public void NextTickTime_CreatesTimes(Resolution resolution, DataDensity density)
{
var count = 100;
var deltaSum = TimeSpan.Zero;
var previous = new DateTime(2019, 01, 14, 9, 30, 0);
var increment = resolution.ToTimeSpan();
if (increment == TimeSpan.Zero)
{
increment = TimeSpan.FromMilliseconds(500);
}
var marketHours = MarketHoursDatabase.FromDataFolder()
.GetExchangeHours(_symbol.ID.Market, _symbol, _symbol.SecurityType);
for (int i = 0; i < count; i++)
{
var next = _tickGenerator.NextTickTime(previous, resolution, density);
var barStart = next.Subtract(increment);
Assert.Less(previous, next);
Assert.IsTrue(marketHours.IsOpen(barStart, next, false));
var delta = next - previous;
deltaSum += delta;
previous = next;
}
var avgDelta = TimeSpan.FromTicks(deltaSum.Ticks / count);
switch (density)
{
case DataDensity.Dense:
// more frequent than once an increment
Assert.Less(avgDelta, increment);
break;
case DataDensity.Sparse:
// less frequent that once an increment
Assert.Greater(avgDelta, increment);
break;
case DataDensity.VerySparse:
// less frequent than one every 10 increments
Assert.Greater(avgDelta, TimeSpan.FromTicks(increment.Ticks * 10));
break;
default:
throw new ArgumentOutOfRangeException(nameof(density), density, null);
}
}
public virtual DateTime NextTickTime(Symbol symbol, DateTime previous, Resolution resolution, DataDensity density)
{
var increment = resolution.ToTimeSpan();
if (increment == TimeSpan.Zero)
{
increment = TimeSpan.FromMilliseconds(500);
}
double steps;
switch (density)
{
case DataDensity.Dense:
steps = 0.5 * _random.NextDouble();
break;
case DataDensity.Sparse:
steps = 5 * _random.NextDouble();
break;
case DataDensity.VerySparse:
steps = 50 * _random.NextDouble();
break;
default:
throw new ArgumentOutOfRangeException(nameof(density), density, null);
}
var delta = TimeSpan.FromTicks((long) (steps * increment.Ticks));
var tickTime = previous.Add(delta);
if (tickTime == previous)
{
tickTime = tickTime.Add(increment);
}
var barStart = tickTime.Subtract(increment);
var marketHours = _marketHoursDatabase.GetExchangeHours(symbol.ID.Market, symbol, symbol.SecurityType);
if (!marketHours.IsDateOpen(tickTime) || !marketHours.IsOpen(barStart, tickTime, false))
{
// we ended up outside of market hours, emit a new tick at market open
var nextMarketOpen = marketHours.GetNextMarketOpen(tickTime, false);
if (resolution == Resolution.Tick)
{
resolution = Resolution.Second;
}
// emit a new tick somewhere in the next trading day at a step higher resolution to guarantee a hit
return NextTickTime(symbol, nextMarketOpen, resolution - 1, density);
}
return tickTime;
}
