public async void StoreInstrumentCandles_WithExistingData()
{
// Arrange
var instrument = InstrumentName.EUR_USD;
var granularity = Granularity.H1;
var candles = new List <Candle>()
{
new Candle()
{
Time = DateTime.UtcNow.AddDays(-3).AddHours(1),
Volume = 1234,
Bid = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
Mid = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
Ask = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
}
};
var instrumentWithCandles = new InstrumentWithCandles()
{
InstrumentName = instrument,
Granularity = granularity,
Candles = candles
};
var blobClientMock = new Mock <BlobClient>();
blobClientMock.Setup(bc => bc.UploadAsync(It.IsAny <Stream>(), true, It.IsAny <CancellationToken>()));
blobClientMock.Setup(bc => bc.DownloadToAsync(It.IsAny <Stream>())).Callback <Stream>(candleStream => WriteSerializedCandlesToStream(candleStream)); // There is already existing data for the month
var blobContainerClientMock = new Mock <BlobContainerClient>();
blobContainerClientMock.Setup(bcc => bcc.CreateIfNotExistsAsync(It.IsAny <PublicAccessType>(), null, null, It.IsAny <CancellationToken>()));
blobContainerClientMock.Setup(bcc => bcc.GetBlobClient(It.IsAny <string>())).Returns(blobClientMock.Object);
_storageClientMock.Setup(sc => sc.GetBlobContainerClient(It.IsAny <string>())).Returns(blobContainerClientMock.Object);
// Act
await _instrumentStorageService.StoreInstrumentCandles(instrumentWithCandles);
// Assert
blobClientMock.Verify(bc => bc.UploadAsync(It.IsAny <Stream>(), true, It.IsAny <CancellationToken>()), Times.Exactly(1));
}
/// <summary>
/// Get instrument with it's candles for a specific timerange
/// with a specific granularity
/// </summary>
/// <param name="instrument">Name of the instrument</param>
/// <param name="granularity">Granularity of the instrument</param>
/// <param name="utcFrom">Time to get the candles from (taken as an UTC time)</param>
/// <param name="utcTo">Time to get the candles to (taken as an UTC time)</param>
/// <returns>The instrument object with it's candles</returns>
public async Task <InstrumentWithCandles> GetInstrumentCandles(InstrumentName instrument, Granularity granularity, DateTime utcFrom, DateTime utcTo)
{
// Collect all blob names needed
var blobNames = GetBlobPaths(instrument, granularity, utcFrom, utcTo);
// Get the container client
var containerClient = _storageService.GetBlobContainerClient(INSTRUMENT_CONTAINER);
// Create returning instrument object
var instrumentWithCandles = new InstrumentWithCandles()
{
InstrumentName = instrument,
Granularity = granularity,
Candles = new List <Candle>()
};
// Loop through the required blob files to get all candles data
foreach (string blob in blobNames)
{
// Get the blob client
var blobClient = containerClient.GetBlobClient(blob);
// Download blob to stream
using var stream = new MemoryStream();
await blobClient.DownloadToAsync(stream);
// Deserialize stream to object
stream.Position = 0;
var serializer = new JsonSerializer();
using var streamReader = new StreamReader(stream);
using var jsonTextReader = new JsonTextReader(streamReader);
var candles = serializer.Deserialize <IEnumerable <Candle> >(jsonTextReader);
// Add it to the instrument
// Since it is abstract ICollection
// Do a loop
foreach (var candle in candles)
{
instrumentWithCandles.Candles.Add(candle);
}
}
// Order candles by time (better safe then sorry)
instrumentWithCandles.Candles.OrderBy(candle => candle.Time);
// Return instrument with it's candles
return(instrumentWithCandles);
}
/// <summary>
/// Store candles
/// </summary>
/// <param name="instrument">The instrument object to store candles for</param>
/// <returns></returns>
public async Task StoreInstrumentCandles(InstrumentWithCandles instrument)
{
// Get or create container
var containerClient = _storageService.GetBlobContainerClient(INSTRUMENT_CONTAINER);
await containerClient.CreateIfNotExistsAsync();
// Explode instrument to monthly candles list
var candlesMonthly = instrument.Candles.ToLookup(c => new { c.Time.ToUniversalTime().Year, c.Time.ToUniversalTime().Month });
// Base folder name
var instrumentGranularityFolder = GetInstrumentFolder(instrument.InstrumentName, instrument.Granularity);
// Upload that monthly data
foreach (var yearAndMonth in candlesMonthly)
