public EditExchangeWindow(Exchange exchange)
{
InitializeComponent();
DataContext = this;
if (exchange == null)
{
TheExchange = new Exchange {ID = -1};
_addingNew = true;
ModifyBtn.Content = "Add";
}
else
{
exchange.Sessions = exchange.Sessions.OrderBy(x => x.OpeningDay).ThenBy(x => x.OpeningTime).ToList();
_originalExchange = exchange;
TheExchange = (Exchange)exchange.Clone();
ModifyBtn.Content = "Modify";
}
var timezones = TimeZoneInfo.GetSystemTimeZones();
foreach (TimeZoneInfo tz in timezones)
{
TimeZoneComboBox.Items.Add(tz);
}
}
/// <summary>
/// Creates a new object that is a copy of the current instance.
/// </summary>
/// <returns>
/// A new object that is a copy of this instance.
/// </returns>
public object Clone()
{
var clone = new Exchange();
clone.ID = ID;
clone.Name = Name;
clone.Timezone = Timezone;
clone.Sessions = Sessions == null ? null : new List<ExchangeSession>(Sessions.Select(x => (ExchangeSession)x.Clone()));
clone.LongName = LongName;
return clone;
}
public void BarTimeAdjustmentsHappenCorrectly()
{
string json = @"{
""status"": {
""code"": 200,
""message"": ""Success.""
},
""results"": [{
""symbol"": ""IBM"",
""timestamp"": ""2016-08-15T09:00:00-04:00"",
""tradingDay"": ""2016-08-15"",
""open"": 162.4,
""high"": 162.97,
""low"": 162.38,
""close"": 162.77,
""volume"": 215371
},
{
""symbol"": ""IBM"",
""timestamp"": ""2016-08-15T10:00:00-04:00"",
""tradingDay"": ""2016-08-15"",
""open"": 162.8,
""high"": 162.95,
""low"": 162.61,
""close"": 162.63,
""volume"": 222815
}]
}";
var exchange = new Exchange
{
Timezone = "Eastern Standard Time"
};
var instrument = new Instrument()
{
Symbol = "IBM",
Exchange = exchange,
Sessions = new List<InstrumentSession>{
new InstrumentSession{ OpeningDay = DayOfTheWeek.Monday, OpeningTime = new TimeSpan(9, 30, 0) } }
};
var request = new HistoricalDataRequest(instrument, BarSize.OneHour, DateTime.Now, DateTime.Now);
List<OHLCBar> bars = BarChartUtils.ParseJson(JObject.Parse(json), request);
//opening time set to the session opening instead of earlier
Assert.AreEqual(new DateTime(2016, 8, 15, 9, 30, 0), bars[0].DTOpen.Value);
//Bar closing time set correctly
Assert.AreEqual(new DateTime(2016, 8, 15, 10, 0, 0), bars[0].DT);
//timezone conversion has happened properly
Assert.AreEqual(new DateTime(2016, 8, 15, 10, 0, 0), bars[1].DTOpen.Value);
}
public void InstrumentAdditionRequestsAreSentCorrectly()
{
var instrumentSourceMock = new Mock<IInstrumentSource>();
var instrumentsServer = new InstrumentsServer(5555, instrumentSourceMock.Object);
instrumentsServer.StartServer();
var rtdBrokerMock = new Mock<IRealTimeDataBroker>();
var rtdServer = new RealTimeDataServer(5554, 5553, rtdBrokerMock.Object);
rtdServer.StartServer();
_client.Connect();
var exchange = new Exchange() { ID = 1, Name = "NYSE", Sessions = new List<ExchangeSession>(), Timezone = "Eastern Standard Time" };
var datasource = new Datasource() { ID = 1, Name = "Yahoo" };
var instrument = new Instrument() { Symbol = "SPY", UnderlyingSymbol = "SPY", Type = InstrumentType.Stock, Currency = "USD", Exchange = exchange, Datasource = datasource, Multiplier = 1 };
instrumentSourceMock.Setup(x => x.AddInstrument(It.IsAny<Instrument>(), It.IsAny<bool>(), It.IsAny<bool>())).Returns(instrument);
Instrument result = _client.AddInstrument(instrument);
Thread.Sleep(50);
Assert.IsTrue(result != null);
instrumentSourceMock.Verify(x => x.AddInstrument(
It.Is<Instrument>(y =>
y.Symbol == "SPY" &&
y.Exchange != null &&
y.Exchange.Name == "NYSE" &&
y.Datasource != null &&
y.Datasource.Name == "Yahoo" &&
y.Type == InstrumentType.Stock &&
y.Currency == "USD" &&
y.Multiplier == 1),
It.Is<bool>(y => y == false),
It.Is<bool>(y => y == true)));
rtdServer.StopServer();
rtdServer.Dispose();
instrumentsServer.StopServer();
instrumentsServer.Dispose();
}
