public string TestCandleGenerator()
{
var fromTime = new DateTime(2019, 1, 1).ToUniversalTime();
var toTime = new DateTime(2019, 5, 1).ToUniversalTime();
var generator = new CandleGenerator(fromTime, toTime, CandleTypes.H1, BasePair.GBPUSD);
generator.GenerateCandles();
return("OK");
}
public void EmptyReturnedIfEmptyCollectionPassed()
{
IEnumerable <QuoteExt> quotes = new QuoteExt[0];
var generator = new CandleGenerator();
var candles = generator.Generate(quotes, TimeInterval.Sec, PriceType.Ask);
Assert.NotNull(candles);
Assert.Equal(0, candles.Count());
}
public void MinutesCandlesAreGrouped()
{
DateTime dt = new DateTime(2017, 1, 1);
var quotes = new QuoteExt[]
{
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 1, Timestamp = dt, PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 2, Timestamp = dt.AddMinutes(1), PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 3, Timestamp = dt.AddMinutes(2), PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 4, Timestamp = dt.AddMinutes(3), PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 5, Timestamp = dt.AddMinutes(4), PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 6, Timestamp = dt.AddMinutes(5), PriceType = PriceType.Bid
}
};
var candles = new CandleGenerator().Generate(quotes, TimeInterval.Sec, PriceType.Bid).ToArray();
Assert.Equal(6, candles.Length);
Assert.True(candles[0].IsEqual(new FeedCandle()
{
Open = 1, Close = 1, High = 1, Low = 1, IsBuy = true, DateTime = dt
}));
Assert.True(candles[1].IsEqual(new FeedCandle()
{
Open = 2, Close = 2, High = 2, Low = 2, IsBuy = true, DateTime = dt.AddMinutes(1)
}));
Assert.True(candles[2].IsEqual(new FeedCandle()
{
Open = 3, Close = 3, High = 3, Low = 3, IsBuy = true, DateTime = dt.AddMinutes(2)
}));
}
public void CandlesAreGrouped()
{
DateTime dt = new DateTime(2017, 1, 1);
var generator = new CandleGenerator();
var quotes = new QuoteExt[]
{
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 1.1, Timestamp = dt, PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 0.8, Timestamp = dt, PriceType = PriceType.Bid
}
};
var candles = generator.Generate(quotes, TimeInterval.Sec, PriceType.Bid);
Assert.Equal(1, candles.Count());
quotes = new QuoteExt[]
{
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 1.1, Timestamp = dt.AddMinutes(2).AddSeconds(1), PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 0.8, Timestamp = dt.AddMinutes(2).AddSeconds(8), PriceType = PriceType.Bid
}
};
candles = generator.Generate(quotes, TimeInterval.Minute, PriceType.Bid);
Assert.Equal(1, candles.Count());
quotes = new QuoteExt[]
{
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 1.1, Timestamp = dt.AddHours(1).AddMinutes(1), PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 0.8, Timestamp = dt.AddHours(2).AddMinutes(8), PriceType = PriceType.Bid
}
};
candles = generator.Generate(quotes, TimeInterval.Hour, PriceType.Bid);
Assert.Equal(2, candles.Count());
quotes = new QuoteExt[]
{
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 1.1, Timestamp = dt.AddDays(1).AddHours(1), PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 0.8, Timestamp = dt.AddDays(2).AddHours(8), PriceType = PriceType.Bid
}
};
candles = generator.Generate(quotes, TimeInterval.Day, PriceType.Bid);
Assert.Equal(2, candles.Count());
quotes = new QuoteExt[]
{
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 1.1, Timestamp = dt.AddMonths(-2).AddDays(1), PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 0.8, Timestamp = dt.AddMonths(-1).AddDays(8), PriceType = PriceType.Bid
}
};
candles = generator.Generate(quotes, TimeInterval.Month, PriceType.Bid);
Assert.Equal(2, candles.Count());
quotes = new QuoteExt[]
{
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 1.1, Timestamp = dt.AddMonths(1).AddDays(1), PriceType = PriceType.Bid
},
new QuoteExt {
AssetPair = "BTCUSD", IsBuy = true, Price = 0.8, Timestamp = dt.AddMonths(2).AddDays(8), PriceType = PriceType.Bid
}
};
candles = generator.Generate(quotes, TimeInterval.Month, PriceType.Bid);
Assert.Equal(2, candles.Count());
}
