public void SpoolIntraBars()
{
BarListImpl bl = (BarListImpl)_intraBarTracker["SPY", (int)BarInterval.FiveMin];
for (int x = 0; x < _spyIntra.Length; x++)
{
Bar b = BarImpl.Deserialize(_spyIntra[x]);
bl.NewPoint(b.Symbol, b.Open, b.Bartime, b.Bardate, 0);
bl.NewPoint(b.Symbol, b.High, b.Bartime, b.Bardate, 0);
bl.NewPoint(b.Symbol, b.Low, b.Bartime, b.Bardate, 0);
bl.NewPoint(b.Symbol, b.Close, b.Bartime, b.Bardate, (int)b.Volume);
}
Console.WriteLine("Count: " + bl.Count);
Assert.Equal(_spyIntra.Length, bl.Count);
for (int x = 0; x < _spyIntra.Length; x++)
{
Bar t = BarImpl.Deserialize(_spyIntra[x]);
Assert.Equal(bl[x].Bardate, t.Bardate);
Assert.Equal(bl[x].Close, t.Close);
}
DisplayTrackerContent(_intraBarTracker["SPY"]);
}
public void IntraMixedTickAndBars()
{
BarList bl = intraBarTracker["SPY", (int)BarInterval.FiveMin];
for (int x = 0; x < SPY_Intra.Length; x++)
{
Bar b = BarImpl.Deserialize(SPY_Intra[x]);
bl.newPoint(b.Symbol, b.Open, b.Bartime, b.Bardate, 0);
bl.newPoint(b.Symbol, b.High, b.Bartime, b.Bardate, 0);
bl.newPoint(b.Symbol, b.Low, b.Bartime, b.Bardate, 0);
bl.newPoint(b.Symbol, b.Close, b.Bartime, b.Bardate, (int)b.Volume);
// interleave ticks with the bars to simulate datafeed asynchronous-ness
int baseTime = 144500;
Tick k = new TickImpl("SPY");
k.ask = 101;
k.bid = 100;
k.date = 20110208;
k.trade = 100.5m;
k.size = 5000;
k.time = baseTime + x;
intraBarTracker.newTick(k);
}
Console.WriteLine("Count: " + bl.Count);
DisplayTrackerContent(intraBarTracker["SPY"]);
Assert.AreEqual(SPY_Intra.Length, bl.Count);
for (int x = 0; x < SPY_Intra.Length - 1; x++)
{
Bar t = BarImpl.Deserialize(SPY_Intra[x]);
Assert.AreEqual(bl[x].Bardate, t.Bardate);
Assert.AreEqual(bl[x].Close, t.Close);
}
}
public void DailyMixedTickAndBars()
{
BarListImpl bl = (BarListImpl)_dailyBarTracker["SPY", (int)BarInterval.Day];
for (int x = 0; x < _spyDaily.Length; x++)
{
BarImpl b = (BarImpl)BarImpl.Deserialize(_spyDaily[x]);
bl.NewPoint(b.Symbol, b.Open, b.Bartime, b.Bardate, 0);
bl.NewPoint(b.Symbol, b.High, b.Bartime, b.Bardate, 0);
bl.NewPoint(b.Symbol, b.Low, b.Bartime, b.Bardate, 0);
bl.NewPoint(b.Symbol, b.Close, b.Bartime, b.Bardate, (int)b.Volume);
// interleave ticks with the bars to simulate datafeed asynchronous-ness
int baseTime = 144500;
TickImpl k = new TickImpl("SPY");
k.Ask = 101;
k.Bid = 100;
k.Date = 20110208;
k.Trade = 100.5m;
k.Size = 5000;
k.Time = baseTime + x;
_dailyBarTracker.NewTick(k);
}
Console.WriteLine("Count: " + bl.Count);
DisplayTrackerContent(_dailyBarTracker["SPY"]);
Assert.Equal(_spyDaily.Length, bl.Count);
for (int x = 0; x < _spyDaily.Length - 1; x++)
{
Bar t = BarImpl.Deserialize(_spyDaily[x]);
Assert.Equal(bl[x].Bardate, t.Bardate);
Assert.Equal(bl[x].Close, t.Close);
}
}
public void SpoolDailyBars()
{
BarList bl = dailyBarTracker["SPY", (int)BarInterval.Day];
for (int x = 0; x < SPY_Daily.Length; x++)
{
Bar b = BarImpl.Deserialize(SPY_Daily[x]);
bl.newPoint(b.Symbol, b.Open, b.Bartime, b.Bardate, 0);
bl.newPoint(b.Symbol, b.High, b.Bartime, b.Bardate, 0);
bl.newPoint(b.Symbol, b.Low, b.Bartime, b.Bardate, 0);