public void ArrivedHistoricalDataCorrectlyRaisesEvent()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new HistoricalDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", UnderlyingSymbol = "SPY", Exchange = exchange, Currency = "USD", Type = InstrumentType.Stock },
Frequency = QDMS.BarSize.OneDay,
StartingDate = new DateTime(2014, 1, 14),
EndingDate = new DateTime(2014, 1, 15),
RTHOnly = true
};
int requestID = -1;
_ibClientMock
.Setup(x => x.RequestHistoricalData(It.IsAny<int>(), It.IsAny<Contract>(), It.IsAny<DateTime>(), It.IsAny<string>(), It.IsAny<BarSize>(), It.IsAny<HistoricalDataType>(), It.IsAny<int>()))
.Callback<Int32, Contract, DateTime, String, BarSize, HistoricalDataType, Int32>((y, a, b, c, d, e, f) => requestID = y);
_ibDatasource.RequestHistoricalData(req);
bool received = false;
_ibDatasource.HistoricalDataArrived += (sender, e) => received = true;
_ibClientMock.Raise(x => x.HistoricalData += null,
new HistoricalDataEventArgs(
requestID,
new DateTime(2014, 1, 15),
1,
2,
3,
4,
5,
5,
3,
false,
1,
1));
Assert.IsTrue(received);
}
public void ArrivedRealTimeDataCorrentlyRaisesEvent()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new RealTimeDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", UnderlyingSymbol = "SPY", Exchange = exchange, Currency = "USD", Type = InstrumentType.Stock },
Frequency = QDMS.BarSize.FiveSeconds,
RTHOnly = true
};
int requestID = -1;
_ibClientMock
.Setup(x => x.RequestRealTimeBars(It.IsAny<int>(), It.IsAny<Contract>(), It.IsAny<int>(), It.IsAny<RealTimeBarType>(), It.IsAny<bool>()))
.Callback<int, Contract, Int32, RealTimeBarType, Boolean>((y, a, b, c, d) => requestID = y);
_ibDatasource.RequestRealTimeData(req);
bool received = false;
_ibDatasource.DataReceived += (sender, e) => received = true;
_ibClientMock.Raise(x => x.RealTimeBar += null, new RealTimeBarEventArgs(requestID, 10000000, 1, 2, 3, 4, 5, 3, 5));
Assert.IsTrue(received);
}
public void WhenDataSourceSymbolIsSetThatIsTheValueSentInTheRealTimeRequest()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new RealTimeDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", DatasourceSymbol = "TestMe!", UnderlyingSymbol = "SPY", Exchange = exchange, Currency = "USD", Type = InstrumentType.Stock },
Frequency = QDMS.BarSize.FiveSeconds,
RTHOnly = true
};
_ibDatasource.RequestRealTimeData(req);
_ibClientMock.Verify(x => x.RequestRealTimeBars(
It.IsAny<int>(),
It.Is<Contract>(y => y.Symbol == "TestMe!"),
It.IsAny<int>(),
It.IsAny<RealTimeBarType>(),
It.IsAny<bool>()));
}
public void WhenDataSourceSymbolIsSetThatIsTheValueSentInTheHistoricalRequest()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new HistoricalDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", UnderlyingSymbol = "SPY", DatasourceSymbol = "TestMe!", Exchange = exchange, Currency = "USD", Type = InstrumentType.Stock },
Frequency = QDMS.BarSize.OneDay,
StartingDate = new DateTime(2014, 1, 14),
EndingDate = new DateTime(2014, 1, 15),
RTHOnly = true
};
_ibDatasource.RequestHistoricalData(req);
_ibClientMock.Verify(x => x.RequestHistoricalData(
It.IsAny<int>(),
It.Is<Contract>(y => y.Symbol == "TestMe!"),
It.IsAny<DateTime>(),
It.IsAny<string>(),
It.IsAny<BarSize>(),
It.IsAny<HistoricalDataType>(),
It.IsAny<int>()));
}
public void RealTimeRequestsAreCorrectlyForwardedToTheIBClient()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new RealTimeDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", UnderlyingSymbol = "SPY", Exchange = exchange, Currency = "USD", Type = InstrumentType.Stock },
Frequency = QDMS.BarSize.FiveSeconds,
RTHOnly = true
};
_ibDatasource.RequestRealTimeData(req);
_ibClientMock.Verify(x => x.RequestRealTimeBars(
It.IsAny<int>(),
It.Is<Contract>(y => y.Symbol == "SPY" && y.Exchange == "Ex" && y.SecurityType == SecurityType.Stock),
It.Is<int>(y => y == (int)Krs.Ats.IBNet.BarSize.FiveSeconds),
It.Is<RealTimeBarType>(y => y == RealTimeBarType.Trades),
