public void DoesNotConsolidateDifferentSymbols()
{
var consolidator = new TickConsolidator(2);
var reference = DateTime.Today;
var tick1 = new Tick
{
Symbol = Symbols.AAPL,
Time = reference,
BidPrice = 1000,
BidSize = 20,
TickType = TickType.Quote,
};
var tick2 = new Tick
{
Symbol = Symbols.ZNGA,
Time = reference,
BidPrice = 20,
BidSize = 30,
TickType = TickType.Quote,
};
consolidator.Update(tick1);
Exception ex = Assert.Throws <InvalidOperationException>(() => consolidator.Update(tick2));
Assert.That(ex.Message, Is.StringContaining("is not the same"));
}
public void ProcessesTradeTicksOnly()
{
TradeBar consolidated = null;
var consolidator = new TickConsolidator(TimeSpan.FromMinutes(1));
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 06, 02);
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(3),
Value = 200m
};
consolidator.Update(tick1);
Assert.IsNull(consolidated);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(10),
Value = 20000m,
TickType = TickType.OpenInterest
};
consolidator.Update(tick2);
Assert.IsNull(consolidated);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(10),
Value = 10000m,
TickType = TickType.Quote
};
consolidator.Update(tick3);
Assert.IsNull(consolidated);
var tick4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(61),
Value = 250m
};
consolidator.Update(tick4);
Assert.IsNotNull(consolidated);
Assert.AreEqual(consolidated.Time, reference);
Assert.AreEqual(consolidated.Open, tick1.Value);
Assert.AreEqual(consolidated.Close, tick1.Value);
}
public void AggregatesNewTradeBarsProperly()
{
TradeBar newTradeBar = null;
var consolidator = new TickConsolidator(4);
consolidator.DataConsolidated += (sender, tradeBar) =>
{
newTradeBar = tradeBar;
};
var reference = DateTime.Today;
var bar1 = new Tick
{
Symbol = "SPY",
Time = reference,
Value = 5,
Quantity = 10
};
consolidator.Update(bar1);
Assert.IsNull(newTradeBar);
var bar2 = new Tick
{
Symbol = "SPY",
Time = reference.AddHours(1),
Value = 10,
Quantity = 20
};
consolidator.Update(bar2);
Assert.IsNull(newTradeBar);
var bar3 = new Tick
{
Symbol = "SPY",
Time = reference.AddHours(2),
Value = 1,
Quantity = 10
};
consolidator.Update(bar3);
Assert.IsNull(newTradeBar);
var bar4 = new Tick
{
Symbol = "SPY",
Time = reference.AddHours(3),
Value = 9,
Quantity = 20
};
consolidator.Update(bar4);
Assert.IsNotNull(newTradeBar);
Assert.AreEqual("SPY", newTradeBar.Symbol);
Assert.AreEqual(bar1.Time, newTradeBar.Time);
Assert.AreEqual(bar1.Value, newTradeBar.Open);
Assert.AreEqual(bar2.Value, newTradeBar.High);
Assert.AreEqual(bar3.Value, newTradeBar.Low);
Assert.AreEqual(bar4.Value, newTradeBar.Close);
Assert.AreEqual(bar1.Quantity + bar2.Quantity + bar3.Quantity + bar4.Quantity, newTradeBar.Volume);
}
public void AggregatesPeriodInPeriodModeWithDailyDataAndRoundedTime()
{
TradeBar consolidated = null;
var consolidator = new TickConsolidator(TimeSpan.FromDays(1));
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new Tick {
Time = reference.AddSeconds(5)
});
Assert.IsNull(consolidated);
consolidator.Update(new Tick {
Time = reference.AddDays(1).AddSeconds(15)
});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
Assert.AreEqual(reference, consolidated.Time);
consolidated = null;
consolidator.Update(new Tick {
Time = reference.AddDays(2).AddMinutes(1)
});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
Assert.AreEqual(reference.AddDays(1), consolidated.Time);
consolidated = null;
consolidator.Update(new Tick {
Time = reference.AddDays(3).AddMinutes(5)
});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
Assert.AreEqual(reference.AddDays(2), consolidated.Time);
}
public void AggregatesPeriodInCountModeWithDailyData()
{
TradeBar consolidated = null;
var consolidator = new TickConsolidator(2);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new Tick {
