public void DualTimeframeSignalAdvisor_GeneratesCloseSignal()
{
//Arrange
var forexPair = new TickerSymbol("EURUSD");
var m1Timeframe = new TimeframeUnit(TimeframeOption.M1);
var m5Timeframe = new TimeframeUnit(TimeframeOption.M5);
var feedService = new PriceFeedService(new ManualPriceFeeder(new MockFeedProvider()));
var signalTimeframe = feedService.Setup(forexPair, m1Timeframe, OHLCPriceOption.All);
var trendTimeframe = feedService.Setup(forexPair, m5Timeframe, OHLCPriceOption.All);
var signalAdvisor = new DualTimeframeSignalAdvisor(signalTimeframe, trendTimeframe);
signalAdvisor.Subscribe(feedService);
var position = PositionOption.None;
signalAdvisor.Buy += delegate(int strength) { position = PositionOption.Buy; };
signalAdvisor.Sell += delegate(int strength) { position = PositionOption.Sell; };
signalAdvisor.Close += delegate() { position = PositionOption.None; };
//Act
feedService.OHLC.PriceAction(signalTimeframe, new OHLCBar(DateTime.Now.Ticks, 11, 2, 3, 1));
feedService.OHLC.PriceAction(signalTimeframe, new OHLCBar(DateTime.Now.Ticks, 1, 2, 3, 1));
//Assert
Assert.AreEqual(position, PositionOption.None);
}
public void SMACrossProbe_OHLCFeed_DoesNotTriggerAnEvent()
{
//Arrange
var forexPair = MockObjectFactory.MockTickerSymbol(MockObjectFactory.EURUSD);
var timeFrame = new TimeframeUnit(TimeframeOption.M1);
var feedService = MockObjectFactory.MockManualPriceFeedService();
var ticker = feedService.Setup(forexPair.Object, timeFrame, OHLCPriceOption.All);
var isTriggered = false;
var smaCross = new SMACrossProbe(ticker, 3, 5, () => isTriggered = true);
smaCross.Subscribe(feedService);
var priceSwing = MockDataFactory.ExtractOHLCPrices(MockDataFactory.PriceSwingBeginMarker, MockDataFactory.PriceSwingEndMarker, -1);
//Act
priceSwing.ForEach((s) => feedService.OHLC.PriceAction(ticker, s));
//Assert
Assert.IsFalse(isTriggered);
Assert.AreEqual(0, smaCross.Length);
}
public void SingleTimeframeSignalAdvisor_ClosesSellPositionOnReversal()
{
//Arrange
var forexPair = new TickerSymbol("EURUSD");
var timeFrame = new TimeframeUnit(TimeframeOption.M1);
var feedService = new PriceFeedService(new ManualPriceFeeder(new MockFeedProvider()));
var signalTimeframe = feedService.Setup(forexPair, timeFrame, OHLCPriceOption.All);
var signalAdvisor = new SingleTimeframeSignalAdvisor(signalTimeframe);
signalAdvisor.Subscribe(feedService);
var position = PositionOption.None;
var closed = false;
signalAdvisor.Buy += delegate(int strength) { position = PositionOption.Buy; };
signalAdvisor.Sell += delegate(int strength) { position = PositionOption.Sell; };
signalAdvisor.Close += delegate()
{
position = PositionOption.None;
closed = true;
};
//Act
feedService.OHLC.PriceAction(signalTimeframe, new OHLCBar(DateTime.Now.Ticks, 11, 2, 3, 1));
feedService.OHLC.PriceAction(signalTimeframe, new OHLCBar(DateTime.Now.Ticks, 1, 2, 3, 11));
//Assert
Assert.AreEqual(position, PositionOption.Buy);
Assert.IsTrue(closed);
}
public void SMACrossProbe_PriceBarOptionFeedTriggersAnEvent()
{
//Arrange
var forexPair = MockObjectFactory.MockTickerSymbol(MockObjectFactory.EURUSD);
var timeFrame = new TimeframeUnit(TimeframeOption.M1);
var feedService = MockObjectFactory.MockManualPriceFeedService();
var ticker = feedService.Setup(forexPair.Object, timeFrame, PriceBarOption.Close);
var isTriggered = false;
var smaCross = new SMACrossProbe(ticker, 2, 5, () => isTriggered = true);
smaCross.Subscribe(feedService);
feedService.Start();
var priceSwing = MockDataFactory.ExtractPrices(MockDataFactory.PriceSwingBeginMarker, MockDataFactory.PriceSwingEndMarker);
