public void ArchiveEmptyCollection_OneItemToArchive_OneToKeep_ReturnsOne()
{
var stack = new EquityInterDayHistoryStack();
var date = DateTime.UtcNow;
var firstBar = date - TimeSpan.FromDays(2);
var tb = this.GetTimeBar();
var tb2 = this.GetTimeBar();
var timeBarCollection = new EquityInterDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
firstBar,
new[] { tb, tb2 });
var timeBarCollection2 = new EquityInterDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
DateTime.UtcNow,
new[] { tb, tb2 });
stack.Add(timeBarCollection, firstBar);
stack.Add(timeBarCollection2, date);
var stackContents = stack.ActiveMarketHistory();
Assert.AreEqual(2, stackContents.Count);
stack.ArchiveExpiredActiveItems(date);
var stackContentsAfterExpire = stack.ActiveMarketHistory();
Assert.AreEqual(1, stackContentsAfterExpire.Count);
Assert.AreEqual(timeBarCollection2, stackContentsAfterExpire.Pop());
}
public void DoesPush_IfDateDoesMatch_MultipleTimeBars()
{
var stack = new EquityInterDayHistoryStack();
var date = DateTime.UtcNow;
var tb = this.GetTimeBar();
var tb2 = this.GetTimeBar();
var timeBarCollection = new EquityInterDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
DateTime.UtcNow - TimeSpan.FromMinutes(1),
new[] { tb, tb2 });
var timeBarCollection2 = new EquityInterDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
DateTime.UtcNow,
new[] { tb, tb2 });
stack.Add(timeBarCollection, date);
stack.Add(timeBarCollection2, date);
var stackContents = stack.ActiveMarketHistory();
Assert.AreEqual(2, stackContents.Count);
Assert.AreEqual(timeBarCollection2, stackContents.Pop());
Assert.AreEqual(timeBarCollection, stackContents.Pop());
}
public void Add(EquityInterDayTimeBarCollection value)
{
if (value == null)
{
this._logger.LogInformation("UniverseEquityInterDayCache was asked to add null. returning");
return;
}
this._logger.LogInformation(
$"UniverseEquityInterDayCache adding {value.Epoch} - {value.Exchange?.MarketIdentifierCode}");
if (this._latestExchangeFrameBook.ContainsKey(value.Exchange.MarketIdentifierCode))
{
this._latestExchangeFrameBook.Remove(value.Exchange.MarketIdentifierCode);
this._latestExchangeFrameBook.Add(value.Exchange.MarketIdentifierCode, value);
}
else
{
this._latestExchangeFrameBook.Add(value.Exchange.MarketIdentifierCode, value);
}
if (!this._marketHistory.ContainsKey(value.Exchange.MarketIdentifierCode))
{
var history = new EquityInterDayHistoryStack();
history.Add(value, value.Epoch);
this._marketHistory.TryAdd(value.Exchange.MarketIdentifierCode, history);
}
else
{
this._marketHistory.TryGetValue(value.Exchange.MarketIdentifierCode, out var history);
history?.Add(value, value.Epoch);
history?.ArchiveExpiredActiveItems(value.Epoch);
}
}
public void ToString_PrintsOutExpected_ExchangeAndSecurities()
{
var market = new Market("1", "xlon", "london stock exchange", MarketTypes.DarkPool);
var date = DateTime.UtcNow;
var timeBars = new EquityInstrumentInterDayTimeBar[0];
var coll = new EquityInterDayTimeBarCollection(market, date, timeBars);
var result = coll.ToString();
Assert.AreEqual("Exchange (xlon.london stock exchange) Securities(0)", result);
}
public void Ctor_AssignsVariables_Correctly()
{
var market = new Market("1", "xlon", "london stock exchange", MarketTypes.DarkPool);
var date = DateTime.UtcNow;
var timeBars = new EquityInstrumentInterDayTimeBar[0];
var coll = new EquityInterDayTimeBarCollection(market, date, timeBars);
Assert.AreEqual(market, coll.Exchange);
Assert.AreEqual(date, coll.Epoch);
Assert.AreEqual(timeBars, coll.Securities);
}
public void RunRule_DoesRaiseAlertInEschaton_WhenBidirectionalTradeAndDoesExceedsDailyThreshold_AndHasMarketData()
