public void CompareAgainstExternalData()
{
var ind = new VolumeWeightedAveragePriceIndicator(50);
TestHelper.TestIndicator(ind, "spy_with_vwap.txt", "Moving VWAP 50",
(x, expected) => Assert.AreEqual(expected, (double)((VolumeWeightedAveragePriceIndicator)x).Current.Value, 1e-3));
}
public void IsReadyAfterPeriodUpdates()
{
var ind = new VolumeWeightedAveragePriceIndicator(3);
ind.Update(new TradeBar(DateTime.UtcNow, Symbols.SPY, 1m, 1m, 1m, 1m, 1));
ind.Update(new TradeBar(DateTime.UtcNow, Symbols.SPY, 1m, 1m, 1m, 1m, 1));
Assert.IsFalse(ind.IsReady);
ind.Update(new TradeBar(DateTime.UtcNow, Symbols.SPY, 1m, 1m, 1m, 1m, 1));
Assert.IsTrue(ind.IsReady);
}
public void ResetsProperly()
{
var ind = new VolumeWeightedAveragePriceIndicator(50);
foreach (var data in TestHelper.GetTradeBarStream("spy_with_vwap.txt"))
{
ind.Update(data);
}
Assert.IsTrue(ind.IsReady);
ind.Reset();
TestHelper.AssertIndicatorIsInDefaultState(ind);
ind.Update(new TradeBar(DateTime.UtcNow, Symbols.SPY, 2m, 2m, 2m, 2m, 1));
Assert.AreEqual(ind.Current.Value, 2m);
}
public void VWAPComputesCorrectly()
{
const int period = 4;
const int volume = 100;
var ind = new VolumeWeightedAveragePriceIndicator(period);
var data = new[] {1m, 10m, 100m, 1000m, 10000m, 1234m, 56789m};
var seen = new List<decimal>();
for (int i = 0; i < data.Length; i++)
{
var datum = data[i];
seen.Add(datum);
ind.Update(new TradeBar(DateTime.Now.AddSeconds(i), Symbols.SPY, datum, datum, datum, datum, volume));
// When volume is constant, VWAP is a simple moving average
Assert.AreEqual(Enumerable.Reverse(seen).Take(period).Average(), ind.Current.Value);
}
}