public void ResetTests(SecurityCache cache, SecuritySeedData seedType)
{
switch (seedType)
{
case SecuritySeedData.None:
case SecuritySeedData.OpenInterest:
case SecuritySeedData.OpenInterestTick:
break;
case SecuritySeedData.QuoteTick:
Assert.IsNotNull(cache.GetData());
Assert.Greater(cache.GetAll <Tick>().Count(x => x.TickType == TickType.Quote), 0);
cache.Reset();
Assert.IsFalse(cache.HasData(typeof(Tick)));
Assert.AreEqual(cache.GetAll <Tick>().Count(x => x.TickType == TickType.Quote), 0);
break;
case SecuritySeedData.TradeTick:
Assert.IsNotNull(cache.GetData());
Assert.Greater(cache.GetAll <Tick>().Count(x => x.TickType == TickType.Trade), 0);
cache.Reset();
Assert.IsFalse(cache.HasData(typeof(Tick)));
Assert.AreEqual(cache.GetAll <Tick>().Count(x => x.TickType == TickType.Trade), 0);
break;
default:
Assert.IsNotNull(cache.GetData());
cache.Reset();
break;
}
}
public string[] GetPropertiesBy(SecuritySeedData type)
{
switch (type)
{
case SecuritySeedData.None:
return(new string[0]);
case SecuritySeedData.OpenInterest:
return(new[] { "OpenInterest" });
case SecuritySeedData.OpenInterestTick:
return(new[] { "OpenInterest" });
case SecuritySeedData.TradeTick:
return(new[] { "Price", "Volume" });
case SecuritySeedData.QuoteTick:
return(new[] { "AskPrice", "AskSize", "BidPrice", "BidSize" });
case SecuritySeedData.TradeBar:
return(new[] { "Price", "Volume", "Open", "High", "Low", "Close" });
case SecuritySeedData.QuoteBar:
return(new[] { "Price", "Open", "High", "Low", "Close", "AskPrice", "AskSize", "BidPrice", "BidSize" });
case SecuritySeedData.Fundamentals:
// fundamentals data does not modify security cache properties
return(new string[0]);
default:
throw new ArgumentOutOfRangeException(nameof(type), type, null);
}
}
public void AddDataWithSameEndTime_SetsQuoteTickValues(SecurityCache cache, SecuritySeedData seedType)
{
AddDataAndAssertChanges(cache, seedType, SecuritySeedData.QuoteTick, new Tick
{
AskPrice = 101,
AskSize = 102,
BidPrice = 103,
BidSize = 104,
TickType = TickType.Quote,
EndTime = ReferenceTime
});
}
public void AddDataWithSameEndTime_SetsTradeBarValues(SecurityCache cache, SecuritySeedData seedType)
{
AddDataAndAssertChanges(cache, seedType, SecuritySeedData.TradeBar, new TradeBar
{
Open = 101,
High = 102,
Low = 103,
Close = 104,
Volume = 105,
EndTime = ReferenceTime
});
}
public void AddDataWithSameEndTime_SetsTradeTickValues(SecurityCache cache, SecuritySeedData seedType)
{
var map = new Dictionary <string, string> {
{ "Volume", "Quantity" }
};
AddDataAndAssertChanges(cache, seedType, SecuritySeedData.TradeTick, new Tick
{
Value = 101,
Quantity = 102,
TickType = TickType.Trade,
EndTime = ReferenceTime
}, map);
}
private void AddDataAndAssertChanges(SecurityCache cache, SecuritySeedData seedType, SecuritySeedData dataType, BaseData data, Dictionary <string, string> cacheToBaseDataPropertyMap = null)
{
var before = JObject.FromObject(cache);
var dataSnapshot = JObject.FromObject(data);
cache.AddData(data);
var after = JObject.FromObject(cache);
var updatedCacheProperties = GetPropertiesBy(dataType);
if (seedType == SecuritySeedData.QuoteBar && (dataType == SecuritySeedData.QuoteBar || dataType == SecuritySeedData.TradeBar))
{
// these properties aren't updated when previous data is quote bar at same time as a new IBar
updatedCacheProperties = updatedCacheProperties.Where(p =>
p != "Open" &&
