Add ORB confluence factors (NR4/NR7, gap alignment, breakout volume, prior close) + session file logger

tests/NT8.Core.Tests/Intelligence/OrbConfluenceFactorTests.cs

@@ -0,0 +1,299 @@
+using System;
+using System.Collections.Generic;
+using Microsoft.VisualStudio.TestTools.UnitTesting;
+using NT8.Core.Common.Models;
+using NT8.Core.Intelligence;
+using NT8.Core.Logging;
+
+namespace NT8.Core.Tests.Intelligence
+{
+    [TestClass]
+    public class OrbConfluenceFactorTests
+    {
+        [TestMethod]
+        public void NarrowRange_NR7_ScoresOne()
+        {
+            var calc = new NarrowRangeFactorCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            intent.Metadata["daily_bars"] = CreateDailyContext(new double[] { 10, 10, 10, 10, 10, 10, 5 });
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(1.0, result.Score, 0.000001);
+        }
+
+        [TestMethod]
+        public void NarrowRange_NR4_Scores075()
+        {
+            var calc = new NarrowRangeFactorCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            intent.Metadata["daily_bars"] = CreateDailyContext(new double[] { 5, 5, 5, 10, 9, 8, 7 });
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(0.75, result.Score, 0.000001);
+        }
+
+        [TestMethod]
+        public void NarrowRange_WideRange_ScoresLow()
+        {
+            var calc = new NarrowRangeFactorCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            intent.Metadata["daily_bars"] = CreateDailyContext(new double[] { 5, 5, 5, 5, 5, 5, 12 });
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.IsTrue(result.Score <= 0.3);
+        }
+
+        [TestMethod]
+        public void NarrowRange_MissingContext_DefaultsTo03()
+        {
+            var calc = new NarrowRangeFactorCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(0.3, result.Score, 0.000001);
+        }
+
+        [TestMethod]
+        public void NarrowRange_InsufficientBars_DefaultsTo03()
+        {
+            var calc = new NarrowRangeFactorCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            intent.Metadata["daily_bars"] = CreateDailyContext(new double[] { 8, 7, 6, 5 });
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(0.3, result.Score, 0.000001);
+        }
+
+        [TestMethod]
+        public void OrbRangeVsAtr_SmallRange_ScoresOne()
+        {
+            var calc = new OrbRangeVsAtrFactorCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            var daily = CreateDailyContext(new double[] { 10, 10, 10, 10, 10, 10, 10 });
+            intent.Metadata["daily_bars"] = daily;
+            intent.Metadata["orb_range_ticks"] = 8.0;
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(1.0, result.Score, 0.000001);
+        }
+
+        [TestMethod]
+        public void OrbRangeVsAtr_LargeRange_ScoresVeryLow()
+        {
+            var calc = new OrbRangeVsAtrFactorCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            var daily = CreateDailyContext(new double[] { 10, 10, 10, 10, 10, 10, 10 });
+            intent.Metadata["daily_bars"] = daily;
+            intent.Metadata["orb_range_ticks"] = 40.0;
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.IsTrue(result.Score <= 0.15);
+        }
+
+        [TestMethod]
+        public void OrbRangeVsAtr_MissingContext_DefaultsTo05()
+        {
+            var calc = new OrbRangeVsAtrFactorCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(0.5, result.Score, 0.000001);
+        }
+
+        [TestMethod]
+        public void GapDirection_LargeAlignedGap_ScoresOne()
+        {
+            var calc = new GapDirectionAlignmentCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            var daily = CreateDailyContext(new double[] { 8, 8, 8, 8, 8, 8, 8 });
+            daily.Closes[daily.Count - 2] = 100.0;
+            daily.TodayOpen = 106.0;
+            daily.TradeDirection = 1;
+            intent.Metadata["daily_bars"] = daily;
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(1.0, result.Score, 0.000001);
+        }
+
+        [TestMethod]
+        public void GapDirection_LargeOpposingGap_ScoresVeryLow()
+        {
+            var calc = new GapDirectionAlignmentCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            var daily = CreateDailyContext(new double[] { 8, 8, 8, 8, 8, 8, 8 });
+            daily.Closes[daily.Count - 2] = 100.0;
+            daily.TodayOpen = 106.0;
+            daily.TradeDirection = -1;
+            intent.Metadata["daily_bars"] = daily;
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.IsTrue(result.Score <= 0.15);
+        }
+
+        [TestMethod]
+        public void GapDirection_FlatOpen_ScoresNeutral()
+        {
+            var calc = new GapDirectionAlignmentCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            var daily = CreateDailyContext(new double[] { 8, 8, 8, 8, 8, 8, 8 });
+            daily.Closes[daily.Count - 2] = 100.0;
+            daily.TodayOpen = 100.1;
+            daily.TradeDirection = 1;
+            intent.Metadata["daily_bars"] = daily;
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(0.55, result.Score, 0.000001);
+        }
+
