using Xunit; namespace QuanTAlib.Tests; public class VrocTests { private const double Tolerance = 1e-10; private readonly GBM _gbm; private readonly TBarSeries _bars; public VrocTests() { _gbm = new GBM(seed: 42); _bars = _gbm.Fetch(200, DateTime.UtcNow.Ticks, TimeSpan.FromMinutes(1)); } #region Constructor Tests [Fact] public void Constructor_DefaultParameters_SetsExpectedValues() { var vroc = new Vroc(); Assert.Equal("Vroc(12,%)", vroc.Name); Assert.Equal(13, vroc.WarmupPeriod); } [Fact] public void Constructor_CustomPeriod_SetsExpectedValues() { var vroc = new Vroc(period: 20); Assert.Equal("Vroc(20,%)", vroc.Name); Assert.Equal(21, vroc.WarmupPeriod); } [Fact] public void Constructor_PointMode_SetsExpectedName() { var vroc = new Vroc(period: 10, usePercent: false); Assert.Equal("Vroc(10,pt)", vroc.Name); } [Fact] public void Constructor_PeriodLessThan1_ThrowsArgumentException() { var ex = Assert.Throws(() => new Vroc(period: 0)); Assert.Equal("period", ex.ParamName); } #endregion #region Basic Calculation Tests [Fact] public void Update_ReturnsTValue() { var vroc = new Vroc(); var result = vroc.Update(_bars[0]); Assert.IsType(result); } [Fact] public void Update_AccessesLast() { var vroc = new Vroc(); vroc.Update(_bars[0]); Assert.Equal(vroc.Last.Value, vroc.Update(_bars[0], isNew: false).Value); } [Fact] public void Update_SameVolumes_ReturnsZeroPercent() { var vroc = new Vroc(period: 3, usePercent: true); var now = DateTime.UtcNow; // All same volumes should result in VROC = 0 for (int i = 0; i < 10; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 1000); vroc.Update(bar, isNew: true); } Assert.Equal(0.0, vroc.Last.Value, Tolerance); } [Fact] public void Update_SameVolumes_ReturnsZeroPoint() { var vroc = new Vroc(period: 3, usePercent: false); var now = DateTime.UtcNow; // All same volumes should result in VROC = 0 for (int i = 0; i < 10; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 1000); vroc.Update(bar, isNew: true); } Assert.Equal(0.0, vroc.Last.Value, Tolerance); } [Fact] public void Update_DoubleVolume_Returns100Percent() { var vroc = new Vroc(period: 3, usePercent: true); var now = DateTime.UtcNow; // Initial volumes of 1000 - need period+1 bars to get first VROC value // VROC compares current volume to volume 'period' bars ago for (int i = 0; i < 4; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 1000); vroc.Update(bar, isNew: true); } // Double the volume - compares 2000 to volume[4-3]=volume[1]=1000 var doubleBar = new TBar(now.AddMinutes(4), 100, 100, 100, 100, 2000); var result = vroc.Update(doubleBar, isNew: true); // (2000 - 1000) / 1000 * 100 = 100 Assert.Equal(100.0, result.Value, Tolerance); } [Fact] public void Update_DoubleVolume_Returns1000Point() { var vroc = new Vroc(period: 3, usePercent: false); var now = DateTime.UtcNow; // Need period+1 bars to get first VROC value for (int i = 0; i < 4; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 1000); vroc.Update(bar, isNew: true); } // Double the volume - compares 2000 to volume[4-3]=volume[1]=1000 var doubleBar = new TBar(now.AddMinutes(4), 100, 100, 100, 100, 2000); var result = vroc.Update(doubleBar, isNew: true); // 2000 - 1000 = 1000 Assert.Equal(1000.0, result.Value, Tolerance); } [Fact] public void Update_HalfVolume_ReturnsMinus50Percent() { var vroc = new Vroc(period: 3, usePercent: true); var now = DateTime.UtcNow; // Need period+1 bars to get first VROC value for (int i = 0; i < 4; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 1000); vroc.Update(bar, isNew: true); } // Half the volume - compares 500 to volume[4-3]=volume[1]=1000 var halfBar = new TBar(now.AddMinutes(4), 100, 100, 100, 100, 500); var result = vroc.Update(halfBar, isNew: true); // (500 - 1000) / 1000 * 100 = -50 Assert.Equal(-50.0, result.Value, Tolerance); } [Fact] public