public void SubSamples()
{
var series = new Series {
Name = "name"
};
var reference = DateTime.UtcNow.Date;
series.AddPoint(reference, 1m);
series.AddPoint(reference.AddDays(1), 2m);
series.AddPoint(reference.AddDays(2), 3m);
series.AddPoint(reference.AddDays(3), 4m);
series.AddPoint(reference.AddDays(4), 5m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference.AddDays(1), reference.AddDays(2));
Assert.AreEqual(2, sampled.Values.Count);
Assert.AreEqual(series.Values[1].x, sampled.Values[0].x);
Assert.AreEqual(series.Values[1].y, sampled.Values[0].y);
Assert.AreEqual(series.Values[2].x, sampled.Values[1].x);
Assert.AreEqual(series.Values[2].y, sampled.Values[1].y);
}
public void ReturnsIdentityOnSinglePoint()
{
var series = new Series {Name = "name"};
var reference = DateTime.Now.ToUniversalTime();
series.AddPoint(reference, 1m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference.AddSeconds(-1), reference.AddSeconds(1));
Assert.AreEqual(1, sampled.Values.Count);
Assert.AreEqual(series.Values[0].x, sampled.Values[0].x);
Assert.AreEqual(series.Values[0].y, sampled.Values[0].y);
}
public void EmitsEmptySeriesWithSinglePointOutsideOfStartStop()
{
var series = new Series {
Name = "name"
};
var reference = DateTime.Now;
series.AddPoint(reference.AddSeconds(-1), 1m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference, reference);
Assert.AreEqual(0, sampled.Values.Count);
}
public void DoesNotSampleScatterPlots()
{
var scatter = new Series("scatter", SeriesType.Scatter);
scatter.AddPoint(DateTime.Today, 1m);
scatter.AddPoint(DateTime.Today, 3m);
scatter.AddPoint(DateTime.Today.AddSeconds(1), 1.5m);
scatter.AddPoint(DateTime.Today.AddSeconds(0.5), 1.5m);
var sampler = new SeriesSampler(TimeSpan.FromMilliseconds(1));
var sampled = sampler.Sample(scatter, DateTime.Today, DateTime.Today.AddDays(1));
foreach (var pair in scatter.Values.Zip<ChartPoint, ChartPoint, Tuple<ChartPoint, ChartPoint>>(sampled.Values, Tuple.Create))
{
Assert.AreEqual(pair.Item1.x, pair.Item2.x);
Assert.AreEqual(pair.Item1.y, pair.Item2.y);
}
}
public void ReturnsIdentityOnSinglePoint()
{
var series = new Series {
Name = "name"
};
var reference = DateTime.Now.ToUniversalTime();
series.AddPoint(reference, 1m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference.AddSeconds(-1), reference.AddSeconds(1));
Assert.AreEqual(1, sampled.Values.Count);
Assert.AreEqual(series.Values[0].x, sampled.Values[0].x);
Assert.AreEqual(series.Values[0].y, sampled.Values[0].y);
}
public void DoesNotSampleScatterPlots()
{
var scatter = new Series("scatter", SeriesType.Scatter);
scatter.AddPoint(DateTime.Today, 1m);
scatter.AddPoint(DateTime.Today, 3m);
scatter.AddPoint(DateTime.Today.AddSeconds(1), 1.5m);
scatter.AddPoint(DateTime.Today.AddSeconds(0.5), 1.5m);
var sampler = new SeriesSampler(TimeSpan.FromMilliseconds(1));
var sampled = sampler.Sample(scatter, DateTime.Today, DateTime.Today.AddDays(1));
foreach (var pair in scatter.Values.Zip(sampled.Values, Tuple.Create))
{
Assert.AreEqual(pair.Item1.x, pair.Item2.x);
Assert.AreEqual(pair.Item1.y, pair.Item2.y);
}
}
public void HandlesDuplicateTimes()
{
var series = new Series();
series.Values.Add(new ChartPoint(DateTime.Today, 1m));
series.Values.Add(new ChartPoint(DateTime.Today, 2m));
series.Values.Add(new ChartPoint(DateTime.Today.AddDays(1), 3m));
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, DateTime.Today, DateTime.Today.AddDays(1));
// sampler will only produce one value at the time
// it was also respect the latest value
Assert.AreEqual(2, sampled.Values.Count);
foreach (var pair in series.Values.Skip(1).Zip(sampled.Values, Tuple.Create))
{
Assert.AreEqual(pair.Item1.x, pair.Item2.x);
Assert.AreEqual(pair.Item1.y, pair.Item2.y);
}
}
public void SubSamples()
{
var series = new Series {Name = "name"};
var reference = DateTime.UtcNow.Date;
series.AddPoint(reference, 1m);
series.AddPoint(reference.AddDays(1), 2m);
series.AddPoint(reference.AddDays(2), 3m);
series.AddPoint(reference.AddDays(3), 4m);
series.AddPoint(reference.AddDays(4), 5m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference.AddDays(1), reference.AddDays(2));
Assert.AreEqual(2, sampled.Values.Count);
Assert.AreEqual(series.Values[1].x, sampled.Values[0].x);
Assert.AreEqual(series.Values[1].y, sampled.Values[0].y);
Assert.AreEqual(series.Values[2].x, sampled.Values[1].x);
Assert.AreEqual(series.Values[2].y, sampled.Values[1].y);
}
/// <summary>
/// Save the snapshot of the total results to storage.
