protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
var restClient = new RestClient("https://api.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var securities = new SecurityManager(new TimeKeeper(DateTime.UtcNow, TimeZones.NewYork))
{
{ Symbol, CreateSecurity(Symbol) }
};
var transactions = new SecurityTransactionManager(null, securities);
transactions.SetOrderProcessor(new FakeOrderProcessor());
var algorithm = new Mock <IAlgorithm>();
algorithm.Setup(a => a.Transactions).Returns(transactions);
algorithm.Setup(a => a.BrokerageModel).Returns(new GDAXBrokerageModel());
algorithm.Setup(a => a.Portfolio).Returns(new SecurityPortfolioManager(securities, transactions));
algorithm.Setup(a => a.Securities).Returns(securities);
var priceProvider = new Mock <IPriceProvider>();
priceProvider.Setup(a => a.GetLastPrice(It.IsAny <Symbol>())).Returns(1.234m);
var aggregator = new AggregationManager();
return(new GDAXBrokerage(Config.Get("gdax-url", "wss://ws-feed.pro.coinbase.com"), webSocketClient, restClient,
Config.Get("gdax-api-key"), Config.Get("gdax-api-secret"), Config.Get("gdax-passphrase"), algorithm.Object,
priceProvider.Object, aggregator));
}
/// <summary>
/// Creates the brokerage under test and connects it
/// </summary>
/// <returns>A connected brokerage instance</returns>
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
var environment = Config.Get("oanda-environment").ConvertTo <Environment>();
var accessToken = Config.Get("oanda-access-token");
var accountId = Config.Get("oanda-account-id");
var aggregator = new AggregationManager();
return(new OandaBrokerage(orderProvider, securityProvider, aggregator, environment, accessToken, accountId));
}
/// <summary>
/// Creates the brokerage under test and connects it
/// </summary>
/// <returns>A connected brokerage instance</returns>
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
var keyId = Config.Get("alpaca-key-id");
var secretKey = Config.Get("alpaca-secret-key");
var tradingMode = Config.Get("alpaca-trading-mode");
var aggregator = new AggregationManager();
return(new AlpacaBrokerage(orderProvider, securityProvider, keyId, secretKey, tradingMode, false, aggregator));
}
public void AggregationTest_AddToMetaRepo()
{
// Assemble
int count = 1;
// Action
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
objectUnderTest.AddToMetaRepo("testkey", count, _fakeMessage);
// Assert
Assert.True(objectUnderTest._metaRepo.Count == 1);
}
public void AggregationTest_AddToAllocationRepo()
{
// Assemble
Guid fileID = Guid.NewGuid();
int count = 1;
// Action
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
objectUnderTest.AddToAllocationRepo(fileID.ToString(), count.ToString());
// Assert
Assert.True(objectUnderTest._allocationRepo.Count == 1);
}
public void GetsHistory(Symbol symbol, Resolution resolution, TickType tickType, TimeSpan period, bool shouldBeEmpty)
{
var restClient = new RestClient("https://api.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var aggregator = new AggregationManager();
var brokerage = new GDAXBrokerage(
Config.Get("gdax-url", "wss://ws-feed.pro.coinbase.com"), webSocketClient, restClient,
Config.Get("gdax-api-key"), Config.Get("gdax-api-secret"), Config.Get("gdax-passphrase"), null, null, aggregator, null);
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, new DataPermissionManager()));
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
DateTimeZone.Utc,
resolution,
false,
false,
DataNormalizationMode.Adjusted,
tickType)
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc).ToList();
foreach (var slice in history)
{
var bar = slice.Bars[symbol];
Log.Trace($"{bar.Time}: {bar.Symbol} - O={bar.Open}, H={bar.High}, L={bar.Low}, C={bar.Close}, V={bar.Volume}");
}
if (shouldBeEmpty)
{
Assert.IsTrue(history.Count == 0);
}
else
{
Assert.IsTrue(history.Count > 0);
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
}
public void AggregationTest_AddToMetaRepo_When_Exception()
{
// Assemble
int count = 1;
_logger.Setup(x => x.Log(LogLevel.Critical, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()));
// Action
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
Action act = () => objectUnderTest.AddToMetaRepo(string.Empty, count, _fakeMessage);
// Assert
Assert.Throws <Exception>(act);
_logger.Verify(x => x.Log(LogLevel.Critical, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()), Times.Once());
}
public void AggregationTest_GetMetaCount_IfMetaMessageIsNull_Exception()
{
//Assemble
int expectedValue = 0;
_logger.Setup(x => x.Log(LogLevel.Error, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()));
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
//Action
var result = objectUnderTest.GetMetaCount(null);
//Assert
Assert.True(result == expectedValue);
_logger.Verify(x => x.Log(LogLevel.Error, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()), Times.Once());
