unageanu/jiji2

# frozen_string_literal: true

require 'sample_agent_test_configuration'
require 'statistical_arbitrage/shared_context'

describe StatisticalArbitrage::QuandlResolver do
  let(:resolver) do
    StatisticalArbitrage::QuandlResolver.new(ENV['QUANDL_API_KEY'])
  end

  describe '#retrieve_rates_from_quandl' do
    it 'can retrieve rates' do
      rates = resolver.retrieve_rates_from_quandl(
        Time.utc(2016, 5, 3), :AUDJPY)
      expect(rates.first['date']).to eq(Date.new(2016, 5, 3))
      expect(rates.first['rate']).not_to be nil
      expect(rates.last['date']).to eq(Date.new(2014, 5, 4))
      expect(rates.last['rate']).not_to be nil

      rates = resolver.retrieve_rates_from_quandl(
        Time.utc(2015, 2, 3), :NZDJPY)
      expect(rates.first['date']).to eq(Date.new(2015, 2, 3))
      expect(rates.first['rate']).not_to be nil
      expect(rates.last['date']).to eq(Date.new(2013, 2, 3))
      expect(rates.last['rate']).not_to be nil
    end
  end

  describe '#retrieve_rates' do
    it 'can retrieve rates and mearge its.' do
      rates = resolver.retrieve_rates(Time.utc(2016, 5, 3), :AUDJPY, :NZDJPY)
      expect(rates.length).to eq 625
      rates.each do |r|
        expect(r[0]).not_to be nil
        expect(r[1]).not_to be nil
      end
    end
  end

  describe '#linner_least_squares' do
    it 'can calculate linner least squares' do
      expect(resolver.linner_least_squares([
        [1, 1], [2, 2], [3, 3], [4, 4]
      ])).to eq [1, 0]

      expect(resolver.linner_least_squares([
        [1, -1], [2, -2], [3, -3], [4, -4]
      ])).to eq [-1, 0]

      expect(resolver.linner_least_squares([
        [2, 1], [3, 2], [4, 3]
      ])).to eq [1, -1]

      expect(resolver.linner_least_squares([
        [2, 2], [3, 2], [4, 2]
      ])).to eq [0, 2]
    end
  end

  describe '#resolve' do
    it 'can resolve cointegration' do
      result = resolver.resolve(Time.utc(2016, 5, 1), :AUDJPY, :NZDJPY)
      expect(result[:slope]).to eq 0.947045303
      expect(result[:mean]).to eq 11.545187433
      expect(result[:sd]).to eq 2.264904541

      result2 = resolver.resolve(Time.utc(2016, 5, 1, 10), :AUDJPY, :NZDJPY)
      expect(result).to be result2

      result = resolver.resolve(Time.utc(2016, 5, 2), :AUDJPY, :NZDJPY)
      expect(result[:slope]).to eq 0.947045615
      expect(result[:mean]).to eq 11.544242294
      expect(result[:sd]).to eq 2.265128531
    end
  end
end