internal void Equals_VariousValues_ReturnsExpectedResult(
decimal price1,
decimal price2,
int millisecondsOffset,
bool expected)
{
// Arrange
var tick1 = new QuoteTick(
this.symbol,
Price.Create(price1),
Price.Create(5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch());
var tick2 = new QuoteTick(
this.symbol,
Price.Create(price2),
Price.Create(5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromMilliseconds(millisecondsOffset));
// Act
var result1 = tick1.Equals(tick2);
var result2 = tick1 == tick2;
// Assert
Assert.Equal(expected, result1);
Assert.Equal(expected, result2);
}
internal void CanSerializeAndDeserialize_TickDataResponse()
{
// Arrange
var dataSerializer = new QuoteTickSerializer();
var datetimeFrom = StubZonedDateTime.UnixEpoch() + Duration.FromMinutes(1);
var datetimeTo = datetimeFrom + Duration.FromMinutes(1);
var symbol = new Symbol("AUD/USD", new Venue("FXCM"));
var tick1 = new QuoteTick(
symbol,
Price.Create(1.00000m),
Price.Create(1.00000m),
Quantity.One(),
Quantity.One(),
datetimeFrom);
var tick2 = new QuoteTick(
symbol,
Price.Create(1.00010m),
Price.Create(1.00020m),
Quantity.One(),
Quantity.One(),
datetimeTo);
var ticks = new[] { tick1, tick2 };
var correlationId = Guid.NewGuid();
var id = Guid.NewGuid();
var metadata = new Dictionary <string, string> {
{ "Symbol", symbol.Value }
};
var serializedTicks = dataSerializer.Serialize(ticks);
var data = dataSerializer.SerializeBlob(serializedTicks, metadata);
var response = new DataResponse(
data,
typeof(Tick[]).Name,
dataSerializer.BlobEncoding,
correlationId,
id,
StubZonedDateTime.UnixEpoch());
// Act
var serializedResponse = this.serializer.Serialize(response);
var deserializedResponse = (DataResponse)this.serializer.Deserialize(serializedResponse);
var deserializedData = dataSerializer.DeserializeBlob(deserializedResponse.Data);
// Assert
Assert.Equal(response, deserializedResponse);
Assert.Equal(tick1, deserializedData[0]);
Assert.Equal(tick2, deserializedData[1]);
Assert.Equal(correlationId, deserializedResponse.CorrelationId);
this.Output.WriteLine(Convert.ToBase64String(serializedResponse));
this.Output.WriteLine(Encoding.UTF8.GetString(serializedResponse));
}
public void Add(QuoteTick tick)
{
if (this.quoteTickDatabase.TryGetValue(tick.Symbol, out var tickList))
{
tickList.Add(tick);
}
else
{
this.quoteTickDatabase[tick.Symbol] = new List <QuoteTick> {
tick
};
}
}
/// <inheritdoc />
public void Ingest(QuoteTick tick)
{
var keyBidPrices = KeyProvider.GetPricesKey(tick.Symbol, PriceType.Bid);
var keyAskPrices = KeyProvider.GetPricesKey(tick.Symbol, PriceType.Ask);
var keyBidSizes = KeyProvider.GetSizesKey(tick.Symbol, PriceType.Bid);
var keyAskSizes = KeyProvider.GetSizesKey(tick.Symbol, PriceType.Ask);
this.CheckPricesTimeSeries(keyBidPrices, tick.Symbol, PriceType.Bid);
this.CheckPricesTimeSeries(keyAskPrices, tick.Symbol, PriceType.Ask);
this.CheckSizesTimeSeries(keyBidSizes, tick.Symbol, PriceType.Bid);
this.CheckSizesTimeSeries(keyAskSizes, tick.Symbol, PriceType.Ask);
var timestamp = new TimeStamp(tick.Timestamp.ToInstant().ToUnixTimeMilliseconds());
IReadOnlyCollection <(string, TimeStamp, double)> input = new (string, TimeStamp, double)[]
internal void ToSerializableString_ReturnsExpectedString()
{
// Arrange
// Act
var tick = new QuoteTick(
this.symbol,
Price.Create(1.00000m),
Price.Create(1.00010m),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch());
// Assert
Assert.Equal("1.00000,1.00010,1,1,0", tick.ToSerializableString());
}
internal void ToString_ReturnsExpectedString()
{
// Arrange
// Act
var tick = new QuoteTick(
this.symbol,
Price.Create(1.00000m),
Price.Create(1.00010m),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch());
// Assert
