public void FiresEventAfterTimePassesViaScanWithMultipleResolutions()
{
TradeBar consolidated = null;
var period = TimeSpan.FromMinutes(2);
var consolidator = new TradeBarConsolidator(period);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13, 10, 20, 0);
var time = reference;
for (int i = 0; i < 10; i++)
{
consolidator.Update(new TradeBar {
Time = time, Period = Time.OneSecond
});
time = time.AddSeconds(1);
consolidator.Scan(time);
Assert.IsNull(consolidated);
}
consolidator.Update(new TradeBar {
Time = time, Period = Time.OneMinute
});
time = reference.Add(period);
consolidator.Scan(time);
Assert.IsNotNull(consolidated);
Assert.AreEqual(reference, consolidated.Time);
Assert.AreEqual(period, consolidated.Period);
consolidated = null;
consolidator.Update(new TradeBar {
Time = time, Period = Time.OneSecond
});
time = time.AddSeconds(1);
consolidator.Scan(time);
Assert.IsNull(consolidated);
time = time.AddSeconds(-1);
consolidator.Update(new TradeBar {
Time = time, Period = Time.OneMinute
});
time = time.AddMinutes(1);
consolidator.Scan(time);
Assert.IsNull(consolidated);
consolidator.Update(new TradeBar {
Time = time, Period = Time.OneMinute
});
time = time.AddMinutes(1);
consolidator.Scan(time);
Assert.IsNotNull(consolidated);
Assert.AreEqual(reference.AddMinutes(2), consolidated.Time);
Assert.AreEqual(period, consolidated.Period);
}
public void ConsolidatorEmitsOffsetBarsCorrectly()
{
// This test is to cover an issue seen with the live data stack
// The consolidator would fail to emit every other bar because of a
// ms delay in data from a live stream
var period = TimeSpan.FromHours(2);
using var consolidator = new TradeBarConsolidator(period);
var consolidatedBarsCount = 0;
consolidator.DataConsolidated += (sender, bar) =>
{
consolidatedBarsCount++;
};
var random = new Random();
var time = new DateTime(2015, 04, 13);
// The bars time is accurate, covering the hour perfectly
// But the emit time is slightly offset (the timeslice that contains the bar)
// So add a random ms offset to the scan time
consolidator.Update(new TradeBar {
Time = time, Period = Time.OneHour
});
time = time.Add(period);
consolidator.Scan(time.AddMilliseconds(random.Next(800)));
consolidator.Update(new TradeBar {
Time = time, Period = Time.OneHour
});
time = time.Add(period);
consolidator.Scan(time.AddMilliseconds(random.Next(800)));
consolidator.Update(new TradeBar {
Time = time, Period = Time.OneHour
});
time = time.Add(period);
consolidator.Scan(time.AddMilliseconds(random.Next(800)));
consolidator.Update(new TradeBar {
Time = time, Period = Time.OneHour
});
time = time.Add(period);
consolidator.Scan(time.AddMilliseconds(random.Next(800)));
// We should expect to see 4 bars emitted from the consolidator
Assert.AreEqual(4, consolidatedBarsCount);
}
[TestCase(16)] // 4PM
public void BarsEmitOnTime(int hour)
{
// This test just pushes one full hourly bar into a consolidator
// and scans to see if it will emit immediately as expected
using var consolidator = new TradeBarConsolidator(Time.OneHour);
var consolidatedBarsCount = 0;
TradeBar latestBar = null;
var time = new DateTime(2015, 04, 13, hour, 0, 0);
consolidator.DataConsolidated += (sender, bar) =>
{
latestBar = bar;
consolidatedBarsCount++;
};
// Update with one tradebar that ends at this time
// This is to simulate getting a data bar for the last period
consolidator.Update(new TradeBar {
Time = time.Subtract(Time.OneMinute), Period = Time.OneMinute
});
// Assert that the bar hasn't emitted
Assert.IsNull(latestBar);
Assert.AreEqual(0, consolidatedBarsCount);
// Scan afterwards (Like algorithmManager does)
consolidator.Scan(time);
// Assert that the bar emitted
Assert.IsNotNull(latestBar);
Assert.IsTrue(latestBar.EndTime == time);
Assert.AreEqual(1, consolidatedBarsCount);
}
public void FiresEventAfterTimePassesViaScan()
{
TradeBar consolidated = null;
var period = TimeSpan.FromDays(1);
var consolidator = new TradeBarConsolidator(period);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new TradeBar {
Time = reference.AddSeconds(45), Period = period
});
Assert.IsNull(consolidated);
consolidator.Scan(reference + period);
Assert.IsNotNull(consolidated);
}
public void ConsolidatorEmitsRegularly()
{
// This test just pushes through 1000 bars
// and ensures that the emit time and count are correct
var period = TimeSpan.FromHours(1);
var consolidator = new TradeBarConsolidator(period);
var consolidatedBarsCount = 0;
var time = new DateTime(2015, 04, 13);
consolidator.DataConsolidated += (sender, bar) =>
{
Assert.IsTrue(bar.EndTime == time);
consolidatedBarsCount++;
};
PushBarsThrough(1000, Time.OneHour, consolidator, ref time);
// Scan one last time so we can emit the 1000th bar
consolidator.Scan(time);
Assert.AreEqual(1000, consolidatedBarsCount);
}
public void FiresEventAfterTimePassesViaScan()
{
TradeBar consolidated = null;
var period = TimeSpan.FromDays(2);
using var consolidator = new TradeBarConsolidator(period);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new TradeBar {
Time = reference, Period = Time.OneDay
});
Assert.IsNull(consolidated);
consolidator.Scan(reference + period);
Assert.IsNotNull(consolidated);
Assert.AreEqual(reference, consolidated.Time);
}
public void ConsolidatedPeriodEqualsTimeBasedConsolidatorPeriod()
{
TradeBar consolidated = null;
var period = TimeSpan.FromMinutes(2);
var consolidator = new TradeBarConsolidator(period);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13, 10, 20, 0);
var time = reference;
consolidator.Update(new TradeBar {
Time = time, Period = Time.OneMinute
});
time = reference.Add(period);
consolidator.Scan(time);
Assert.IsNotNull(consolidated);
Assert.AreEqual(reference, consolidated.Time);
Assert.AreEqual(period, consolidated.Period);
}
public void ConsolidatorEmitsOldBarsUsingScan()
{
// This test is to ensure that no bars get swallowed by the consolidator
// even if it doesn't get the data on regular intervals.
