-
Notifications
You must be signed in to change notification settings - Fork 0
/
test_exchange.cpp
198 lines (156 loc) · 6.62 KB
/
test_exchange.cpp
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
#include "pch.h"
#include "helpers.h"
#include "AgisStrategy.h"
namespace AgisExchangeTest {
std::string exchange1_path = "C:\\Users\\natha\\OneDrive\\Desktop\\C++\\AgisCoreTest\\data\\exchange1";
std::string exchange_complex_path = "C:\\Users\\natha\\OneDrive\\Desktop\\C++\\Nexus\\AgisCoreTest\\data\\SPY_DAILY\\data.h5";
std::string asset_id_1 = "test1";
std::string asset_id_2 = "test2";
std::string asset_id_3 = "test3";
std::string exchange_id_1 = "exchange1";
std::string exchange_id_complex = "SPY_DAILY";
constexpr long long t0 = 960181200000000000;
constexpr long long t1 = 960267600000000000;
constexpr long long t2 = 960354000000000000;
constexpr long long t3 = 960440400000000000;
constexpr long long t4 = 960526800000000000;
constexpr long long t5 = 960786000000000000;
};
using namespace AgisExchangeTest;
class SimpleExchangeTests : public ::testing::Test
{
protected:
std::shared_ptr<ExchangeMap> exchanges;
void SetUp() override
{
exchanges = AgisTest::create_simple_exchange_map(exchange_id_1, exchange1_path);
}
};
TEST_F(SimpleExchangeTests, TestIndex) {
exchanges->__build();
auto dt_index = exchanges->__get_dt_index();
EXPECT_EQ(dt_index.size(), 6);
EXPECT_EQ(dt_index[0], t0);
EXPECT_EQ(dt_index[1], t1);
EXPECT_EQ(dt_index[2], t2);
EXPECT_EQ(dt_index[3], t3);
EXPECT_EQ(dt_index[4], t4);
EXPECT_EQ(dt_index[5], t5);
}
TEST_F(SimpleExchangeTests, TestGetMarketPrice) {
exchanges->__build();
exchanges->step();
EXPECT_EQ(exchanges->get_datetime(), t0);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, false), 0);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, true), 0);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, false), 101);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, true), 101.5);
exchanges->step();
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, false), 100);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, true), 101);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, false), 100);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, true), 99);
exchanges->__reset();
exchanges->step();
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, false), 0);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, true), 0);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, false), 101);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, true), 101.5);
exchanges->step();
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, false), 100);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, true), 101);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, false), 100);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, true), 99);
}
TEST_F(SimpleExchangeTests, TestAssetExpire) {
exchanges->__build();
exchanges->__goto(t4);
EXPECT_EQ(exchanges->get_datetime(), t4);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, false), 101);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, true), 101.5);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, false), 105);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, true), 106);
exchanges->step();
EXPECT_EQ(exchanges->get_datetime(), t5);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, false), 103);
EXPECT_EQ(exchanges->__get_market_price(asset_id_2, true), 96);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, false), 0);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, true), 0);
}
TEST_F(SimpleExchangeTests, TestExchangeRemove) {
exchanges->__build();
EXPECT_EQ(exchanges->asset_exists(asset_id_2), true);
EXPECT_EQ(exchanges->get_asset_ids(exchange_id_1).size(), 3);
exchanges->remove_asset(asset_id_2);
EXPECT_EQ(exchanges->asset_exists(asset_id_2), false);
EXPECT_EQ(exchanges->get_asset_ids(exchange_id_1).size(), 2);
auto exchange = exchanges->get_exchange(exchange_id_1).value();
EXPECT_EQ(exchange->asset_exists(asset_id_2), false);
EXPECT_EQ(exchange->get_asset_ids().size(), 2);
exchanges->__goto(t4);
EXPECT_EQ(exchanges->get_datetime(), t4);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, false), 105);
EXPECT_EQ(exchanges->__get_market_price(asset_id_1, true), 106);
EXPECT_EQ(exchanges->__get_market_price(asset_id_3, false), 101);
EXPECT_EQ(exchanges->__get_market_price(asset_id_3, true), 102.4);
}
TEST_F(SimpleExchangeTests, TestExchangeView) {
exchanges->__build();
auto exchange = exchanges->get_exchange(exchange_id_1).value();
exchanges->step();
auto exchange_view = exchange->get_exchange_view("CLOSE", 0, ExchangeQueryType::Default);
auto& view = exchange_view.view;
EXPECT_EQ(view.size(), 2);
exchanges->step();
exchange_view = exchange->get_exchange_view("CLOSE", 0, ExchangeQueryType::Default);
view = exchange_view.view;
EXPECT_EQ(view.size(), 3);
exchange_view = exchange->get_exchange_view("CLOSE", 0, ExchangeQueryType::NLargest, 1);
view = exchange_view.view;
auto index = exchanges->get_asset_index(asset_id_3);
EXPECT_EQ(view.size(), 1);
EXPECT_EQ(view[0].asset_index, index);
EXPECT_EQ(view[0].allocation_amount, 101.4);
exchange_view = exchange->get_exchange_view("CLOSE", 0, ExchangeQueryType::NSmallest, 1);
view = exchange_view.view;
index = exchanges->get_asset_index(asset_id_2);
EXPECT_EQ(view.size(), 1);
EXPECT_EQ(view[0].asset_index, index);
EXPECT_EQ(view[0].allocation_amount, 99);
}
TEST_F(SimpleExchangeTests, TestExchangeViewLambda) {
exchanges->__build();
auto exchange = exchanges->get_exchange(exchange_id_1).value();
exchanges->step();
exchanges->step();
exchanges->step();
auto daily_return = [](const AssetPtr& asset) {
AgisAssetLambdaChain lambda_chain;
AssetLambda l = AssetLambda(agis_init, [=](const AssetPtr& asset) {
return asset->get_asset_feature("CLOSE", 0);
});
AssetLambdaScruct asset_op{ l, agis_init, "CLOSE", 0 };
lambda_chain.push_back(asset_op);
l = AssetLambda(agis_divide, [=](const AssetPtr& asset) {
return asset->get_asset_feature("CLOSE", -1);
});
AssetLambdaScruct asset_op_prev{ l, agis_init, "CLOSE", -1 };
lambda_chain.push_back(asset_op_prev);
return asset_feature_lambda_chain(
asset,
lambda_chain
);
};
auto exchange_view = exchange->get_exchange_view(
daily_return,
ExchangeQueryType::NLargest
);
auto& view = exchange_view.view;
auto index1 = exchanges->get_asset_index(asset_id_1);
auto index2 = exchanges->get_asset_index(asset_id_2);
EXPECT_EQ(view.size(), 3);
EXPECT_EQ(view[0].asset_index, index1);
EXPECT_EQ(view[0].allocation_amount, (103.0 / 101));
EXPECT_EQ(view[1].asset_index, index2);
EXPECT_EQ(view[1].allocation_amount, (97.0 / 99));
}