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Bar aggregator tests

master
Denis Tereshkin 7 years ago
parent
464cf77adc
commit
51a911df9c
8 changed files with 257 additions and 14 deletions
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  1. 5
      robocom-zero.cabal
  2. 11
      src/ATrade/BarAggregator.hs
  3. 15
      src/ATrade/Driver/Backtest.hs
  4. 26
      src/ATrade/Driver/Real.hs
  5. 4
      src/ATrade/RoboCom/Positions.hs
  6. 6
      test/Spec.hs
  7. 95
      test/Test/BarAggregator.hs
  8. 109
      test/Test/RoboCom/Indicators.hs

5
robocom-zero.cabal
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@ -27,6 +27,7 @@ library
, ATrade.Quotes.QTIS , ATrade.Quotes.QTIS
, ATrade.Driver.Real , ATrade.Driver.Real
, ATrade.Driver.Backtest , ATrade.Driver.Backtest
, ATrade.BarAggregator
build-depends: base >= 4.7 && < 5 build-depends: base >= 4.7 && < 5
, libatrade == 0.8.0.0 , libatrade == 0.8.0.0
, text , text
@ -64,8 +65,7 @@ library
, hedis , hedis
default-language: Haskell2010 default-language: Haskell2010
other-modules: ATrade.BarAggregator other-modules: ATrade.Exceptions
, ATrade.Exceptions
, ATrade.Driver.Real.BrokerClientThread , ATrade.Driver.Real.BrokerClientThread
, ATrade.Driver.Real.QuoteSourceThread , ATrade.Driver.Real.QuoteSourceThread
, ATrade.Driver.Real.Types , ATrade.Driver.Real.Types
@ -93,6 +93,7 @@ test-suite robots-test
other-modules: Test.RoboCom.Indicators other-modules: Test.RoboCom.Indicators
, Test.RoboCom.Positions , Test.RoboCom.Positions
, Test.RoboCom.Utils , Test.RoboCom.Utils
, Test.BarAggregator
source-repository head source-repository head
type: git type: git

11
src/ATrade/BarAggregator.hs
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@ -28,6 +28,7 @@ import Control.Lens
import Control.Monad.State import Control.Monad.State
import qualified Data.Map.Strict as M import qualified Data.Map.Strict as M
import Data.Time.Clock import Data.Time.Clock
import Debug.Trace
-- | Bar aggregator state -- | Bar aggregator state
data BarAggregator = BarAggregator { data BarAggregator = BarAggregator {
@ -84,7 +85,15 @@ handleTick tick = runState $ do
return Nothing return Nothing
else else
return Nothing return Nothing
_ -> return Nothing _ -> case datatype tick of
LastTradePrice -> do
if volume tick > 0
then do
lBars %= M.insert (security tick) series { bsBars = barFromTick tick : [] }
return Nothing
else
return Nothing
_ -> return Nothing
_ -> return Nothing _ -> return Nothing
else else
return Nothing return Nothing

15
src/ATrade/Driver/Backtest.hs
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@ -4,6 +4,7 @@
{-# LANGUAGE OverloadedStrings #-} {-# LANGUAGE OverloadedStrings #-}
{-# LANGUAGE RankNTypes #-} {-# LANGUAGE RankNTypes #-}
{-# LANGUAGE ScopedTypeVariables #-} {-# LANGUAGE ScopedTypeVariables #-}
{-# LANGUAGE QuasiQuotes #-}
module ATrade.Driver.Backtest ( module ATrade.Driver.Backtest (
backtestMain backtestMain
@ -17,7 +18,8 @@ import ATrade.Quotes.Finam as QF
import ATrade.RoboCom.Monad (Event (..), EventCallback, import ATrade.RoboCom.Monad (Event (..), EventCallback,
StrategyAction (..), StrategyAction (..),
StrategyEnvironment (..), StrategyEnvironment (..),
runStrategyElement) runStrategyElement, st,
appendToLog)
import ATrade.RoboCom.Positions import ATrade.RoboCom.Positions
import ATrade.RoboCom.Types (BarSeries (..), Ticker (..), import ATrade.RoboCom.Types (BarSeries (..), Ticker (..),
Timeframe (..)) Timeframe (..))
