public void CheckMinutesGeneration()
{
var logger = new LoggerStub();
var repo = new CandleHistoryRepositoryResolver((string asset, string tableName) =>
{
return(CreateStorage <CandleTableEntity>(asset, tableName, logger));
});
DateTime dt = new DateTime(2017, 1, 1, 0, 0, 0, DateTimeKind.Utc);
const string asset1 = "btcusd";
// 1. Prepare incoming quotes
//
IEnumerable <Quote> quotes = new Quote[]
{
// Asset 1
new Quote()
{
AssetPair = asset1, IsBuy = true, Price = 1, Timestamp = dt
}, // Second 1 // Day 1
new Quote()
{
AssetPair = asset1, IsBuy = true, Price = 2, Timestamp = dt.AddMinutes(1)
},
new Quote()
{
AssetPair = asset1, IsBuy = true, Price = 3, Timestamp = dt.AddMinutes(2)
}, // Second 2
new Quote()
{
AssetPair = asset1, IsBuy = true, Price = 4, Timestamp = dt.AddMinutes(3)
}, // Second 2
new Quote()
{
AssetPair = asset1, IsBuy = true, Price = 5, Timestamp = dt.AddMinutes(4)
}, // Second 3
};
// 2. Process incoming quotes
//
ProcessAllQuotes(quotes, repo, logger);
// ... check for errors
Assert.Equal(0, logger.Log.Where(rec => rec.Severity != LoggerStub.Severity.Info).Count());
// 3. Read candles with repository and check count of generated candles
//
CheckCountGenerated(repo, dt.AddDays(-1), dt.AddDays(1), new[] {
new { Asset = asset1, Interval = TimeInterval.Sec, PriceType = PriceType.Bid, CountExpected = 5 },
new { Asset = asset1, Interval = TimeInterval.Minute, PriceType = PriceType.Bid, CountExpected = 5 }
});
}
public void QuotesSortedByAssetAndBuy()
{
var logger = new LoggerStub();
var repo = new CandleHistoryRepositoryResolver((string asset, string tableName) =>
{
return(CreateStorage <CandleTableEntity>(asset, tableName, logger));
});
DateTime dt = new DateTime(2017, 1, 1, 0, 0, 0, DateTimeKind.Utc);
const string asset1 = "btcusd";
const string asset2 = "btcrub";
// 1. Prepare incoming quotes
//
IEnumerable <Quote> quotes = new Quote[]
{
// Asset 1
new Quote()
{
AssetPair = asset1, IsBuy = true, Price = 101, Timestamp = dt
}, // Second 1 // Day 1
new Quote()
{
AssetPair = asset1, IsBuy = true, Price = 101, Timestamp = dt.AddMilliseconds(1)
},
new Quote()
{
AssetPair = asset1, IsBuy = true, Price = 100, Timestamp = dt.AddSeconds(2)
}, // Second 2
new Quote()
{
AssetPair = asset1, IsBuy = false, Price = 100, Timestamp = dt.AddSeconds(10)
}, // Second 3
// Asset 2
new Quote()
{
AssetPair = asset2, IsBuy = true, Price = 101, Timestamp = dt.AddDays(1)
}, // Second 1 // Day 2
new Quote()
{
AssetPair = asset2, IsBuy = true, Price = 101, Timestamp = dt.AddDays(1).AddMilliseconds(1)
},
new Quote()
{
AssetPair = asset2, IsBuy = true, Price = 100, Timestamp = dt.AddDays(1).AddSeconds(2)
}, // Second 2
new Quote()
{
AssetPair = asset2, IsBuy = false, Price = 100, Timestamp = dt.AddDays(1).AddSeconds(10)
}, // Second 3
};
// 2. Process incoming quotes
//
ProcessAllQuotes(quotes, repo, logger);
// ... check for errors
Assert.Equal(0, logger.Log.Where(rec => rec.Severity != LoggerStub.Severity.Info).Count());
// 3. Read candles with repository and check count of generated candles
//
#region "Validation"
CheckCountGenerated(repo, dt.AddDays(-1), dt.AddDays(1), new[] {
new { Asset = asset1, Interval = TimeInterval.Sec, PriceType = PriceType.Bid, CountExpected = 2 },
new { Asset = asset1, Interval = TimeInterval.Minute, PriceType = PriceType.Bid, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Min30, PriceType = PriceType.Bid, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Hour, PriceType = PriceType.Bid, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Day, PriceType = PriceType.Bid, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Month, PriceType = PriceType.Bid, CountExpected = 1 }
});
CheckCountGenerated(repo, new DateTime(2016, 12, 26), dt.AddDays(1), new[] {
new { Asset = asset1, Interval = TimeInterval.Week, PriceType = PriceType.Bid, CountExpected = 1 }
});
CheckCountGenerated(repo, dt.AddDays(-1), dt.AddDays(1), new[] {
new { Asset = asset1, Interval = TimeInterval.Sec, PriceType = PriceType.Ask, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Minute, PriceType = PriceType.Ask, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Min30, PriceType = PriceType.Ask, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Hour, PriceType = PriceType.Ask, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Day, PriceType = PriceType.Ask, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Month, PriceType = PriceType.Ask, CountExpected = 1 }
});
CheckCountGenerated(repo, new DateTime(2016, 12, 26), dt.AddDays(1), new[] {
new { Asset = asset1, Interval = TimeInterval.Week, PriceType = PriceType.Ask, CountExpected = 1 }
});