// We will use Consolidators Scan method to emit bars
var period = TimeSpan.FromHours(1);
using var consolidator = new TradeBarConsolidator(period);
TradeBar latestConsolidated = null;
var consolidatedBarsCount = 0;
consolidator.DataConsolidated += (sender, bar) =>
{
latestConsolidated = bar;
consolidatedBarsCount++;
};
var time = new DateTime(2015, 04, 13);
// Push through one bar at 12:00AM to create the consolidators working bar
PushBarsThrough(1, Time.OneMinute, consolidator, ref time);
// There should be no emit, lets assert the current time and count
Assert.IsTrue(time == new DateTime(2015, 04, 13, 0, 1, 0));
Assert.AreEqual(0, consolidatedBarsCount);
// Now advance time way past (3 Hours) the bar end time of 1AM
time += TimeSpan.FromHours(3); // Time = 3:59AM now
// Call scan with current time, it should emit the 12AM - 1AM Bar without any update
consolidator.Scan(time);
Assert.AreEqual(1, consolidatedBarsCount);
Assert.IsTrue(latestConsolidated != null && latestConsolidated.Time == new DateTime(2015, 04, 13, 0, 0, 0));
// WorkingBar should be null, ready for whatever data comes through next
Assert.IsTrue(consolidator.WorkingBar == null);
}
public void FiresEventAfterTimePassesViaScanWithMultipleResolutions()
{
TradeBar consolidated = null;
var period = TimeSpan.FromMinutes(2);
var consolidator = new TradeBarConsolidator(period);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13, 10, 20, 0);
var time = reference;
for (int i = 0; i < 10; i++)
{
consolidator.Update(new TradeBar {Time = time, Period = Time.OneSecond});
time = time.AddSeconds(1);
consolidator.Scan(time);
Assert.IsNull(consolidated);
}
consolidator.Update(new TradeBar { Time = time, Period = Time.OneMinute });
time = reference.Add(period);
consolidator.Scan(time);
Assert.IsNotNull(consolidated);
Assert.AreEqual(reference, consolidated.Time);
Assert.AreEqual(period, consolidated.Period);
consolidated = null;
consolidator.Update(new TradeBar { Time = time, Period = Time.OneSecond });
time = time.AddSeconds(1);
consolidator.Scan(time);
Assert.IsNull(consolidated);
time = time.AddSeconds(-1);
consolidator.Update(new TradeBar { Time = time, Period = Time.OneMinute });
time = time.AddMinutes(1);
consolidator.Scan(time);
Assert.IsNull(consolidated);
consolidator.Update(new TradeBar { Time = time, Period = Time.OneMinute });
time = time.AddMinutes(1);
consolidator.Scan(time);
Assert.IsNotNull(consolidated);
Assert.AreEqual(reference.AddMinutes(2), consolidated.Time);
Assert.AreEqual(period, consolidated.Period);
}
public void ConsolidatedPeriodEqualsTimeBasedConsolidatorPeriod()
{
TradeBar consolidated = null;
var period = TimeSpan.FromMinutes(2);
var consolidator = new TradeBarConsolidator(period);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13, 10, 20, 0);
var time = reference;
consolidator.Update(new TradeBar { Time = time, Period = Time.OneMinute });
time = reference.Add(period);
consolidator.Scan(time);
Assert.IsNotNull(consolidated);
Assert.AreEqual(reference, consolidated.Time);
Assert.AreEqual(period, consolidated.Period);
}
public void FiresEventAfterTimePassesViaScan()
{
TradeBar consolidated = null;
var period = TimeSpan.FromDays(1);
var consolidator = new TradeBarConsolidator(period);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new TradeBar { Time = reference.AddSeconds(45), Period = period });
Assert.IsNull(consolidated);
consolidator.Scan(reference + period);
Assert.IsNotNull(consolidated);
Assert.AreEqual(reference, consolidated.Time);
}
