public void IEXCouldSubscribeAndUnsubscribe()
{
// MBLY is the most liquid IEX instrument
var iex = new IEXDataQueueHandler();
var unsubscribed = false;
ProcessFeed(iex, tick =>
{
Console.WriteLine(tick.ToString());
if (unsubscribed && tick.Symbol.Value == "MBLY")
{
Assert.Fail("Should not receive data for unsubscribed symbol");
}
});
iex.Subscribe(null, new[] {
Symbol.Create("MBLY", SecurityType.Equity, Market.USA),
Symbol.Create("USO", SecurityType.Equity, Market.USA)
});
Thread.Sleep(20000);
iex.Unsubscribe(null, new[]
{
Symbol.Create("MBLY", SecurityType.Equity, Market.USA)
});
Console.WriteLine("Unsubscribing");
Thread.Sleep(2000);
// some messages could be inflight, but after a pause all MBLY messages must have beed consumed by ProcessFeed
unsubscribed = true;
Thread.Sleep(20000);
iex.Dispose();
}
public void IEXCouldConnect()
{
var iex = new IEXDataQueueHandler();
Thread.Sleep(5000);
Assert.IsTrue(iex.IsConnected);
iex = null;
GC.Collect(2, GCCollectionMode.Forced, true);
Thread.Sleep(1000);
// finalizer should print disconnected message
}
public void IEXCouldGetHistory(Symbol symbol, Resolution resolution, TimeSpan period, bool received, bool throwsException = false)
{
var historyProvider = new IEXDataQueueHandler();
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, null));
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
typeof(QuoteBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
DateTimeZone.Utc,
Resolution.Minute,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Quote)
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc);
foreach (var slice in history)
{
if (resolution == Resolution.Tick || resolution == Resolution.Second || resolution == Resolution.Hour)
{
Assert.IsNull(slice);
}
else if (resolution == Resolution.Daily || resolution == Resolution.Minute)
{
Assert.IsNotNull(slice);
var bar = slice.Bars[symbol];
Log.Trace("{0}: {1} - O={2}, H={3}, L={4}, C={5}: {6}, {7}", bar.Time, bar.Symbol, bar.Open, bar.High, bar.Low, bar.Close, resolution, period);
}
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
if (received)
{
Assert.IsTrue(historyProvider.DataPointCount > 0);
}
else
{
Assert.IsTrue(historyProvider.DataPointCount == 0);
}
}
public void IEXCouldSubscribeMoreThan100Symbols()
{
var configs = HardCodedSymbolsSNP.Select(s =>
GetSubscriptionDataConfig <TradeBar>(Symbol.Create(s, SecurityType.Equity, Market.USA),
Resolution.Second)).ToArray();
using (var iex = new IEXDataQueueHandler())
{
Array.ForEach(configs, dataConfig => iex.Subscribe(dataConfig, (s, e) => { }));
Thread.Sleep(20000);
Assert.IsTrue(iex.IsConnected);
}
}
public void IEXCouldSubscribeToAll()
{
var iex = new IEXDataQueueHandler();
ProcessFeed(iex, tick => Console.WriteLine(tick.ToString()));
iex.Subscribe(null, new[]
{
Symbol.Create("firehose", SecurityType.Equity, Market.USA)
});
Thread.Sleep(30000);
iex.Dispose();
}
public void IEXCouldGetHistory(Symbol symbol, Resolution resolution, Type dataType, TimeSpan period, bool received, bool throwsException)
{
TestDelegate test = () =>
{
var historyProvider = new IEXDataQueueHandler();
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
dataType,
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
TimeZones.NewYork,
resolution,
true,
false,
DataNormalizationMode.Raw,
TickType.Trade)
};
var slices = historyProvider.GetHistory(requests, TimeZones.Utc).ToArray();
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
if (received)
{
// Slices not empty
Assert.IsNotEmpty(slices);
// And are ordered by time
Assert.That(slices, Is.Ordered.By("Time"));
}
else
{
Assert.IsEmpty(slices);
}
};
if (throwsException)
{
Assert.That(test, Throws.Exception);
}
else
{
Assert.DoesNotThrow(test);
}
}
public void IEXCouldSubscribeManyTimes()
{
var iex = new IEXDataQueueHandler();
ProcessFeed(iex, tick => Console.WriteLine(tick.ToString()));
iex.Subscribe(null, new[]
{
Symbol.Create("MBLY", SecurityType.Equity, Market.USA),
});
iex.Subscribe(null, new[]
{
Symbol.Create("FB", SecurityType.Equity, Market.USA),
});
iex.Subscribe(null, new[]
{
Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
});
iex.Subscribe(null, new[]
{
Symbol.Create("USO", SecurityType.Equity, Market.USA),
});
Thread.Sleep(10000);
Console.WriteLine("Unsubscribing from all except MBLY");
