/// <summary>
/// Initializes a new instance of the <see cref="QuoteBar"/> class.
/// </summary>
public QuoteBar()
{
Ticker = TickerSymbol.NIL("");
Occured = new DateTime();
Bid = new BarImpl();
Ask = new BarImpl();
Price = 0;
Period = TimeSpan.FromMinutes(1);
DataType = DataType.QuoteBar;
}
/// <summary>
/// Gets the name of the ticker at quantler.
/// </summary>
/// <param name="ticker">The ticker.</param>
/// <returns></returns>
public override TickerSymbol GetQuantlerTicker(string ticker)
{
try
{
var splitted = ticker.Split('.');
return(new TickerSymbol(splitted[0] + splitted[1], splitted[0], (CurrencyType)Enum.Parse(typeof(CurrencyType), splitted[2])));
}
catch (Exception exc)
{
_log.Error(exc, $"Could not get quantler ticker name for ticker: {ticker}");
}
//If all fails
return(TickerSymbol.NIL(ticker));
}
/// <summary>
/// Gets the name of the ticker at quantler.
/// </summary>
/// <param name="ticker">The ticker.</param>
/// <returns></returns>
public override TickerSymbol GetQuantlerTicker(string ticker)
{
try
{
//Check if item is ready in cache
if (!_tickerSymbols.ContainsKey(ticker))
{
//Initial objects
CurrencyType currency = CurrencyType.USD;
string commodity = string.Empty;
//Check combination
if (ticker.EndsWith("BTC"))
{
currency = CurrencyType.BTC;
commodity = ticker.Replace("BTC", "");
}
else if (ticker.EndsWith("ETH"))
{
currency = CurrencyType.ETH;
commodity = ticker.Replace("ETH", "");
}
else if (ticker.EndsWith("USDT"))
{
currency = CurrencyType.USDT;
commodity = ticker.Replace("USDT", "");
}
else if (ticker.EndsWith("BNB"))
{
return(TickerSymbol.NIL(ticker)); //We currently do not support BNB denominated currencies
}
//Check for symbol changes on binance
//Create tickersymbol object based on information supplied
_tickerSymbols.Add(ticker, new TickerSymbol(commodity + ".BC", commodity, currency));
}
//Return what we have
return(_tickerSymbols[ticker]);
}
catch (Exception exc)
{
_log.Error(exc, $"Cannot convert feed name ticker to quantler ticker: {ticker}");
}
//Unknown?
return(TickerSymbol.NIL(ticker));
}
/// <summary>
/// Gets the name of the ticker at quantler.
/// </summary>
/// <param name="ticker">The ticker.</param>
/// <returns></returns>
public override TickerSymbol GetQuantlerTicker(string ticker)
{
try
{
//Check if item is ready in cache
if (!_tickerSymbols.ContainsKey(ticker))
{
string[] splitted = ticker.Split('-');
_tickerSymbols.Add(ticker, new TickerSymbol(splitted[1] + ".BC", splitted[1], (CurrencyType)Enum.Parse(typeof(CurrencyType), splitted[0])));
}
//Return what we have
return(_tickerSymbols[ticker]);
}
catch (Exception exc)
{
_log.Error(exc, $"Cannot convert feed name ticker to quantler ticker: {ticker}");
}
return(TickerSymbol.NIL(ticker));
}
/// <summary>
/// Gets the name of the ticker at quantler.
/// </summary>
/// <param name="ticker">The ticker.</param>
/// <returns></returns>
public override TickerSymbol GetQuantlerTicker(string ticker)
{
try
{
//Check if we already have this ticker
if (_tickerSymbols.ContainsKey(ticker))
{
return(_tickerSymbols[ticker]);
}
//Get currency names
string commodity = "";
string basecurrency = "";
TickerSymbol created = TickerSymbol.NIL(ticker);
var found = _currencyNames.FirstOrDefault(ticker.EndsWith);
if (found != null)
{
commodity = $"{ticker.Replace(found, "")}";
basecurrency = found;
created = new TickerSymbol(commodity + ".BC", commodity,
(CurrencyType)Enum.Parse(typeof(CurrencyType), basecurrency));
}
//Return what we know
_tickerSymbols.Add(ticker, created);
return(_tickerSymbols[ticker]);
}
catch (Exception exc)
{
_log.Error(exc, $"Could not get quantler ticker name for ticker: {ticker}");
}
//If all fails
return(TickerSymbol.NIL(ticker));
}
/// <summary>
/// Initializes a new instance of the <see cref="TradeBar"/> class.
