public void DoesNotConsolidateDifferentSymbols()
{
var consolidator = new TickQuoteBarConsolidator(2);
var reference = DateTime.Today;
var tick1 = new Tick
{
Symbol = Symbols.AAPL,
Time = reference,
BidPrice = 1000,
BidSize = 20,
TickType = TickType.Quote,
};
var tick2 = new Tick
{
Symbol = Symbols.ZNGA,
Time = reference,
BidPrice = 20,
BidSize = 30,
TickType = TickType.Quote,
};
consolidator.Update(tick1);
Exception ex = Assert.Throws <InvalidOperationException>(() => consolidator.Update(tick2));
Assert.IsTrue(ex.Message.Contains("is not the same"));
}
public void LastCloseAndCurrentOpenPriceShouldBeSameConsolidatedOnCount()
{
QuoteBar quoteBar = null;
var creator = new TickQuoteBarConsolidator(2);
creator.DataConsolidated += (sender, args) =>
{
quoteBar = args;
};
var reference = DateTime.Today;
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
TickType = TickType.Quote,
AskPrice = 0,
BidPrice = 24,
};
creator.Update(tick1);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
TickType = TickType.Quote,
AskPrice = 25,
BidPrice = 0,
};
creator.Update(tick2);
// bar 1 emitted
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Close);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Close);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(1),
TickType = TickType.Quote,
AskPrice = 36,
BidPrice = 35,
};
creator.Update(tick3);
creator.Update(tick3);
// bar 2 emitted
// ask is from tick 2
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open, "Ask Open not equal to Previous Close");
// bid is from tick 1
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open, "Bid Open not equal to Previous Close");
Assert.AreEqual(tick3.AskPrice, quoteBar.Ask.Close, "Ask Close incorrect");
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close, "Bid Close incorrect");
}
public QuoteTickAggregator(Resolution resolution)
: base(resolution)
{
Consolidated = new List <BaseData>();
Consolidator = new TickQuoteBarConsolidator(resolution.ToTimeSpan());
Consolidator.DataConsolidated += (sender, consolidated) =>
{
Consolidated.Add(consolidated as QuoteBar);
};
}
public KaikoQuoteDataAggregator(Resolution resolution)
{
Resolution = resolution;
Consolidated = new List <BaseData>();
_consolidator = new TickQuoteBarConsolidator(resolution.ToTimeSpan());
_consolidator.DataConsolidated += (sender, consolidated) =>
{
Consolidated.Add(consolidated);
};
}
/// <summary>
/// Add new subscription to current <see cref="IDataAggregator"/> instance
/// </summary>
/// <param name="dataConfig">defines the parameters to subscribe to a data feed</param>
/// <param name="newDataAvailableHandler">handler to be fired on new data available</param>
/// <returns>The new enumerator for this subscription request</returns>
public IEnumerator <BaseData> Add(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
{
IDataConsolidator consolidator;
var period = dataConfig.Resolution.ToTimeSpan();
var isPeriodBased = false;
switch (dataConfig.Type.Name)
{
case nameof(QuoteBar):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new TickQuoteBarConsolidator(period);
break;
case nameof(TradeBar):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new TickConsolidator(period);
break;
case nameof(OpenInterest):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new OpenInterestConsolidator(period);
break;
case nameof(Tick):
consolidator = FilteredIdentityDataConsolidator.ForTickType(dataConfig.TickType);
break;
case nameof(Split):
consolidator = new IdentityDataConsolidator <Split>();
break;
case nameof(Dividend):
consolidator = new IdentityDataConsolidator <Dividend>();
break;
default:
// streaming custom data subscriptions can pass right through
consolidator = new FilteredIdentityDataConsolidator <BaseData>(data => data.GetType() == dataConfig.Type);
break;
}
var enumerator = new ScannableEnumerator <BaseData>(consolidator, dataConfig.ExchangeTimeZone, TimeProvider, newDataAvailableHandler, isPeriodBased);
_enumerators.AddOrUpdate(
dataConfig.Symbol.ID,
new List <KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> > > {
new KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> >(dataConfig, enumerator)
},
(k, v) => { return(v.Concat(new[] { new KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> >(dataConfig, enumerator) }).ToList()); });
return(enumerator);
}
public void AggregatesTickToCalendarQuoteBarProperly()
{
// Monday
var reference = new DateTime(2019, 3, 18);
var ticks = new List <Tick>
{
new Tick(reference.AddDays(1), Symbols.EURUSD, 9, 11, 8)
{
Quantity = 10
},
new Tick(reference.AddDays(3), Symbols.EURUSD, 10, 12, 8)
{
Quantity = 10
},
