public void FillsForwardFromPreMarketMinuteToSecond()
{
var dataResolution = Time.OneMinute;
var reference = new DateTime(2011, 4, 26, 8, 39, 0);
var data = new[]
{
new TradeBar
{
Time = reference,
Value = 1,
Period = dataResolution,
Volume = 100
},
new TradeBar
{
Time = reference.Date.Add(new TimeSpan(9, 30, 0)),
Value = 2,
Period = dataResolution,
Volume = 200
}
}.ToList();
var enumerator = data.GetEnumerator();
var exchange = new EquityExchange();
const bool isExtendedMarketHours = false;
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromSeconds(1)), isExtendedMarketHours, data.Last().EndTime, dataResolution, exchange.TimeZone, data.First().EndTime);
// 8:40:00
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(1), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(1, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(100, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 9:30:01 to 9:30:59 (ff)
for (var i = 1; i < 60; i++)
{
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.Date.Add(new TimeSpan(9, 30, i)), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(1, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
}
// 9:31:00
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.Date.Add(new TimeSpan(9, 31, 0)), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(2, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(200, ((TradeBar)fillForwardEnumerator.Current).Volume);
Assert.IsFalse(fillForwardEnumerator.MoveNext());
fillForwardEnumerator.Dispose();
}
public void FillsForwardToNextDay()
{
var dataResolution = Time.OneHour;
var reference = new DateTime(2015, 6, 25, 14, 0, 0);
var end = reference.Date.AddDays(1).AddHours(10);
var data = new []
{
new TradeBar
{
Time = reference,
Value = 0,
Period = dataResolution,
Volume = 100
},
new TradeBar
{
Time = end - dataResolution,
Value = 1,
Period = dataResolution,
Volume = 200
}
}.ToList();
var enumerator = data.GetEnumerator();
var exchange = new EquityExchange();
bool isExtendedMarketHours = false;
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromHours(1)), isExtendedMarketHours, end, dataResolution, exchange.TimeZone, data.First().EndTime);
// 3:00
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddHours(1), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(100, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 4:00 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddHours(2), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 10:00
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(end, fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(1, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(200, ((TradeBar)fillForwardEnumerator.Current).Volume);
Assert.IsFalse(fillForwardEnumerator.MoveNext());
fillForwardEnumerator.Dispose();
}
public void OandaFillsForwardDailyForexOnWeekends()
{
var dailyBarsEmitted = 0;
var fillForwardBars = new List <BaseData>();
// 3 QuoteBars as they would be read from the EURUSD oanda daily file by QuoteBar.Reader()
// The conversion from dataTimeZone to exchangeTimeZone has been done by hand
// dataTimeZone == UTC
/*
* 20120719 00:00,1.22769,1.2324,1.22286,1.22759,0,1.22781,1.23253,1.22298,1.22771,0
* 20120720 00:00,1.22757,1.22823,1.21435,1.21542,0,1.22769,1.22835,1.21449,1.21592,0
* 20120722 00:00,1.21542,1.21542,1.21037,1.21271,0,1.21592,1.21592,1.21087,1.21283,0
* 20120723 00:00,1.21273,1.21444,1.20669,1.21238,0,1.21285,1.21454,1.20685,1.21249,0
*/
var data = new BaseData[]
{
// fri 7/20
new QuoteBar {
Value = 0, Time = new DateTime(2012, 7, 19, 20, 0, 0), Period = Time.OneDay
},
// sunday 7/22
new QuoteBar {
Value = 1, Time = new DateTime(2012, 7, 21, 20, 0, 0), Period = Time.OneDay
},
// monday 7/23
new QuoteBar {
Value = 2, Time = new DateTime(2012, 7, 22, 20, 0, 0), Period = Time.OneDay
},
}.ToList();
var enumerator = data.GetEnumerator();
var market = Market.Oanda;
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, market);
var marketHours = MarketHoursDatabase.FromDataFolder();
var exchange = new ForexExchange(marketHours.GetExchangeHours(market, symbol, SecurityType.Forex));
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromDays(1)), false, data.Last().EndTime, Time.OneDay, TimeZones.Utc, data.First().EndTime);