void Update_IncreasingVolumes_ReturnsPositive() { var vroc = new Vroc(period: 3, usePercent: true); var now = DateTime.UtcNow; // Increasing volumes for (int i = 0; i < 10; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 1000 + i * 100); vroc.Update(bar, isNew: true); } Assert.True(vroc.Last.Value > 0, $"Expected positive VROC but got {vroc.Last.Value}"); } [Fact] public void Update_DecreasingVolumes_ReturnsNegative() { var vroc = new Vroc(period: 3, usePercent: true); var now = DateTime.UtcNow; // Decreasing volumes for (int i = 0; i < 10; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 2000 - i * 100); vroc.Update(bar, isNew: true); } Assert.True(vroc.Last.Value < 0, $"Expected negative VROC but got {vroc.Last.Value}"); } #endregion #region State Management Tests [Fact] public void IsNew_True_AdvancesState() { var vroc = new Vroc(period: 3); // Feed bars and capture the last values from two consecutive new bars // Use GBM data which has varying volumes var result1 = vroc.Update(_bars[0], isNew: true); for (int i = 1; i < 20; i++) { result1 = vroc.Update(_bars[i], isNew: true); } var result2 = vroc.Update(_bars[20], isNew: true); // Two consecutive bars with isNew=true should (likely) have different values // This confirms state advances on new bars. Since GBM generates varying data, // consecutive VROC values will differ Assert.True(vroc.IsHot, "VROC should be hot after 20 bars"); // Just verify the indicator is working - different bars produce results Assert.True(result1.Value != result2.Value || Math.Abs(result2.Value) > 0 || Math.Abs(result1.Value) > 0, $"State should have advanced. Result1={result1.Value}, Result2={result2.Value}"); } [Fact] public void IsNew_False_UpdatesCurrentBar() { var vroc = new Vroc(period: 3); var now = DateTime.UtcNow; // Fill buffer for (int i = 0; i < 4; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 1000); vroc.Update(bar, isNew: true); } var stateBeforeCorrection = vroc.Last.Value; // Correction with different volume var correctionBar = new TBar(now.AddMinutes(3), 100, 100, 100, 100, 1500); vroc.Update(correctionBar, isNew: false); // Restore original var originalBar = new TBar(now.AddMinutes(3), 100, 100, 100, 100, 1000); var result = vroc.Update(originalBar, isNew: false); Assert.Equal(stateBeforeCorrection, result.Value, Tolerance); } [Fact] public void IterativeCorrections_RestoreState() { var vroc = new Vroc(period: 5); var now = DateTime.UtcNow; // Add several bars for (int i = 0; i < 10; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 1000 + i * 50); vroc.Update(bar, isNew: true); } var stateBeforeCorrections = vroc.Last.Value; // Apply multiple corrections for (int j = 0; j < 5; j++) { var correctionBar = new TBar(now.AddMinutes(9), 100, 100, 100, 100, 2000 + j * 100); vroc.Update(correctionBar, isNew: false); } // Restore original bar var originalBar = new TBar(now.AddMinutes(9), 100, 100, 100, 100, 1450); var restored = vroc.Update(originalBar, isNew: false); Assert.Equal(stateBeforeCorrections, restored.Value, Tolerance); } [Fact] public void Reset_ClearsState() { var vroc = new Vroc(); // Process some bars for (int i = 0; i < 20; i++) { vroc.Update(_bars[i], isNew: true); } Assert.True(vroc.IsHot); vroc.Reset(); Assert.False(vroc.IsHot); Assert.Equal(default, vroc.Last); } #endregion #region Warmup Tests [Fact] public void IsHot_BeforeWarmup_ReturnsFalse() { var vroc = new Vroc(period: 10); var now = DateTime.UtcNow; for (int i = 0; i < 10; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 500); vroc.Update(bar, isNew: true); Assert.False(vroc.IsHot, $"Should not be hot at index {i}"); } } [Fact] public void IsHot_AfterWarmup_ReturnsTrue() { var vroc = new Vroc(period: 10); var now = DateTime.UtcNow; for (int i = 0; i < 11; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 500); vroc.Update(bar, isNew: true); } Assert.True(vroc.IsHot); } [Fact] public void WarmupPeriod_EqualsPeriodPlusOne() { var vroc = new Vroc(period: 15); Assert.Equal(16, vroc.WarmupPeriod); } #endregion #region Robustness Tests [Fact] public void Update_NaN_UsesLastValidValue() { var vroc = new Vroc(period: 3); var now = DateTime.UtcNow; // Add valid bars for (int i = 0; i < 5; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 500); vroc.Update(bar, isNew: true); } // Add bar with NaN volume var nanBar = new TBar(now.AddMinutes(5), 100, 100, 100, 100, double.NaN); var result = vroc.Update(nanBar, isNew: true); Assert.True(double.IsFinite(result.Value), "Result should be finite after NaN input"); } [Fact] public void Update_Infinity_UsesLastValidValue() { var vroc = new Vroc(period: 3); var now = DateTime.UtcNow; // Add valid bars for (int i = 0; i < 5; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 500); vroc.Update(bar, isNew: true); } // Add bar with Infinity volume var infBar = new TBar(now.AddMinutes(5), 100, 100, 100, 100, double.PositiveInfinity); var result = vroc.Update(infBar, isNew: true); Assert.True(double.IsFinite(result.Value), "Result should be finite after Infinity input"); } [Fact] public void Update_NegativeVolume_UsesLastValidValue() { var vroc = new Vroc(period: 3); var now = DateTime.UtcNow; // Add valid bars for (int i = 0; i < 5; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 500); vroc.Update(bar, isNew: true); } // Add bar with negative volume var negBar = new TBar(now.AddMinutes(5), 100, 100, 100, 100, -100); var result = vroc.Update(negBar, isNew: true); Assert.True(double.IsFinite(result.Value), "Result should be finite after negative volume input"); } [Fact] public void BatchUpdate_WithNaN_Safe() { var vroc = new Vroc(); var bars = new TBarSeries(); var now = DateTime.UtcNow; for (int i = 0; i < 20; i++) { double volume = i == 10 ? double.NaN : 500 + i; bars.Add(new TBar(now.AddMinutes(i), 100, 100, 100, 100, volume)); } var result = vroc.Update(bars); Assert.Equal(20, result.Count); foreach (var val in result.Values) { Assert.True(double.IsFinite(val), "All values should be finite"); } } #endregion #region Consistency Tests [Fact] public void BatchCalc_EqualsStreaming() { var vroc = new Vroc(period: 12, usePercent: true); // Streaming var streamingResults = new List(); for (int i = 0; i < _bars.Count; i++) { var result = vroc.Update(_bars[i], isNew: true); streamingResults.Add(result.Value); } // Batch var batchResult = Vroc.Batch(_bars, period: 12, usePercent: true); Assert.Equal(streamingResults.Count, batchResult.Count); for (int i = 0; i < streamingResults.Count; i++) { Assert.Equal(streamingResults[i], batchResult.Values[i], Tolerance); } } [Fact] public void SpanCalc_EqualsStreaming() { var vroc = new Vroc(period: 12, usePercent: true); // Streaming var streamingResults = new List(); for (int i = 0; i < _bars.Count; i++) { var result = vroc.Update(_bars[i], isNew: true); streamingResults.Add(result.Value); } // Span - pass arrays directly (implicit span conversion) var volume = _bars.Volume.Values.ToArray(); var output = new double[_bars.Count]; Vroc.Batch(volume, output, period: 12, usePercent: true); for (int i = 0; i < streamingResults.Count; i++) { Assert.Equal(streamingResults[i], output[i], Tolerance); } } [Fact] public void BatchUpdate_EqualsStreaming() { var vrocStream = new Vroc(period: 12, usePercent: true); var vrocBatch = new Vroc(period: 12, usePercent: true); // Streaming for (int i = 0; i < _bars.Count; i++) { vrocStream.Update(_bars[i], isNew: true); } // Batch var batchResult = vrocBatch.Update(_bars); Assert.Equal(vrocStream.Last.Value, batchResult.Values[^1], Tolerance); } [Fact] public void