using Xunit; namespace QuanTAlib.Tests; public class RocrTests { private readonly TSeries _gbm; private const int TestPeriod = 9; private const int DataPoints = 100; public RocrTests() { var gbm = new GBM(startPrice: 100, mu: 0.0, sigma: 0.5, seed: 42); var bars = gbm.Fetch(DataPoints, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); _gbm = bars.Close; } #region Constructor Tests [Fact] public void Constructor_WithValidPeriod_SetsProperties() { var rocr = new Rocr(TestPeriod); Assert.Equal($"Rocr({TestPeriod})", rocr.Name); Assert.Equal(TestPeriod + 1, rocr.WarmupPeriod); } [Fact] public void Constructor_WithZeroPeriod_ThrowsArgumentException() { var ex = Assert.Throws(() => new Rocr(0)); Assert.Equal("period", ex.ParamName); } [Fact] public void Constructor_WithNegativePeriod_ThrowsArgumentException() { var ex = Assert.Throws(() => new Rocr(-1)); Assert.Equal("period", ex.ParamName); } [Fact] public void Constructor_WithSource_SubscribesToEvents() { var source = new TSeries(DataPoints); var rocr = new Rocr(source, TestPeriod); Assert.NotNull(rocr); } #endregion #region Basic Calculation Tests [Fact] public void Update_ReturnsCorrectValue() { var rocr = new Rocr(TestPeriod); var tv = rocr.Update(new TValue(DateTime.UtcNow, 100.0)); Assert.Equal(1.0, tv.Value); } [Fact] public void Update_FirstValues_ReturnsOne() { var rocr = new Rocr(TestPeriod); for (int i = 0; i < TestPeriod; i++) { var tv = rocr.Update(new TValue(DateTime.UtcNow.AddSeconds(i), 100.0 + i)); Assert.Equal(1.0, tv.Value); } } [Fact] public void Update_AfterWarmup_ReturnsRatio() { var rocr = new Rocr(2); // period=2 var values = new double[] { 100, 102, 105, 103, 110 }; for (int i = 0; i < values.Length; i++) { var tv = rocr.Update(new TValue(DateTime.UtcNow.AddSeconds(i), values[i]), true); if (i < 2) { Assert.Equal(1.0, tv.Value); // warmup period } else { // ratio: current / past double expected = values[i] / values[i - 2]; Assert.Equal(expected, tv.Value, 10); } } } [Fact] public void Last_IsAccessible() { var rocr = new Rocr(TestPeriod); rocr.Update(new TValue(DateTime.UtcNow, 100.0)); Assert.Equal(1.0, rocr.Last.Value); } [Fact] public void IsHot_ReturnsFalseDuringWarmup() { var rocr = new Rocr(TestPeriod); for (int i = 0; i < TestPeriod; i++) { rocr.Update(new TValue(DateTime.UtcNow.AddSeconds(i), 100.0 + i)); Assert.False(rocr.IsHot); } } [Fact] public void IsHot_ReturnsTrueAfterWarmup() { var rocr = new Rocr(TestPeriod); for (int i = 0; i <= TestPeriod; i++) { rocr.Update(new TValue(DateTime.UtcNow.AddSeconds(i), 100.0 + i)); } Assert.True(rocr.IsHot); } [Fact] public void Name_IsAccessible() { var rocr = new Rocr(TestPeriod); Assert.Equal($"Rocr({TestPeriod})", rocr.Name); } #endregion #region State Management Tests [Fact] public void Update_WithIsNewTrue_AdvancesState() { var rocr = new Rocr(TestPeriod); var time = DateTime.UtcNow; rocr.Update(new TValue(time, 100.0), true); rocr.Update(new TValue(time.AddSeconds(1), 105.0), true); rocr.Update(new TValue(time.AddSeconds(2), 110.0), true); // state should advance after each true Assert.NotEqual(default, rocr.Last); } [Fact] public void Update_WithIsNewFalse_UpdatesCurrentState() { var rocr = new Rocr(2); var time = DateTime.UtcNow; // Warmup rocr.Update(new TValue(time, 100.0), true); rocr.Update(new TValue(time.AddSeconds(1), 102.0), true); var first = rocr.Update(new TValue(time.AddSeconds(2), 105.0), true); // Update same bar with different value var corrected = rocr.Update(new TValue(time.AddSeconds(2), 108.0), false); Assert.NotEqual(first.Value, corrected.Value); // first: 105 / 100 = 1.05 // corrected: 108 / 100 = 1.08 Assert.Equal(1.05, first.Value, 