}
public void AggregationTest_GetMetaCountByKey_With_NullOrEmptyKey()
{
//assemble
int expectedValue = 1;
_logger.Setup(x => x.Log(LogLevel.Critical, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()));
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
//action
int actualValue = objectUnderTest.GetMetaCountByKey(string.Empty);
//assert
Assert.NotEqual(expectedValue, actualValue);
_logger.Verify(x => x.Log(LogLevel.Critical, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()), Times.Once());
}
private static GDAXBrokerage GetBrokerage()
{
var wssUrl = Config.Get("gdax-url", "wss://ws-feed.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var restClient = new RestClient("https://api.pro.coinbase.com");
var apiKey = Config.Get("gdax-api-key");
var apiSecret = Config.Get("gdax-api-secret");
var passPhrase = Config.Get("gdax-passphrase");
var algorithm = new QCAlgorithm();
var userId = Config.GetInt("job-user-id");
var userToken = Config.Get("api-access-token");
var priceProvider = new ApiPriceProvider(userId, userToken);
var aggregator = new AggregationManager();
return(new GDAXBrokerage(wssUrl, webSocketClient, restClient, apiKey, apiSecret, passPhrase, algorithm, priceProvider, aggregator));
}
protected override IBrokerage CreateBrokerage(IOrderProvider orderProvider, ISecurityProvider securityProvider)
{
var restClient = new RestClient("https://api.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var algorithm = new Mock <IAlgorithm>();
algorithm.Setup(a => a.BrokerageModel).Returns(new GDAXBrokerageModel(AccountType.Cash));
var priceProvider = new ApiPriceProvider(Config.GetInt("job-user-id"), Config.Get("api-access-token"));
var aggregator = new AggregationManager();
return(new GDAXBrokerage(Config.Get("gdax-url", "wss://ws-feed.pro.coinbase.com"), webSocketClient, restClient,
Config.Get("gdax-api-key"), Config.Get("gdax-api-secret"), Config.Get("gdax-passphrase"), algorithm.Object,
priceProvider, aggregator));
}
public void AggregationManager_EnrichAndSendMessage_When_FileAllocationCountIsZero()
{
//Arrange
int fileAllocationCount = 0;
string key = Guid.Parse("247d7eb3-2fbe-4b3c-84ef-f3580f5c6331").ToString();
_publisher.Setup(p => p.SendMessage(It.IsAny <string>(), It.IsAny <string>(), It.IsAny <Guid>()));
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
objectUnderTest.AddToAllocationRepo(key, @"{""someJasonName"":""somevalue1""}");
//Action
var result = objectUnderTest.EnrichAndSendMessage(key, Guid.Parse(key), fileAllocationCount, "topic");
//Assert
Assert.True(result);
_publisher.Verify(p => p.SendMessage(It.IsAny <string>(), It.IsAny <string>(), It.IsAny <Guid>()), Times.Never());
}
public void AggregationTest_GetMetaCount_ReturnExpectedValue()
{
//assemble
JsonObject fakeMessage = TestHelper.getFileInfo();
fakeMessage.Add("fileID", Guid.NewGuid().ToString());
fakeMessage.Add(participantAmountKeyword, 100);
string jsonMessage = fakeMessage.ToString();
int expectedValue = 100;
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
//action
int actualValue = objectUnderTest.GetMetaCount(jsonMessage);
//assert
Assert.Equal(expectedValue, actualValue);
}
public void AggregationTest_GetMetaCountByKey_With_InvalidKey()
{
//assemble
int expectedValue = 1;
_logger.Setup(x => x.Log(LogLevel.Error, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()));
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
//action
objectUnderTest.AddToMetaRepo("testkey", 1, _fakeMessage);
int actualValue = objectUnderTest.GetMetaCountByKey("blahblah");
//assert
Assert.NotEqual(expectedValue, actualValue);
_logger.Verify(x => x.Log(LogLevel.Error, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()), Times.Never());
}
public void AggregationManager_EnrichAndSendMessage_WhenNoAllocationMessage()
{
//Arrange
string key = Guid.Parse("247d7eb3-2fbe-4b3c-84ef-f3580f5c6331").ToString();
string actualMessageToPublish = getActualMessage();
_publisher.Setup(p => p.SendMessage(It.IsAny <string>(), It.IsAny <string>(), It.IsAny <Guid>()));
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
objectUnderTest.AddToMetaRepo(key, 1, getMetaMessage(key));
//Action
var result = objectUnderTest.EnrichAndSendMessage(key, Guid.Parse(key), 3, "topic");
//Assert
Assert.True(result);
_publisher.Verify(p => p.SendMessage(It.IsAny <string>(), It.IsAny <string>(), It.IsAny <Guid>()), Times.Never());
}
/// <summary>
/// Initializes a new instance of the <see cref="FuncDataQueueHandler"/> class
/// </summary>
/// <param name="getNextTicksFunction">The functional implementation to get ticks function</param>
/// <param name="timeProvider">The time provider to use</param>
public FuncDataQueueHandler(Func <FuncDataQueueHandler, IEnumerable <BaseData> > getNextTicksFunction, ITimeProvider timeProvider)
{
_subscriptions = new HashSet <SubscriptionDataConfig>();