bl.newPoint(b.Symbol, b.Close, b.Bartime, b.Bardate, (int)b.Volume);
}
Console.WriteLine("Count: " + bl.Count);
Assert.AreEqual(SPY_Daily.Length, bl.Count);
for (int x = 0; x < SPY_Daily.Length; x++)
{
Bar t = BarImpl.Deserialize(SPY_Daily[x]);
Assert.AreEqual(bl[x].Bardate, t.Bardate);
Assert.AreEqual(bl[x].Close, t.Close);
}
DisplayTrackerContent(dailyBarTracker["SPY"]);
}
void c_gotUnknownMessage(MessageTypes type, long source, long dest, long msgid, string request, ref string response)
{
if (type == MessageTypes.BARRESPONSE)
{
bar = BarImpl.Deserialize(response);
if (bar.isValid)
{
#if DEBUG
g.d("got bar: " + response);
#endif
barcount++;
}
}
}
public void SerializeDeseralize()
{
Bar b = new BarImpl(1, 1, 1, 1, 1, 20100302, 93533, "IBM", (int)BarInterval.FiveMin);
string msg = BarImpl.Serialize(b);
Bar cb = BarImpl.Deserialize(msg);
Assert.AreEqual(b.Symbol, cb.Symbol);
Assert.AreEqual(b.time, cb.time);
Assert.AreEqual(b.Interval, cb.Interval);
Assert.AreEqual(b.High, cb.High);
Assert.AreEqual(b.Low, cb.Low);
Assert.AreEqual(b.Open, cb.Open);
Assert.AreEqual(b.Close, cb.Close);
Assert.AreEqual(b.Volume, cb.Volume);
Assert.AreEqual(b.Bardate, cb.Bardate);
}
void client_gotUnknownMessage(MessageTypes type, long source, long dest, long msgid, string request, ref string response)
{
if (type == MessageTypes.BARRESPONSE)
{
lastbarraw = response;
var b = BarImpl.Deserialize(response);
var label = b.Symbol + b.Interval.ToString() + b.CustomInterval.ToString();
var symintidx = symintcount.getindex(label);
if (symintidx < 0)
{
symintidx = symintcount.addindex(label, new List <Bar>());
g.d("got new symbol/interval: " + b.Symbol + " " + b.Interval + b.CustomInterval + " bar:" + b.ToString());
}
symintcount[symintidx].Add(b);
if (!recvsyms.Contains(b.Symbol))
{
recvsyms.Add(b.Symbol);
}
recvbarcount++;
}
else if (type == MessageTypes.BARRESPONSE_FINAL)
{
var br = BarRequest.Deserialize(response);
reccomplete++;
g.d("completed: " + br.symbol + " " + br.Interval + " " + br.ID);
}
else
{
g.d("got unknown message: " + type + request + response);
}
var ok = mt.GotMessage(type, source, dest, msgid, request, ref response);
if (!ok)
{
g.d("error processing: " + type + " request: " + request + " response: " + response);
}
msgok &= ok;
}
public void SerializeDeseralize_Custom()
{
Bar b = new BarImpl(1, 1, 1, 1, 1, 20100302, 93533, "IBM", (int)BarInterval.CustomVol, 10000, OrderImpl.Unique);
g.d(b.Interval + b.CustomInterval.ToString());
Assert.IsTrue(b.isCustom, "org not custom");
string msg = BarImpl.Serialize(b);
Bar cb = BarImpl.Deserialize(msg);
Assert.AreEqual(b.Symbol, cb.Symbol);
Assert.AreEqual(b.time, cb.time);
Assert.AreEqual(b.Interval, cb.Interval);
Assert.AreEqual(b.High, cb.High);
Assert.AreEqual(b.Low, cb.Low);
Assert.AreEqual(b.Open, cb.Open);
Assert.AreEqual(b.Close, cb.Close);
Assert.AreEqual(b.Volume, cb.Volume);
Assert.AreEqual(b.Bardate, cb.Bardate);
Assert.IsTrue(cb.isCustom, "copy not custom");
Assert.AreEqual(b.CustomInterval, cb.CustomInterval, "cust int mismatch");
Assert.AreNotEqual(b.id, 0, "id was zero");
Assert.AreEqual(b.id, cb.id);
}
