public void LastPriceFxDataIsInvertedWhenNecessary()
{
var inst = new Instrument {
Symbol = "USD.CAD", ID = 1, AssetCategory = AssetClass.Cash
};
var startDate = new DateTime(2000, 1, 1);
var fxrSetStub = new DbSetStub <FXRate>();
fxrSetStub.Add(new FXRate {
FromCurrencyID = 2, ToCurrencyID = 1, Date = startDate, Rate = 1.1m
});
var currencySetStub = new DbSetStub <Currency>();
currencySetStub.Add(new Currency {
ID = 2, Name = "CAD"
});
_contextMock.Setup(x => x.Currencies).Returns(currencySetStub);
_contextMock.Setup(x => x.FXRates).Returns(fxrSetStub);
decimal fxRate;
var price = _datasourcer.GetLastPrice(inst, out fxRate);
Assert.AreEqual(1m / 1.1m, price);
}
public async void ExternalDataIsSupplementedWithLocalDataWhenObservationsAreMissing()
{
DateTime startDate = new DateTime(2000, 1, 1);
DateTime endDate = new DateTime(2000, 1, 3);
var inst = new Instrument {
ID = 1, Symbol = "SPY", AssetCategory = AssetClass.Stock, QDMSInstrumentID = 2
};
var data = new List <OHLCBar>
{
new OHLCBar {
Open = 1, High = 2, Low = 0, Close = 1, DT = new DateTime(2000, 1, 1)
},
new OHLCBar {
Open = 1, High = 2, Low = 0, Close = 1, DT = new DateTime(2000, 1, 2)
},
};
var ppSetStub = new DbSetStub <PriorPosition>();
_contextMock.Setup(x => x.PriorPositions).Returns(ppSetStub);
_externalSourceMock.Setup(
x => x.GetData(It.IsAny <Instrument>(),
It.IsAny <DateTime>(),
It.IsAny <DateTime>(),
It.IsAny <BarSize>()))
.ReturnsAsync(data);
await _datasourcer.GetData(inst, startDate, endDate).ConfigureAwait(true);
_contextMock.Verify(x => x.PriorPositions);
}
public async void FxDataIsInvertedWhenNecessary()
{
var inst = new Instrument {
Symbol = "USD.CAD", ID = 1, AssetCategory = AssetClass.Cash
};
var startDate = new DateTime(2000, 1, 1);
var endDate = new DateTime(2000, 1, 1);
var fxrSetStub = new DbSetStub <FXRate>();
fxrSetStub.Add(new FXRate {
FromCurrencyID = 2, ToCurrencyID = 1, Date = startDate, Rate = 1.1m
});
var currencySetStub = new DbSetStub <Currency>();
currencySetStub.Add(new Currency {
ID = 2, Name = "CAD"
});
_contextMock.Setup(x => x.Currencies).Returns(currencySetStub);
_contextMock.Setup(x => x.FXRates).Returns(fxrSetStub);
var data = await _datasourcer.GetData(inst, startDate, endDate).ConfigureAwait(true);
Assert.AreEqual(1m / 1.1m, data[0].Close);
}
public async void IfExternalSourceHasNoDataLocalBackupIsUsedInstead()
{
DateTime startDate = new DateTime(2000, 1, 1);
DateTime endDate = new DateTime(2000, 2, 1);
var inst = new Instrument {
ID = 1, Symbol = "SPY", AssetCategory = AssetClass.Stock, QDMSInstrumentID = 2
};
var ppSetStub = new DbSetStub <PriorPosition>();
_contextMock.Setup(x => x.PriorPositions).Returns(ppSetStub);
_externalSourceMock.Setup(
x => x.GetData(It.IsAny <Instrument>(),
It.IsAny <DateTime>(),
It.IsAny <DateTime>(),
It.IsAny <BarSize>()))
.ReturnsAsync(new List <OHLCBar>());
await _datasourcer.GetData(inst, startDate, endDate).ConfigureAwait(true);
_externalSourceMock.Verify(x => x.GetData(
