public void NewDataAvailableShouldFire()
{
var currentTime = new DateTime(2000, 01, 01);
var available = false;
var enumerator = new ScannableEnumerator <Tick>(
new IdentityDataConsolidator <Tick>(),
DateTimeZone.ForOffset(Offset.FromHours(-5)),
new ManualTimeProvider(currentTime),
(s, e) => { available = true; }
);
// returns true even if no data present until stop is called
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
Assert.IsFalse(available);
var tick1 = new Tick(currentTime, Symbols.SPY, 199.55m, 199, 200)
{
Quantity = 10
};
enumerator.Update(tick1);
Assert.IsTrue(available);
enumerator.Dispose();
}
public void PassesTicksStraightThrough()
{
var currentTime = new DateTime(2000, 01, 01);
var enumerator = new ScannableEnumerator <Tick>(
new IdentityDataConsolidator <Tick>(),
DateTimeZone.ForOffset(Offset.FromHours(-5)),
new ManualTimeProvider(currentTime),
(s, e) => { }
);
// returns true even if no data present until stop is called
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick1 = new Tick(currentTime, Symbols.SPY, 199.55m, 199, 200)
{
Quantity = 10
};
enumerator.Update(tick1);
Assert.IsTrue(enumerator.MoveNext());
Assert.AreEqual(tick1, enumerator.Current);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick2 = new Tick(currentTime, Symbols.SPY, 199.56m, 199.21m, 200.02m)
{
Quantity = 5
};
enumerator.Update(tick2);
Assert.IsTrue(enumerator.MoveNext());
Assert.AreEqual(tick2, enumerator.Current);
enumerator.Dispose();
}
public void AggregatesNewQuoteBarProperly()
{
var reference = DateTime.Today;
var enumerator = new ScannableEnumerator <Data.BaseData>(
new TickQuoteBarConsolidator(4),
DateTimeZone.ForOffset(Offset.FromHours(-5)),
new ManualTimeProvider(reference),
(s, e) => { }
);
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
BidPrice = 10,
BidSize = 20,
TickType = TickType.Quote
};
enumerator.Update(tick1);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddMinutes(1),
AskPrice = 20,
AskSize = 10,
TickType = TickType.Quote
};
var badTick = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddMinutes(1),
AskPrice = 25,
AskSize = 100,
BidPrice = -100,
BidSize = 2,
Value = 50,
Quantity = 1234,
TickType = TickType.Trade
};
enumerator.Update(badTick);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
enumerator.Update(tick2);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddMinutes(2),
BidPrice = 12,
BidSize = 50,
TickType = TickType.Quote
};
enumerator.Update(tick3);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddMinutes(3),
AskPrice = 17,
AskSize = 15,
TickType = TickType.Quote
};
enumerator.Update(tick4);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
QuoteBar quoteBar = enumerator.Current as QuoteBar;
Assert.IsNotNull(quoteBar);
Assert.AreEqual(Symbols.SPY, quoteBar.Symbol);
Assert.AreEqual(tick1.Time, quoteBar.Time);
Assert.AreEqual(tick4.EndTime, quoteBar.EndTime);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Low);
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.High);
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close);
Assert.AreEqual(tick3.BidSize, quoteBar.LastBidSize);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Low);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.High);
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close);
Assert.AreEqual(tick4.AskSize, quoteBar.LastAskSize);
}
public void MoveNextScanQuoteBar()
{
var offset = Offset.FromHours(-5);
var timeZone = DateTimeZone.ForOffset(offset);
var utc = new DateTimeOffset(DateTime.Today);
var reference = utc.ToOffset(offset.ToTimeSpan());
var timeProvider = new ManualTimeProvider(reference.DateTime, timeZone);
var enumerator = new ScannableEnumerator <Data.BaseData>(
new TickQuoteBarConsolidator(TimeSpan.FromMinutes(1)),
timeZone,
timeProvider,
(s, e) => { }
);
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.DateTime,
BidPrice = 10,
BidSize = 20,
TickType = TickType.Quote
};
enumerator.Update(tick1);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.DateTime.AddSeconds(1),
AskPrice = 20,
AskSize = 10,
TickType = TickType.Quote
};
enumerator.Update(tick2);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.DateTime.AddSeconds(2),
BidPrice = 12,
BidSize = 50,
TickType = TickType.Quote
};
enumerator.Update(tick3);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.DateTime.AddSeconds(3),
AskPrice = 17,
AskSize = 15,
TickType = TickType.Quote
};
enumerator.Update(tick4);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
timeProvider.SetCurrentTime(reference.DateTime.AddMinutes(2));
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
QuoteBar quoteBar = enumerator.Current as QuoteBar;
Assert.IsNotNull(quoteBar);
Assert.AreEqual(Symbols.SPY, quoteBar.Symbol);
Assert.AreEqual(tick1.Time, quoteBar.Time);
Assert.AreNotEqual(tick4.EndTime, quoteBar.EndTime);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Low);
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.High);
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close);
Assert.AreEqual(tick3.BidSize, quoteBar.LastBidSize);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Low);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.High);
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close);
Assert.AreEqual(tick4.AskSize, quoteBar.LastAskSize);
}