Time = reference
});
Assert.IsNull(consolidated);
consolidator.Update(new Tick {
Time = reference.AddMilliseconds(1)
});
Assert.IsNotNull(consolidated);
// sadly the first emit will be off by the data resolution since we 'swallow' a point, so to
Assert.AreEqual(TimeSpan.FromMilliseconds(1), consolidated.Period);
consolidated = null;
consolidator.Update(new Tick {
Time = reference.AddMilliseconds(2)
});
Assert.IsNull(consolidated);
consolidator.Update(new Tick {
Time = reference.AddMilliseconds(3)
});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromMilliseconds(2), consolidated.Period);
}
public void AggregatesPeriodInCountModeWithDailyData()
{
TradeBar consolidated = null;
var consolidator = new TickConsolidator(2);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new Tick { Time = reference});
Assert.IsNull(consolidated);
consolidator.Update(new Tick { Time = reference.AddMilliseconds(1)});
Assert.IsNotNull(consolidated);
// sadly the first emit will be off by the data resolution since we 'swallow' a point, so to
Assert.AreEqual(TimeSpan.FromMilliseconds(1), consolidated.Period);
consolidated = null;
consolidator.Update(new Tick { Time = reference.AddMilliseconds(2)});
Assert.IsNull(consolidated);
consolidator.Update(new Tick { Time = reference.AddMilliseconds(3)});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromMilliseconds(2), consolidated.Period);
}
public void AggregatesPeriodInPeriodModeWithDailyData()
{
TradeBar consolidated = null;
var consolidator = new TickConsolidator(TimeSpan.FromDays(1));
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new Tick { Time = reference});
Assert.IsNull(consolidated);
consolidator.Update(new Tick { Time = reference.AddDays(1)});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
consolidated = null;
consolidator.Update(new Tick { Time = reference.AddDays(2)});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
consolidated = null;
consolidator.Update(new Tick { Time = reference.AddDays(3)});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
}
public void AggregatesNewTradeBarsProperly()
{
TradeBar newTradeBar = null;
var consolidator = new TickConsolidator(4);
consolidator.DataConsolidated += (sender, tradeBar) =>
{
newTradeBar = tradeBar;
};
var reference = DateTime.Today;
var bar1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
Value = 5,
Quantity = 10
};
consolidator.Update(bar1);
Assert.IsNull(newTradeBar);
var bar2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(1),
Value = 10,
Quantity = 20
};
consolidator.Update(bar2);
Assert.IsNull(newTradeBar);
var bar3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(2),
Value = 1,
Quantity = 10
};
consolidator.Update(bar3);
Assert.IsNull(newTradeBar);
var bar4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(3),
Value = 9,
Quantity = 20
};
consolidator.Update(bar4);
Assert.IsNotNull(newTradeBar);
Assert.AreEqual(Symbols.SPY, newTradeBar.Symbol);
Assert.AreEqual(bar1.Time, newTradeBar.Time);
Assert.AreEqual(bar1.Value, newTradeBar.Open);
Assert.AreEqual(bar2.Value, newTradeBar.High);
Assert.AreEqual(bar3.Value, newTradeBar.Low);
Assert.AreEqual(bar4.Value, newTradeBar.Close);
Assert.AreEqual(bar4.EndTime, newTradeBar.EndTime);
Assert.AreEqual(bar1.Quantity + bar2.Quantity + bar3.Quantity + bar4.Quantity, newTradeBar.Volume);
}
public void AggregatesNewTicksInPeriodWithRoundedTime()
{
TradeBar consolidated = null;
var consolidator = new TickConsolidator(TimeSpan.FromMinutes(1));
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 06, 02);
var tick1 = new Tick
{
Symbol = Symbols.EURUSD,
Time = reference.AddSeconds(3),
Value = 1.1000m
};
consolidator.Update(tick1);
Assert.IsNull(consolidated);
var tick2 = new Tick
{
Symbol = Symbols.EURUSD,