//Act
priceSwing.ForEach((s) => feedService.PriceBar.PriceAction(ticker, s.TimeStamp, PriceBarOption.Close, s.Close));
//Assert
Assert.IsTrue(isTriggered);
Assert.IsTrue(smaCross.Current.Status == EventStateOption.On);
}
/// <summary>
/// Constructor
/// </summary>
public Candle(DateTime date, //DateTime dateOutput,
double bidOpen, double bidHigh, double bidLow, double bidClose,
double askOpen, double askHigh, double askLow, double askClose,
double volume, bool isCompleted, Timeframe timeframe, int precision)
{
mDate = date;
// mDateOutput = dateOutput;
mBidOpen = bidOpen;
mBidHigh = bidHigh;
mBidLow = bidLow;
mBidClose = bidClose;
mAskOpen = askOpen;
mAskHigh = askHigh;
mAskLow = askLow;
mAskClose = askClose;
mVolume = volume;
mTimeframeUnit = timeframe.Unit;
mIsCompleted = isCompleted;
mPrecision = precision;
}
public void SingleTimeframeSignalAdvisor_GeneratesBuySignal()
{
//Arrange
var feeder = new ManualPriceFeeder(new MockFeedProvider());
var forexPair = new TickerSymbol("EURUSD");
var timeFrame = new TimeframeUnit(TimeframeOption.M1);
var feedService = new PriceFeedService(feeder);
var signalTimeframe = feedService.Setup(forexPair, timeFrame, OHLCPriceOption.All);
var signalAdvisor = new SingleTimeframeSignalAdvisor(signalTimeframe);
signalAdvisor.Subscribe(feedService);
feedService.Start();
var position = PositionOption.None;
signalAdvisor.Buy += delegate(int strength) { position = PositionOption.Buy; };
signalAdvisor.Sell += delegate(int strength) { position = PositionOption.Sell; };
signalAdvisor.Close += delegate() { position = PositionOption.None; };
//Act
feeder.MinutePriceAction(signalTimeframe, new PriceBar(DateTime.Now.Ticks, 1, 2, 3, 11));
//Assert
Assert.AreEqual(PositionOption.Buy, position);
Assert.AreEqual(signalAdvisor.Position, PositionOption.Buy);
Assert.AreEqual(100, signalAdvisor.PositionStrength);
}
public void ToTimeframeUnit_ReturnTimeframeUnitMonths_ForMonths()
{
//Act
string value = "months";
TimeframeUnit result = value.ToTimeframeUnit();
//Assert
TimeframeUnit expected = TimeframeUnit.Months;
Assert.AreEqual(expected, result);
}
public void ToTimeframeUnit_ReturnTimeframeUnitWeeks_ForWeeks()
{
//Act
string value = "weeks";
TimeframeUnit result = value.ToTimeframeUnit();
//Assert
TimeframeUnit expected = TimeframeUnit.Weeks;
Assert.AreEqual(expected, result);
}
public void ToTimeframeUnit_ReturnTimeframeUnitDays_ForDays()
{
//Act
string value = "Days";
TimeframeUnit result = value.ToTimeframeUnit();
//Assert
TimeframeUnit expected = TimeframeUnit.Days;
Assert.AreEqual(expected, result);
}
public void ToTimeframeUnit_ReturnTimeframeUnitHours_ForHours()
{
//Act
string value = "HOURS";
TimeframeUnit result = value.ToTimeframeUnit();
//Assert
TimeframeUnit expected = TimeframeUnit.Hours;
Assert.AreEqual(expected, result);
}
public void ToTimeframeUnit_ReturnTimeframeUnitMinutes_ForMinutes()
{
//Act
string value = "MINUTES";
TimeframeUnit result = value.ToTimeframeUnit();
//Assert
TimeframeUnit expected = TimeframeUnit.Minutes;
Assert.AreEqual(expected, result);
}
public void EMAProbe_ReactsToPriceFeed()
{
var forexPair = MockObjectFactory.MockTickerSymbol(MockObjectFactory.EURUSD);
var timeFrame = new TimeframeUnit(TimeframeOption.M1);
var feedService = MockObjectFactory.MockManualPriceFeedService();
var ticker = feedService.Setup(forexPair, timeFrame, OHLCPriceOption.All);
var probe = new EMAProbe(ticker, 3);
probe.Subscribe(feedService);
var priceSwing = MockDataFactory.ExtractOHLCPrices(MockDataFactory.PriceSwingBeginMarker, MockDataFactory.PriceSwingEndMarker);