while (fillForwardEnumerator.MoveNext())
{
fillForwardBars.Add(fillForwardEnumerator.Current);
Console.WriteLine(fillForwardEnumerator.Current.Time.DayOfWeek + " " + fillForwardEnumerator.Current.Time + " - " + fillForwardEnumerator.Current.EndTime.DayOfWeek + " " + fillForwardEnumerator.Current.EndTime);
dailyBarsEmitted++;
}
Assert.AreEqual(3, dailyBarsEmitted);
Assert.AreEqual(new DateTime(2012, 7, 19, 20, 0, 0), fillForwardBars[0].Time);
Assert.AreEqual(new DateTime(2012, 7, 21, 20, 0, 0), fillForwardBars[1].Time);
Assert.AreEqual(new DateTime(2012, 7, 22, 20, 0, 0), fillForwardBars[2].Time);
fillForwardEnumerator.Dispose();
}
public void FillForwardHoursAtEndOfDayByHalfHour()
{
var dataResolution = Time.OneHour;
var reference = new DateTime(2015, 6, 25, 14, 0, 0);
var data = new BaseData[]
{
// thurs 6/25
new TradeBar {
Value = 0, Time = reference, Period = dataResolution, Volume = 100
},
// fri 6/26
new TradeBar {
Value = 1, Time = reference.Date.AddDays(1), Period = dataResolution, Volume = 200
},
}.ToList();
var enumerator = data.GetEnumerator();
var exchange = new EquityExchange();
bool isExtendedMarketHours = false;
var ffResolution = TimeSpan.FromMinutes(30);
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(ffResolution), isExtendedMarketHours, data.Last().EndTime, dataResolution, exchange.TimeZone, data.First().EndTime);
// 3:00
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddHours(1), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(100, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 3:30
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddHours(1.5), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 4:00
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddHours(2), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 12:00am
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(data.Last().EndTime, fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(1, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(200, ((TradeBar)fillForwardEnumerator.Current).Volume);
Assert.IsFalse(fillForwardEnumerator.MoveNext());
fillForwardEnumerator.Dispose();
}
public void FillsForwardEndOfSubscription()
{
var dataResolution = Time.OneMinute;
var reference = new DateTime(2015, 6, 25, 15, 57, 0);
var data = new[]
{
new TradeBar
{
Time = reference,
Value = 0,
Period = dataResolution,
Volume = 100
}
}.ToList();
var enumerator = data.GetEnumerator();
var exchange = new EquityExchange();
var isExtendedMarketHours = false;
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromMinutes(1)), isExtendedMarketHours, reference.AddMinutes(3), dataResolution, exchange.TimeZone, data.First().EndTime);
// 3:58
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(1), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(100, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 3:59 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(2), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 4:00 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(3), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
Assert.IsFalse(fillForwardEnumerator.MoveNext());
fillForwardEnumerator.Dispose();
}
public void HandlesDaylightSavingTimeChange()
{
var dailyBarsEmitted = 0;
var fillForwardBars = new List <BaseData>();
// 3 QuoteBars as they would be read from the EURUSD oanda daily file by QuoteBar.Reader()
// The conversion from dataTimeZone to exchangeTimeZone has been done by hand
// dataTimeZone == UTC
/*
* 20180311 00:00,1.2308,1.2308,1.2308,1.2308,0,1.23096,1.23096,1.23096,1.23096,0
* 20180312 00:00,1.23082,1.23449,1.22898,1.23382,0,1.23097,1.23463,1.22911,1.23396,0
*/
var data = new BaseData[]
{
// Sunday 3/11
new QuoteBar {
Value = 0, Time = new DateTime(2018, 3, 10, 19, 0, 0), Period = Time.OneDay
},
// Monday 3/12
new QuoteBar {
Value = 1, Time = new DateTime(2018, 3, 11, 20, 0, 0), Period = Time.OneDay
},
}.ToList();
var enumerator = data.GetEnumerator();
var market = Market.Oanda;
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, market);
var marketHours = MarketHoursDatabase.FromDataFolder();