{
_tradingHoursService = new MarketTradingHoursService(_tradingHoursRepository, new NullLogger <MarketTradingHoursService>());
var rule = new LayeringRule(_equitiesParameters, _alertStream, _orderFilter, _logger, _equityFactory, _fixedIncomeFactory, _tradingHoursService, _ruleCtx, RuleRunMode.ValidationRun, _tradingLogger);
var tradeBuy = ((Order)null).Random();
var tradeSell = ((Order)null).Random();
tradeBuy.PlacedDate = new DateTime(2018, 01, 01, 12, 0, 0);
tradeBuy.OrderDirection = OrderDirections.BUY;
tradeBuy.FilledDate = tradeBuy.PlacedDate.Value.AddMinutes(1);
tradeSell.PlacedDate = new DateTime(2018, 01, 01, 12, 0, 0);
tradeSell.OrderDirection = OrderDirections.SELL;
tradeSell.FilledDate = tradeSell.PlacedDate.Value.AddMinutes(1);
tradeBuy.OrderFilledVolume = 987;
tradeSell.OrderFilledVolume = 1019;
var market = new Market("1", "XLON", "London Stock Exchange", MarketTypes.STOCKEXCHANGE);
var marketData = new EquityInterDayTimeBarCollection(market, tradeBuy.PlacedDate.Value.AddSeconds(-55),
new List <EquityInstrumentInterDayTimeBar>
{
new EquityInstrumentInterDayTimeBar(
tradeBuy.Instrument,
new DailySummaryTimeBar(
1000,
"USD",
new IntradayPrices(tradeBuy.OrderAverageFillPrice.Value, tradeBuy.OrderAverageFillPrice.Value,
tradeBuy.OrderAverageFillPrice.Value, tradeBuy.OrderAverageFillPrice.Value),
1000,
new Volume(2000),
tradeBuy.PlacedDate.Value.AddSeconds(-55)
),
tradeBuy.PlacedDate.Value.AddSeconds(-55),
market)
});
var genesis = new UniverseEvent(UniverseStateEvent.Genesis, tradeBuy.PlacedDate.Value.AddMinutes(-1), new object());
var marketDataEvent = new UniverseEvent(UniverseStateEvent.EquityInterDayTick, tradeBuy.PlacedDate.Value.AddSeconds(-55), marketData);
var buyEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeBuy.PlacedDate.Value, tradeBuy);
var sellEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeSell.PlacedDate.Value, tradeSell);
var eschaton = new UniverseEvent(UniverseStateEvent.Eschaton, tradeSell.PlacedDate.Value.AddMinutes(1), new object());
rule.OnNext(genesis);
rule.OnNext(marketDataEvent);
rule.OnNext(buyEvent);
rule.OnNext(sellEvent);
rule.OnNext(eschaton);
A.CallTo(() => _alertStream.Add(A <IUniverseAlertEvent> .Ignored)).MustHaveHappened();
A.CallTo(() => _ruleCtx.EndEvent()).MustHaveHappenedOnceExactly();
A.CallTo(() => _operationCtx.EndEventWithMissingDataError()).MustNotHaveHappened();
}
public void DoesPush_SetAMarket_OnExchangeCall()
{
var stack = new EquityInterDayHistoryStack();
var date = DateTime.UtcNow;
var tb = this.GetTimeBar();
var venue = new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE);
var timeBarCollection = new EquityInterDayTimeBarCollection(venue, DateTime.UtcNow, new[] { tb });
stack.Add(timeBarCollection, date);
var exch = stack.Exchange();
Assert.AreEqual(exch, venue);
}
public void DoesNotPush_IfDateDoesNotMatch()
{
var stack = new EquityInterDayHistoryStack();
var date = DateTime.UtcNow - TimeSpan.FromDays(3);
var tb = this.GetTimeBar();
var timeBarCollection = new EquityInterDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
DateTime.UtcNow,
new[] { tb });
stack.Add(timeBarCollection, date);
var stackContents = stack.ActiveMarketHistory();
Assert.IsEmpty(stackContents);
}
public void Add(EquityInterDayTimeBarCollection frame, DateTime currentTime)
{
if (frame == null)
{
return;
}
lock (this._lock)
{
// Ensure all contents have the same date (may not work well in pacific zone with the international date line ++ trading hours - should be OK for Japan/Tokyo and USA/SanFran) - RT
if (currentTime.Date == frame.Epoch.Date)
{
this._activeStack.Push(frame);
}
}
}
public void DoesPush_IfDateDoesMatch()