CheckCountGenerated(repo, dt.AddDays(-1), dt.AddDays(1), new[] {
new { Asset = asset1, Interval = TimeInterval.Sec, PriceType = PriceType.Mid, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Minute, PriceType = PriceType.Mid, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Min30, PriceType = PriceType.Mid, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Hour, PriceType = PriceType.Mid, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Day, PriceType = PriceType.Mid, CountExpected = 1 },
new { Asset = asset1, Interval = TimeInterval.Month, PriceType = PriceType.Mid, CountExpected = 1 }
});
CheckCountGenerated(repo, new DateTime(2016, 12, 26), dt.AddDays(1), new[] {
new { Asset = asset1, Interval = TimeInterval.Week, PriceType = PriceType.Mid, CountExpected = 1 }
});
#endregion
}
public void CandlesAreInsertedAndMerged()
{
var logger = new LoggerStub();
var repo = new CandleHistoryRepositoryResolver((string ast, string tableName) =>
{
return(CreateStorage <CandleTableEntity>(ast, tableName, logger));
});
DateTime dt = new DateTime(2017, 1, 1, 0, 0, 0, DateTimeKind.Utc);
const string asset = "btcusd";
// 1. Prepare incoming quotes
//
IEnumerable <Quote> quotes = new Quote[]
{
new Quote()
{
AssetPair = asset, IsBuy = true, Price = 101, Timestamp = dt
}, // Second 1
};
// 2. Process incoming quotes
//
ProcessAllQuotes(quotes, repo, logger);
// ... check for no errors
Assert.Equal(0, logger.Log.Where(rec => rec.Severity != LoggerStub.Severity.Info).Count());
// 3. Read candles with repository and check count of generated candles
//
CheckCountGenerated(repo, dt.AddDays(-1), dt.AddDays(1), new[] {
new { Asset = asset, Interval = TimeInterval.Sec, PriceType = PriceType.Bid, CountExpected = 1 }
});
// 4. Send more quotes that should generate two candles. One candle should be merged and one candle should be added.
//
IEnumerable <Quote> quotes2 = new Quote[]
{
new Quote()
{
AssetPair = asset, IsBuy = true, Price = 102, Timestamp = dt
}, // Second 1 (updated)
new Quote()
{
AssetPair = asset, IsBuy = true, Price = 103, Timestamp = dt.AddSeconds(1)
}, // Second 2
};
ProcessAllQuotes(quotes2, repo, logger);
// ... check for no errors
Assert.Equal(0, logger.Log.Where(rec => rec.Severity != LoggerStub.Severity.Info).Count());
// 5. Validate merging
//
var candles = repo.GetCandlesAsync(asset, TimeInterval.Sec, PriceType.Bid, dt.AddDays(-1), dt.AddDays(1)).Result.ToArray();
Assert.Equal(2, candles.Length);
// ! Low value is from the first quote
Assert.True(candles[0].IsEqual(new FeedCandle()
{
Open = 102, Close = 102, High = 102, Low = 101, IsBuy = true, DateTime = dt
}));
Assert.True(candles[1].IsEqual(new FeedCandle()
{
Open = 103, Close = 103, High = 103, Low = 103, IsBuy = true, DateTime = dt.AddSeconds(1)
}));
}
public void ControllerHandlesRepositoryExceptions()
{
const string asset1 = "btcusd";
DateTime dt = new DateTime(2017, 1, 1, 0, 0, 0, DateTimeKind.Utc);
var logger = new LoggerStub();
ClearTable(asset1, new string[] { "sec", "minute", "min30", "hour", "day", "week", "month" });
var repo = new CandleHistoryRepositoryResolver((string asset, string tableName) =>
{
return(CreateStorage <CandleTableEntity>(asset, tableName, logger, 2, clear: false));
});
// 2. Process incoming quotes
//
var env = new EnvironmentStub(new List <AssetPair>()
{
new AssetPair()
{
Id = asset1, Accuracy = 3
}
});
var controller = new CandleGenerationController(repo, logger, "test component", env);
for (int i = 0; i < 5; i++)
{
var tasks = new List <Task>();
// pass a quote and signal controller to process quotes
var q = new Quote()
{
AssetPair = asset1, IsBuy = true, Price = i + 1, Timestamp = dt.AddMinutes(i)
};
var task = controller.HandleQuote(q);
tasks.Add(task);
Task.WaitAll(tasks.ToArray());
// ... signal controller to process quotes
controller.Tick();
int counter = 0;
while (counter < 60)
{
Task.Delay(1000).Wait(); // Wait while produce task is finished.
if (controller.QueueLength == 0)
{
break;
}
counter++;
}
}
Assert.Equal(0, controller.QueueLength);
controller.Stop();
// ... check for errors
//Assert.Equal(0, logger.Log.Where(rec => rec.Severity != LoggerStub.Severity.Info).Count());
var logs = logger.Log.Where(rec => rec.Severity != LoggerStub.Severity.Info);
// 3. Read candles with repository and check count of generated candles
//
IEnumerable <IFeedCandle> candles = repo.GetCandlesAsync(asset1, TimeInterval.Minute, PriceType.Bid, dt.AddDays(-1), dt.AddDays(1)).Result;
Assert.Equal(5, candles.Count());
candles = repo.GetCandlesAsync(asset1, TimeInterval.Sec, PriceType.Bid, dt.AddDays(-1), dt.AddDays(1)).Result;
Assert.Equal(5, candles.Count());
}
