public void CompressCandlesHappyFlow()
{
var input = GetFiveMinuteCandles(10);
decimal inputHigh = input.Max(x => x.High);
decimal inputLow = input.Min(x => x.Low);
decimal inputOpen = input[0].Open;
decimal inputClose = input[input.Length - 1].Close;
var output = DataProviderUtilities.CompressCandles(input, 2);
Assert.Equal(10, input.Length);
Assert.Equal(5, output.Length);
Assert.Equal(inputHigh, output.Max(x => x.High));
Assert.Equal(inputLow, output.Min(x => x.Low));
Assert.Equal(inputOpen, output[0].Open);
Assert.Equal(inputClose, output[output.Length - 1].Close);
// Assert that the interval has doubled.
long openTime = input[0].OpenTimestamp;
foreach (var candle in output)
{
Assert.Equal(openTime, candle.OpenTimestamp);
openTime += 600000L;
}
}
public void CompressCandlesRatioZeroOrNegative()
{
var input = GetFiveMinuteCandles(10);
Assert.Throws <ArgumentOutOfRangeException>(() => DataProviderUtilities.CompressCandles(input, 0));
Assert.Throws <ArgumentOutOfRangeException>(() => DataProviderUtilities.CompressCandles(input, -1));
}
public void CompressCandlesIdentity()
{
var input = GetFiveMinuteCandles(10);
decimal inputHigh = input.Max(x => x.High);
decimal inputLow = input.Min(x => x.Low);
decimal inputOpen = input[0].Open;
decimal inputClose = input[input.Length - 1].Close;
var output = DataProviderUtilities.CompressCandles(input, 1);
Assert.Equal(10, input.Length);
Assert.Equal(10, output.Length);
Assert.Equal(inputHigh, output.Max(x => x.High));
Assert.Equal(inputLow, output.Min(x => x.Low));
Assert.Equal(inputOpen, output[0].Open);
Assert.Equal(inputClose, output[output.Length - 1].Close);
}
public void CompressCandlesSimpleCase()
{
var input = GetFiveMinuteCandles(2);
decimal inputHigh = input.Max(x => x.High);
decimal inputLow = input.Min(x => x.Low);
decimal inputOpen = input[0].Open;
decimal inputClose = input[input.Length - 1].Close;
long openTimestamp = input[0].OpenTimestamp;
var output = DataProviderUtilities.CompressCandles(input, 2);
Assert.Equal(2, input.Length);
Assert.Single(output);
Assert.Equal(inputHigh, output[0].High);
Assert.Equal(inputLow, output[0].Low);
Assert.Equal(inputOpen, output[0].Open);
Assert.Equal(inputClose, output[0].Close);
Assert.Equal(openTimestamp, output[0].OpenTimestamp);
}
public void CompressCandlesEmpty()
{
Assert.Throws <ArgumentException>(() =>
DataProviderUtilities.CompressCandles(Array.Empty <BacktestingCandle>(), 1));
}
public void CompressCandlesNull()
{
Assert.Throws <ArgumentNullException>(() => DataProviderUtilities.CompressCandles(null, 2));
}
public void CompressCandlesInputSizeNotWholeMultiple()
{
var input = GetFiveMinuteCandles(1);
Assert.Throws <ArgumentException>(() => DataProviderUtilities.CompressCandles(input, 2));
}