+        [TestMethod]
+        public void BreakoutVolume_ThreeX_ScoresOne()
+        {
+            var calc = new BreakoutVolumeStrengthCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            var daily = CreateDailyContext(new double[] { 8, 8, 8, 8, 8, 8, 8 });
+            daily.BreakoutBarVolume = 3000.0;
+            daily.AvgIntradayBarVolume = 1000.0;
+            intent.Metadata["daily_bars"] = daily;
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(1.0, result.Score, 0.000001);
+        }
+
+        [TestMethod]
+        public void BreakoutVolume_BelowAverage_ScoresLow()
+        {
+            var calc = new BreakoutVolumeStrengthCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            var daily = CreateDailyContext(new double[] { 8, 8, 8, 8, 8, 8, 8 });
+            daily.BreakoutBarVolume = 800.0;
+            daily.AvgIntradayBarVolume = 1200.0;
+            intent.Metadata["daily_bars"] = daily;
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.IsTrue(result.Score <= 0.25);
+        }
+
+        [TestMethod]
+        public void PriorCloseStrength_LongTopQuartile_ScoresOne()
+        {
+            var calc = new PriorDayCloseStrengthCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            var daily = CreateDailyContext(new double[] { 8, 8, 8, 8, 8, 8, 8 });
+            int prev = daily.Count - 2;
+            daily.Lows[prev] = 100.0;
+            daily.Highs[prev] = 120.0;
+            daily.Closes[prev] = 118.0;
+            daily.TradeDirection = 1;
+            intent.Metadata["daily_bars"] = daily;
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(1.0, result.Score, 0.000001);
+        }
+
+        [TestMethod]
+        public void PriorCloseStrength_LongBottomQuartile_ScoresLow()
+        {
+            var calc = new PriorDayCloseStrengthCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            var daily = CreateDailyContext(new double[] { 8, 8, 8, 8, 8, 8, 8 });
+            int prev = daily.Count - 2;
+            daily.Lows[prev] = 100.0;
+            daily.Highs[prev] = 120.0;
+            daily.Closes[prev] = 101.0;
+            daily.TradeDirection = 1;
+            intent.Metadata["daily_bars"] = daily;
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.IsTrue(result.Score <= 0.20);
+        }
+
+        [TestMethod]
+        public void PriorCloseStrength_ShortBottomQuartile_ScoresOne()
+        {
+            var calc = new PriorDayCloseStrengthCalculator(new BasicLogger("test"));
+            var intent = CreateIntent();
+            var daily = CreateDailyContext(new double[] { 8, 8, 8, 8, 8, 8, 8 });
+            int prev = daily.Count - 2;
+            daily.Lows[prev] = 100.0;
+            daily.Highs[prev] = 120.0;
+            daily.Closes[prev] = 101.0;
+            daily.TradeDirection = -1;
+            intent.Metadata["daily_bars"] = daily;
+
+            var result = calc.Calculate(intent, CreateContext(), CreateBar());
+
+            Assert.AreEqual(1.0, result.Score, 0.000001);
+        }
+
+        private static StrategyIntent CreateIntent()
+        {
+            return new StrategyIntent(
+                "ES",
+                OrderSide.Buy,
+                OrderType.Market,
+                null,
+                8,
+                16,
+                0.8,
+                "test",
+                new Dictionary<string, object>());
+        }
+
+        private static StrategyContext CreateContext()
+        {
+            return new StrategyContext(
+                "ES",
+                DateTime.UtcNow,
+                new Position("ES", 0, 0, 0, 0, DateTime.UtcNow),
+                new AccountInfo(100000, 100000, 0, 0, DateTime.UtcNow),
+                new MarketSession(DateTime.Today.AddHours(9.5), DateTime.Today.AddHours(16), true, "RTH"),
+                new Dictionary<string, object>());
+        }
+
+        private static BarData CreateBar()
+        {
+            return new BarData("ES", DateTime.UtcNow, 5000, 5005, 4998, 5002, 1000, TimeSpan.FromMinutes(5));
+        }
+
+        private static DailyBarContext CreateDailyContext(double[] ranges)
+        {
+            DailyBarContext context = new DailyBarContext();
+            context.Count = ranges.Length;
+            context.Highs = new double[ranges.Length];
+            context.Lows = new double[ranges.Length];
+            context.Closes = new double[ranges.Length];
+            context.Opens = new double[ranges.Length];
+            context.Volumes = new long[ranges.Length];
+
+            for (int i = 0; i < ranges.Length; i++)
+            {
+                context.Lows[i] = 100.0;
+                context.Highs[i] = 100.0 + ranges[i];
+                context.Opens[i] = 100.0 + (ranges[i] * 0.25);
+                context.Closes[i] = 100.0 + (ranges[i] * 0.75);
+                context.Volumes[i] = 100000;
+            }
+
+            context.TodayOpen = context.Closes[Math.Max(0, context.Count - 2)] + 1.0;
+            context.BreakoutBarVolume = 1000.0;
+            context.AvgIntradayBarVolume = 1000.0;
+            context.TradeDirection = 1;
+            return context;
+        }
+    }
+}