public void PriceScaleDoesNotUpdateForFillForwardBar()
{
var referenceTime = new DateTime(2020, 08, 06);
var point = new Tick(referenceTime, Symbols.SPY, 1, 2);
var point2 = point.Clone(true);
point2.Time = referenceTime.AddDays(1);
var point3 = point.Clone(false);
point3.Time = referenceTime.AddDays(2);
;
var enumerator = new List <BaseData> {
point, point2, point3
}.GetEnumerator();
var factorFileProfider = new Mock <IFactorFileProvider>();
var factorFile = new FactorFile(_security.Symbol.Value, new[]
{
new FactorFileRow(referenceTime, 0.5m, 1),
new FactorFileRow(referenceTime.AddDays(1), 1m, 1)
}, referenceTime);
factorFileProfider.Setup(s => s.Get(It.IsAny <Symbol>())).Returns(factorFile);
var subscription = SubscriptionUtils.CreateAndScheduleWorker(
new SubscriptionRequest(
false,
null,
_security,
_config,
referenceTime,
Time.EndOfTime
),
enumerator,
factorFileProfider.Object,
true);
Assert.IsTrue(subscription.MoveNext());
Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
Assert.IsTrue(subscription.MoveNext());
Assert.AreEqual(1, (subscription.Current.Data as Tick).AskPrice);
Assert.IsTrue((subscription.Current.Data as Tick).IsFillForward);
Assert.IsTrue(subscription.MoveNext());
Assert.AreEqual(2, (subscription.Current.Data as Tick).AskPrice);
Assert.IsFalse((subscription.Current.Data as Tick).IsFillForward);
subscription.DisposeSafely();
}
public void AdjustTick()
{
var tick = new Tick
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Symbol = Symbols.SPY,
Value = 100
};
var adjustedTick = tick.Clone(tick.IsFillForward).Adjust(_factor);
Assert.AreEqual(tick.Value * _factor, (adjustedTick as Tick).Value);
}
public void AdjustTickUsingConfig()
{
var tick = new Tick
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Symbol = Symbols.SPY,
Value = 100,
Quantity = 10
};
var adjustedTick = tick.Clone(tick.IsFillForward).Normalize(_config);
Assert.AreEqual(tick.Value * _factor, (adjustedTick as Tick).Value);
Assert.AreEqual(tick.Quantity / _factor, (adjustedTick as Tick).Quantity);
}
public void AdjustQuoteTick()
{
var tick = new Tick
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Symbol = Symbols.SPY,
TickType = TickType.Quote,
AskPrice = 100,
BidPrice = 99,
AskSize = 100,
BidSize = 10
};
var adjustedTick = tick.Clone(tick.IsFillForward).Adjust(_factor);
Assert.AreEqual(tick.AskPrice * _factor, (adjustedTick as Tick).AskPrice);
Assert.AreEqual(tick.BidPrice * _factor, (adjustedTick as Tick).BidPrice);
Assert.AreEqual(tick.AskSize / _factor, (adjustedTick as Tick).AskSize);
Assert.AreEqual(tick.BidSize / _factor, (adjustedTick as Tick).BidSize);
}
public void AdjustQuoteTickUsingConfig()
{
var tick = new Tick
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Symbol = Symbols.SPY,
TickType = TickType.Quote,
AskPrice = 100,
BidPrice = 99,
AskSize = 100,
BidSize = 10
};
var adjustedTick = tick.Clone(tick.IsFillForward).Normalize(_config.PriceScaleFactor, _config.DataNormalizationMode, _config.SumOfDividends);
Assert.AreEqual(tick.AskPrice * _factor, (adjustedTick as Tick).AskPrice);
Assert.AreEqual(tick.BidPrice * _factor, (adjustedTick as Tick).BidPrice);
Assert.AreEqual(tick.AskSize / _factor, (adjustedTick as Tick).AskSize);
Assert.AreEqual(tick.BidSize / _factor, (adjustedTick as Tick).BidSize);
}
/// <summary>
/// Change Tick Accorind to Permissions
/// </summary>
/// <param name="tick"></param>
/// <param name="writeQuote"></param>
/// <param name="writeTrade"></param>
/// <returns></returns>
private Tick ChangeTickAccordingToPermissions(Tick tick, bool writeQuote, bool writeTrade)
{
try
{
Tick newTick = (Tick)tick.Clone();
if (!writeQuote)
{
newTick.AskPrice = newTick.AskSize = newTick.BidPrice = newTick.BidSize = 0M;
}
if (!writeTrade)
{
newTick.LastPrice = newTick.LastSize = 0M;
}
return(newTick);
}
catch (Exception exception)
{
Logger.Error(exception, _oType.FullName, "ChangeTickAccordingToPermissions");
return(tick);
}
}
public void AcceptsTickDataWithSameTimestamps()
{
var reference = new DateTime(2015, 09, 23);
var identity = new IdentityDataConsolidator <Tick>();
int count = 0;
identity.DataConsolidated += (sender, data) =>
{
count++;
};
var tradeBar = new Tick {
EndTime = reference
};
identity.Update(tradeBar);
tradeBar = (Tick)tradeBar.Clone();
identity.Update(tradeBar);
Assert.AreEqual(2, count);
}