PointMode_EqualsStreaming() { var vroc = new Vroc(period: 12, usePercent: false); // Streaming var streamingResults = new List(); for (int i = 0; i < _bars.Count; i++) { var result = vroc.Update(_bars[i], isNew: true); streamingResults.Add(result.Value); } // Span - pass arrays directly (implicit span conversion) var volume = _bars.Volume.Values.ToArray(); var output = new double[_bars.Count]; Vroc.Batch(volume, output, period: 12, usePercent: false); for (int i = 0; i < streamingResults.Count; i++) { Assert.Equal(streamingResults[i], output[i], Tolerance); } } #endregion #region Span API Tests [Fact] public void Calculate_Span_ValidatesLengths() { var volume = new double[100]; var output = new double[50]; // Wrong length ArgumentException? caught = null; try { Vroc.Batch(volume, output, period: 12, usePercent: true); } catch (ArgumentException ex) { caught = ex; } Assert.NotNull(caught); Assert.Equal("output", caught.ParamName); } [Fact] public void Calculate_Span_ValidatesPeriod() { var volume = new double[100]; var output = new double[100]; ArgumentException? caught = null; try { Vroc.Batch(volume, output, period: 0, usePercent: true); } catch (ArgumentException ex) { caught = ex; } Assert.NotNull(caught); Assert.Equal("period", caught.ParamName); } [Fact] public void Calculate_Span_HandlesEmpty() { double[] volumeArr = []; double[] outputArr = []; // Should not throw Vroc.Batch(volumeArr, outputArr, period: 12, usePercent: true); Assert.Empty(outputArr); } [Fact] public void Calculate_Span_HandlesNaN() { var volume = new double[20]; var output = new double[20]; for (int i = 0; i < 20; i++) { volume[i] = i == 10 ? double.NaN : 500 + i; } Vroc.Batch(volume, output, period: 5, usePercent: true); foreach (var val in output) { Assert.True(double.IsFinite(val), "All values should be finite"); } } [Fact] public void Calculate_Span_LargeData_NoStackOverflow() { var volume = new double[10000]; var output = new double[10000]; for (int i = 0; i < 10000; i++) { volume[i] = 500 + (i % 100); } // Should not throw stack overflow Vroc.Batch(volume, output, period: 100, usePercent: true); Assert.True(double.IsFinite(output[^1])); } #endregion #region Event Tests [Fact] public void Pub_FiresOnUpdate() { var vroc = new Vroc(); var eventFired = false; vroc.Pub += (object? sender, in TValueEventArgs args) => { eventFired = true; }; vroc.Update(_bars[0]); Assert.True(eventFired); } [Fact] public void Pub_ChainingWorks() { var vroc = new Vroc(); var receivedValues = new List(); vroc.Pub += (object? sender, in TValueEventArgs args) => { receivedValues.Add(args.Value.Value); }; for (int i = 0; i < 20; i++) { vroc.Update(_bars[i], isNew: true); } Assert.Equal(20, receivedValues.Count); } #endregion #region TValue Input Tests [Fact] public void Update_TValue_PreservesLastValue() { var vroc = new Vroc(); var now = DateTime.UtcNow; // First update with bar to set a value var bar = new TBar(now, 100, 100, 100, 100, 500); vroc.Update(bar, isNew: true); var lastValue = vroc.Last.Value; // TValue update should preserve last value (VROC requires volume) var tval = new TValue(now.AddMinutes(1), 200); var result = vroc.Update(tval, isNew: true); Assert.Equal(lastValue, result.Value, Tolerance); } #endregion #region Zero Historical Volume Tests [Fact] public void Update_ZeroHistoricalVolume_ReturnsZeroPercent() { var vroc = new Vroc(period: 3, usePercent: true); var now = DateTime.UtcNow; // Initial volumes of 0 for (int i = 0; i < 3; i++) { var bar = new TBar(now.AddMinutes(i), 100, 100, 100, 100, 0); vroc.Update(bar, isNew: true); } // Non-zero volume var newBar = new TBar(now.AddMinutes(3), 100, 100, 100, 100, 1000); var result = vroc.Update(newBar, isNew: true); // Division by zero protection should return 0 Assert.Equal(0.0, result.Value, Tolerance); } #endregion }