private IntradayPrices BuildIntraday(EquityInstrumentIntraDayTimeBar tick, decimal newBuy, string currency)
{
if (tick.DailySummaryTimeBar.IntradayPrices?.High == null ||
tick.DailySummaryTimeBar.IntradayPrices?.Low == null)
{
return(new IntradayPrices(
new Money(newBuy, currency),
new Money(newBuy, currency),
new Money(newBuy, currency),
new Money(newBuy, currency)));
}
var adjustedHigh = tick.DailySummaryTimeBar.IntradayPrices.High.Value.Value < newBuy
? new Money(newBuy, tick.DailySummaryTimeBar.IntradayPrices.High.Value.Currency)
: tick.DailySummaryTimeBar.IntradayPrices.High.Value;
var adjustedLow = tick.DailySummaryTimeBar.IntradayPrices.Low.Value.Value < newBuy
? new Money(newBuy, tick.DailySummaryTimeBar.IntradayPrices.High.Value.Currency)
: tick.DailySummaryTimeBar.IntradayPrices.Low.Value;
var newIntraday = new IntradayPrices(
tick.DailySummaryTimeBar.IntradayPrices.Open,
tick.DailySummaryTimeBar.IntradayPrices.Close,
adjustedHigh,
adjustedLow);
return(newIntraday);
}
public void Ctor_AssignsVariables_Correctly()
{
var open = new Money(100, "gbp");
var close = new Money(99, "USD");
var high = new Money(10, "GBP");
var low = new Money(9, "GBP");
var intradayPrices = new IntradayPrices(open, close, high, low);
Assert.AreEqual(open, intradayPrices.Open);
Assert.AreEqual(close, intradayPrices.Close);
Assert.AreEqual(high, intradayPrices.High);
Assert.AreEqual(low, intradayPrices.Low);
}
public void Ctor_AssignsVariables_Correctly()
{
var fi = new FinancialInstrument();
var prices = new IntradayPrices(null, null, null, null);
var dates = DateTime.UtcNow;
var dailyTb = new DailySummaryTimeBar(100, "USD", prices, 123, new Volume(123), dates);
var market = new Market("1", "XLON", "London Stock Exchange", MarketTypes.DealerBooks);
var equityTimeBar = new EquityInstrumentInterDayTimeBar(fi, dailyTb, dates, market);
Assert.AreEqual(fi, equityTimeBar.Security);
Assert.AreEqual(dailyTb, equityTimeBar.DailySummaryTimeBar);
Assert.AreEqual(dates, equityTimeBar.TimeStamp);
Assert.AreEqual(market, equityTimeBar.Market);
}
private IUniverseEvent MapRowToInterdayMarketDataEvent(InterdayMarketDataParameters marketDataParam)
{
if (marketDataParam == null)
{
return(null);
}
if (string.IsNullOrWhiteSpace(marketDataParam.SecurityName) ||
!this._securitySelection.Securities.ContainsKey(marketDataParam.SecurityName))
{
this._scenarioContext.Pending();
return(null);
}
var security = this._securitySelection.Securities[marketDataParam.SecurityName];
var open = this.MapToMoney(marketDataParam.Open, marketDataParam.Currency);
var close = this.MapToMoney(marketDataParam.Close, marketDataParam.Currency);
var high = this.MapToMoney(marketDataParam.High, marketDataParam.Currency);
var low = this.MapToMoney(marketDataParam.Low, marketDataParam.Currency);
var intradayPrices = new IntradayPrices(open, close, high, low);
var dailySummary = new DailySummaryTimeBar(
marketDataParam.MarketCap,
marketDataParam.Currency,
intradayPrices,
marketDataParam.ListedSecurities,
new Volume(marketDataParam.DailyVolume.GetValueOrDefault(0)),
marketDataParam.Epoch);
var marketData = new EquityInstrumentInterDayTimeBar(
security.Instrument,
dailySummary,
marketDataParam.Epoch,
security.Market);
var timeBarCollection = new EquityInterDayTimeBarCollection(
security.Market,
marketDataParam.Epoch,
new[] { marketData });
var universeEvent = new UniverseEvent(
UniverseStateEvent.EquityInterDayTick,
marketDataParam.Epoch,
timeBarCollection);
return(universeEvent);
}
private IntradayPrices BuildIntradayPrices(
FinancialInstrumentTimeBarCsv csv,
decimal open,
decimal close,
decimal high,
decimal low)
{
var openPrice = open != 0 ? new Money(open, csv.Currency) : (Money?)null;
var closePrice = close != 0 ? new Money(close, csv.Currency) : (Money?)null;
var highPrice = high != 0 ? new Money(high, csv.Currency) : (Money?)null;
var lowPrice = low != 0 ? new Money(low, csv.Currency) : (Money?)null;
var intradayPrices = new IntradayPrices(openPrice, closePrice, highPrice, lowPrice);
return(intradayPrices);
}
