Ejemplo n.º 1
0
        public void QuoteBar_CanParseOption_Successfully()
        {
            var config = new SubscriptionDataConfig(typeof(QuoteBar), Symbols.SPY_C_192_Feb19_2016, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);

            var line = "14340000,10000,20000,30000,40000,0,50000,60000,70000,80000,1";

            var quoteBar = _quoteBar.ParseOption(config, line, DateTime.MinValue);

            Assert.AreEqual(quoteBar.Bid.Open, 1m);
            Assert.AreEqual(quoteBar.Bid.High, 2m);
            Assert.AreEqual(quoteBar.Bid.Low, 3m);
            Assert.AreEqual(quoteBar.Bid.Close, 4m);
            Assert.AreEqual(quoteBar.LastBidSize, 0m);

            Assert.AreEqual(quoteBar.Ask.Open, 5m);
            Assert.AreEqual(quoteBar.Ask.High, 6m);
            Assert.AreEqual(quoteBar.Ask.Low, 7m);
            Assert.AreEqual(quoteBar.Ask.Close, 8m);
            Assert.AreEqual(quoteBar.LastAskSize, 1m);
        }