_cancellationTokenSource = new CancellationTokenSource();
_aggregationManager = new TestAggregationManager(timeProvider);
_subscriptionManager = new FakeDataQueuehandlerSubscriptionManager((t) => "quote-trade");
Task.Factory.StartNew(() =>
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
var emitted = false;
try
{
foreach (var baseData in getNextTicksFunction(this))
{
if (_cancellationTokenSource.IsCancellationRequested)
{
break;
}
emitted = true;
_aggregationManager.Update(baseData);
}
}
catch (Exception exception)
{
if (exception is ObjectDisposedException)
{
return;
}
Log.Error(exception);
}
if (!emitted)
{
Thread.Sleep(50);
}
else
{
Thread.Sleep(10);
}
}
}, TaskCreationOptions.LongRunning);
}
public void AggregationManager_EnrichAndSendMessage_When_Exception_While_Enriching()
{
//Arrange
int fileAllocationCount = 1;
string key = Guid.Parse("247d7eb3-2fbe-4b3c-84ef-f3580f5c6331").ToString();
_logger.Setup(x => x.Log(LogLevel.Critical, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()));
_publisher.Setup(p => p.SendMessage(It.IsAny <string>(), It.IsAny <string>(), It.IsAny <Guid>()));
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
objectUnderTest.AddToAllocationRepo(key, "{'someJasonName':'somevalue1'}");
//Action
var result = objectUnderTest.EnrichAndSendMessage(key, Guid.Parse(key), fileAllocationCount, "topic");
//Assert
Assert.False(result);
_publisher.Verify(p => p.SendMessage(It.IsAny <string>(), It.IsAny <string>(), It.IsAny <Guid>()), Times.Never());
_logger.Verify(x => x.Log(LogLevel.Critical, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()), Times.Once());
}
public void AggregationTest_GetMetaCount_IfNoParticipantAmountKeyword_Exception()
{
//Assemble
int expectedValue = 0;
JsonObject fakeMessage = TestHelper.getFileInfo();
fakeMessage.Add("fileID", Guid.NewGuid().ToString());
string jsonMessage = fakeMessage.ToString();
_logger.Setup(x => x.Log(LogLevel.Error, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()));
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
//Action
var result = objectUnderTest.GetMetaCount(jsonMessage);
//Assert
Assert.True(result == expectedValue);
_logger.Verify(x => x.Log(LogLevel.Error, It.IsAny <EventId>(), It.IsAny <FormattedLogValues>(), It.IsAny <Exception>(), It.IsAny <Func <object, Exception, string> >()), Times.Once());
}
public void AggregationManager_EnrichAndSendMessage()
{
//Arrange
string key = Guid.Parse("247d7eb3-2fbe-4b3c-84ef-f3580f5c6331").ToString();
string actualMessageToPublish = getActualMessage();
string expectedMessageToPublish = string.Empty;
_publisher.Setup(p => p.SendMessage(It.IsAny <string>(), It.IsAny <string>(), It.IsAny <Guid>()))
.Callback <string, string, Guid>((c1, c2, c3) => { expectedMessageToPublish = c1; });
AggregationManager objectUnderTest = new AggregationManager(_logger.Object, _publisher.Object, _allocationRepo, _metaRepo);
objectUnderTest.AddToMetaRepo(key, 1, getMetaMessage(key));
objectUnderTest.AddToAllocationRepo(key, @"{""someJasonName"":""somevalue1""}");
objectUnderTest.AddToAllocationRepo(key, @"{""someJasonName"":""somevalue2""}");
objectUnderTest.AddToAllocationRepo(key, @"{""someJasonName"":""somevalue3""}");
//Action
var result = objectUnderTest.EnrichAndSendMessage(key, Guid.Parse(key), 3, "topic");
//Assert
Assert.True(result);
Assert.True(actualMessageToPublish == expectedMessageToPublish);
_publisher.Verify(p => p.SendMessage(It.IsAny <string>(), It.IsAny <string>(), It.IsAny <Guid>()), Times.Once());
}
public void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, bool shouldBeEmpty)
{
Log.LogHandler = new ConsoleLogHandler();
var keyId = Config.Get("alpaca-key-id");
var secretKey = Config.Get("alpaca-secret-key");
var tradingMode = Config.Get("alpaca-trading-mode");
var aggregator = new AggregationManager();
using (var brokerage = new AlpacaBrokerage(null, null, keyId, secretKey, tradingMode, true, aggregator))
{
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, null));
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(
now.Add(-period),
now,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
TimeZones.NewYork,
null,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Trade)
};
var history = historyProvider.GetHistory(requests, TimeZones.NewYork).ToList();
foreach (var slice in history)
{
if (resolution == Resolution.Tick)
{
foreach (var tick in slice.Ticks[symbol])
{
Console.WriteLine($"{tick.Time}: {tick.Symbol} - P={tick.Price}, Q={tick.Quantity}");
}
}
else
{
var bar = slice.Bars[symbol];
Console.WriteLine($"{bar.Time}: {bar.Symbol} - O={bar.Open}, H={bar.High}, L={bar.Low}, C={bar.Close}, V={bar.Volume}");
}
}
if (shouldBeEmpty)
{
Assert.IsTrue(history.Count == 0);
}
else
{
Assert.IsTrue(history.Count > 0);
}
brokerage.Disconnect();
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
}
}