/// </summary>
public TradeBar()
{
Ticker = TickerSymbol.NIL("");
DataType = DataType.TradeBar;
Period = TimeSpan.FromMinutes(1);
}
public void AggregatesNewQuoteBarProperly()
{
//Arrange
QuoteBar quoteBar = null;
var quoteBarAggregator = new QuoteBarAggregator(4);
quoteBarAggregator.DataAggregated += (sender, args) =>
{
quoteBar = args;
};
//Act
var time = DateTime.Today;
var tickersymbol = TickerSymbol.NIL("TST");
var bar1 = new QuoteBar
{
Occured = time,
Ticker = tickersymbol,
Bid = new BarImpl(1, 2, 0.75m, 1.25m),
LastBidSize = 3,
Ask = null,
LastAskSize = 0
};
quoteBarAggregator.Feed(bar1);
quoteBar.Should().BeNull();
var bar2 = new QuoteBar
{
Occured = time,
Ticker = tickersymbol,
Bid = new BarImpl(1.1m, 2.2m, 0.9m, 2.1m),
LastBidSize = 3,
Ask = new BarImpl(2.2m, 4.4m, 3.3m, 3.3m),
LastAskSize = 0
};
quoteBarAggregator.Feed(bar2);
quoteBar.Should().BeNull();
var bar3 = new QuoteBar
{
Occured = time,
Ticker = tickersymbol,
Bid = new BarImpl(1, 2, 0.5m, 1.75m),
LastBidSize = 3,
Ask = null,
LastAskSize = 0
};
quoteBarAggregator.Feed(bar3);
quoteBar.Should().BeNull();
var bar4 = new QuoteBar
{
Occured = time,
Ticker = tickersymbol,
Bid = null,
LastBidSize = 0,
Ask = new BarImpl(1, 7, 0.5m, 4.4m),
LastAskSize = 4,
};
//Assert
quoteBarAggregator.Feed(bar4);
quoteBar.Should().NotBeNull();
bar1.Ticker.Should().Be(quoteBar.Ticker);
bar1.Bid.Open.Should().Be(quoteBar.Bid.Open);
bar2.Ask.Open.Should().Be(quoteBar.Ask.Open);
bar2.Bid.High.Should().Be(quoteBar.Bid.High);
bar4.Ask.High.Should().Be(quoteBar.Ask.High);
bar3.Bid.Low.Should().Be(quoteBar.Bid.Low);
bar4.Ask.Low.Should().Be(quoteBar.Ask.Low);
bar3.Bid.Close.Should().Be(quoteBar.Bid.Close);
bar4.Ask.Close.Should().Be(quoteBar.Ask.Close);
bar3.LastBidSize.Should().Be(quoteBar.LastBidSize);
bar4.LastAskSize.Should().Be(quoteBar.LastAskSize);
bar1.Price.Should().Be(quoteBar.Price);
}
public void AggregatesNewTicksInPeriodWithRoundedTime()
{
//Arrange
TradeBar tradeBar = null;
var tickersymbol = TickerSymbol.NIL("TST");
var tickAggregator = new TickAggregator(TimeSpan.FromMinutes(1));
tickAggregator.DataAggregated += (sender, bar) =>
{
tradeBar = bar;
};
//Act
var reference = new DateTime(2015, 06, 02);
var tick1 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(3),
Price = 1.1000m
};
tickAggregator.Feed(tick1);
tradeBar.Should().BeNull();
var tick2 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(10),
Price = 1.1005m
};
tickAggregator.Feed(tick2);
tradeBar.Should().BeNull();
var tick3 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(61),
Price = 1.1010m
};
tickAggregator.Feed(tick3);
tradeBar.Should().NotBeNull();
tradeBar.Occured.Should().Be(reference);
tradeBar.Open.Should().Be(tick1.Price);
tradeBar.Close.Should().Be(tick2.Price);
var tick4 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(70),
Price = 1.1015m
};
tickAggregator.Feed(tick4);
tradeBar.Should().NotBeNull();
var tick5 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(118),
Price = 1.1020m
};
tickAggregator.Feed(tick5);
tradeBar.Should().NotBeNull();
var tick6 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(140),
Price = 1.1025m
};
tickAggregator.Feed(tick6);
//Assert
tradeBar.Should().NotBeNull();
tradeBar.Occured.Should().Be(reference.AddSeconds(60));
tradeBar.Open.Should().Be(tick3.Price);
tradeBar.Close.Should().Be(tick5.Price);
}
public void AggregatesNewTradeBarsProperly()
{
//Arrange
TradeBar newTradeBar = null;
var tickAggregator = new TickAggregator(4);
tickAggregator.DataAggregated += (sender, tradeBar) =>
{
newTradeBar = tradeBar;
};
//Act
var reference = DateTime.Today;
var tickersymbol = TickerSymbol.NIL("TST");
var bar1 = new Tick
{
Ticker = tickersymbol,
Occured = reference,
Price = 5,
Size = 10
};
tickAggregator.Feed(bar1);
newTradeBar.Should().BeNull();
var bar2 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddHours(1),
Price = 10,
Size = 20
};
tickAggregator.Feed(bar2);
newTradeBar.Should().BeNull();
var bar3 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddHours(2),
Price = 1,
Size = 10
};
tickAggregator.Feed(bar3);
newTradeBar.Should().BeNull();
var bar4 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddHours(3),
Price = 9,
Size = 20
};
tickAggregator.Feed(bar4);
//Assert
newTradeBar.Should().NotBeNull();
newTradeBar.Ticker.Should().Be(tickersymbol);
bar1.Occured.Should().Be(newTradeBar.Occured);
bar1.Price.Should().Be(newTradeBar.Open);
bar2.Price.Should().Be(newTradeBar.High);
bar3.Price.Should().Be(newTradeBar.Low);
bar4.Price.Should().Be(newTradeBar.Close);
(bar1.Size + bar2.Size + bar3.Size + bar4.Size).Should().Be(newTradeBar.Volume);
}