chore: add random quote test rig (#803)

Co-authored-by: Dave Skender <[email protected]>

tests/indicators/GlobalSuppressions.cs

@@ -1,4 +1,4 @@
-// This file is used by Code Analysis to maintain SuppressMessage
+// This file is used by Code Analysis to maintain SuppressMessage
 // attributes that are applied to this project.
 // Project-level suppressions either have no target or are given
 // a specific target and scoped to a namespace, type, member, etc.
@@ -19,3 +19,10 @@
     "StyleCop.CSharp.NamingRules",
     "SA1311:Static readonly fields should begin with upper-case letter",
     Justification = "Acceptable for test project.")]
+
+[assembly: SuppressMessage(
+    "Security",
+    "CA5394:Do not use insecure randomness",
+    Justification = "Okay for internal test use only.",
+    Scope = "member",
+    Target = "~M:Internal.Tests.RandomGbm.Price(System.Double,System.Double,System.Double)~System.Double")]

tests/indicators/_Initialize.cs

@@ -25,4 +25,5 @@ public abstract class TestBase
     internal static readonly IEnumerable<Quote> mismatchQuotes = TestData.GetMismatch();
     internal static readonly IEnumerable<Quote> noquotes = new List<Quote>();
     internal static readonly IEnumerable<Quote> onequote = TestData.GetDefault(1);
+    internal static readonly IEnumerable<Quote> randomQuotes = TestData.GetRandom(1000);
 }

tests/indicators/_common/Helper.Importer.cs

@@ -73,138 +73,116 @@ internal class TestData
 {
     // DEFAULT: S&P 500 ~2 years of daily data
     internal static IEnumerable<Quote> GetDefault(int days = 502)
-    {
-        return File.ReadAllLines("_common/data/default.csv")
+        => File.ReadAllLines("_common/data/default.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .OrderByDescending(x => x.Date)
             .Take(days)
             .ToList();
-    }
+
+    // RANDOM: gaussian brownaian motion
+    internal static IEnumerable<Quote> GetRandom(int days = 502)
+        => new RandomGbm(bars: days);
 
     // BAD DATA
     internal static IEnumerable<Quote> GetBad(int days = 502)
-    {
-        return File.ReadAllLines("_common/data/bad.csv")
+        => File.ReadAllLines("_common/data/bad.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .OrderByDescending(x => x.Date)
             .Take(days)
             .ToList();
-    }
 
     // TOO BIG DATA
     internal static IEnumerable<Quote> GetTooBig(int days = 1246)
-    {
-        return File.ReadAllLines("_common/data/toobig.csv")
+        => File.ReadAllLines("_common/data/toobig.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .OrderByDescending(x => x.Date)
             .Take(days)
             .ToList();
-    }
 
     // MAX SIZE DATA
     internal static IEnumerable<Quote> GetMax(int days = 502)
-    {
-        return File.ReadAllLines("_common/data/toobig.csv")
+        => File.ReadAllLines("_common/data/toobig.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .OrderByDescending(x => x.Date)
             .Take(days)
             .ToList();
-    }
 
     // BITCOIN DATA
     internal static IEnumerable<Quote> GetBitcoin(int days = 1246)
-    {
-        return File.ReadAllLines("_common/data/bitcoin.csv")
+        => File.ReadAllLines("_common/data/bitcoin.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .OrderByDescending(x => x.Date)
             .Take(days)
             .ToList();
-    }
 
     // COMPARE DATA ~2 years of TSLA data (matches default time)
     internal static IEnumerable<Quote> GetCompare(int days = 502)
-    {
-        return File.ReadAllLines("_common/data/compare.csv")
+        => File.ReadAllLines("_common/data/compare.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .OrderByDescending(x => x.Date)
             .Take(days)
             .ToList();
-    }
 
     // INTRADAY DATA
     internal static IEnumerable<Quote> GetIntraday(int days = 1564)
-    {
-        return File.ReadAllLines("_common/data/intraday.csv")
+        => File.ReadAllLines("_common/data/intraday.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .OrderByDescending(x => x.Date)
             .Take(days)
             .ToList();
-    }
 
     // LONGISH DATA ~20 years of S&P 500 daily data
     internal static IEnumerable<Quote> GetLongish(int days = 5285)
-    {
-        return File.ReadAllLines("_common/data/longish.csv")
+        => File.ReadAllLines("_common/data/longish.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .OrderByDescending(x => x.Date)
             .Take(days)
             .ToList();
-    }
 
     // LONGEST DATA ~62 years of S&P 500 daily data
     internal static IEnumerable<Quote> GetLongest()
-    {
-        return File.ReadAllLines("_common/data/longest.csv")
+        => File.ReadAllLines("_common/data/longest.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .ToList();
-    }
 
     // PENNY DATA
     internal static IEnumerable<Quote> GetPenny()
-    {
-        return File.ReadAllLines("_common/data/penny.csv")
+        => File.ReadAllLines("_common/data/penny.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .ToList();
-    }
 