Assert.Equal("AUD/USD.FXCM,1.00000,1.00010,1,1,1970-01-01T00:00:00.000Z", tick.ToString());
}
public void OnMessage(MarketDataSnapshotFullRefresh message)
{
Debug.NotNull(this.dataGateway, nameof(this.dataGateway));
message.GetGroup(1, this.mdBidGroup);
message.GetGroup(2, this.mdAskGroup);
var tick = new QuoteTick(
this.GetSymbol(message.GetField(Tags.Symbol)),
Price.Create(this.mdBidGroup.GetDecimal(Tags.MDEntryPx)),
Price.Create(this.mdAskGroup.GetDecimal(Tags.MDEntryPx)),
Quantity.One(),
Quantity.One(),
this.tickTimestampProvider());
this.dataGateway?.OnData(tick);
}
internal void InitializedTick_WithUnixTimeMs_HasExpectedProperties()
{
// Arrange
// Act
var tick = new QuoteTick(
this.symbol,
Price.Create(1.00000m),
Price.Create(1.00000m),
Quantity.One(),
Quantity.One(),
1000);
// Assert
Assert.Equal("AUD/USD", tick.Symbol.Code);
Assert.Equal(decimal.One, tick.Bid.Value);
Assert.Equal(decimal.One, tick.Ask.Value);
Assert.Equal(1970, tick.Timestamp.Year);
}
internal void FromString_WithValidString_ReturnsExpectedTick()
{
// Arrange
var tick = new QuoteTick(
this.symbol,
Price.Create(1.00000m),
Price.Create(1.00000m),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch());
// Act
var tickString = tick.ToSerializableString();
var result = QuoteTick.FromSerializableString(this.symbol, tickString);
// Assert
Assert.Equal(tick, result);
}
/// <summary>
/// Return the positions unrealized PnL (not including costs, in the position symbols quote currency).
/// </summary>
/// <param name="last">The position symbols last tick.</param>
/// <returns>The PnL as a decimal.</returns>
public Money UnrealizedPnl(QuoteTick last)
{
Debug.EqualTo(this.Symbol, last.Symbol, nameof(last.Symbol));
switch (this.MarketPosition)
{
case MarketPosition.Long:
return(this.CalculatePnl(this.AverageOpenPrice, last.Bid.Value, this.Quantity));
case MarketPosition.Short:
return(this.CalculatePnl(this.AverageOpenPrice, last.Ask.Value, this.Quantity));
case MarketPosition.Flat:
return(Money.Zero(this.BaseCurrency));
default:
throw ExceptionFactory.InvalidSwitchArgument(this.MarketPosition, nameof(this.MarketPosition));
}
}
/// <summary>
/// Return the positions unrealized return.
/// </summary>
/// <param name="last">The position symbols last tick.</param>
/// <returns>The return as a double.</returns>
public double UnrealizedReturn(QuoteTick last)
{
Debug.EqualTo(this.Symbol, last.Symbol, nameof(last.Symbol));
switch (this.MarketPosition)
{
case MarketPosition.Long:
return(this.CalculateReturn(this.AverageOpenPrice, last.Bid.Value));
case MarketPosition.Short:
return(this.CalculateReturn(this.AverageOpenPrice, last.Ask.Value));
case MarketPosition.Flat:
return(0);
default:
throw ExceptionFactory.InvalidSwitchArgument(this.MarketPosition, nameof(this.MarketPosition));
}
}
/// <summary>
/// Return the positions total PnL (sum of realized and unrealized PnL, not including costs,
/// in the position symbols quote currency).
/// </summary>
/// <param name="last">The position symbols last tick.</param>
/// <returns>The total PnL as a <see cref="decimal"/>.</returns>
public Money TotalPnl(QuoteTick last)
{
Debug.EqualTo(this.Symbol, last.Symbol, nameof(last.Symbol));
return(this.RealizedPnl.Add(this.UnrealizedPnl(last)));
}
/// <summary>
/// Return the positions total return (sum of realized and unrealized returns).
/// </summary>
/// <param name="last">The position symbols last tick.</param>
/// <returns>The total return as a <see cref="double"/>.</returns>
public double TotalReturn(QuoteTick last)
{
Debug.EqualTo(this.Symbol, last.Symbol, nameof(last.Symbol));
return(this.RealizedReturn + this.UnrealizedReturn(last));
}
/// <summary>
/// Return the positions total points (sum of realized and unrealized points).