@ -208,8 +210,8 @@ backtestMain dataDownloadDelta defaultState initCallback callback = do
isExecutable bar order = case orderPrice order of isExecutable bar order = case orderPrice order of
Limit price -> if orderOperation order == Buy Limit price -> if orderOperation order == Buy
then price <= barLow bar then price >= barLow bar
else price >= barHigh bar else price <= barHigh bar
_ -> True _ -> True
priceForLimitOrder order bar = case orderPrice order of priceForLimitOrder order bar = case orderPrice order of
@ -267,8 +269,11 @@ backtestMain dataDownloadDelta defaultState initCallback callback = do
updateBars barMap newbar = M.alter (\case updateBars barMap newbar = M.alter (\case
Nothing -> Just BarSeries { bsTickerId = barSecurity newbar, Nothing -> Just BarSeries { bsTickerId = barSecurity newbar,
bsTimeframe = Timeframe 60, bsTimeframe = Timeframe 60,
bsBars = [newbar] } bsBars = [newbar, newbar] }
Just bs -> Just bs { bsBars = newbar : bsBars bs }) (barSecurity newbar) barMap Just bs -> Just bs { bsBars = updateBarList newbar (bsBars bs) }) (barSecurity newbar) barMap
updateBarList newbar (_:bs) = newbar:newbar:bs
updateBarList newbar _ = newbar:[newbar]
fireTimers ts = do fireTimers ts = do
(firedTimers, otherTimers) <- partition (< ts) <$> gets pendingTimers (firedTimers, otherTimers) <- partition (< ts) <$> gets pendingTimers

26
src/ATrade/Driver/Real.hs
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@ -131,7 +131,7 @@ storeState params stateRef timersRef = do
now <- getPOSIXTime now <- getPOSIXTime
res <- runRedis conn $ mset [(encodeUtf8 $ T.pack $ instanceId params, BL.toStrict $ encode currentStrategyState), res <- runRedis conn $ mset [(encodeUtf8 $ T.pack $ instanceId params, BL.toStrict $ encode currentStrategyState),
(encodeUtf8 $ T.pack $ instanceId params ++ ":last_store", encodeUtf8 $ T.pack $ show now), (encodeUtf8 $ T.pack $ instanceId params ++ ":last_store", encodeUtf8 $ T.pack $ show now),
(encodeUtf8 $ T.pack $ instanceId params ++ ":timers", encodeUtf8 $ T.pack $ show now) ] (encodeUtf8 $ T.pack $ instanceId params ++ ":timers", BL.toStrict $ encode currentTimersState) ]
case res of case res of
Left _ -> warningM "main" "Unable to save state" Left _ -> warningM "main" "Unable to save state"
@ -156,6 +156,7 @@ robotMain dataDownloadDelta defaultState initCallback callback = do
(tickerList, config) <- loadStrategyConfig params (tickerList, config) <- loadStrategyConfig params
stratState <- loadStrategyState params stratState <- loadStrategyState params
timersState <- loadStrategyTimers params
let instanceParams = StrategyInstanceParams { let instanceParams = StrategyInstanceParams {
strategyInstanceId = T.pack . instanceId $ params, strategyInstanceId = T.pack . instanceId $ params,
@ -174,7 +175,7 @@ robotMain dataDownloadDelta defaultState initCallback callback = do
let strategy = mkBarStrategy instanceParams dataDownloadDelta updatedConfig stratState callback let strategy = mkBarStrategy instanceParams dataDownloadDelta updatedConfig stratState callback
stateRef <- newIORef stratState stateRef <- newIORef stratState
timersRef <- newIORef [] timersRef <- newIORef timersState
shutdownMv <- newEmptyMVar shutdownMv <- newEmptyMVar
installHandler sigINT (gracefulShutdown params stateRef timersRef shutdownMv) installHandler sigINT (gracefulShutdown params stateRef timersRef shutdownMv)
installHandler sigTERM (gracefulShutdown params stateRef timersRef shutdownMv) installHandler sigTERM (gracefulShutdown params stateRef timersRef shutdownMv)
@ -220,6 +221,27 @@ robotMain dataDownloadDelta defaultState initCallback callback = do