var exchange = new ForexExchange(marketHours.GetExchangeHours(market, symbol, SecurityType.Forex));
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromDays(1)), false, data.Last().EndTime, Time.OneDay, TimeZones.Utc, data.First().EndTime);
while (fillForwardEnumerator.MoveNext())
{
fillForwardBars.Add(fillForwardEnumerator.Current);
Console.WriteLine(fillForwardEnumerator.Current.Time.DayOfWeek + " " + fillForwardEnumerator.Current.Time + " - " + fillForwardEnumerator.Current.EndTime.DayOfWeek + " " + fillForwardEnumerator.Current.EndTime);
dailyBarsEmitted++;
}
Assert.AreEqual(2, dailyBarsEmitted);
Assert.AreEqual(new DateTime(2018, 3, 10, 19, 0, 0), fillForwardBars[0].Time);
Assert.AreEqual(new DateTime(2018, 3, 11, 20, 0, 0), fillForwardBars[1].Time);
fillForwardEnumerator.Dispose();
}
public void FillsForwardMissingDaysOnFillForwardResolutionOfAnHour()
{
var dataResolution = Time.OneDay;
var reference = new DateTime(2015, 6, 23);
var data = new BaseData[]
{
// tues 6/23
new TradeBar {
Value = 0, Time = reference, Period = dataResolution, Volume = 100
},
// wed 7/1
new TradeBar {
Value = 1, Time = reference.AddDays(8), Period = dataResolution, Volume = 200
},
}.ToList();
var enumerator = data.GetEnumerator();
var exchange = new EquityExchange();
bool isExtendedMarketHours = false;
var ffResolution = TimeSpan.FromHours(1);
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(ffResolution), isExtendedMarketHours, data.Last().EndTime, dataResolution, exchange.TimeZone, data.First().EndTime);
int dailyBars = 0;
int hourlyBars = 0;
while (fillForwardEnumerator.MoveNext())
{
Console.WriteLine(fillForwardEnumerator.Current.EndTime);
if (fillForwardEnumerator.Current.Time.TimeOfDay == TimeSpan.Zero)
{
dailyBars++;
}
else
{
hourlyBars++;
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
}
}
// we expect 7 daily bars here, beginning tues, wed, thurs, fri, mon, tues, wed
Assert.AreEqual(7, dailyBars);
// we expect 6 days worth of ff hourly bars at 7 bars a day
Assert.AreEqual(42, hourlyBars);
fillForwardEnumerator.Dispose();
}
public void FillsForwardMidDay()
{
var dataResolution = Time.OneMinute;
var reference = new DateTime(2015, 6, 25, 9, 30, 0);
var data = Enumerable.Range(0, 2).Select(x => new TradeBar
{
Time = reference.AddMinutes(x * 2),
Value = x,
Period = dataResolution,
Volume = (x + 1) * 100
}).ToList();
var enumerator = data.GetEnumerator();
var exchange = new EquityExchange();
var isExtendedMarketHours = false;
var fillForwardResolution = TimeSpan.FromMinutes(1);
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(fillForwardResolution), isExtendedMarketHours, data.Last().EndTime, dataResolution, exchange.TimeZone, data.First().EndTime);
// 9:31
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(1), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(100, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 9:32 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(2), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 9:33
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(3), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(1, fillForwardEnumerator.Current.Value);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(200, ((TradeBar)fillForwardEnumerator.Current).Volume);
Assert.IsFalse(fillForwardEnumerator.MoveNext());
fillForwardEnumerator.Dispose();
}
public void HandlesDaylightSavingTimeChange_InifinteLoop()
{
var dailyBarsEmitted = 0;
var fillForwardBars = new List <BaseData>();
var data = new BaseData[]
{
new QuoteBar {
Value = 0, Time = new DateTime(2019, 10, 4, 10, 0, 0), Period = Time.OneDay
},
new QuoteBar {
Value = 1, Time = new DateTime(2019, 10, 8, 11, 0, 0), Period = Time.OneDay
}
}.ToList();
var enumerator = data.GetEnumerator();
var algo = new AlgorithmStub();
var market = Market.Oanda;
var security = algo.AddCfd("AU200AUD", Resolution.Daily, market);
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, security.Exchange, Ref.Create(TimeSpan.FromDays(1)), false, data.Last().EndTime, Time.OneDay, TimeZones.Utc, data.First().EndTime);
while (fillForwardEnumerator.MoveNext())
{
fillForwardBars.Add(fillForwardEnumerator.Current);
