public void LastCloseAndCurrentOpenPriceShouldBeSameConsolidatedOnTimeSpan()
{
QuoteBar quoteBar = null;
var creator = new TickQuoteBarConsolidator(TimeSpan.FromMinutes(1));
creator.DataConsolidated += (sender, args) =>
{
quoteBar = args;
};
var reference = DateTime.Today;
// timeframe 1
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
TickType = TickType.Quote,
AskPrice = 25,
BidPrice = 24,
};
creator.Update(tick1);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(1),
TickType = TickType.Quote,
AskPrice = 26,
BidPrice = 0,
};
creator.Update(tick2);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(1),
TickType = TickType.Quote,
AskPrice = 0,
BidPrice = 25,
};
creator.Update(tick3);
// timeframe 2
var tick4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddMinutes(1),
TickType = TickType.Quote,
AskPrice = 36,
BidPrice = 35,
};
creator.Update(tick4);
//force the consolidator to emit DataConsolidated
creator.Scan(reference.AddMinutes(2));
// bid is from tick 2
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open, "Ask Open not equal to Previous Close");
// bid is from tick 3
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Open, "Bid Open not equal to Previous Close");
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close, "Ask Close incorrect");
Assert.AreEqual(tick4.BidPrice, quoteBar.Bid.Close, "Bid Close incorrect");
}