Time = reference.AddSeconds(10),
Value = 1.1005m
};
consolidator.Update(tick2);
Assert.IsNull(consolidated);
var tick3 = new Tick
{
Symbol = Symbols.EURUSD,
Time = reference.AddSeconds(61),
Value = 1.1010m
};
consolidator.Update(tick3);
Assert.IsNotNull(consolidated);
Assert.AreEqual(consolidated.Time, reference);
Assert.AreEqual(consolidated.Open, tick1.Value);
Assert.AreEqual(consolidated.Close, tick2.Value);
var tick4 = new Tick
{
Symbol = Symbols.EURUSD,
Time = reference.AddSeconds(70),
Value = 1.1015m
};
consolidator.Update(tick4);
Assert.IsNotNull(consolidated);
var tick5 = new Tick
{
Symbol = Symbols.EURUSD,
Time = reference.AddSeconds(118),
Value = 1.1020m
};
consolidator.Update(tick5);
Assert.IsNotNull(consolidated);
var tick6 = new Tick
{
Symbol = Symbols.EURUSD,
Time = reference.AddSeconds(140),
Value = 1.1025m
};
consolidator.Update(tick6);
Assert.IsNotNull(consolidated);
Assert.AreEqual(consolidated.Time, reference.AddSeconds(60));
Assert.AreEqual(consolidated.Open, tick3.Value);
Assert.AreEqual(consolidated.Close, tick5.Value);
}
public void AggregatesTickToCalendarTradeBarProperly()
{
// Monday
var reference = new DateTime(2019, 3, 18);
var ticks = new List <Tick>
{
new Tick(reference.AddDays(1), Symbols.SPY, 9, 11, 8)
{
TickType = TickType.Trade, Quantity = 10
},
new Tick(reference.AddDays(3), Symbols.SPY, 10, 12, 8)
{
TickType = TickType.Trade, Quantity = 10
},
new Tick(reference.AddDays(5), Symbols.SPY, 11, 13, 9)
{
TickType = TickType.Trade, Quantity = 10
},
new Tick(reference.AddDays(7), Symbols.SPY, 11, 13, 9)
{
TickType = TickType.Trade, Quantity = 10
},
new Tick(reference.AddDays(14), Symbols.SPY, 11, 13, 9)
{
TickType = TickType.Trade, Quantity = 10
}
};
var weeklyConsolidator = new TickConsolidator(CalendarType.Weekly);
weeklyConsolidator.DataConsolidated += (s, e) =>
{
AssertTickTradeBar(
ticks.Take(3),
reference,
reference.AddDays(7),
Symbols.SPY,
e);
};
var monthlyConsolidator = new TickConsolidator(CalendarType.Monthly);
monthlyConsolidator.DataConsolidated += (s, e) =>
{
AssertTickTradeBar(
ticks.Take(4),
new DateTime(reference.Year, reference.Month, 1),
new DateTime(reference.Year, reference.Month + 1, 1),
Symbols.SPY,
e);
};
foreach (var tick in ticks.Take(4))
{
weeklyConsolidator.Update(tick);
}
foreach (var tick in ticks)
{
monthlyConsolidator.Update(tick);
}
}
public void AggregatesNewTicksInPeriodWithRoundedTime()
{
TradeBar consolidated = null;
var consolidator = new TickConsolidator(TimeSpan.FromMinutes(1));
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 06, 02);
var tick1 = new Tick
{
Symbol = "EURUSD",
Time = reference.AddSeconds(3),
Value = 1.1000m
};
consolidator.Update(tick1);
Assert.IsNull(consolidated);
var tick2 = new Tick
{
Symbol = "EURUSD",
Time = reference.AddSeconds(10),
Value = 1.1005m
};
consolidator.Update(tick2);
Assert.IsNull(consolidated);
var tick3 = new Tick
{
Symbol = "EURUSD",
Time = reference.AddSeconds(61),
Value = 1.1010m
};
consolidator.Update(tick3);
Assert.IsNotNull(consolidated);
Assert.AreEqual(consolidated.Time, reference);
Assert.AreEqual(consolidated.Open, tick1.Value);
Assert.AreEqual(consolidated.Close, tick2.Value);
var tick4 = new Tick
{
Symbol = "EURUSD",
Time = reference.AddSeconds(70),
Value = 1.1015m
};
consolidator.Update(tick4);
Assert.IsNotNull(consolidated);
var tick5 = new Tick
{
Symbol = "EURUSD",
Time = reference.AddSeconds(118),
Value = 1.1020m
};
consolidator.Update(tick5);
Assert.IsNotNull(consolidated);
var tick6 = new Tick
{
Symbol = "EURUSD",
Time = reference.AddSeconds(140),
Value = 1.1025m
};
consolidator.Update(tick6);
Assert.IsNotNull(consolidated);
Assert.AreEqual(consolidated.Time, reference.AddSeconds(60));
Assert.AreEqual(consolidated.Open, tick3.Value);
Assert.AreEqual(consolidated.Close, tick5.Value);
}
