public void FactorFiles_CanBeGenerated_Accurately()
{
// Arrange
var yahooEvents = _yahooDataDownloader.DownloadSplitAndDividendData(_symbol, Parse.DateTime("01/01/1970"), DateTime.MaxValue);
var filePath = LeanData.GenerateRelativeFactorFilePath(_symbol);
var tolerance = 0.00001m;
if (!File.Exists(filePath))
{
throw new ArgumentException("This test requires an already calculated factor file." +
"Try using one of the pre-existing factor files ");
}
var originalFactorFileInstance = FactorFile.Read(PermTick, Market);
// we limit events to the penultimate time in our factor file (last one is 2050)
var lastValidRow = originalFactorFileInstance.SortedFactorFileData.Reverse().Skip(1).First();
// Act
var newFactorFileInstance = _factorFileGenerator.CreateFactorFile(yahooEvents.Where(data => data.Time.AddDays(-1) <= lastValidRow.Key).ToList());
var earliestDate = originalFactorFileInstance.SortedFactorFileData.First().Key;
var latestDate = originalFactorFileInstance.SortedFactorFileData.Last().Key;
// Assert
Assert.AreEqual(originalFactorFileInstance.SortedFactorFileData.Count,
newFactorFileInstance.SortedFactorFileData.Count);
for (var i = earliestDate; i < latestDate; i = i.AddDays(1))
{
FactorFileRow expected = null;
FactorFileRow actual = null;
originalFactorFileInstance.SortedFactorFileData.TryGetValue(i, out expected);
newFactorFileInstance.SortedFactorFileData.TryGetValue(i, out actual);
if (expected == null || actual == null)
{
Assert.IsTrue(actual == null);
Assert.IsTrue(expected == null);
}
else
{
Assert.IsTrue(Math.Abs(expected.PriceFactor - actual.PriceFactor) < tolerance);
Assert.IsTrue(Math.Abs(expected.SplitFactor - actual.SplitFactor) < tolerance);
}
}
}
/// <summary>
/// Write the factor file to the correct place in the default Data folder
/// </summary>
/// <param name="symbol">The symbol this factor file represents</param>
public void WriteToCsv(Symbol symbol)
{
var filePath = LeanData.GenerateRelativeFactorFilePath(symbol);
var csv = new StringBuilder();
foreach (var kvp in SortedFactorFileData)
{
var newLine = string.Format("{0:yyyyMMdd},{1},{2}",
kvp.Key,
kvp.Value.PriceFactor,
kvp.Value.SplitFactor);
csv.AppendLine(newLine);
}
File.WriteAllText(filePath, csv.ToString());
}
/// <summary>
/// Write the factor file to the correct place in the default Data folder
/// </summary>
/// <param name="symbol">The symbol this factor file represents</param>
public void WriteToCsv(Symbol symbol)
{
var filePath = LeanData.GenerateRelativeFactorFilePath(symbol);
File.WriteAllLines(filePath, ToCsvLines());
}
/// <summary>
/// Write the factor file to the correct place in the default Data folder
/// </summary>
/// <param name="symbol">The symbol this factor file represents</param>
public void WriteToFile(Symbol symbol)
{
var filePath = LeanData.GenerateRelativeFactorFilePath(symbol);
File.WriteAllLines(filePath, GetFileFormat());
}