public void AggregatesTicksIntoSecondBars()
{
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
var enumerator = new TradeBarBuilderEnumerator(Time.OneSecond, TimeZones.NewYork, timeProvider);
// noon new york time
var currentTime = new DateTime(2015, 10, 08, 12, 0, 0);
timeProvider.SetCurrentTime(currentTime);
// add some ticks
var ticks = new List<Tick>
{
new Tick(currentTime, "SPY", 199.55m, 199, 200) {Quantity = 10},
new Tick(currentTime, "SPY", 199.56m, 199.21m, 200.02m) {Quantity = 5},
new Tick(currentTime, "SPY", 199.53m, 198.77m, 199.75m) {Quantity = 20},
new Tick(currentTime, "SPY", 198.77m, 199.75m) {Quantity = 0},
new Tick(currentTime, "SPY", 199.73m, 198.77m, 199.75m) {Quantity = 20},
new Tick(currentTime, "SPY", 198.77m, 199.75m) {Quantity = 0},
};
foreach (var tick in ticks)
{
enumerator.ProcessData(tick);
}
// even though no data is here, it will still return true
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
// advance a second
currentTime = currentTime.AddSeconds(1);
timeProvider.SetCurrentTime(currentTime);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
// in the spirit of not duplicating the above code 5 times (OHLCV, we'll assert these ere as well)
var bar = (TradeBar)enumerator.Current;
Assert.AreEqual(currentTime.AddSeconds(-1), bar.Time);
Assert.AreEqual(currentTime, bar.EndTime);
Assert.AreEqual("SPY", bar.Symbol.Value);
Assert.AreEqual(ticks.First().LastPrice, bar.Open);
Assert.AreEqual(ticks.Max(x => x.LastPrice), bar.High);
Assert.AreEqual(ticks.Min(x => x.LastPrice), bar.Low);
Assert.AreEqual(ticks.Last().LastPrice, bar.Close);
Assert.AreEqual(ticks.Sum(x => x.Quantity), bar.Volume);
}
public void AggregatesHourlyTicksIntoHourlyBars()
{
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
var enumerator = new TradeBarBuilderEnumerator(Time.OneHour, TimeZones.NewYork, timeProvider, false);
// noon new york time
var currentTime = new DateTime(2015, 10, 08, 12, 0, 0);
timeProvider.SetCurrentTime(currentTime);
var price = 0m;
for (var i = 0; i < 5; i++)
{
// advance one hour
currentTime = currentTime.AddHours(1);
timeProvider.SetCurrentTime(currentTime);
// we advanced time, a new bar should be generated
Assert.IsTrue(enumerator.MoveNext());
// the first loop no trade bar was generated yet, end time not reached
if (i > 0)
{
Assert.IsNotNull(enumerator.Current);
var bar = (TradeBar)enumerator.Current;
Assert.AreEqual(currentTime.AddHours(-1), bar.Time);
Assert.AreEqual(currentTime, bar.EndTime);
Assert.AreEqual(price, bar.Open);
Assert.AreEqual(price, bar.High);
Assert.AreEqual(price, bar.Low);
Assert.AreEqual(price, bar.Close);
}
// add a tick, will generate a new bar
price++;
enumerator.ProcessData(new Tick(currentTime, Symbols.SPY, price, price, price));
}
enumerator.Dispose();
}
public void AggregatesTicksIntoSecondBars()
{
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
var enumerator = new TradeBarBuilderEnumerator(Time.OneSecond, TimeZones.NewYork, timeProvider);
// noon new york time
var currentTime = new DateTime(2015, 10, 08, 12, 0, 0);
timeProvider.SetCurrentTime(currentTime);
// add some ticks
var ticks = new List <Tick>
{
new Tick(currentTime, Symbols.SPY, 199.55m, 199, 200)
{
Quantity = 10
},
new Tick(currentTime, Symbols.SPY, 199.56m, 199.21m, 200.02m)
{
Quantity = 5
},
new Tick(currentTime, Symbols.SPY, 199.53m, 198.77m, 199.75m)
{
Quantity = 20
},
new Tick(currentTime, Symbols.SPY, 198.77m, 199.75m)
{
Quantity = 0
},
new Tick(currentTime, Symbols.SPY, 199.73m, 198.77m, 199.75m)
{
Quantity = 20
},
new Tick(currentTime, Symbols.SPY, 198.77m, 199.75m)
{
Quantity = 0
},
};
foreach (var tick in ticks)
{
enumerator.ProcessData(tick);
}
// even though no data is here, it will still return true
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
// advance a second
currentTime = currentTime.AddSeconds(1);
timeProvider.SetCurrentTime(currentTime);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
// in the spirit of not duplicating the above code 5 times (OHLCV, we'll assert these ere as well)
var bar = (TradeBar)enumerator.Current;
Assert.AreEqual(currentTime.AddSeconds(-1), bar.Time);
Assert.AreEqual(currentTime, bar.EndTime);
Assert.AreEqual(Symbols.SPY, bar.Symbol);
Assert.AreEqual(ticks.First().LastPrice, bar.Open);
Assert.AreEqual(ticks.Max(x => x.LastPrice), bar.High);
Assert.AreEqual(ticks.Min(x => x.LastPrice), bar.Low);
Assert.AreEqual(ticks.Last().LastPrice, bar.Close);
Assert.AreEqual(ticks.Sum(x => x.Quantity), bar.Volume);
}
public void CreatesNewBarWhenBarSizeElapses()
{
var timeProvider = new ManualTimeProvider();
var enumerator = new TradeBarBuilderEnumerator(Time.OneSecond, TimeZones.Utc, timeProvider);
// noon new york time
var startTime = new DateTime(2015, 10, 08, 12, 0, 0);
timeProvider.SetCurrentTime(startTime);
enumerator.ProcessData(new Tick{Time = startTime});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
timeProvider.AdvanceSeconds(0.99);
enumerator.ProcessData(new Tick {Time = timeProvider.GetUtcNow()});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
timeProvider.SetCurrentTime(startTime.AddSeconds(1));
// the second just ticked over, so it shouldn't include this tick when we move next
enumerator.ProcessData(new Tick {Time = timeProvider.GetUtcNow(), Quantity = 1});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(0, ((TradeBar)enumerator.Current).Volume);
}