public void OandaFillsForwardDailyForexOnWeekends()
{
var dailyBarsEmitted = 0;
var fillForwardBars = new List <BaseData>();
// 3 QuoteBars as they would be read from the EURUSD oanda daily file by QuoteBar.Reader()
// The conversion from dataTimeZone to exchangeTimeZone has been done by hand
// dataTimeZone == UTC
/*
* 20120719 00:00,1.22769,1.2324,1.22286,1.22759,0,1.22781,1.23253,1.22298,1.22771,0
* 20120720 00:00,1.22757,1.22823,1.21435,1.21542,0,1.22769,1.22835,1.21449,1.21592,0
* 20120722 00:00,1.21542,1.21542,1.21037,1.21271,0,1.21592,1.21592,1.21087,1.21283,0
* 20120723 00:00,1.21273,1.21444,1.20669,1.21238,0,1.21285,1.21454,1.20685,1.21249,0
*/
var data = new BaseData[]
{
// fri 7/20
new QuoteBar {
Value = 0, Time = new DateTime(2012, 7, 19, 20, 0, 0), Period = Time.OneDay
},
// sunday 7/22
new QuoteBar {
Value = 1, Time = new DateTime(2012, 7, 21, 20, 0, 0), Period = Time.OneDay
},
// monday 7/23
new QuoteBar {
Value = 2, Time = new DateTime(2012, 7, 22, 20, 0, 0), Period = Time.OneDay
},
}.ToList();
var enumerator = data.GetEnumerator();
var market = Market.Oanda;
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, market);
var marketHours = MarketHoursDatabase.FromDataFolder();
var exchange = new ForexExchange(marketHours.GetExchangeHours(market, symbol, SecurityType.Forex));
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromDays(1)), false, data.Last().EndTime, Time.OneDay, TimeZones.Utc, data.First().EndTime);
while (fillForwardEnumerator.MoveNext())
{
fillForwardBars.Add(fillForwardEnumerator.Current);
Console.WriteLine(fillForwardEnumerator.Current.Time.DayOfWeek + " " + fillForwardEnumerator.Current.Time + " - " + fillForwardEnumerator.Current.EndTime.DayOfWeek + " " + fillForwardEnumerator.Current.EndTime);
dailyBarsEmitted++;
}
Assert.AreEqual(3, dailyBarsEmitted);
Assert.AreEqual(new DateTime(2012, 7, 19, 20, 0, 0), fillForwardBars[0].Time);
Assert.AreEqual(new DateTime(2012, 7, 21, 20, 0, 0), fillForwardBars[1].Time);
Assert.AreEqual(new DateTime(2012, 7, 22, 20, 0, 0), fillForwardBars[2].Time);
fillForwardEnumerator.Dispose();
}
public void HandlesDaylightSavingTimeChange()
{
var dailyBarsEmitted = 0;
var fillForwardBars = new List <BaseData>();
// 3 QuoteBars as they would be read from the EURUSD oanda daily file by QuoteBar.Reader()
// The conversion from dataTimeZone to exchangeTimeZone has been done by hand
// dataTimeZone == UTC
/*
* 20180311 00:00,1.2308,1.2308,1.2308,1.2308,0,1.23096,1.23096,1.23096,1.23096,0
* 20180312 00:00,1.23082,1.23449,1.22898,1.23382,0,1.23097,1.23463,1.22911,1.23396,0
*/
var data = new BaseData[]
{
// Sunday 3/11
new QuoteBar {
Value = 0, Time = new DateTime(2018, 3, 10, 19, 0, 0), Period = Time.OneDay
},
// Monday 3/12
new QuoteBar {
Value = 1, Time = new DateTime(2018, 3, 11, 20, 0, 0), Period = Time.OneDay
},
}.ToList();
var enumerator = data.GetEnumerator();
var market = Market.Oanda;
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, market);
var marketHours = MarketHoursDatabase.FromDataFolder();
var exchange = new ForexExchange(marketHours.GetExchangeHours(market, symbol, SecurityType.Forex));
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromDays(1)), false, data.Last().EndTime, Time.OneDay, TimeZones.Utc, data.First().EndTime);
while (fillForwardEnumerator.MoveNext())
{
fillForwardBars.Add(fillForwardEnumerator.Current);
Console.WriteLine(fillForwardEnumerator.Current.Time.DayOfWeek + " " + fillForwardEnumerator.Current.Time + " - " + fillForwardEnumerator.Current.EndTime.DayOfWeek + " " + fillForwardEnumerator.Current.EndTime);
dailyBarsEmitted++;
}
Assert.AreEqual(2, dailyBarsEmitted);
Assert.AreEqual(new DateTime(2018, 3, 10, 19, 0, 0), fillForwardBars[0].Time);
Assert.AreEqual(new DateTime(2018, 3, 11, 20, 0, 0), fillForwardBars[1].Time);
fillForwardEnumerator.Dispose();
}