/// </summary>
/// <param name="packet">Packet to store.</param>
/// <param name="async">Store the packet asyncronously to speed up the thread.</param>
/// <remarks>
/// Async creates crashes in Mono 3.10 if the thread disappears before the upload is complete so it is disabled for now.
/// For live trading we're making assumption its a long running task and safe to async save large files.
/// </remarks>
public void StoreResult(Packet packet, bool async = true)
{
// this will hold all the serialized data and the keys to be stored
var data_keys = Enumerable.Range(0, 0).Select(x => new
{
Key = (string)null,
Serialized = (string)null
}).ToList();
try
{
Log.Debug("LiveTradingResultHandler.StoreResult(): Begin store result sampling");
lock (_chartLock)
{
// Make sure this is the right type of packet:
if (packet.Type != PacketType.LiveResult) return;
// Port to packet format:
var live = packet as LiveResultPacket;
if (live != null)
{
// we need to down sample
var start = DateTime.UtcNow.Date;
var stop = start.AddDays(1);
// truncate to just today, we don't need more than this for anyone
Truncate(live.Results, start, stop);
var highResolutionCharts = new Dictionary<string, Chart>(live.Results.Charts);
// 10 minute resolution data, save today
var tenminuteSampler = new SeriesSampler(TimeSpan.FromMinutes(10));
var tenminuteCharts = tenminuteSampler.SampleCharts(live.Results.Charts, start, stop);
live.Results.Charts = tenminuteCharts;
data_keys.Add(new
{
Key = CreateKey("10minute"),
Serialized = JsonConvert.SerializeObject(live.Results)
});
// minute resoluton data, save today
var minuteSampler = new SeriesSampler(TimeSpan.FromMinutes(1));
var minuteCharts = minuteSampler.SampleCharts(live.Results.Charts, start, stop);
// swap out our charts with the sampeld data
live.Results.Charts = minuteCharts;
data_keys.Add(new
{
Key = CreateKey("minute"),
Serialized = JsonConvert.SerializeObject(live.Results)
});
// high resolution data, we only want to save an hour
live.Results.Charts = highResolutionCharts;
start = DateTime.UtcNow.RoundDown(TimeSpan.FromHours(1));
stop = DateTime.UtcNow.RoundUp(TimeSpan.FromHours(1));
Truncate(live.Results, start, stop);
foreach (var name in live.Results.Charts.Keys)
{
var newPacket = new LiveResult();
newPacket.Orders = new Dictionary<int, Order>(live.Results.Orders);
newPacket.Holdings = new Dictionary<string, Holding>(live.Results.Holdings);
newPacket.Charts = new Dictionary<string, Chart>();
newPacket.Charts.Add(name, live.Results.Charts[name]);
data_keys.Add(new
{
Key = CreateKey("second_" + Uri.EscapeUriString(name), "yyyy-MM-dd-HH"),
Serialized = JsonConvert.SerializeObject(newPacket)
});
}
}
else
{
Log.Error("LiveResultHandler.StoreResult(): Result Null.");
}
}
Log.Debug("LiveTradingResultHandler.StoreResult(): End store result sampling");
// Upload Results Portion
foreach (var dataKey in data_keys)
{
_api.Store(dataKey.Serialized, dataKey.Key, StoragePermissions.Authenticated, async);
}
}
catch (Exception err)
{
Log.Error(err);
}
}
/// <summary>
/// Save the snapshot of the total results to storage.