Right conf -> return (confTickers conf, strategyConfig conf) Right conf -> return (confTickers conf, strategyConfig conf)
Left errmsg -> throw $ UnableToLoadConfig $ (T.pack . show) errmsg) Left errmsg -> throw $ UnableToLoadConfig $ (T.pack . show) errmsg)
loadStrategyTimers :: Params -> IO [UTCTime]
loadStrategyTimers params = case redisSocket params of
Nothing -> return []
Just sock -> do
conn <- checkedConnect $ defaultConnectInfo { connectPort = UnixSocket sock }
res <- runRedis conn $ get (encodeUtf8 $ T.pack $ instanceId params ++ "timers")
case res of
Left _ -> do
warningM "main" "Unable to load state"
return []
Right mv -> case mv of
Just v -> case eitherDecode $ BL.fromStrict v of
Left _ -> do
warningM "main" "Unable to load state"
return []
Right s -> return s
Nothing -> do
warningM "main" "Unable to load state"
return []
loadStrategyState params = case redisSocket params of loadStrategyState params = case redisSocket params of
Nothing -> loadStateFromFile (strategyStateFile params) Nothing -> loadStateFromFile (strategyStateFile params)
Just sock -> do Just sock -> do

4
src/ATrade/RoboCom/Positions.hs
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@ -170,7 +170,7 @@ orderCorrespondsTo o1 o2 =
orderDeadline :: Maybe UTCTime -> UTCTime -> Bool orderDeadline :: Maybe UTCTime -> UTCTime -> Bool
orderDeadline maybeDeadline lastTs = orderDeadline maybeDeadline lastTs =
case maybeDeadline of case maybeDeadline of
Just deadline -> lastTs >= deadline Just deadline -> lastTs > deadline
Nothing -> False Nothing -> False
@ -203,7 +203,7 @@ dispatchPosition event pos = case posState pos of
case posCurrentOrder pos of case posCurrentOrder pos of
Just order -> if orderDeadline (posExecutionDeadline pos) lastTs Just order -> if orderDeadline (posExecutionDeadline pos) lastTs
then do -- TODO call TimeoutHandler then do -- TODO call TimeoutHandler
appendToLog "In PositionWaitingOpen: execution timeout" appendToLog $ [st|"In PositionWaitingOpen: execution timeout: %?/%?"|] (posExecutionDeadline pos) lastTs
cancelOrder $ orderId order cancelOrder $ orderId order
return $ pos { posState = PositionWaitingPendingCancellation, posNextState = Just PositionCancelled } return $ pos { posState = PositionWaitingPendingCancellation, posNextState = Just PositionCancelled }
else case event of else case event of

6
test/Spec.hs
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@ -1,8 +1,9 @@
import qualified Test.BarAggregator
import qualified Test.RoboCom.Indicators import qualified Test.RoboCom.Indicators
import qualified Test.RoboCom.Positions import qualified Test.RoboCom.Positions
import qualified Test.RoboCom.Utils import qualified Test.RoboCom.Utils
import Test.Tasty import Test.Tasty
main :: IO () main :: IO ()
main = defaultMain $ testGroup "Tests" [unitTests] main = defaultMain $ testGroup "Tests" [unitTests]
@ -11,4 +12,5 @@ unitTests :: TestTree
unitTests = testGroup "Unit Tests" unitTests = testGroup "Unit Tests"
[Test.RoboCom.Indicators.unitTests, [Test.RoboCom.Indicators.unitTests,
Test.RoboCom.Positions.unitTests, Test.RoboCom.Positions.unitTests,
Test.RoboCom.Utils.unitTests] Test.RoboCom.Utils.unitTests,
Test.BarAggregator.unitTests ]

95
test/Test/BarAggregator.hs
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@ -0,0 +1,95 @@
{-# LANGUAGE OverloadedStrings #-}
module Test.BarAggregator
(
unitTests
) where
import ATrade.BarAggregator
import ATrade.RoboCom.Types
import ATrade.Types
import qualified Data.Map.Strict as M
import qualified Data.Text as T
import Data.Time.Calendar
import Data.Time.Clock
import Test.Tasty
import Test.Tasty.HUnit