{
var stack = new EquityInterDayHistoryStack();
var date = DateTime.UtcNow;
var tb = this.GetTimeBar();
var timeBarCollection = new EquityInterDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
DateTime.UtcNow,
new[] { tb });
stack.Add(timeBarCollection, date);
var stackContents = stack.ActiveMarketHistory();
Assert.AreEqual(1, stackContents.Count);
Assert.AreEqual(timeBarCollection, stackContents.Peek());
}
private IUniverseEvent MapRowToInterdayMarketDataEvent(InterdayMarketDataParameters marketDataParam)
{
if (marketDataParam == null)
{
return(null);
}
if (string.IsNullOrWhiteSpace(marketDataParam.SecurityName) ||
!this._securitySelection.Securities.ContainsKey(marketDataParam.SecurityName))
{
this._scenarioContext.Pending();
return(null);
}
var security = this._securitySelection.Securities[marketDataParam.SecurityName];
var open = this.MapToMoney(marketDataParam.Open, marketDataParam.Currency);
var close = this.MapToMoney(marketDataParam.Close, marketDataParam.Currency);
var high = this.MapToMoney(marketDataParam.High, marketDataParam.Currency);
var low = this.MapToMoney(marketDataParam.Low, marketDataParam.Currency);
var intradayPrices = new IntradayPrices(open, close, high, low);
var dailySummary = new DailySummaryTimeBar(
marketDataParam.MarketCap,
marketDataParam.Currency,
intradayPrices,
marketDataParam.ListedSecurities,
new Volume(marketDataParam.DailyVolume.GetValueOrDefault(0)),
marketDataParam.Epoch);
var marketData = new EquityInstrumentInterDayTimeBar(
security.Instrument,
dailySummary,
marketDataParam.Epoch,
security.Market);
var timeBarCollection = new EquityInterDayTimeBarCollection(
security.Market,
marketDataParam.Epoch,
new[] { marketData });
var universeEvent = new UniverseEvent(
UniverseStateEvent.EquityInterDayTick,
marketDataParam.Epoch,
timeBarCollection);
return(universeEvent);
}
public void Setup()
{
this._dataRequestRepository = A.Fake <IRuleRunDataRequestRepository>();
this._logger = A.Fake <ILogger>();
var xlon = new Market("1", "XLON", "XLON", MarketTypes.STOCKEXCHANGE);
this._instrument1 = new InstrumentIdentifiers(
"1",
"1",
"1",
"client-id-1",
"abcd123",
"abcd12345678",
"abcd12345678",
"abc123",
"TEST",
"TEST INC",
"TSTY",
"testRic");
this._instrument2 = new InstrumentIdentifiers(
"2",
"2",
"2",
"client-id-2",
"abcd122",
"abcd12345672",
"abcd12345672",
"abc122",
"TES2",
"TEST2 INC",
"TST2Y",
"test2Ric");
this._mdr1 = new MarketDataRequest(
"1",
"XLON",
"entspb",
this._instrument1,
DateTime.UtcNow,
DateTime.UtcNow.AddDays(1),
"1",
false,
DataSource.AnyInterday);
this._mdr2 = new MarketDataRequest(
"2",
"XLON",
"entspb",
this._instrument1,
DateTime.UtcNow.AddDays(-5),
DateTime.UtcNow.AddDays(-4),
"1",
false,
DataSource.AnyInterday);
this._interdayTimeBarCollectionNasdaq = new EquityInterDayTimeBarCollection(
new Market("1", "NASDAQ", "NASDAQ", MarketTypes.STOCKEXCHANGE),
DateTime.UtcNow,
new EquityInstrumentInterDayTimeBar[0]);
this._interdayTimeBarCollectionXlon = new EquityInterDayTimeBarCollection(
xlon,
DateTime.UtcNow,
new[]
{
new EquityInstrumentInterDayTimeBar(
new FinancialInstrument(
InstrumentTypes.Equity,
this._instrument1,
"test",
"entspb",
"GBX",
"TEST"),
new DailySummaryTimeBar(null, null, null, null, new Volume(1), DateTime.Now),
DateTime.UtcNow,
xlon)
});
this._interdayTimeBarCollectionXlon2 = new EquityInterDayTimeBarCollection(
xlon,
DateTime.UtcNow,
new[]
{
new EquityInstrumentInterDayTimeBar(
new FinancialInstrument(
InstrumentTypes.Equity,
this._instrument2,
"test",
"entspb",
"GBX",
"TEST"),
new DailySummaryTimeBar(null, null, null, null, new Volume(1), DateTime.Now),
DateTime.UtcNow,
xlon)
});
}
