public void AggregatesNewQuoteBarProperly()
{
//Arrange
QuoteBar quoteBar = null;
var quoteBarAggregator = new QuoteBarAggregator(4);
quoteBarAggregator.DataAggregated += (sender, args) =>
{
quoteBar = args;
};
//Act
var time = DateTime.Today;
var tickersymbol = TickerSymbol.NIL("TST");
var bar1 = new QuoteBar
{
Occured = time,
Ticker = tickersymbol,
Bid = new BarImpl(1, 2, 0.75m, 1.25m),
LastBidSize = 3,
Ask = null,
LastAskSize = 0
};
quoteBarAggregator.Feed(bar1);
quoteBar.Should().BeNull();
var bar2 = new QuoteBar
{
Occured = time,
Ticker = tickersymbol,
Bid = new BarImpl(1.1m, 2.2m, 0.9m, 2.1m),
LastBidSize = 3,
Ask = new BarImpl(2.2m, 4.4m, 3.3m, 3.3m),
LastAskSize = 0
};
quoteBarAggregator.Feed(bar2);
quoteBar.Should().BeNull();
var bar3 = new QuoteBar
{
Occured = time,
Ticker = tickersymbol,
Bid = new BarImpl(1, 2, 0.5m, 1.75m),
LastBidSize = 3,
Ask = null,
LastAskSize = 0
};
quoteBarAggregator.Feed(bar3);
quoteBar.Should().BeNull();
var bar4 = new QuoteBar
{
Occured = time,
Ticker = tickersymbol,
Bid = null,
LastBidSize = 0,
Ask = new BarImpl(1, 7, 0.5m, 4.4m),
LastAskSize = 4,
};
//Assert
quoteBarAggregator.Feed(bar4);
quoteBar.Should().NotBeNull();
bar1.Ticker.Should().Be(quoteBar.Ticker);
bar1.Bid.Open.Should().Be(quoteBar.Bid.Open);
bar2.Ask.Open.Should().Be(quoteBar.Ask.Open);
bar2.Bid.High.Should().Be(quoteBar.Bid.High);
bar4.Ask.High.Should().Be(quoteBar.Ask.High);
bar3.Bid.Low.Should().Be(quoteBar.Bid.Low);
bar4.Ask.Low.Should().Be(quoteBar.Ask.Low);
bar3.Bid.Close.Should().Be(quoteBar.Bid.Close);
bar4.Ask.Close.Should().Be(quoteBar.Ask.Close);
bar3.LastBidSize.Should().Be(quoteBar.LastBidSize);
bar4.LastAskSize.Should().Be(quoteBar.LastAskSize);
bar1.Price.Should().Be(quoteBar.Price);
}