iex.Unsubscribe(null, new[]
{
Symbol.Create("FB", SecurityType.Equity, Market.USA),
});
iex.Unsubscribe(null, new[]
{
Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
});
iex.Unsubscribe(null, new[]
{
Symbol.Create("USO", SecurityType.Equity, Market.USA),
});
Thread.Sleep(10000);
iex.Dispose();
}
public void IEXCouldReconnect()
{
var iex = new IEXDataQueueHandler();
var realEndpoint = iex.Endpoint;
Thread.Sleep(1000);
iex.Dispose();
iex.Endpoint = "https://badd.address";
iex.Reconnect();
Thread.Sleep(1000);
iex.Dispose();
iex.Endpoint = realEndpoint;
iex.Reconnect();
Thread.Sleep(1000);
Assert.IsTrue(iex.IsConnected);
iex.Dispose();
}
public void IEXCouldSubscribeToAll()
{
var iex = new IEXDataQueueHandler(new AggregationManager());
ProcessFeed(
iex.Subscribe(GetSubscriptionDataConfig <TradeBar>(Symbol.Create("firehose", SecurityType.Equity, Market.USA), Resolution.Second), (s, e) => { }),
tick =>
{
if (tick != null)
{
Console.WriteLine(tick.ToString());
}
});
Thread.Sleep(30000);
iex.Dispose();
}
public void IEXCouldSubscribe()
{
var iex = new IEXDataQueueHandler();
ProcessFeed(iex, tick => Console.WriteLine(tick.ToString()));
iex.Subscribe(null, new[]
{
Symbol.Create("FB", SecurityType.Equity, Market.USA),
Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
Symbol.Create("XIV", SecurityType.Equity, Market.USA),
Symbol.Create("PTN", SecurityType.Equity, Market.USA),
Symbol.Create("USO", SecurityType.Equity, Market.USA),
});
Thread.Sleep(10000);
iex.Dispose();
}
public void IEXCouldSubscribeAndUnsubscribe()
{
// MBLY is the most liquid IEX instrument
var iex = new IEXDataQueueHandler();
var unsubscribed = false;
Action <BaseData> callback = (tick) =>
{
if (tick == null)
{
return;
}
Console.WriteLine(tick.ToString());
if (unsubscribed && tick.Symbol.Value == "MBLY")
{
Assert.Fail("Should not receive data for unsubscribed symbol");
}
};
var configs = new[] {
GetSubscriptionDataConfig <TradeBar>(Symbol.Create("MBLY", SecurityType.Equity, Market.USA), Resolution.Second),
GetSubscriptionDataConfig <TradeBar>(Symbol.Create("USO", SecurityType.Equity, Market.USA), Resolution.Second)
};
Array.ForEach(configs, (c) =>
{
ProcessFeed(
iex.Subscribe(c, (s, e) => { }),
callback);
});
Thread.Sleep(20000);
iex.Unsubscribe(Enumerable.First(configs, c => string.Equals(c.Symbol.Value, "MBLY")));
Console.WriteLine("Unsubscribing");
Thread.Sleep(2000);
// some messages could be inflight, but after a pause all MBLY messages must have beed consumed by ProcessFeed
unsubscribed = true;
Thread.Sleep(20000);
iex.Dispose();
}
public void IEXCouldSubscribe()
{
var iex = new IEXDataQueueHandler(new AggregationManager());
Array.ForEach(new[] { "FB", "AAPL", "XIV", "PTN", "USO" }, (ticker) =>
{
ProcessFeed(
iex.Subscribe(GetSubscriptionDataConfig <TradeBar>(Symbol.Create(ticker, SecurityType.Equity, Market.USA), Resolution.Second), (sender, e) => { }),
tick =>
{
if (tick != null)
{
Console.WriteLine(tick.ToString());
}
});
});
Thread.Sleep(10000);
iex.Dispose();
}
public void IEXCouldSubscribeManyTimes()
{
var iex = new IEXDataQueueHandler();
var configs = new[] {
GetSubscriptionDataConfig <TradeBar>(Symbol.Create("GOOG", SecurityType.Equity, Market.USA), Resolution.Second),
GetSubscriptionDataConfig <TradeBar>(Symbol.Create("FB", SecurityType.Equity, Market.USA), Resolution.Second),
GetSubscriptionDataConfig <TradeBar>(Symbol.Create("AAPL", SecurityType.Equity, Market.USA), Resolution.Second),
GetSubscriptionDataConfig <TradeBar>(Symbol.Create("MSFT", SecurityType.Equity, Market.USA), Resolution.Second)
};
Array.ForEach(configs, (c) =>
{
ProcessFeed(
iex.Subscribe(c, (s, e) => { }),
tick =>
{
if (tick != null)
{
Console.WriteLine(tick.ToString());
}
});
});
Thread.Sleep(20000);
Log.Trace("Unsubscribing from all except AAPL");
Array.ForEach(configs, (c) =>
{
if (!string.Equals(c.Symbol.Value, "AAPL"))
{
iex.Unsubscribe(c);
}
});
Thread.Sleep(20000);
iex.Dispose();
}
private void ProcessFeed(IEXDataQueueHandler iex, Action <BaseData> callback = null)
{
Task.Run(() =>
{
foreach (var tick in iex.GetNextTicks())
{
try
{
if (callback != null)
{
callback.Invoke(tick);
}
}
catch (AssertionException)
{
throw;
}
catch (Exception err)
{
Console.WriteLine(err.Message);
}
}
});
}