/// </summary>
/// <param name="last">The position symbols last tick.</param>
/// <returns>The total points as a <see cref="decimal"/>.</returns>
public decimal TotalPoints(QuoteTick last)
{
Debug.EqualTo(this.Symbol, last.Symbol, nameof(last.Symbol));
return(this.RealizedPoints + this.UnrealizedPoints(last));
}
/// <inheritdoc />
public void OnData(QuoteTick tick)
{
throw new System.NotImplementedException();
}
internal void GetMidBars_WithTicksCreatingBar_ReturnsExpectedBar()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
// var barType = StubBarType.AUDUSD_OneMinuteMid();
this.repository.Update(audusd);
var tick0 = new QuoteTick(
audusd.Symbol,
Price.Create(1.00001, 5),
Price.Create(1.00010, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch());
var tick1 = new QuoteTick(
audusd.Symbol,
Price.Create(1.00000, 5),
Price.Create(1.00010, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(60));
var tick2 = new QuoteTick(
audusd.Symbol,
Price.Create(1.00030, 5),
Price.Create(1.00040, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(62));
var tick3 = new QuoteTick(
audusd.Symbol,
Price.Create(0.99980, 5),
Price.Create(0.99990, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(63));
var tick4 = new QuoteTick(
audusd.Symbol,
Price.Create(1.00001, 5),
Price.Create(1.00004, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(119));
var tick5 = new QuoteTick(
audusd.Symbol,
Price.Create(1.00001, 5),
Price.Create(1.00011, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(121));
this.repository.Ingest(tick0);
this.repository.Ingest(tick1);
this.repository.Ingest(tick2);
this.repository.Ingest(tick3);
this.repository.Ingest(tick4);
this.repository.Ingest(tick5);
// var expected = new Bar(
// Price.Create(1.000050, 6),
// Price.Create(1.000350, 6),
// Price.Create(0.999850, 6),
// Price.Create(1.000025, 6),
// Quantity.Create(8),
// StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(120));
// Act
// var result = this.repository.GetBars(barType, null, null, 1);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.Equal(6, this.repository.TicksCount(audusd.Symbol));
// Assert.True(this.repository.BarsExist(barType));
// Assert.Equal(2, this.repository.BarsCount(barType));
// Assert.Single(result.Bars);
// Assert.Equal(expected, result.Bars[0]);
}
/// <inheritdoc />
public void SendToBus(QuoteTick data)
{
this.quoteBus.PostData(data);
}
internal void GivenTickDataRequest_WithTicks_ReturnsValidTickDataResponse()
{
// Arrange
var provider = new TickProvider(
this.container,
this.messagingAdapter,
this.repository,
this.tickSerializer,
new TradeTickSerializer());
provider.Start().Wait();
var datetimeFrom = StubZonedDateTime.UnixEpoch() + Duration.FromMinutes(1);
var datetimeTo = datetimeFrom + Duration.FromMinutes(1);
var symbol = new Symbol("AUD/USD", new Venue("FXCM"));
var tick1 = new QuoteTick(
symbol,
Price.Create(1.00000m),
Price.Create(1.00000m),
Quantity.One(),
Quantity.One(),
datetimeFrom);
var tick2 = new QuoteTick(
symbol,
Price.Create(1.00010m),
Price.Create(1.00020m),
Quantity.One(),
Quantity.One(),
datetimeTo);
this.repository.Ingest(tick1);
this.repository.Ingest(tick2);
var query = new Dictionary <string, string>
{
{ "DataType", "QuoteTick[]" },
{ "Symbol", symbol.Value },
{ "FromDateTime", StubZonedDateTime.UnixEpoch().ToIso8601String() },
{ "ToDateTime", StubZonedDateTime.UnixEpoch().ToIso8601String() },
{ "Limit", "0" },
};
var request = new DataRequest(
query,
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
// Act
var response = (DataResponse)provider.FindData(request);
var ticks = this.tickSerializer.DeserializeBlob(response.Data);
// Assert
Assert.Equal(typeof(DataResponse), response.Type);
Assert.Equal(2, ticks.Length);
Assert.Equal(tick1, ticks[0]);
Assert.Equal(tick2, ticks[1]);
}
private void OnMessage(QuoteTick tick)
{
this.Publish($"{Quote}:{tick.Symbol.Value}", this.quoteSerializer.Serialize(tick));
}
/// <inheritdoc />
public void Ingest(QuoteTick tick)
{
this.Add(tick);
}
/// <summary>
/// Send the given quote tick to the data bus.
/// </summary>
/// <param name="data">The data to send.</param>
protected void SendToBus(QuoteTick data)
{
this.dataBusAdapter.SendToBus(data);
}
/// <inheritdoc />
public void OnData(QuoteTick tick)
{
this.SendToBus(tick);
}