import Test.Tasty.QuickCheck as QC
import Test.Tasty.SmallCheck as SC
unitTests = testGroup "BarAggregator" [
testUnknownBarSeries
, testOneTick
, testTwoTicksInSameBar
, testTwoTicksInDifferentBars
]
testUnknownBarSeries :: TestTree
testUnknownBarSeries = testCase "Tick with unknown ticker id" $ do
let agg = BarAggregator M.empty M.empty [(0, 86400)]
let (mbar, newagg) = handleTick tick agg
mbar @?= Nothing
(bars newagg) @?= M.empty
where
testTimestamp = (UTCTime (fromGregorian 1970 1 1) 100)
tick = Tick {
security = "TEST_TICKER",
datatype = LastTradePrice,
timestamp = testTimestamp,
value = fromDouble 12.00,
volume = 1 }
testOneTick :: TestTree
testOneTick = testCase "One tick" $ do
let series = BarSeries "TEST_TICKER" (Timeframe 60) []
let agg = mkAggregatorFromBars (M.fromList [("TEST_TICKER", series)]) [(0, 86400)]
let (mbar, newagg) = handleTick tick agg
mbar @?= Nothing
(bsBars <$> (M.lookup "TEST_TICKER" $ bars newagg)) @?= Just [Bar "TEST_TICKER" testTimestamp 12.00 12.00 12.00 12.00 1]
where
testTimestamp = (UTCTime (fromGregorian 1970 1 1) 60)
tick = Tick {
security = "TEST_TICKER",
datatype = LastTradePrice,
timestamp = testTimestamp,
value = fromDouble 12.00,
volume = 1 }
testTwoTicksInSameBar :: TestTree
testTwoTicksInSameBar = testCase "Two ticks - same bar" $ do
let series = BarSeries "TEST_TICKER" (Timeframe 60) []
let agg = mkAggregatorFromBars (M.fromList [("TEST_TICKER", series)]) [(0, 86400)]
let (mbar, newagg) = handleTick (tick testTimestamp1 12.00) agg
mbar @?= Nothing
let (mbar', newagg') = handleTick (tick testTimestamp2 14.00) newagg
mbar' @?= Nothing
(bsBars <$> (M.lookup "TEST_TICKER" $ bars newagg')) @?= Just [Bar "TEST_TICKER" testTimestamp2 12.00 14.00 12.00 14.00 2]
where
testTimestamp1 = (UTCTime (fromGregorian 1970 1 1) 58)
testTimestamp2 = (UTCTime (fromGregorian 1970 1 1) 59)
tick ts val = Tick {
security = "TEST_TICKER",
datatype = LastTradePrice,
timestamp = ts,
value = fromDouble val,
volume = 1 }
testTwoTicksInDifferentBars :: TestTree
testTwoTicksInDifferentBars = testCase "Two ticks - different bar" $ do
let series = BarSeries "TEST_TICKER" (Timeframe 60) []
let agg = mkAggregatorFromBars (M.fromList [("TEST_TICKER", series)]) [(0, 86400)]
let (mbar, newagg) = handleTick (tick testTimestamp1 12.00) agg
mbar @?= Nothing
let (mbar', newagg') = handleTick (tick testTimestamp2 14.00) newagg
mbar' @?= Just (Bar "TEST_TICKER" testTimestamp1 12.00 12.00 12.00 12.00 1)
(bsBars <$> (M.lookup "TEST_TICKER" $ bars newagg')) @?= Just [Bar "TEST_TICKER" testTimestamp2 14.00 14.00 14.00 14.00 1, Bar "TEST_TICKER" testTimestamp1 12.00 12.00 12.00 12.00 1]
where
testTimestamp1 = (UTCTime (fromGregorian 1970 1 1) 58)
testTimestamp2 = (UTCTime (fromGregorian 1970 1 1) 61)
tick ts val = Tick {
security = "TEST_TICKER",
datatype = LastTradePrice,
timestamp = ts,
value = fromDouble val,
volume = 1 }

109
test/Test/RoboCom/Indicators.hs
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@ -22,6 +22,7 @@ unitTests = testGroup "RoboCom.Indicators" [
testRsi, testRsi,
testRsi2, testRsi2,
testAtr, testAtr,
testAtr2,
testCci, testCci,
testBbandUpper, testBbandUpper,
testPercentRank testPercentRank
@ -77,6 +78,114 @@ testAtr = testCase "ATR calculation" $ assertEqualWithEpsilon 0.01 (atr 14 bars)
bar 48.79 47.73 47.85 ] bar 48.79 47.73 47.85 ]
bar h l c = Bar { barSecurity = "", barTimestamp = UTCTime (fromGregorian 1970 1 1) 0, barOpen = 0, barHigh = h, barLow = l, barClose = c, barVolume = 0} bar h l c = Bar { barSecurity = "", barTimestamp = UTCTime (fromGregorian 1970 1 1) 0, barOpen = 0, barHigh = h, barLow = l, barClose = c, barVolume = 0}
