Esempio n. 1
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        public void ReadsFactorFileWithExponentialNotation()
        {
            // Source NEWL factor file at 2019-12-09
            var lines = new[]
            {
                "19980102,0.8116779,1e+07",
                "20051108,0.8116779,1e+07",
                "20060217,0.8416761,1e+07",
                "20060516,0.8644420,1e+07",
                "20060814,0.8747766,1e+07",
                "20061115,0.8901232,1e+07",
                "20070314,0.9082148,1e+07",
                "20070522,0.9166239,1e+07",
                "20070814,0.9306799,1e+07",
                "20071120,0.9534326,1e+07",
                "20080520,0.9830510,1e+07",
                "20100802,1.0000000,1e+07",
                "20131016,1.0000000,1.11111e+06",
                "20131205,1.0000000,75188",
                "20140305,1.0000000,25000",
                "20140514,1.0000000,2500",
                "20140714,1.0000000,50",
                "20501231,1.0000000,1"
            };

            var factorFile = PriceScalingExtensions.SafeRead("PermTick", lines, SecurityType.Equity);

            Assert.AreEqual(5, factorFile.Count());

            Assert.IsNotNull(factorFile.FactorFileMinimumDate);
            Assert.AreEqual(new DateTime(2013, 12, 04), factorFile.FactorFileMinimumDate.Value);
        }
Esempio n. 2
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        public void ReadsOldFactorFileFormat()
        {
            var lines = new[]
            {
                "19980102,1.0000000,0.5",
                "20130828,1.0000000,0.5",
                "20501231,1.0000000,1"
            };

            var factorFile = PriceScalingExtensions.SafeRead("bno", lines, SecurityType.Equity) as CorporateFactorProvider;

            var firstRow = factorFile.SortedFactorFileData[new DateTime(1998, 01, 02)].Single();

            Assert.AreEqual(1m, firstRow.PriceFactor);
            Assert.AreEqual(0.5m, firstRow.SplitFactor);
            Assert.AreEqual(0m, firstRow.ReferencePrice);

            var secondRow = factorFile.SortedFactorFileData[new DateTime(2013, 08, 28)].Single();

            Assert.AreEqual(1m, secondRow.PriceFactor);
            Assert.AreEqual(0.5m, secondRow.SplitFactor);
            Assert.AreEqual(0m, firstRow.ReferencePrice);

            var thirdRow = factorFile.SortedFactorFileData[Time.EndOfTime].Single();

            Assert.AreEqual(1m, thirdRow.PriceFactor);
            Assert.AreEqual(1m, thirdRow.SplitFactor);
            Assert.AreEqual(0m, firstRow.ReferencePrice);
        }
Esempio n. 3
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        public void EmptyFactorFileReturnsEmptyListForSplitsAndDividends(string contents)
        {
            var lines = contents.Split('\n').Where(l => !string.IsNullOrWhiteSpace(l));

            var factorFile = PriceScalingExtensions.SafeRead("bno", lines, SecurityType.Equity) as CorporateFactorProvider;

            Assert.IsEmpty(factorFile.GetSplitsAndDividends(Symbols.SPY, SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork)));
        }
Esempio n. 4
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        public void ResolvesCorrectMostRecentFactorChangeDate()
        {
            var lines = new[]
            {
                "19980102,1.0000000,0.5",
                "20130828,1.0000000,0.5",
                "20501231,1.0000000,1"
            };

            var factorFile = PriceScalingExtensions.SafeRead("bno", lines, SecurityType.Equity) as CorporateFactorProvider;

            Assert.AreEqual(new DateTime(2013, 08, 28), factorFile.MostRecentFactorChange);
        }
Esempio n. 5
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        public void HandlesUnknownDataMappingModes()
        {
            var lines = new[]
            {
                "{\"Date\":\"2010-01-28T00:00:00\",\"BackwardsRatioScale\":[1.1575],\"BackwardsPanamaCanalScale\":[7.06],\"ForwardPanamaCanalScale\":[0.0],\"DataMappingMode\":1}",
                "{\"Date\":\"2010-02-25T00:00:00\",\"BackwardsRatioScale\":[1.1575],\"BackwardsPanamaCanalScale\":[7.06],\"ForwardPanamaCanalScale\":[0.0],\"DataMappingMode\":788}"
            };

            var factorFile = PriceScalingExtensions.SafeRead("cl", lines, SecurityType.Future) as MappingContractFactorProvider;

            Assert.AreEqual(1, factorFile.Count());
            Assert.AreEqual(DataMappingMode.FirstDayMonth, (factorFile.First() as MappingContractFactorRow).DataMappingMode);
        }
Esempio n. 6
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        public void ReadsFactorFileWithInfValues()
        {
            var lines = new[]
            {
                "19980102,1.0000000,inf",
                "20151211,1.0000000,inf",
                "20160330,1.0000000,2500",
                "20160915,1.0000000,80",
                "20501231,1.0000000,1"
            };

            DateTime?factorFileMinimumDate;
            var      factorFile = PriceScalingExtensions.SafeRead("PermTick", lines, SecurityType.Equity);

            Assert.AreEqual(3, factorFile.Count());

            Assert.IsNotNull(factorFile.FactorFileMinimumDate);
            Assert.AreEqual(new DateTime(2016, 3, 29), factorFile.FactorFileMinimumDate.Value);
        }