//Act
priceSwing.ForEach((s) => feedService.OHLC.PriceAction(ticker, s));
//Assert
Assert.IsTrue(probe.Length > 0);
}
public string GetFormattedDate(DateTime dDisplayDate, TimeframeUnit timeFrameUnit)
{
string sDisplayDate = string.Empty;
switch (timeFrameUnit)
{
case TimeframeUnit.Minute:
sDisplayDate = dDisplayDate.ToString(string.Format("dd'/'MM'/'yyyy'{0}'HH:mm", mDateTimeSeparator));
break;
case TimeframeUnit.Hour:
sDisplayDate = dDisplayDate.ToString(string.Format("dd'/'MM'/'yyyy'{0}'HH:mm", mDateTimeSeparator));
break;
case TimeframeUnit.Day:
dDisplayDate = dDisplayDate.AddDays(1);
//sDisplayDate = dDisplayDate.ToString("dd'/'MM'/'yyyy");
sDisplayDate = dDisplayDate.ToString(string.Format("dd'/'MM'/'yyyy'{0}'HH:mm", mDateTimeSeparator));
break;
case TimeframeUnit.Week:
dDisplayDate = dDisplayDate.AddDays(1);
//sDisplayDate = dDisplayDate.ToString("dd'/'MM'/'yyyy");
sDisplayDate = dDisplayDate.ToString(string.Format("dd'/'MM'/'yyyy'{0}'HH:mm", mDateTimeSeparator));
break;
case TimeframeUnit.Month:
dDisplayDate = dDisplayDate.AddDays(1);
//sDisplayDate = dDisplayDate.ToString("MM'/'yyyy");
sDisplayDate = dDisplayDate.ToString(string.Format("dd'/'MM'/'yyyy'{0}'HH:mm", mDateTimeSeparator));
break;
case TimeframeUnit.Year:
dDisplayDate = dDisplayDate.AddDays(1);
//sDisplayDate = dDisplayDate.ToString("yyyy");
sDisplayDate = dDisplayDate.ToString(string.Format("dd'/'MM'/'yyyy'{0}'HH:mm", mDateTimeSeparator));
break;
}
return(sDisplayDate);
}
/// <summary>
/// Constructor
/// </summary>
public Timeframe(TimeframeUnit unit, int length)
{
if (length <= 0)
{
throw new ArgumentException("The length cannot be zero or negative");
}
//validate length
switch (unit)
{
case TimeframeUnit.Minute:
if (length >= MINUTES_IN_DAY || ((MINUTES_IN_DAY % length) != 0))
{
throw new ArgumentException("Minute time frame must be shorter than a day and there must be the whole number of bars in a day");
}
if (length == 1)
{
mGetCandle = new GetCandleDelegate(this.GetCandleOneMinute);
}
else
{
mGetCandle = new GetCandleDelegate(this.GetCandleNMinutes);
}
mLengthInSeconds = (long)length * 60;
break;
case TimeframeUnit.Hour:
if (length >= 24 || ((24 % length) != 0))
{
throw new ArgumentException("Hour time frame must be shorter than a day and there must be the whole number of bars in a day");
}
mGetCandle = new GetCandleDelegate(this.GetCandleNMinutes);
mLengthInSeconds = (long)length * 3600;
break;
case TimeframeUnit.Day:
if (length >= 365)
{
throw new ArgumentException("Day frame frame must be shorter than an year");
}
mLengthInSeconds = (long)length * SECONDS_IN_DAY;
if (length == 1)
{
mGetCandle = new GetCandleDelegate(this.GetCandleOneDay);
}
else
{
mGetCandle = new GetCandleDelegate(this.GetCandleNDays);
}
break;
case TimeframeUnit.Week:
if (length != 1)
{
throw new ArgumentException("1-week period only is supported");
}
mGetCandle = new GetCandleDelegate(this.GetCandleWeek);
break;
case TimeframeUnit.Month:
if (length >= 12 || ((12 % length) != 0))
{
throw new ArgumentException("Month time frame must be shorter than an year and there must be the whole number of bars in an year");
}
mGetCandle = new GetCandleDelegate(this.GetCandleMonth);
break;
case TimeframeUnit.Year:
if (length != 1)
{
throw new ArgumentException("1-year period only is supported");
}
mGetCandle = new GetCandleDelegate(this.GetCandleYear);
break;
}
mUnit = unit;
mLength = length;
}
public void ToTimeframeUnit_ThrowsException_ForUnknownTimeframeName()
{
//Act
string value = "unknown";
TimeframeUnit result = value.ToTimeframeUnit();
}
