public void CheckBarFormation_WhenANewTradeIsArrived_NewUpdatedBarShouldGetSaved()
{
Order buyOrder = OrderFactory.CreateOrder("123", "XBTUSD", "limit", "buy", 10, 100,
new StubbedOrderIdGenerator());
Order sellOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "sell", 10, 100,
new StubbedOrderIdGenerator());
DateTime dateTime = DateTime.Now.AddSeconds(-1 * DateTime.Now.Second);
Trade trade1 = new Trade(new TradeId("1"), "XBTUSD", new Price(10), new Volume(10), dateTime.AddSeconds(10), buyOrder, sellOrder);
Trade trade2 = new Trade(new TradeId("2"), "XBTUSD", new Price(15), new Volume(15), dateTime.AddSeconds(15), buyOrder, sellOrder);
Trade trade3 = new Trade(new TradeId("3"), "XBTUSD", new Price(20), new Volume(5), dateTime.AddSeconds(20), buyOrder, sellOrder);
Trade trade4 = new Trade(new TradeId("4"), "XBTUSD", new Price(5), new Volume(10), dateTime.AddSeconds(40), buyOrder, sellOrder);
Trade trade5 = new Trade(new TradeId("5"), "XBTUSD", new Price(2), new Volume(10), dateTime.AddMinutes(1), buyOrder, sellOrder);
Trade trade6 = new Trade(new TradeId("6"), "XBTUSD", new Price(10), new Volume(5), dateTime.AddMinutes(1.1), buyOrder, sellOrder);
OutputDisruptor.Publish(trade1);
OutputDisruptor.Publish(trade2);
OutputDisruptor.Publish(trade3);
OutputDisruptor.Publish(trade4);
OutputDisruptor.Publish(trade5);
OutputDisruptor.Publish(trade6);
_manualResetEvent.WaitOne(10000);
OhlcReadModel model = _ohlcRepository.GetOhlcByDateTime(dateTime.AddMinutes(1));
OhlcReadModel model2 = _ohlcRepository.GetOhlcByDateTime(dateTime.AddMinutes(2));
//bar 1 verification(will form from trade 1-4)
Assert.NotNull(model);
Assert.AreEqual(model.High, 20);
Assert.AreEqual(model.Open, 10);
Assert.AreEqual(model.Low, 5);
Assert.AreEqual(model.Close, 5);
Assert.AreEqual(model.Volume, 40);
Assert.AreEqual(model.TotalWeight, 475);
Assert.AreEqual(model.AveragePrice, 11.875);
//bar 2 verification(will form from trade 5-6)
Assert.NotNull(model2);
Assert.AreEqual(model2.High, 10);
Assert.AreEqual(model2.Open, 2);
Assert.AreEqual(model2.Low, 2);
Assert.AreEqual(model2.Close, 10);
Assert.AreEqual(model2.Volume, 15);
Assert.AreEqual(model2.TotalWeight, 70);
Assert.AreEqual(model2.AveragePrice, 4.66667);
}
public void CalculateAndPersistOhlc(Trade latestTrade)
{
DateTime ohlcdDateTime = latestTrade.ExecutionTime.AddSeconds(-1 * latestTrade.ExecutionTime.Second);
//IList<TradeReadModel> trades=_tradeRepository.GetTradesBetweenDates(latestTrade.ExecutionTime,ohlcdDateTime);
OhlcReadModel model = _ohlcRepository.GetOhlcByDateTime(ohlcdDateTime.AddMinutes(1));
if (model == null)
{
//means it is 1st trade of that minute
OhlcReadModel newOhlcReadModel = new OhlcReadModel(latestTrade.CurrencyPair, ohlcdDateTime.AddMinutes(1), latestTrade.ExecutionPrice.Value,
latestTrade.ExecutionPrice.Value,
latestTrade.ExecutionPrice.Value, latestTrade.ExecutionPrice.Value, latestTrade.ExecutedVolume.Value);
_persistanceRepository.SaveOrUpdate(newOhlcReadModel);
}
else
{
// IList<TradeReadModel> trades = _tradeRepository.GetTradesBetweenDates(latestTrade.ExecutionTime,
// ohlcdDateTime);
//decimal volume = CalculateVolume(trades);
//update the ohlc
model.UpdateOhlc(latestTrade);
_persistanceRepository.SaveOrUpdate(model);
}
}