Console.WriteLine(fillForwardEnumerator.Current.Time.DayOfWeek + " " + fillForwardEnumerator.Current.Time + " - " + fillForwardEnumerator.Current.EndTime.DayOfWeek + " " + fillForwardEnumerator.Current.EndTime + " " + fillForwardEnumerator.Current.IsFillForward);
dailyBarsEmitted++;
}
Assert.AreEqual(4, dailyBarsEmitted);
Assert.AreEqual(new DateTime(2019, 10, 4, 10, 0, 0), fillForwardBars[0].Time);
Assert.AreEqual(new DateTime(2019, 10, 6, 11, 0, 0), fillForwardBars[1].Time);
Assert.AreEqual(new DateTime(2019, 10, 7, 11, 0, 0), fillForwardBars[2].Time);
Assert.AreEqual(new DateTime(2019, 10, 8, 11, 0, 0), fillForwardBars[3].Time);
fillForwardEnumerator.Dispose();
}
public void FillsForwardDailyMissingDays()
{
var dataResolution = Time.OneDay;
var reference = new DateTime(2015, 6, 25);
var data = new BaseData[]
{
// thurs 6/25
new TradeBar {
Value = 0, Time = reference, Period = Time.OneDay, Volume = 100
},
// fri 6/26
new TradeBar {
Value = 1, Time = reference.AddDays(5), Period = Time.OneDay, Volume = 200
},
}.ToList();
var enumerator = data.GetEnumerator();
var exchange = new EquityExchange();
bool isExtendedMarketHours = false;
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromDays(1)), isExtendedMarketHours, data.Last().EndTime.AddDays(1), dataResolution, exchange.TimeZone, data.First().EndTime);
// 6/25
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(1), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.IsTrue(((TradeBar)fillForwardEnumerator.Current).Period == dataResolution);
Assert.AreEqual(100, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 6/26
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(2), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.IsTrue(((TradeBar)fillForwardEnumerator.Current).Period == dataResolution);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 6/29
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(5), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.IsTrue(((TradeBar)fillForwardEnumerator.Current).Period == dataResolution);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 6/30
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(6), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(1, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.IsTrue(((TradeBar)fillForwardEnumerator.Current).Period == dataResolution);
Assert.AreEqual(200, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 7/1
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(7), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(1, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.IsTrue(((TradeBar)fillForwardEnumerator.Current).Period == dataResolution);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
Assert.IsFalse(fillForwardEnumerator.MoveNext());
fillForwardEnumerator.Dispose();
}
public void FillsForwardDailyOnHoursInMarketHours()
{
var dataResolution = Time.OneDay;
var reference = new DateTime(2015, 6, 25);
var data = new BaseData[]
{
// thurs 6/25
new TradeBar {
Value = 0, Time = reference, Period = Time.OneDay, Volume = 100
},
// fri 6/26
new TradeBar {
Value = 1, Time = reference.AddDays(1), Period = Time.OneDay, Volume = 200
},
}.ToList();
var enumerator = data.GetEnumerator();
var exchange = new EquityExchange();
bool isExtendedMarketHours = false;
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromHours(1)), isExtendedMarketHours, data.Last().EndTime, dataResolution, exchange.TimeZone, data.First().EndTime);
// 12:00am
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(1), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(100, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 10:00 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(1).AddHours(10), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 11:00 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(1).AddHours(11), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 12:00pm (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(1).AddHours(12), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 1:00 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(1).AddHours(13), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 2:00 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(1).AddHours(14), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 3:00 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(1).AddHours(15), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 4:00 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(1).AddHours(16), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 12:00am
