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 CompareAgainstExternalData()
{
var ind = new VolumeWeightedAveragePriceIndicator(50);
TestHelper.TestIndicator(ind, "spy_with_vwap.txt", "Moving VWAP 50",
(x, expected) => ((double)((VolumeWeightedAveragePriceIndicator)x).Current.Price).Should()
.BeApproximately(expected, 1e-3));
}
public void IsReadyAfterPeriodUpdates()
{
var ind = new VolumeWeightedAveragePriceIndicator(3);
ind.Update(DateTime.UtcNow, new TradeBarValue(1d, 1d, 1d, 1d, 1));
ind.Update(DateTime.UtcNow, new TradeBarValue(1d, 1d, 1d, 1d, 1));
Assert.IsFalse(ind.IsReady);
ind.Update(DateTime.UtcNow, new TradeBarValue(1d, 1d, 1d, 1d, 1));
Assert.IsTrue(ind.IsReady);
}
public void IsReadyAfterPeriodUpdates()
{
var ind = new VolumeWeightedAveragePriceIndicator(3);
ind.Update(new TradeBar(DateTime.UtcNow, TimeZone.Utc, Props.TickerSymbol, 1m, 1m, 1m, 1m, 1));
ind.Update(new TradeBar(DateTime.UtcNow, TimeZone.Utc, Props.TickerSymbol, 1m, 1m, 1m, 1m, 1));
Assert.False(ind.IsReady);
ind.Update(new TradeBar(DateTime.UtcNow, TimeZone.Utc, Props.TickerSymbol, 1m, 1m, 1m, 1m, 1));
Assert.True(ind.IsReady);
}
public TrendSelectionData(Symbol symbol)
{
_symbol = symbol;
_ich = new IchimokuKinkoHyo(symbol, 7, 22, 22, 44, 22, 22);
_adx = new AverageDirectionalIndex(symbol, 22);
_vwap = new VolumeWeightedAveragePriceIndicator(symbol, 22);
_consolidation = new IchimokuKinkoHyoConsolidated(null, null);
}
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 WarmUpPythonIndicatorProperly()
{
var algo = new AlgorithmStub
{
HistoryProvider = new SubscriptionDataReaderHistoryProvider()
};
var zipCacheProvider = new ZipDataCacheProvider(TestGlobals.DataProvider);
algo.HistoryProvider.Initialize(new HistoryProviderInitializeParameters(
null,
null,
TestGlobals.DataProvider,
zipCacheProvider,
TestGlobals.MapFileProvider,
TestGlobals.FactorFileProvider,
null,
false,
new DataPermissionManager()));
algo.SetStartDate(2013, 10, 08);
algo.AddEquity("SPY", Resolution.Minute);
// Different types of indicators
var indicatorDataPoint = new SimpleMovingAverage("SPY", 10);
var indicatorDataBar = new AverageTrueRange("SPY", 10);
var indicatorTradeBar = new VolumeWeightedAveragePriceIndicator("SPY", 10);
using (Py.GIL())
{
var sma = indicatorDataPoint.ToPython();
var atr = indicatorTradeBar.ToPython();
var vwapi = indicatorDataBar.ToPython();
Assert.DoesNotThrow(() => algo.WarmUpIndicator("SPY", sma, Resolution.Minute));
Assert.DoesNotThrow(() => algo.WarmUpIndicator("SPY", atr, Resolution.Minute));
Assert.DoesNotThrow(() => algo.WarmUpIndicator("SPY", vwapi, Resolution.Minute));
var smaIsReady = ((dynamic)sma).IsReady;
var atrIsReady = ((dynamic)atr).IsReady;
var vwapiIsReady = ((dynamic)vwapi).IsReady;
Assert.IsTrue(smaIsReady.IsTrue());
Assert.IsTrue(atrIsReady.IsTrue());
Assert.IsTrue(vwapiIsReady.IsTrue());
}
zipCacheProvider.DisposeSafely();
}
public void VwapComputesCorrectly()
{
const int period = 4;
const int volume = 100;
var ind = new VolumeWeightedAveragePriceIndicator(period);
var data = new[] { 1d, 10d, 100d, 1000d, 10000d, 1234d, 56789d };
var seen = new List <double>();
for (var i = 0; i < data.Length; i++)
{
var datum = data[i];
seen.Add(datum);
ind.Update(DateTime.Now.AddSeconds(i), new TradeBarValue(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);
}
}
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), TimeZone.Utc, Props.TickerSymbol, datum, datum, datum, datum, volume));
// When volume is constant, VWAP is a simple moving average
Assert.Equal(Enumerable.Reverse(seen).Take(period).Average(), ind.Current.Price);
}
}
public VwapSignal(VolumeWeightedAveragePriceIndicator vwap, SecurityHolding securityHolding)
{
_vwap = vwap;
_securityHolding = securityHolding;
}