10); Assert.Equal(1.08, corrected.Value, 10); } [Fact] public void Update_IterativeCorrections_RestoresPreviousState() { var rocr = new Rocr(2); var time = DateTime.UtcNow; // Initial values rocr.Update(new TValue(time, 100.0), true); rocr.Update(new TValue(time.AddSeconds(1), 102.0), true); var baseline = rocr.Update(new TValue(time.AddSeconds(2), 105.0), true); // Make several corrections rocr.Update(new TValue(time.AddSeconds(2), 108.0), false); rocr.Update(new TValue(time.AddSeconds(2), 110.0), false); var restored = rocr.Update(new TValue(time.AddSeconds(2), 105.0), false); // Should match original value Assert.Equal(baseline.Value, restored.Value, 10); } [Fact] public void Reset_ClearsStateAndLastValidTracking() { var rocr = new Rocr(TestPeriod); var time = DateTime.UtcNow; for (int i = 0; i <= TestPeriod; i++) { rocr.Update(new TValue(time.AddSeconds(i), 100.0 + i)); } rocr.Reset(); Assert.Equal(default, rocr.Last); Assert.False(rocr.IsHot); } #endregion #region Robustness Tests [Fact] public void Update_WithNaN_UsesLastValidValue() { var rocr = new Rocr(2); var time = DateTime.UtcNow; rocr.Update(new TValue(time, 100.0), true); rocr.Update(new TValue(time.AddSeconds(1), 102.0), true); _ = rocr.Update(new TValue(time.AddSeconds(2), 105.0), true); var afterNaN = rocr.Update(new TValue(time.AddSeconds(3), double.NaN), true); // NaN should use last valid (105), so ratio is 105 / 102 = 1.0294... Assert.True(double.IsFinite(afterNaN.Value)); Assert.Equal(105.0 / 102.0, afterNaN.Value, 10); } [Fact] public void Update_WithInfinity_UsesLastValidValue() { var rocr = new Rocr(2); var time = DateTime.UtcNow; rocr.Update(new TValue(time, 100.0), true); rocr.Update(new TValue(time.AddSeconds(1), 102.0), true); rocr.Update(new TValue(time.AddSeconds(2), 105.0), true); var afterInf = rocr.Update(new TValue(time.AddSeconds(3), double.PositiveInfinity), true); Assert.True(double.IsFinite(afterInf.Value)); } [Fact] public void Update_BatchNaN_HandlesSafely() { var rocr = new Rocr(TestPeriod); var time = DateTime.UtcNow; // Insert several NaN values for (int i = 0; i < 20; i++) { var value = i % 3 == 0 ? double.NaN : 100.0 + i; var tv = rocr.Update(new TValue(time.AddSeconds(i), value), true); Assert.True(double.IsFinite(tv.Value)); } } [Fact] public void Update_WithZeroPastValue_ReturnsOne() { var rocr = new Rocr(2); var time = DateTime.UtcNow; rocr.Update(new TValue(time, 0.0), true); // Value of 0 rocr.Update(new TValue(time.AddSeconds(1), 50.0), true); var result = rocr.Update(new TValue(time.AddSeconds(2), 100.0), true); // Division by zero: 100 / 0 should return 1.0 as safe default Assert.Equal(1.0, result.Value); } #endregion #region Consistency Tests (All 4 modes must match) [Fact] public void AllModes_ProduceSameResults() { // Mode 1: Batch via TSeries var batchResult = Rocr.Batch(_gbm, TestPeriod); // Mode 2: Streaming var streamingRocr = new Rocr(TestPeriod); var streamingResult = new TSeries(DataPoints); for (int i = 0; i < _gbm.Count; i++) { var tv = streamingRocr.Update(new TValue(_gbm[i].Time, _gbm[i].Value), true); streamingResult.Add(tv, true); } // Mode 3: Span-based Span spanOutput = stackalloc double[DataPoints]; Rocr.Batch(_gbm.Values, spanOutput, TestPeriod); // Mode 4: Event-driven var eventRocr = new Rocr(TestPeriod); var eventResult = new TSeries(DataPoints); eventRocr.Pub += (object? _, in TValueEventArgs e) => eventResult.Add(e.Value, e.IsNew); for (int i = 0; i < _gbm.Count; i++) { eventRocr.Update(new TValue(_gbm[i].Time, _gbm[i].Value), true); } // Compare last 100 values (or all if fewer) int compareCount = Math.Min(100, DataPoints); for (int i = DataPoints - compareCount; i < DataPoints; i++) { Assert.Equal(batchResult[i].Value, streamingResult[i].Value, 10); Assert.Equal(batchResult[i].Value, spanOutput[i], 10); Assert.Equal(batchResult[i].Value, eventResult[i].Value, 10); } } #endregion #region Span API Tests [Fact] public void Calculate_Span_ValidatesEmptySource() { var ex = Assert.Throws(() => { ReadOnlySpan empty = []; Span output = stackalloc double[1]; Rocr.Batch(empty, output, TestPeriod); }); Assert.Equal("source", ex.ParamName); } [Fact] public void Calculate_Span_ValidatesOutputLength() { var ex = Assert.Throws(() => { ReadOnlySpan source = stackalloc double[] { 1, 2, 3, 4, 5 }; Span output = stackalloc double[3]; // too short Rocr.Batch(source, output, TestPeriod); }); Assert.Equal("output", ex.ParamName); } [Fact] public void Calculate_Span_ValidatesPeriod() { var ex = Assert.Throws(() => { ReadOnlySpan source = stackalloc double[] { 1, 2, 3, 4, 5 }; Span output = stackalloc double[5]; Rocr.Batch(source, output, 0); }); Assert.Equal("period", ex.ParamName); } [Fact] public void Calculate_Span_MatchesTSeries() { var batchResult = Rocr.Batch(_gbm, TestPeriod); Span spanOutput = stackalloc double[DataPoints]; Rocr.Batch(_gbm.Values, spanOutput, TestPeriod); for (int i = 0; i < DataPoints; i++) { Assert.Equal(batchResult[i].Value, spanOutput[i], 10); } } [Fact] public void Calculate_Span_HandlesZeroDivision() { double[] source = [0, 100, 102, 103, 104]; Span output = stackalloc double[5]; // Should not throw Rocr.Batch(source, output, 2); // First element after warmup divides by 0 Assert.Equal(1.0, output[2]); // 102 / 0 = 1.0 (safe default) } [Fact] public void Calculate_Span_LargeData_NoStackOverflow() { int largeSize = 10000; double[] source = new double[largeSize]; double[] output = new double[largeSize]; for (int i = 0; i < largeSize; i++) { source[i] = 100.0 + i * 0.1; } // Should not throw Rocr.Batch(source, output, TestPeriod); Assert.Equal(largeSize, output.Length); } #endregion #region Chainability Tests [Fact] public void Pub_FiresOnUpdate() { var rocr = new Rocr(TestPeriod); bool eventFired = false; rocr.Pub += (object? _, in TValueEventArgs e) => eventFired = true; rocr.Update(new TValue(DateTime.UtcNow, 100.0)); Assert.True(eventFired); } [Fact] public void EventBasedChaining_Works() { var source = new TSeries(10); var rocr = new Rocr(source, 2); var results = new List(); rocr.Pub += (object? _, in TValueEventArgs e) => results.Add(e.Value.Value); for (int i = 0; i < 10; i++) { source.Add(new TValue(DateTime.UtcNow.AddSeconds(i), 100.0 + i), true); } Assert.Equal(10, results.Count); } #endregion #region Mathematical Properties Tests [Fact] public void Update_PriceDoubled_ReturnsTwo() { var rocr = new Rocr(2); var time = DateTime.UtcNow; rocr.Update(new TValue(time, 50.0), true); rocr.Update(new TValue(time.AddSeconds(1), 60.0), true); var result = rocr.Update(new TValue(time.AddSeconds(2), 100.0), true); // 100 / 50 = 2.0 Assert.Equal(2.0, result.Value, 10); } [Fact] public void Update_PriceHalved_ReturnsPointFive() { var rocr = new Rocr(2); var time = DateTime.UtcNow; rocr.Update(new TValue(time, 100.0), true); rocr.Update(new TValue(time.AddSeconds(1), 80.0), true); var result = rocr.Update(new TValue(time.AddSeconds(2), 50.0), true); // 50 / 100 = 0.5 Assert.Equal(0.5, result.Value, 10); } [Fact] public void Update_NoChange_ReturnsOne() { var rocr = new Rocr(2); var time = DateTime.UtcNow; rocr.Update(new TValue(time, 100.0), true); rocr.Update(new TValue(time.AddSeconds(1), 105.0), true); var result = rocr.Update(new TValue(time.AddSeconds(2), 100.0), true); // 100 / 100 = 1.0 Assert.Equal(1.0, result.Value, 10); } #endregion }