It.Is<bool>(y => y == true)));
}
public void HistoricalRequestsAreCorrectlyForwardedToTheIBClient()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new HistoricalDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", Exchange = exchange },
Frequency = QDMS.BarSize.OneDay,
StartingDate = new DateTime(2014, 1, 14),
EndingDate = new DateTime(2014, 1, 15),
RTHOnly = true
};
_ibDatasource.RequestHistoricalData(req);
_ibClientMock.Verify(
x => x.RequestHistoricalData(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<DateTime>(),
It.Is<string>(y => y == "1 D"),
It.Is<Krs.Ats.IBNet.BarSize>(y => y == Krs.Ats.IBNet.BarSize.OneDay),
It.Is<HistoricalDataType>(y => y == HistoricalDataType.Trades),
It.Is<int>(y => y == 1))
, Times.Once);
}
public void HistoricalRequestsAreReSentAfterARealTimeDataPacingViolation()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new HistoricalDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", Exchange = exchange },
Frequency = QDMS.BarSize.OneDay,
StartingDate = new DateTime(2014, 1, 14),
EndingDate = new DateTime(2014, 1, 15),
RTHOnly = true
};
int requestID = 0;
_ibClientMock
.Setup(x => x.RequestHistoricalData(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<DateTime>(),
It.IsAny<string>(),
It.IsAny<Krs.Ats.IBNet.BarSize>(),
It.IsAny<HistoricalDataType>(),
It.IsAny<int>()))
.Callback<Int32, Contract, DateTime, String, BarSize, HistoricalDataType, Int32>((y, a, b, c, d, e, f) => requestID = y);
_ibDatasource.RequestHistoricalData(req);
_ibClientMock.Raise(x => x.Error += null, new ErrorEventArgs(requestID, (ErrorMessage) 162, ""));
Thread.Sleep(25000);
_ibClientMock.Verify(x => x.RequestHistoricalData(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<DateTime>(),
It.IsAny<string>(),
It.IsAny<Krs.Ats.IBNet.BarSize>(),
It.IsAny<HistoricalDataType>(),
It.IsAny<int>()),
Times.Exactly(2));
}
public void RealTimeRequestsAreReSentAfterARealTimeDataPacingViolation()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new RealTimeDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", Exchange = exchange },
Frequency = QDMS.BarSize.FiveSeconds,
RTHOnly = true
};
int requestID = 0;
_ibClientMock
.Setup(x => x.RequestRealTimeBars(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<int>(),
It.IsAny<RealTimeBarType>(),
It.IsAny<bool>()))
.Callback<int, Contract, int, RealTimeBarType, bool>((y, a, b, c, d) => requestID = y);
_ibDatasource.RequestRealTimeData(req);
_ibClientMock.Raise(x => x.Error += null, new ErrorEventArgs(requestID, (ErrorMessage)420, ""));
Thread.Sleep(25000);
_ibClientMock.Verify(x => x.RequestRealTimeBars(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<int>(),
It.IsAny<RealTimeBarType>(),
It.IsAny<bool>()),
Times.Exactly(2));
}
public void HistoricalRequestsWithSubRequestDataPacingViolationResendWorksCorrectly()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new HistoricalDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", Exchange = exchange },
Frequency = QDMS.BarSize.OneMinute,
StartingDate = new DateTime(2014, 1, 13),
EndingDate = new DateTime(2014, 1, 15),
RTHOnly = true,
RequestID = 123
};
List<int> requestIds = new List<int>();
_ibClientMock
.Setup(x => x.RequestHistoricalData(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<DateTime>(),
It.IsAny<string>(),
It.IsAny<Krs.Ats.IBNet.BarSize>(),
It.IsAny<HistoricalDataType>(),
It.IsAny<int>(),
It.IsAny<List<TagValue>>()))
.Callback<Int32, Contract, DateTime, String, BarSize, HistoricalDataType, Int32, List<TagValue>>(
(y, a, b, c, d, e, f, g) => requestIds.Add(y));
int histDataArrivalCounter = 0;
int errorReqId = -1;
List<OHLCBar> data = null;
_ibDatasource.Error += (e, s) => errorReqId = s.RequestID.Value;
_ibDatasource.HistoricalDataArrived += (e, s) =>
{
data = s.Data;
histDataArrivalCounter++;
};
_ibDatasource.RequestHistoricalData(req);