testAtr2 = testCase "ATR calculation - case 2" $ assertEqualWithEpsilon 1 (atr 18 bars) 230.8
where
bars = reverse [
bar 122870.0000000 122900.0000000 122350.0000000 122480.0000000,
bar 122470.0000000 122590.0000000 122420.0000000 122540.0000000,
bar 122540.0000000 122680.0000000 122490.0000000 122680.0000000,
bar 122680.0000000 122760.0000000 122630.0000000 122650.0000000,
bar 122640.0000000 122720.0000000 122570.0000000 122610.0000000,
bar 122610.0000000 122660.0000000 122450.0000000 122500.0000000,
bar 122510.0000000 122640.0000000 122490.0000000 122580.0000000,
bar 122580.0000000 122730.0000000 122490.0000000 122700.0000000,
bar 122690.0000000 122840.0000000 122690.0000000 122780.0000000,
bar 122780.0000000 122800.0000000 122620.0000000 122670.0000000,
bar 122670.0000000 122800.0000000 122640.0000000 122700.0000000,
bar 122700.0000000 122810.0000000 122700.0000000 122710.0000000,
bar 122720.0000000 122800.0000000 122650.0000000 122730.0000000,
bar 122710.0000000 122990.0000000 122680.0000000 122920.0000000,
bar 122940.0000000 123190.0000000 122940.0000000 122960.0000000,
bar 122960.0000000 123100.0000000 122930.0000000 123090.0000000,
bar 123090.0000000 123130.0000000 122940.0000000 122950.0000000,
bar 122950.0000000 123010.0000000 122870.0000000 122970.0000000,
bar 122960.0000000 122970.0000000 122700.0000000 122730.0000000,
bar 122720.0000000 122790.0000000 122550.0000000 122560.0000000,
bar 122570.0000000 122680.0000000 122460.0000000 122540.0000000,
bar 122540.0000000 122700.0000000 122510.0000000 122620.0000000,
bar 122620.0000000 122870.0000000 122600.0000000 122860.0000000,
bar 122860.0000000 123170.0000000 122830.0000000 123050.0000000,
bar 123050.0000000 123080.0000000 122910.0000000 122920.0000000,
bar 122920.0000000 123100.0000000 122850.0000000 123020.0000000,
bar 123010.0000000 123280.0000000 122960.0000000 123230.0000000,
bar 123240.0000000 123240.0000000 123090.0000000 123220.0000000,
bar 123220.0000000 123230.0000000 123140.0000000 123200.0000000,
bar 123200.0000000 123290.0000000 123180.0000000 123190.0000000,
bar 123200.0000000 123530.0000000 123200.0000000 123470.0000000,
bar 123470.0000000 123510.0000000 123340.0000000 123390.0000000,
bar 123390.0000000 123430.0000000 123330.0000000 123430.0000000,
bar 123430.0000000 123450.0000000 123320.0000000 123340.0000000,
bar 123340.0000000 123360.0000000 123280.0000000 123350.0000000,
bar 123340.0000000 123370.0000000 123220.0000000 123260.0000000,
bar 123250.0000000 123350.0000000 123230.0000000 123250.0000000,
bar 123240.0000000 123280.0000000 123160.0000000 123170.0000000,
bar 123170.0000000 123260.0000000 123150.0000000 123210.0000000,
bar 123210.0000000 123330.0000000 123200.0000000 123300.0000000,
bar 123300.0000000 123310.0000000 123220.0000000 123250.0000000,
bar 123240.0000000 123280.0000000 123220.0000000 123270.0000000,
bar 123270.0000000 123350.0000000 123230.0000000 123260.0000000,
bar 123260.0000000 123260.0000000 123180.0000000 123190.0000000,
bar 123190.0000000 123190.0000000 123160.0000000 123180.0000000,
bar 123170.0000000 123180.0000000 123040.0000000 123060.0000000,
bar 123070.0000000 123210.0000000 123020.0000000 123200.0000000,
bar 123090.0000000 123300.0000000 122310.0000000 122440.0000000,
bar 122440.0000000 122620.0000000 122400.0000000 122550.0000000,
bar 122540.0000000 122720.0000000 122460.0000000 122710.0000000,
bar 122720.0000000 122730.0000000 122530.0000000 122570.0000000,
bar 122570.0000000 122680.0000000 122490.0000000 122590.0000000,
bar 122580.0000000 122750.0000000 122550.0000000 122640.0000000,
bar 122650.0000000 122660.0000000 122510.0000000 122620.0000000,
