public void GenerateFutureTickerExpiringInPreviousMonth()
{
// CL Dec17 expires in Nov17
var result = SymbolRepresentation.GenerateFutureTicker("CL", new DateTime(2017, 11, 20));
Assert.AreEqual("CL20Z17", result);
}
[TestCase("ABC", 2017, 12, 20, "ABC20Z17", true)] // Generic contract (i.e. expires current month
public void GenerateFutureTickerExpiringInCurrentMonth(string underlying, int year, int month, int day, string ticker, bool doubleDigitsYear)
{
// CL Dec17 expires in Nov17
var result = SymbolRepresentation.GenerateFutureTicker(underlying, new DateTime(year, month, day), doubleDigitsYear);
Assert.AreEqual(ticker, result);
}
public void GenerateFuturesTickersBackAndForth()
{
const string expected = @"ED01Z16";
var result = SymbolRepresentation.ParseFutureTicker(expected);
var ticker = SymbolRepresentation.GenerateFutureTicker(result.Underlying, new DateTime(2000 + result.ExpirationYearShort, result.ExpirationMonth, result.ExpirationDay));
Assert.AreEqual(expected, ticker);
}
public void GenerateFuturesTickers()
{
const string ticker = @"ED";
var result = SymbolRepresentation.GenerateFutureTicker(ticker, new DateTime(2016, 12, 12));
// ticker contains two digits year of expiration
Assert.AreEqual(result, "ED12Z16");
// ticker contains one digit year of expiration
result = SymbolRepresentation.GenerateFutureTicker(ticker, new DateTime(2016, 12, 12), false);
Assert.AreEqual(result, "ED12Z6");
}
public void GenerateFutureTickerExpiringInNextMonth(string ticker, int year, int month, int day, string expectedValue, bool doubleDigitsYear)
{
var result = SymbolRepresentation.GenerateFutureTicker(ticker, new DateTime(year, month, day), doubleDigitsYear);
Assert.AreEqual(expectedValue, result);
}