_ibClientMock.Raise(x => x.Error += null, new ErrorEventArgs(requestIds[0], (ErrorMessage)162, "Historical Market Data Service error message:Historical data request pacing violation"));
Thread.Sleep(25000);
//So at this point the sub-request has been given a data pacing violation, and the DS should have tried to re-send it
Assert.AreEqual(3, requestIds.Count);
//return the data
_ibClientMock.Raise(x => x.HistoricalData += null, new HistoricalDataEventArgs(requestIds[1], new DateTime(2014, 1, 14, 1, 0, 0), 1, 2, 0, 1, 0, 0, 0, false, 1, 1));
_ibClientMock.Raise(x => x.HistoricalData += null, new HistoricalDataEventArgs(requestIds[2], new DateTime(2014, 1, 14, 2, 0, 0), 1, 2, 0, 1, 0, 0, 0, false, 1, 1));
//and make sure it's sent up in the HistoricalDataArrived event properly
Assert.AreEqual(1, histDataArrivalCounter);
Assert.AreEqual(2, data.Count);
}
public void HistoricalRequestsWithSubRequestReceivesErrorNoMarketPermissions()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new HistoricalDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", Exchange = exchange },
Frequency = QDMS.BarSize.OneMinute,
StartingDate = new DateTime(2014, 1, 13),
EndingDate = new DateTime(2014, 1, 15),
RTHOnly = true,
RequestID = 123
};
List<int> requestIds = new List<int>();
_ibClientMock
.Setup(x => x.RequestHistoricalData(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<DateTime>(),
It.IsAny<string>(),
It.IsAny<Krs.Ats.IBNet.BarSize>(),
It.IsAny<HistoricalDataType>(),
It.IsAny<int>(),
It.IsAny<List<TagValue>>()))
.Callback<Int32, Contract, DateTime, String, BarSize, HistoricalDataType, Int32, List<TagValue>>(
(y, a, b, c, d, e, f, g) => requestIds.Add(y));
int histDataArrivalCounter = 0;
int errorReqId = -1;
_ibDatasource.Error += (e, s) => errorReqId = s.RequestID.Value;
_ibDatasource.HistoricalDataArrived += (e, s) => histDataArrivalCounter++;
_ibDatasource.RequestHistoricalData(req);
_ibClientMock.Raise(x => x.Error += null, new ErrorEventArgs(requestIds[0], (ErrorMessage)162, "Historical Market Data Service error message:No market data permissions"));
//At this point only one of the subrequests has been given an error, so we get no reply yet
Assert.AreEqual(0, histDataArrivalCounter);
_ibClientMock.Raise(x => x.Error += null, new ErrorEventArgs(requestIds[1], (ErrorMessage)162, "Historical Market Data Service error message:No market data permissions"));
//Now both subrequests have been given an error, we expect to get an empty data set in return
Assert.AreEqual(1, histDataArrivalCounter);
//The error gives the id of the parent request, not any of the subrequests
Assert.AreEqual(123, errorReqId);
}
public void HistoricalRequestsOneRequestReceivesErrorNoData()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new HistoricalDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", Exchange = exchange },
Frequency = QDMS.BarSize.OneDay,
StartingDate = new DateTime(2014, 1, 13),
EndingDate = new DateTime(2014, 1, 15),
RTHOnly = true
};
int requestID = 0;
_ibClientMock
.Setup(x => x.RequestHistoricalData(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<DateTime>(),
It.IsAny<string>(),
It.IsAny<Krs.Ats.IBNet.BarSize>(),
It.IsAny<HistoricalDataType>(),
It.IsAny<int>(),
It.IsAny<List<TagValue>>()))
.Callback<Int32, Contract, DateTime, String, BarSize, HistoricalDataType, Int32, List<TagValue>>((y, a, b, c, d, e, f, g) => requestID = y);
_ibDatasource.RequestHistoricalData(req);
_ibClientMock.Raise(x => x.Error += null, new ErrorEventArgs(requestID, (ErrorMessage)162, "Historical Market Data Service error message:HMDS query returned no data"));
_ibClientMock.Verify(x => x.RequestHistoricalData(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<DateTime>(),
It.IsAny<string>(),
It.IsAny<Krs.Ats.IBNet.BarSize>(),
It.IsAny<HistoricalDataType>(),
It.IsAny<int>(),
It.IsAny<List<TagValue>>()),
Times.Exactly(1));
}