public void Handlers_Make_Fifteen_Minutes_Bars()
{
DateTime start = new DateTime(2013, 5, 15, 0, 0, 0);
DateTime end = new DateTime(2013, 5, 16, 11, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, end);
StrategyHeader s = new StrategyHeader(1, "Strategy 2", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings settings = new BarSettings(s, "RTS-12.12_FT", 900, 10);
MakeBarsOnTick updateBars = new MakeBarsOnTick(settings, tt, this.tradingData, new NullLogger());
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = "RTS-12.12_FT", DateTime = start, Open = 150000, High = 160000, Low = 140000, Close = 145000, Volume = 100
});
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = "RTS-12.12_FT", DateTime = end, Open = 150000, High = 160000, Low = 140000, Close = 145000, Volume = 100
});
Assert.AreEqual(2, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < settings.Interval * 4; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(6, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual("RTS-12.12_FT", this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Symbol);
Assert.AreEqual(end.AddHours(1), this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).DateTime);
Assert.AreEqual(152700, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Low);
Assert.AreEqual(153599, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).High);
Assert.AreEqual(152700, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Open);
Assert.AreEqual(153599, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Close);
Assert.AreEqual(90000, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Volume);
}
public void Handlers_Do_Nothing_If_Bar_With_Same_Date_Exists()
{
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
DateTime start = new DateTime(2013, 5, 15, 10, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, start);
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = barSettings.Symbol, DateTime = start.AddHours(1), Open = 100, High = 100, Low = 100, Close = 100, Volume = 100
});
MakeBarsOnTick updateBars = new MakeBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
IEnumerable <Tick> ticks = this.tradingData.Get <ObservableCollection <Tick> >().Where(t => t.DateTime >= start && t.DateTime < start.AddSeconds(3600));
Assert.AreEqual(3602, ticks.Count());
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().First();
Assert.AreEqual("RTS-12.12_FT", bar.Symbol);
Assert.AreEqual(start.AddHours(1), bar.DateTime);
Assert.AreEqual(100, bar.Low);
Assert.AreEqual(100, bar.High);
Assert.AreEqual(100, bar.Open);
Assert.AreEqual(100, bar.Close);
Assert.AreEqual(100, bar.Volume);
}
public void Handlers_Make_First_Bar_For_Hour()
{
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
DateTime start = new DateTime(2013, 5, 15, 10, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, start);
MakeBarsOnTick updateBars = new MakeBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().First();
Assert.AreEqual("RTS-12.12_FT", bar.Symbol);
Assert.AreEqual(start.AddHours(1), bar.DateTime);
Assert.AreEqual(149000, bar.Low);
Assert.AreEqual(154500, bar.High);
Assert.AreEqual(150000, bar.Open);
Assert.AreEqual(153599, bar.Close);
Assert.AreEqual(360200, bar.Volume);
}
public void Handlers_make_bar_for_one_strategy_test()
{
StrategyHeader strategyHeader = new StrategyHeader(2, "Strategy 2", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.tradingData.Get <ObservableHashSet <StrategyHeader> >().Add(strategyHeader);
BarSettings barSettings = new BarSettings(strategyHeader, strategyHeader.Symbol, 60, 0);
this.tradingData.Get <ObservableHashSet <BarSettings> >().Add(barSettings);
DateTime start = new DateTime(2013, 7, 10, 10, 0, 0, 0);
FakeTimeTracker ftt = new FakeTimeTracker(start, start);
MakeBarsOnTick handler = new MakeBarsOnTick(barSettings, ftt, this.tradingData, new NullLogger());
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, start.AddMilliseconds(-500), 150000, 25));
for (int i = 0; i < barSettings.Interval * 2; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, start.AddMilliseconds(i * 500), 150000, 25));
}
ftt.IncrementStopDate(barSettings.Interval);
Assert.AreEqual(121, this.tradingData.Get <ObservableCollection <Tick> >().Count);
Assert.AreEqual(new DateTime(2013, 7, 10, 10, 0, 59, 500), this.tradingData.Get <ObservableCollection <Tick> >().Last().DateTime);
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 600), 151000, 25));
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 700), 149000, 25));
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 800), 150000, 25));
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 900), 149500, 25));
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
// Обработчик генерирует новый бар, только когда время пришедшего тика располагается в диапазоне следующего бара.
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 1, 0, 0), 150000, 25));
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual(start.AddSeconds(60), bar.DateTime);
Assert.AreEqual(barSettings.Symbol, bar.Symbol);
Assert.AreEqual(barSettings.Interval, bar.Interval);
Assert.AreEqual(150000, bar.Open);
Assert.AreEqual(151000, bar.High);
Assert.AreEqual(149000, bar.Low);
Assert.AreEqual(149500, bar.Close);
Assert.AreEqual(3100, bar.Volume);
}
public void Handlers_Do_Nothing_When_No_Ticks_With_TradeSettings_Symbol()
{
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
DateTime start = new DateTime(2013, 5, 15, 10, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, start);
MakeBarsOnTick updateBars = new MakeBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(i), Symbol = "RTS-6.13_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(1000), Symbol = "RTS-6.13_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(2000), Symbol = "RTS-6.13_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(-1), Symbol = "RTS-6.13_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(3600), Symbol = "RTS-6.13_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
}