bar 122620.0000000 122680.0000000 122500.0000000 122560.0000000,
bar 122570.0000000 122670.0000000 122520.0000000 122610.0000000,
bar 122610.0000000 122790.0000000 122590.0000000 122690.0000000,
bar 122690.0000000 122830.0000000 122680.0000000 122800.0000000,
bar 122810.0000000 122810.0000000 122560.0000000 122620.0000000,
bar 122620.0000000 122700.0000000 122570.0000000 122640.0000000,
bar 122640.0000000 122730.0000000 122620.0000000 122670.0000000,
bar 122680.0000000 122830.0000000 122630.0000000 122780.0000000,
bar 122770.0000000 123090.0000000 122740.0000000 122980.0000000,
bar 123000.0000000 123090.0000000 122940.0000000 122960.0000000,
bar 122960.0000000 122980.0000000 122850.0000000 122920.0000000,
bar 122930.0000000 123030.0000000 122920.0000000 122950.0000000,
bar 122940.0000000 122990.0000000 122880.0000000 122970.0000000,
bar 122980.0000000 123080.0000000 122860.0000000 122880.0000000,
bar 122880.0000000 122980.0000000 122870.0000000 122980.0000000,
bar 122980.0000000 123130.0000000 122780.0000000 122950.0000000,
bar 122960.0000000 123020.0000000 122860.0000000 122870.0000000,
bar 122870.0000000 122890.0000000 122570.0000000 122650.0000000,
bar 122640.0000000 122710.0000000 122500.0000000 122580.0000000,
bar 122580.0000000 122690.0000000 122400.0000000 122430.0000000,
bar 122430.0000000 122700.0000000 122410.0000000 122690.0000000,
bar 122690.0000000 122720.0000000 122320.0000000 122480.0000000,
bar 122480.0000000 122560.0000000 122380.0000000 122540.0000000,
bar 122540.0000000 122650.0000000 122450.0000000 122480.0000000,
bar 122480.0000000 122540.0000000 122400.0000000 122430.0000000,
bar 122440.0000000 122450.0000000 122110.0000000 122200.0000000,
bar 122190.0000000 122350.0000000 122110.0000000 122320.0000000,
bar 122330.0000000 122480.0000000 122200.0000000 122430.0000000,
bar 122380.0000000 122570.0000000 121870.0000000 122210.0000000,
bar 122210.0000000 122300.0000000 122170.0000000 122230.0000000,
bar 122220.0000000 122340.0000000 122210.0000000 122320.0000000,
bar 122310.0000000 122320.0000000 122190.0000000 122290.0000000,
bar 122300.0000000 122440.0000000 122300.0000000 122410.0000000,
bar 122400.0000000 122490.0000000 122370.0000000 122450.0000000,
bar 122460.0000000 122770.0000000 122450.0000000 122760.0000000,
bar 122760.0000000 122850.0000000 122720.0000000 122810.0000000,
bar 122820.0000000 122890.0000000 122760.0000000 122830.0000000,
bar 122830.0000000 122950.0000000 122780.0000000 122780.0000000,
bar 122790.0000000 122790.0000000 122670.0000000 122740.0000000,
bar 122750.0000000 122770.0000000 122670.0000000 122720.0000000,
bar 122720.0000000 122880.0000000 122700.0000000 122750.0000000,
bar 122750.0000000 122760.0000000 122650.0000000 122680.0000000,
bar 122670.0000000 122770.0000000 122670.0000000 122740.0000000,
bar 122740.0000000 122820.0000000 122690.0000000 122750.0000000,
bar 122750.0000000 122790.0000000 122690.0000000 122740.0000000,
bar 122740.0000000 122770.0000000 122610.0000000 122680.0000000,
bar 122670.0000000 122800.0000000 122670.0000000 122770.0000000,
bar 122770.0000000 122910.0000000 122710.0000000 122790.0000000,
bar 122700.0000000 122730.0000000 121680.0000000 121780.0000000 ]
bar o h l c = Bar { barSecurity = "", barTimestamp = UTCTime (fromGregorian 1970 1 1) 0, barOpen = o, barHigh = h, barLow = l, barClose = c, barVolume = 0}
testCci = testCase "CCI calculation" $ do testCci = testCase "CCI calculation" $ do
assertEqualWithEpsilon 0.1 (cci 12 bars) 212.39 assertEqualWithEpsilon 0.1 (cci 12 bars) 212.39
where where

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