public void EmitsData()
{
var algorithm = new AlgorithmStub(forex: new List <string> {
"EURUSD"
});
// job is used to send into DataQueueHandler
var job = new LiveNodePacket();
// result handler is used due to dependency in SubscriptionDataReader
var resultHandler = new BacktestingResultHandler();
var lastTime = DateTime.MinValue;
var timeProvider = new RealTimeProvider();
var dataQueueHandler = new FuncDataQueueHandler(fdqh =>
{
var time = timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.EasternStandard);
if (time == lastTime)
{
return(Enumerable.Empty <BaseData>());
}
lastTime = time;
return(Enumerable.Range(0, 9).Select(x => new Tick(time.AddMilliseconds(x * 100), Symbols.EURUSD, 1.3m, 1.2m, 1.3m)));
});
var feed = new TestableLiveTradingDataFeed(dataQueueHandler, timeProvider);
var mapFileProvider = new LocalDiskMapFileProvider();
feed.Initialize(algorithm, job, resultHandler, mapFileProvider, new LocalDiskFactorFileProvider(mapFileProvider));
var feedThreadStarted = new ManualResetEvent(false);
Task.Factory.StartNew(() =>
{
feedThreadStarted.Set();
feed.Run();
});
// wait for feed.Run to actually begin
feedThreadStarted.WaitOne();
var emittedData = false;
ConsumeBridge(feed, TimeSpan.FromSeconds(10), true, ts =>
{
if (ts.Slice.Count != 0)
{
emittedData = true;
Console.WriteLine("HasData: " + ts.Slice.Bars[Symbols.EURUSD].EndTime);
Console.WriteLine();
}
});
Assert.IsTrue(emittedData);
}
private static IEnumerable <BaseData> ProduceBenchmarkTicks(FuncDataQueueHandler fdqh, Count count)
{
for (int i = 0; i < 10000; i++)
{
foreach (var symbol in fdqh.Subscriptions)
{
count.Value++;
yield return(new Tick {
Symbol = symbol
});
}
}
}
private static BaseDataExchange CreateExchange(ConcurrentQueue <BaseData> dataQueue)
{
var dataQueueHandler = new FuncDataQueueHandler(q =>
{
BaseData data;
int count = 0;
var list = new List <BaseData>();
while (++count < 10 && dataQueue.TryDequeue(out data))
{
list.Add(data);
}
return(list);
});
var exchange = new BaseDataExchange("test");
IEnumerator <BaseData> enumerator = GetNextTicksEnumerator(dataQueueHandler);
var sym = Symbol.Create("data-queue-handler-symbol", SecurityType.Base, Market.USA);
exchange.AddEnumerator(sym, enumerator, null, null);
return(exchange);
}