p != "High" &&
p != "Low" &&
p != "Close" &&
p != "Price"
).ToArray();
}
foreach (var property in before.Properties())
{
string dataPropertyName = null;
if (updatedCacheProperties.Contains(property.Name))
{
if (cacheToBaseDataPropertyMap?.TryGetValue(property.Name, out dataPropertyName) == true)
{
// avoiding failures due to decimal <> long in JToken.DeepEquals
var e = dataSnapshot.SelectToken(dataPropertyName).ToString();
var a = after.SelectToken(property.Name).ToString();
Assert.AreEqual(e, a, $"{property.Name}: Expected {e}. Actual {a}");
}
else
{
dataSnapshot.IsEqualTo(after, property.Name);
}
}
else
{
before.IsEqualTo(after, property.Name);
}
}
}
public void AddDataWithSameEndTime_SetsQuoteBarValues(SecurityCache cache, SecuritySeedData seedType)
{
var map = new Dictionary <string, string>
{
{ "Price", "Close" },
{ "BidPrice", "Bid.Close" },
{ "BidSize", "LastBidSize" },
{ "AskPrice", "Ask.Close" },
{ "AskSize", "LastAskSize" }
};
AddDataAndAssertChanges(cache, seedType, SecuritySeedData.QuoteBar, new QuoteBar
{
Bid = new Bar(101, 102, 103, 104),
Ask = new Bar(105, 106, 107, 108),
LastAskSize = 109,
LastBidSize = 110,
EndTime = ReferenceTime
}, map);
}
// This method gets called by the runtime. Use this method to configure the HTTP request pipeline.
public void Configure(IApplicationBuilder app, IWebHostEnvironment env)
{
if (env.IsDevelopment())
{
//app.UseDeveloperExceptionPage();
app.UseExceptionHandlerMiddleware();
}
else
{
app.UseExceptionHandler("/Home/Error");
// The default HSTS value is 30 days. You may want to change this for production scenarios, see https://aka.ms/aspnetcore-hsts.
app.UseHsts();
}
var scopeFactory = app.ApplicationServices.GetRequiredService <IServiceScopeFactory>();
var scope = scopeFactory.CreateScope();
SecuritySeedData.Initialize(scope.ServiceProvider);
app.UseHttpsRedirection();
app.UseStaticFiles();
app.UseRouting();
app.UseAuthentication();
app.UseAuthorization();
app.UseEndpoints(endpoints =>
{
endpoints.MapAreaControllerRoute(
name: "Identity",
areaName: "Identity",
pattern: "Identity/{controller=Account}/{action=Login}/{id?}");
endpoints.MapControllerRoute(
name: "default",
pattern: "{controller=Home}/{action=Index}/{id?}");
endpoints.MapRazorPages();
});
}
public void Configure(IApplicationBuilder app)
{
if (Environment.IsDevelopment())
{
app.UseDeveloperExceptionPage();
app.UseDatabaseErrorPage();
}
var scopeFactory = app.ApplicationServices.GetRequiredService <IServiceScopeFactory>();
var scope = scopeFactory.CreateScope();
SecuritySeedData.Initialize(scope.ServiceProvider);
app.UseStaticFiles();
app.UseRouting();
app.UseIdentityServer();
app.UseAuthorization();
app.UseEndpoints(endpoints =>
{
endpoints.MapDefaultControllerRoute();
});
}
public void AddDataFundamentals_DoesNotChangeCacheValues(SecurityCache cache, SecuritySeedData seedType)
{
var map = new Dictionary <string, string>();
AddDataAndAssertChanges(cache, seedType, SecuritySeedData.Fundamentals, new Fundamentals
{
Value = 111,
EndTime = ReferenceTime
}, map);
}
public void AddDataWithSameEndTime_SetsOpenInterestTickValues(SecurityCache cache, SecuritySeedData seedType)
{
var map = new Dictionary <string, string> {
{ "OpenInterest", "Value" }
};
AddDataAndAssertChanges(cache, seedType, SecuritySeedData.OpenInterestTick, new Tick
{
Value = 101,
TickType = TickType.OpenInterest,
EndTime = ReferenceTime
}, map);
}