It.IsAny <Instrument>(),
It.IsAny <DateTime>(),
It.IsAny <DateTime>(),
It.IsAny <BarSize>()));
_contextMock.Verify(x => x.PriorPositions);
}
public async void CashInstrumentLocalRequestsUseFxRates()
{
DateTime startDate = new DateTime(2000, 1, 1);
DateTime endDate = new DateTime(2000, 1, 3);
var inst = new Instrument {
ID = 1, Symbol = "EUR.USD", AssetCategory = AssetClass.Cash, QDMSInstrumentID = 2
};
var fxrSetStub = new DbSetStub <FXRate>();
var currencySetStub = new DbSetStub <Currency>();
currencySetStub.Add(new Currency {
ID = 2, Name = "EUR"
});
_contextMock.Setup(x => x.Currencies).Returns(currencySetStub);
_contextMock.Setup(x => x.FXRates).Returns(fxrSetStub);
_externalSourceMock.Setup(
x => x.GetData(It.IsAny <Instrument>(),
It.IsAny <DateTime>(),
It.IsAny <DateTime>(),
It.IsAny <BarSize>()))
.ReturnsAsync(new List <OHLCBar>());
await _datasourcer.GetData(inst, startDate, endDate).ConfigureAwait(true);
_contextMock.Verify(x => x.FXRates);
}
public void SetUp()
{
_inst = new Instrument {
ID = 1, Multiplier = 1, AssetCategory = AssetClass.Stock
};
_t = new Trade
{
Orders = new List <Order>(),
CashTransactions = new List <CashTransaction>(),
FXTransactions = new List <FXTransaction>()
};
_dsMock = new Mock <IDataSourcer>();
_dsMock.Setup(x => x.GetData(It.IsAny <Instrument>(), It.IsAny <DateTime>(), It.IsAny <DateTime>(), It.IsAny <QDMS.BarSize>()))
.Returns <Instrument, DateTime, DateTime, QDMS.BarSize>((a, b, c, d) => Task.FromResult(GenerateData(b, c)));
_contextMock = new Mock <IDBContext>();
_dbSetStub = new DbSetStub <EquitySummary>();
var equitySummaries = new List <EquitySummary>
{
new EquitySummary
{
Date = new DateTime(2000, 1, 1),
Total = 10000
}
};
_dbSetStub.AddRange(equitySummaries);
_contextMock.SetupGet(x => x.EquitySummaries).Returns(_dbSetStub);
_repository = new TradesRepository(_contextMock.Object, _dsMock.Object, 0.1m);
}
public async void DataIsCachedBetweenRequests()
{
DateTime startDate = new DateTime(2000, 1, 1);
DateTime endDate = new DateTime(2000, 1, 2);
var inst = new Instrument {
ID = 1, Symbol = "SPY", AssetCategory = AssetClass.Stock, QDMSInstrumentID = 2
};
var data = new List <OHLCBar>
{
new OHLCBar {
Open = 1, High = 2, Low = 0, Close = 1, DT = new DateTime(2000, 1, 1)
},
new OHLCBar {
Open = 1, High = 2, Low = 0, Close = 1, DT = new DateTime(2000, 1, 2)
},
};
var ppSetStub = new DbSetStub <PriorPosition>();
_contextMock.Setup(x => x.PriorPositions).Returns(ppSetStub);
_externalSourceMock.Setup(
x => x.GetData(It.IsAny <Instrument>(),
It.IsAny <DateTime>(),
It.IsAny <DateTime>(),
It.IsAny <BarSize>()))
.ReturnsAsync(data);
await _datasourcer.GetData(inst, startDate, endDate).ConfigureAwait(true);
//request a second time: should use cache instead of external source
await _datasourcer.GetData(inst, startDate, endDate).ConfigureAwait(true);
_externalSourceMock.Verify(x => x.GetData(
It.IsAny <Instrument>(),
It.IsAny <DateTime>(),
It.IsAny <DateTime>(),
It.IsAny <BarSize>()),
Times.Once);
}