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddDays(2), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(1, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(200, ((TradeBar)fillForwardEnumerator.Current).Volume);
Assert.IsFalse(fillForwardEnumerator.MoveNext());
fillForwardEnumerator.Dispose();
}
public void SkipsAfterMarketData()
{
var dataResolution = Time.OneHour;
var reference = new DateTime(2015, 6, 25, 14, 0, 0);
var end = reference.Date.AddDays(1).AddHours(10);
var data = new BaseData[]
{
new TradeBar
{
Time = reference,
Value = 0,
Period = dataResolution,
Volume = 100
},
new TradeBar
{
Time = reference.AddHours(3),
Value = 1,
Period = dataResolution,
Volume = 200
},
new TradeBar
{
Time = reference.Date.AddDays(1).AddHours(10) - dataResolution,
Value = 2,
Period = dataResolution,
Volume = 300
}
}.ToList();
var enumerator = data.GetEnumerator();
var exchange = new EquityExchange();
bool isExtendedMarketHours = false;
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromHours(1)), isExtendedMarketHours, end, dataResolution, exchange.TimeZone, data.First().EndTime);
// 3:00
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddHours(1), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(100, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 4:00 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddHours(2), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 6:00 - this is raw data, the FF enumerator doesn't try to perform filtering per se, just filtering on when to FF
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddHours(4), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(1, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(200, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 10:00
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(end, fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(2, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(300, ((TradeBar)fillForwardEnumerator.Current).Volume);
Assert.IsFalse(fillForwardEnumerator.MoveNext());
fillForwardEnumerator.Dispose();
}
public void FillsForwardFromPreMarket()
{
var dataResolution = Time.OneMinute;
var reference = new DateTime(2015, 6, 25, 9, 28, 0);
var data = new []
{
new TradeBar
{
Time = reference,
Value = 0,
Period = dataResolution,
Volume = 100
},
new TradeBar
{
Time = reference.AddMinutes(4),
Value = 1,
Period = dataResolution,
Volume = 200
}
}.ToList();
var enumerator = data.GetEnumerator();
var exchange = new EquityExchange();
var isExtendedMarketHours = false;
var fillForwardEnumerator = new FillForwardEnumerator(enumerator, exchange, Ref.Create(TimeSpan.FromMinutes(1)), isExtendedMarketHours, data.Last().EndTime, dataResolution, exchange.TimeZone);
// 9:29
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(1), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(100, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 9:31 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(3), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 9:32 (ff)
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(4), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(0, fillForwardEnumerator.Current.Value);
Assert.IsTrue(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(0, ((TradeBar)fillForwardEnumerator.Current).Volume);
// 9:33
Assert.IsTrue(fillForwardEnumerator.MoveNext());
Assert.AreEqual(reference.AddMinutes(5), fillForwardEnumerator.Current.EndTime);
Assert.AreEqual(1, fillForwardEnumerator.Current.Value);
Assert.IsFalse(fillForwardEnumerator.Current.IsFillForward);
Assert.AreEqual(dataResolution, fillForwardEnumerator.Current.EndTime - fillForwardEnumerator.Current.Time);
Assert.AreEqual(200, ((TradeBar)fillForwardEnumerator.Current).Volume);
Assert.IsFalse(fillForwardEnumerator.MoveNext());
fillForwardEnumerator.Dispose();
}