/// </summary>
/// <param name="packet">Packet to store.</param>
/// <param name="async">Store the packet asyncronously to speed up the thread.</param>
/// <remarks>
/// Async creates crashes in Mono 3.10 if the thread disappears before the upload is complete so it is disabled for now.
/// For live trading we're making assumption its a long running task and safe to async save large files.
/// </remarks>
public void StoreResult(Packet packet, bool async = true)
{
// this will hold all the serialized data and the keys to be stored
var data_keys = Enumerable.Range(0, 0).Select(x => new
{
Key = (string)null,
Serialized = (string)null
}).ToList();
try
{
Log.Debug("LiveTradingResultHandler.StoreResult(): Begin store result sampling");
lock (_chartLock)
{
// Make sure this is the right type of packet:
if (packet.Type != PacketType.LiveResult)
{
return;
}
// Port to packet format:
var live = packet as LiveResultPacket;
if (live != null)
{
// we need to down sample
var start = DateTime.UtcNow.Date;
var stop = start.AddDays(1);
// truncate to just today, we don't need more than this for anyone
Truncate(live.Results, start, stop);
var highResolutionCharts = new Dictionary <string, Chart>(live.Results.Charts);
// 10 minute resolution data, save today
var tenminuteSampler = new SeriesSampler(TimeSpan.FromMinutes(10));
var tenminuteCharts = tenminuteSampler.SampleCharts(live.Results.Charts, start, stop);
live.Results.Charts = tenminuteCharts;
data_keys.Add(new
{
Key = CreateKey("10minute"),
Serialized = JsonConvert.SerializeObject(live.Results)
});
// minute resoluton data, save today
var minuteSampler = new SeriesSampler(TimeSpan.FromMinutes(1));
var minuteCharts = minuteSampler.SampleCharts(live.Results.Charts, start, stop);
// swap out our charts with the sampeld data
live.Results.Charts = minuteCharts;
data_keys.Add(new
{
Key = CreateKey("minute"),
Serialized = JsonConvert.SerializeObject(live.Results)
});
// high resolution data, we only want to save an hour
live.Results.Charts = highResolutionCharts;
start = DateTime.UtcNow.RoundDown(TimeSpan.FromHours(1));
stop = DateTime.UtcNow.RoundUp(TimeSpan.FromHours(1));
Truncate(live.Results, start, stop);
foreach (var name in live.Results.Charts.Keys)
{
var newPacket = new LiveResult();
newPacket.Orders = new Dictionary <int, Order>(live.Results.Orders);
newPacket.Holdings = new Dictionary <string, Holding>(live.Results.Holdings);
newPacket.Charts = new Dictionary <string, Chart>();
newPacket.Charts.Add(name, live.Results.Charts[name]);
data_keys.Add(new
{
Key = CreateKey("second_" + Uri.EscapeUriString(name), "yyyy-MM-dd-HH"),
Serialized = JsonConvert.SerializeObject(newPacket)
});
}
}
else
{
Log.Error("LiveResultHandler.StoreResult(): Result Null.");
}
}
Log.Debug("LiveTradingResultHandler.StoreResult(): End store result sampling");
// Upload Results Portion
foreach (var dataKey in data_keys)
{
_api.Store(dataKey.Serialized, dataKey.Key, StoragePermissions.Authenticated, async);
}
}
catch (Exception err)
{
Log.Error(err);
}
}
public void EmitsEmptySeriesWithSinglePointOutsideOfStartStop()
{
var series = new Series { Name = "name" };
var reference = DateTime.Now;
series.AddPoint(reference.AddSeconds(-1), 1m);
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, reference, reference);
Assert.AreEqual(0, sampled.Values.Count);
}
public void HandlesDuplicateTimes()
{
var series = new Series();
series.Values.Add(new ChartPoint(DateTime.Today, 1m));
series.Values.Add(new ChartPoint(DateTime.Today, 2m));
series.Values.Add(new ChartPoint(DateTime.Today.AddDays(1), 3m));
var sampler = new SeriesSampler(TimeSpan.FromDays(1));
var sampled = sampler.Sample(series, DateTime.Today, DateTime.Today.AddDays(1));
// sampler will only produce one value at the time
// it was also respect the latest value
Assert.AreEqual(2, sampled.Values.Count);
foreach (var pair in series.Values.Skip(1).Zip<ChartPoint, ChartPoint, Tuple<ChartPoint, ChartPoint>>(sampled.Values, Tuple.Create))
{
Assert.AreEqual(pair.Item1.x, pair.Item2.x);
Assert.AreEqual(pair.Item1.y, pair.Item2.y);
}
}