     // MISMATCH DATA is in incorrect sequence
     internal static IEnumerable<Quote> GetMismatch()
-    {
-        return File.ReadAllLines("_common/data/mismatch.csv")
+        => File.ReadAllLines("_common/data/mismatch.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .ToList();
-    }
 
     // SPX, 30 years, daily
     internal static IEnumerable<Quote> GetSpx(int days = 8111)
-    {
-        return File.ReadAllLines("_common/data/spx.csv")
+        => File.ReadAllLines("_common/data/spx.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .OrderByDescending(x => x.Date)
             .Take(days)
             .ToList();
-    }
 
     // MSFT, 30 years, daily
     internal static IEnumerable<Quote> GetMsft(int days = 8111)
-    {
-        return File.ReadAllLines("_common/data/msft.csv")
+        => File.ReadAllLines("_common/data/msft.csv")
             .Skip(1)
             .Select(v => Importer.QuoteFromCsv(v))
             .OrderByDescending(x => x.Date)
             .Take(days)
             .ToList();
-    }
 }

tests/indicators/_common/Helper.Random.cs

@@ -0,0 +1,80 @@
+using Skender.Stock.Indicators;
+
+namespace Internal.Tests;
+/**
+<summary>
+Geometric Brownian Motion (GMB) is a random simulator of market movement.
+GBM can be used for testing indicators, validation and Monte Carlo simulations of strategies.
+
+Sample usage:
+RandomGbm data = new(); // generates 1 year (252) list of bars
+RandomGbm data = new(Bars: 1000); // generates 1,000 bars
+RandomGbm data = new(Bars: 252, Volatility: 0.05, Drift: 0.0005, Seed: 100.0)
+
+Parameters
+Bars:       number of bars (quotes) requested
+Volatility: how dymamic/volatile the series should be; default is 1
+Drift:      incremental drift due to annual interest rate; default is 5%
+Seed:       starting value of the random series; should not be 0.
+</summary>
+**/
+internal class RandomGbm : List<Quote>
+{
+    private readonly double volatility;
+    private readonly double drift;
+    private double seed;
+
+    public RandomGbm(
+        int bars = 252,
+        double volatility = 1.0,
+        double drift = 0.05,
+        double seed = 100.0)
+    {
+        this.seed = seed;
+        this.volatility = volatility * 0.01;
+        this.drift = drift * 0.01;
+        for (int i = 0; i < bars; i++)
+        {
+            DateTime date = DateTime.Today.AddDays(i - bars);
+            Add(date);
+        }
+    }
+
+    public void Add(DateTime timestamp)
+    {
+        double open = Price(seed, volatility * volatility, drift);
+        double close = Price(open, volatility, drift);
+
+        double ocMax = Math.Max(open, close);
+        double high = Price(seed, volatility * 0.5, 0);
+        high = (high < ocMax) ? (2 * ocMax) - high : high;
+
+        double ocMin = Math.Min(open, close);
+        double low = Price(seed, volatility * 0.5, 0);
+        low = (low > ocMin) ? (2 * ocMin) - low : low;
+
+        double volume = Price(seed * 10, volatility * 2, drift: 0);
+
+        Quote quote = new()
+        {
+            Date = timestamp,
+            Open = (decimal)open,
+            High = (decimal)high,
+            Low = (decimal)low,
+            Close = (decimal)close,
+            Volume = (decimal)volume
+        };
+
+        Add(quote);
+        seed = close;
+    }
+
+    private static double Price(double seed, double volatility, double drift)
+    {
+        Random rnd = new((int)DateTime.UtcNow.Ticks);
+        double u1 = 1.0 - rnd.NextDouble();
+        double u2 = 1.0 - rnd.NextDouble();
+        double z = Math.Sqrt(-2.0 * Math.Log(u1)) * Math.Sin(2.0 * Math.PI * u2);
+        return seed * Math.Exp(drift - (volatility * volatility * 0.5) + (volatility * z));
+    }
+}

tests/indicators/a-d/Adl/Adl.Tests.cs

@@ -53,17 +53,24 @@ public void WithSma()
     [TestMethod]
     public void BadData()
     {
-        IEnumerable<AdlResult> r = Indicator.GetAdl(badQuotes);
+        IEnumerable<AdlResult> r = badQuotes.GetAdl();
         Assert.AreEqual(502, r.Count());
     }
 
     [TestMethod]
     public void BigData()
     {
-        IEnumerable<AdlResult> r = Indicator.GetAdl(bigQuotes);
+        IEnumerable<AdlResult> r = bigQuotes.GetAdl();
         Assert.AreEqual(1246, r.Count());
     }
 
+    [TestMethod]
+    public void RandomData()
+    {
+        IEnumerable<AdlResult> r = randomQuotes.GetAdl();
+        Assert.AreEqual(1000, r.Count());
+    }
+
     [TestMethod]
     public void NoQuotes()
     {