!symbolDataDict.TryGetValue(bar.Symbol, out symbolData))
{
symbolData = new ReturnsSymbolData(bar.Symbol, 1, 5);
symbolDataDict.Add(bar.Symbol, symbolData);
}
symbolData.Update(bar.EndTime, bar.Value);
});
var matrix = symbolDataDict.FormReturnsMatrix(symbols);
var actual = matrix.Determinant();
Assert.AreEqual(expected, actual, 0.000001);
}
public void ReturnsDoesNotThrowIndexOutOfRangeException()
{
var dateTime = new DateTime(2020, 02, 01);
var returnsSymbolData = new ReturnsSymbolData(Symbols.EURGBP, 1, 5);
returnsSymbolData.Add(dateTime, 10);
returnsSymbolData.Add(dateTime.AddDays(1), 100);
returnsSymbolData.Add(dateTime.AddDays(2), 5);
var returnsSymbolData2 = new ReturnsSymbolData(Symbols.BTCUSD, 1, 5);
returnsSymbolData2.Add(dateTime.AddDays(1), 33);
returnsSymbolData2.Add(dateTime.AddDays(2), 2);
var returnsSymbolDatas = new Dictionary <Symbol, ReturnsSymbolData>
{
{ Symbols.EURGBP, returnsSymbolData },
{ Symbols.BTCUSD, returnsSymbolData2 },
};
var result = returnsSymbolDatas.FormReturnsMatrix(new List <Symbol> {
Symbols.EURGBP, Symbols.BTCUSD
});
Assert.AreEqual(4, result.Length);
Assert.AreEqual(5m, result[0, 0]);
Assert.AreEqual(2m, result[0, 1]);
Assert.AreEqual(100m, result[1, 0]);
Assert.AreEqual(33m, result[1, 1]);
}
public void ReturnsDoesNotThrowKeyAlreadyExistsException()
{
var returnsSymbolData = new ReturnsSymbolData(Symbols.EURGBP, 1, 5);
var dateTime = new DateTime(2020, 02, 01);
returnsSymbolData.Add(dateTime, 10);
returnsSymbolData.Add(dateTime, 100);
Assert.AreEqual(1, returnsSymbolData.Returns.Count);
Assert.AreEqual(returnsSymbolData.Returns[dateTime], 10);
}
public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
{
const int period = 2;
var reference = algorithm.Time.AddDays(-period);
foreach (var security in changes.AddedSecurities)
{
var symbol = security.Symbol;
var symbolData = new ReturnsSymbolData(symbol, 1, period);
for (var i = 0; i <= period * 2; i++)
{
symbolData.Update(reference.AddDays(i), i);
}
_symbolDataDict[symbol] = symbolData;
}
}
