/// <summary>
/// Pushes the tick into this enumerator. This tick will be aggregated into a quote bar
/// and emitted after the alotted time has passed
/// </summary>
/// <param name="data">The new data to be aggregated</param>
public void ProcessData(BaseData data)
{
QuoteBar working;
var tick = data as Tick;
var qty = tick == null ? 0 : tick.Quantity;
var bidPrice = tick == null ? data.Value : tick.BidPrice;
var askPrice = tick == null ? data.Value : tick.AskPrice;
var bidSize = tick == null ? 0m : tick.BidSize;
var askSize = tick == null ? 0m : tick.AskSize;
if (!_queue.TryPeek(out working))
{
// the consumer took the working bar, or time ticked over into next bar
var utcNow = _timeProvider.GetUtcNow();
var currentLocalTime = utcNow.ConvertFromUtc(_timeZone);
var barStartTime = currentLocalTime.RoundDown(_barSize);
working = new QuoteBar();
working.Update(data.Value, bidPrice, askPrice, qty, bidSize, askSize);
working.Period = _barSize;
working.Time = barStartTime;
working.Symbol = data.Symbol;
_queue.Enqueue(working);
if (_liveMode)
{
_realTimeScheduleEventService.ScheduleEvent(_barSize.Subtract(currentLocalTime - barStartTime), utcNow);
}
}
else
{
// we're still within this bar size's time
working.Update(data.Value, bidPrice, askPrice, qty, bidSize, askSize);
}
}
/// <summary>
/// Pushes the tick into this enumerator. This tick will be aggregated into a quote bar
/// and emitted after the alotted time has passed
/// </summary>
/// <param name="data">The new data to be aggregated</param>
public void ProcessData(BaseData data)
{
QuoteBar working;
var tick = data as Tick;
var qty = tick == null ? 0 : tick.Quantity;
var bidPrice = tick == null ? data.Value : tick.BidPrice;
var askPrice = tick == null ? data.Value : tick.AskPrice;
var bidSize = tick == null ? 0m : tick.BidSize;
var askSize = tick == null ? 0m : tick.AskSize;
if (!_queue.TryPeek(out working))
{
// the consumer took the working bar, or time ticked over into next bar
var utcNow = _timeProvider.GetUtcNow();
var currentLocalTime = utcNow.ConvertFromUtc(_timeZone);
var barStartTime = currentLocalTime.RoundDown(_barSize);
working = new QuoteBar();
// open ask and bid should match previous close ask and bid
if (Current != null)
{
// note that we will only fill forward previous close ask and bid when a new data point comes in and we generate a new working bar which is not a fill forward bar
var previous = Current as QuoteBar;
working.Update(0, previous.Bid?.Close ?? 0, previous.Ask?.Close ?? 0, 0, previous.LastBidSize, previous.LastAskSize);
}
working.Update(data.Value, bidPrice, askPrice, qty, bidSize, askSize);
working.Period = _barSize;
working.Time = barStartTime;
working.Symbol = data.Symbol;
_queue.Enqueue(working);
if (_liveMode)
{
_realTimeScheduleEventService.ScheduleEvent(_barSize.Subtract(currentLocalTime - barStartTime), utcNow);
}
}
else
{
// we're still within this bar size's time
working.Update(data.Value, bidPrice, askPrice, qty, bidSize, askSize);
}
}
public void QuoteBar_CanCreateCorrectBars()
{
var nbar = new QuoteBar();
nbar.Update(10, 10, 10, 10, 10, 10);
nbar.Open.Should().Be(10);
nbar.High.Should().Be(10);
nbar.Low.Should().Be(10);
nbar.Close.Should().Be(10);
nbar = new QuoteBar();
nbar.Ask = new BarImpl(11, 11, 11, 11);
nbar.Open.Should().Be(11);
nbar.High.Should().Be(11);
nbar.Low.Should().Be(11);
nbar.Close.Should().Be(11);
nbar.Update(12, 12, 12, 1, 1, 1);
nbar.Open.Should().Be(11);
nbar.High.Should().Be(12);
nbar.Low.Should().Be(11);
nbar.Close.Should().Be(12);
}