new Tick(reference.AddDays(5), Symbols.EURUSD, 11, 13, 9)
{
Quantity = 10
},
new Tick(reference.AddDays(7), Symbols.EURUSD, 11, 13, 9)
{
Quantity = 10
},
new Tick(reference.AddDays(14), Symbols.EURUSD, 11, 13, 9)
{
Quantity = 10
}
};
var weeklyConsolidator = new TickQuoteBarConsolidator(CalendarType.Weekly);
weeklyConsolidator.DataConsolidated += (s, e) =>
{
AssertTickQuoteBar(
ticks.Take(3),
reference,
reference.AddDays(7),
Symbols.EURUSD,
e);
};
var monthlyConsolidator = new TickQuoteBarConsolidator(CalendarType.Monthly);
monthlyConsolidator.DataConsolidated += (s, e) =>
{
AssertTickQuoteBar(
ticks.Take(4),
new DateTime(reference.Year, reference.Month, 1),
new DateTime(reference.Year, reference.Month + 1, 1),
Symbols.EURUSD,
e);
};
foreach (var tick in ticks.Take(4))
{
weeklyConsolidator.Update(tick);
}
foreach (var tick in ticks)
{
monthlyConsolidator.Update(tick);
}
}
public void AggregatesNewQuoteBarProperly()
{
QuoteBar quoteBar = null;
var creator = new TickQuoteBarConsolidator(4);
creator.DataConsolidated += (sender, args) =>
{
quoteBar = args;
};
var reference = DateTime.Today;
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
BidPrice = 10,
BidSize = 20,
TickType = TickType.Quote
};
creator.Update(tick1);
Assert.IsNull(quoteBar);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(1),
AskPrice = 20,
AskSize = 10,
TickType = TickType.Quote
};
var badTick = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(1),
AskPrice = 25,
AskSize = 100,
BidPrice = -100,
BidSize = 2,
Value = 50,
Quantity = 1234,
TickType = TickType.Trade
};
creator.Update(badTick);
Assert.IsNull(quoteBar);
creator.Update(tick2);
Assert.IsNull(quoteBar);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(2),
BidPrice = 12,
BidSize = 50,
TickType = TickType.Quote
};
creator.Update(tick3);
Assert.IsNull(quoteBar);
var tick4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(3),
AskPrice = 17,
AskSize = 15,
TickType = TickType.Quote
};
creator.Update(tick4);
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 AggregatesNewQuoteBarProperly()
{
QuoteBar quoteBar = null;
var creator = new TickQuoteBarConsolidator(4);
creator.DataConsolidated += (sender, args) =>
{
quoteBar = args;
};
var reference = DateTime.Today;
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
BidPrice = 10,
BidSize = 20,
TickType = TickType.Quote
};
creator.Update(tick1);
Assert.IsNull(quoteBar);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(1),
AskPrice = 20,
AskSize = 10,
TickType = TickType.Quote
};
var badTick = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(1),
AskPrice = 25,
AskSize = 100,
BidPrice = -100,
BidSize = 2,
Value = 50,
Quantity = 1234,
TickType = TickType.Trade
};
creator.Update(badTick);
Assert.IsNull(quoteBar);
creator.Update(tick2);
Assert.IsNull(quoteBar);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(2),
BidPrice = 12,
BidSize = 50,
TickType = TickType.Quote
};
creator.Update(tick3);
Assert.IsNull(quoteBar);
var tick4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(3),
AskPrice = 17,
AskSize = 15,
TickType = TickType.Quote
};
creator.Update(tick4);
Assert.IsNotNull(quoteBar);
Assert.AreEqual(Symbols.SPY, quoteBar.Symbol);
Assert.AreEqual(tick1.Time, quoteBar.Time);
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 LastCloseAndCurrentOpenPriceShouldBeSameConsolidatedOnTimeSpan()
{
QuoteBar quoteBar = null;
var creator = new TickQuoteBarConsolidator(TimeSpan.FromMinutes(1));
creator.DataConsolidated += (sender, args) =>
{
quoteBar = args;
};
var reference = DateTime.Today;
// timeframe 1
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
TickType = TickType.Quote,
AskPrice = 25,
BidPrice = 24,
};
creator.Update(tick1);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(1),
TickType = TickType.Quote,
AskPrice = 26,
BidPrice = 0,
};
creator.Update(tick2);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(1),
TickType = TickType.Quote,
AskPrice = 0,
BidPrice = 25,
};
creator.Update(tick3);
// timeframe 2
var tick4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddMinutes(1),
TickType = TickType.Quote,
AskPrice = 36,
BidPrice = 35,
};
creator.Update(tick4);
//force the consolidator to emit DataConsolidated
creator.Scan(reference.AddMinutes(2));
// bid is from tick 2
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open, "Ask Open not equal to Previous Close");
// bid is from tick 3
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Open, "Bid Open not equal to Previous Close");
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close, "Ask Close incorrect");
Assert.AreEqual(tick4.BidPrice, quoteBar.Bid.Close, "Bid Close incorrect");
}