{
// Candles to upload
var candlesToUpload = candlesMonthly[yearAndMonth.Key].ToList();
// Download monthly data if exists
try
{
var startTime = new DateTime(yearAndMonth.Key.Year, yearAndMonth.Key.Month, 1, 0, 0, 0, DateTimeKind.Utc);
var endTime = new DateTime(yearAndMonth.Key.Year, yearAndMonth.Key.Month, DateTime.DaysInMonth(yearAndMonth.Key.Year, yearAndMonth.Key.Month), 0, 0, 0, DateTimeKind.Utc);
var monthlyCandlesAlreadyThere = await GetInstrumentCandles(instrument.InstrumentName, instrument.Granularity, startTime, endTime);
candlesToUpload.AddRange(monthlyCandlesAlreadyThere.Candles);
}
catch
{
// Swallow blob not found exception
}
// Serialize object to memory stream
var serializedCandles = JsonConvert.SerializeObject(candlesToUpload);
using var stream = new MemoryStream(Encoding.UTF8.GetBytes(serializedCandles));
// Upload to blob
await containerClient.GetBlobClient($"{instrumentGranularityFolder}/{GetMonthlyFile(yearAndMonth.Key.Year, yearAndMonth.Key.Month)}").UploadAsync(stream, true);
}
}
public async void StoreInstrumentCandles_WithoutExistingData()
{
// Arrange
var instrument = InstrumentName.EUR_USD;
var granularity = Granularity.H1;
var candles = new List <Candle>()
{
new Candle()
{
Time = new DateTime(2015, 5, 12, 10, 00, 00, DateTimeKind.Utc),
Volume = 1234,
Bid = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
Mid = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
Ask = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
},
new Candle()
{
Time = new DateTime(2015, 6, 12, 10, 00, 00, DateTimeKind.Utc),
Volume = 1234,
Bid = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
Mid = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
Ask = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
}
};
var instrumentWithCandles = new InstrumentWithCandles()
{
InstrumentName = instrument,
Granularity = granularity,
Candles = candles
};
var blobClientMock = new Mock <BlobClient>();
blobClientMock.Setup(bc => bc.UploadAsync(It.IsAny <Stream>(), true, It.IsAny <CancellationToken>()));
blobClientMock.Setup(bc => bc.DownloadToAsync(It.IsAny <Stream>())).Throws(new Exception()); // No already existing data found for the given months
var blobContainerClientMock = new Mock <BlobContainerClient>();
blobContainerClientMock.Setup(bcc => bcc.CreateIfNotExistsAsync(It.IsAny <PublicAccessType>(), null, null, It.IsAny <CancellationToken>()));
blobContainerClientMock.Setup(bcc => bcc.GetBlobClient(It.IsAny <string>())).Returns(blobClientMock.Object);
_storageClientMock.Setup(sc => sc.GetBlobContainerClient(It.IsAny <string>())).Returns(blobContainerClientMock.Object);
// Act
await _instrumentStorageService.StoreInstrumentCandles(instrumentWithCandles);
// Assert
blobClientMock.Verify(bc => bc.DownloadToAsync(It.IsAny <Stream>()), Times.Exactly(2));
blobClientMock.Verify(bc => bc.UploadAsync(It.IsAny <Stream>(), true, It.IsAny <CancellationToken>()), Times.Exactly(2));
}
public async void GetInstrumentCandles()
{
// Arrange
var instrument = InstrumentName.EUR_USD;
var granularity = Granularity.H1;
var from = DateTime.UtcNow.AddDays(-5);
var to = DateTime.UtcNow.AddDays(-5).AddHours(1);
var mockCandles = new InstrumentWithCandles()
{
InstrumentName = instrument,
Granularity = granularity,
Candles = new List <Candle>()
{
new Candle()
{
Time = DateTime.UtcNow.AddDays(-5),
Volume = 1234,
Bid = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
Mid = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
Ask = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
},
new Candle()
{
Time = DateTime.UtcNow.AddDays(1),
Volume = 1234,
Bid = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
Mid = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
Ask = new Candlestick()
{
Open = 1.1234,
High = 1.1234,
Low = 1.1234,
Close = 1.1234
},
}
}
};
_instrumentStorageServiceMock.Setup(iss => iss.GetInstrumentCandles(instrument, granularity, from, to)).Returns(Task.FromResult(mockCandles));
// Act
var instrumentWithCandles = await _instrumentCandlesController.GetInstrumentCandles(instrument, granularity, from, to);
// Assert
_instrumentStorageServiceMock.Verify(iss => iss.GetInstrumentCandles(instrument, granularity, from, to), Times.Once());
Assert.Equal(mockCandles, instrumentWithCandles);
}
