public void ReturnsCorrectLeanSymbol()
{
var mapper = new FxcmSymbolMapper();
var symbol = mapper.GetLeanSymbol("EUR/USD", SecurityType.Forex, Market.FXCM);
Assert.AreEqual("EURUSD", symbol.Value);
Assert.AreEqual(SecurityType.Forex, symbol.ID.SecurityType);
Assert.AreEqual(Market.FXCM, symbol.ID.Market);
symbol = mapper.GetLeanSymbol("GER30", SecurityType.Cfd, Market.FXCM);
Assert.AreEqual("DE30EUR", symbol.Value);
Assert.AreEqual(SecurityType.Cfd, symbol.ID.SecurityType);
Assert.AreEqual(Market.FXCM, symbol.ID.Market);
}
public void ReturnsCorrectLeanSymbol()
{
var mapper = new FxcmSymbolMapper();
var symbol = mapper.GetLeanSymbol("EUR/USD", SecurityType.Forex, Market.FXCM);
Assert.AreEqual("EURUSD", symbol.Value);
Assert.AreEqual(SecurityType.Forex, symbol.ID.SecurityType);
Assert.AreEqual(Market.FXCM, symbol.ID.Market);
symbol = mapper.GetLeanSymbol("GER30", SecurityType.Cfd, Market.FXCM);
Assert.AreEqual("DE30EUR", symbol.Value);
Assert.AreEqual(SecurityType.Cfd, symbol.ID.SecurityType);
Assert.AreEqual(Market.FXCM, symbol.ID.Market);
}
public void ThrowsOnNullOrEmptySymbol()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol(null, SecurityType.Forex, Market.FXCM));
Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol("", SecurityType.Forex, Market.FXCM));
var symbol = Symbol.Empty;
Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = null;
Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = Symbol.Create("", SecurityType.Forex, Market.FXCM);
Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnUnknownSymbol()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol("ABC/USD", SecurityType.Forex, Market.FXCM));
var symbol = Symbol.Create("ABCUSD", SecurityType.Forex, Market.FXCM);
Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnNullOrEmptySymbol()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol(null, SecurityType.Forex, Market.FXCM));
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol("", SecurityType.Forex, Market.FXCM));
var symbol = Symbol.Empty;
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = null;
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = Symbol.Create("", SecurityType.Forex, Market.FXCM);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnInvalidSecurityType()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol("AAPL", SecurityType.Equity, Market.FXCM));
var symbol = Symbol.Create("AAPL", SecurityType.Equity, Market.FXCM);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnUnknownSymbol()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol("ABC/USD", SecurityType.Forex, Market.FXCM));
var symbol = Symbol.Create("ABCUSD", SecurityType.Forex, Market.FXCM);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
/// <summary>
/// MarketDataSnapshot message handler
/// </summary>
private void OnMarketDataSnapshot(MarketDataSnapshot message)
{
if (message.getRequestID() == _currentRequest)
{
var securityType = _symbolMapper.GetBrokerageSecurityType(message.getInstrument().getSymbol());
var symbol = _symbolMapper.GetLeanSymbol(message.getInstrument().getSymbol(), securityType, Market.FXCM);
var time = FromJavaDateUtc(message.getDate().toDate());
if (message.getFXCMTimingInterval() == FXCMTimingIntervalFactory.TICK)
{
var bid = Convert.ToDecimal(message.getBidClose());
var ask = Convert.ToDecimal(message.getAskClose());
var tick = new Tick(time, symbol, bid, ask);
//Add tick
_currentBaseData.Add(tick);
}
else // it bars
{
var open = Convert.ToDecimal((message.getBidOpen() + message.getAskOpen()) / 2);
var high = Convert.ToDecimal((message.getBidHigh() + message.getAskHigh()) / 2);
var low = Convert.ToDecimal((message.getBidLow() + message.getAskLow()) / 2);
var close = Convert.ToDecimal((message.getBidClose() + message.getAskClose()) / 2);
var bar = new TradeBar(time, symbol, open, high, low, close, 0);
// add bar to list
_currentBaseData.Add(bar);
}
if (message.getFXCMContinuousFlag() == IFixValueDefs.__Fields.FXCMCONTINUOUS_END)
{
_mapRequestsToAutoResetEvents[_currentRequest].Set();
_mapRequestsToAutoResetEvents.Remove(_currentRequest);
}
}
}
public void ThrowsOnInvalidSecurityType()
{
var mapper = new FxcmSymbolMapper();
Assert.Throws<ArgumentException>(() => mapper.GetLeanSymbol("AAPL", SecurityType.Equity, Market.FXCM));
var symbol = Symbol.Create("AAPL", SecurityType.Equity, Market.FXCM);
Assert.Throws<ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}