public void GetCurrentCalculation_WhenNoItemInWindow_ShouldReturnEmpty()
{
// Arrange
var window = new SlidingWindow <Trade>(TimeSpan.FromMilliseconds(100), 10, Trade.CreateCalculation);
// Act
var calculation = window.GetCurrentWindowCalculation() as Calculation;
// Assert
Assert.Equal((0, 0), (calculation.Volume, calculation.CurrentCount));
}
public void SlidingWindow_WhenWindowLengthIsNotAFactorOfBucketInterval_AdjustsCorrectly(
Trade[] items, int windowLengthInMs, int bucketInterval, decimal expectedVolume, decimal expectedCount)
{
// Arrange
var window = new SlidingWindow <Trade>(TimeSpan.FromMilliseconds(windowLengthInMs), bucketInterval, Trade.CreateCalculation, testDateTimeProvider);
// Act
foreach (var item in items)
{
testDateTimeProvider.Now = item.TimeStamp;
window.Add(item);
}
var calculation = window.GetCurrentWindowCalculation() as Calculation;
// Assert
Assert.Equal((expectedVolume, expectedCount), (calculation.Volume, calculation.CurrentCount));
}
public void Add_WhenFirstBucketShiftedOutsideOfTheWindow_ShouldRemoveTheBucketFromWindow()
{
// Arrange
var items = CreateTradeItemsList(new[] { -90, 0 }, new[] { 10, 20 });
var window = new SlidingWindow <Trade>(TimeSpan.FromMilliseconds(100), 10, Trade.CreateCalculation, testDateTimeProvider);
// Act
testDateTimeProvider.Now = items[0].TimeStamp;
window.Add(items[0]);
testDateTimeProvider.Now = items[1].TimeStamp;
window.Add(items[1]);
testDateTimeProvider.Now = testDateTimeProvider.Now.AddMilliseconds(20);
var calculationAfterSecondItem = window.GetCurrentWindowCalculation() as Calculation;
// Assert
Assert.Equal((items[1].Volume, 1), (calculationAfterSecondItem.Volume, calculationAfterSecondItem.CurrentCount));
}
public void GetCurrentCalculation_WhenNoItemInWindow_ShouldUpdateWindowAndReturnEmpty(
Trade[] items, int windowLengthInMs, decimal expectedVolume, decimal expectedCount)
{
// Arrange
var window = new SlidingWindow <Trade>(TimeSpan.FromMilliseconds(windowLengthInMs), 10, Trade.CreateCalculation, testDateTimeProvider);
// Act
foreach (var item in items)
{
testDateTimeProvider.Now = item.TimeStamp;
window.Add(item);
}
testDateTimeProvider.Now = DateTime.Now;
var calculation = window.GetCurrentWindowCalculation() as Calculation;
// Assert
Assert.Equal((expectedVolume, expectedCount), (calculation.Volume, calculation.CurrentCount));
}
public void SlidingWindow_IfShiftToRight_AdjustsCorrectly(int shift, int expectedVolume, int expectedCount)
{
// Arrange
var items = CreateTradeItemsList(new[] { -1000, -900, -800, -700, -600, -500, -400, -300, -200, -100, 0 },
new[] { 1000, 900, 800, 700, 600, 500, 400, 300, 200, 100, 0 });
var window = new SlidingWindow <Trade>(TimeSpan.FromMilliseconds(500), 10, Trade.CreateCalculation, testDateTimeProvider);
// Act
foreach (var item in items)
{
testDateTimeProvider.Now = item.TimeStamp;
window.Add(item);
}
var currentCalculation = window.GetCurrentWindowCalculation() as Calculation;
var shiftRight = window.GetCalculationFor(testDateTimeProvider.Now.AddMilliseconds(shift)) as Calculation;
// Assert
Assert.Equal((1500m / 6, 6), (currentCalculation.Volume, currentCalculation.CurrentCount));
Assert.Equal((expectedVolume, expectedCount), (shiftRight.Volume, shiftRight.CurrentCount));
}
public void SlidingWindow_IfShiftToLeft_AdjustsCorrectly()
{
// Arrange
var trades = CreateTradeItemsList(new[] { -1000, -900, -800, -700, -600, -500, -400, -300, -200, -100, 0 },
new[] { 1000, 900, 800, 700, 600, 500, 400, 300, 200, 100, 0 });
var window = new SlidingWindow <Trade>(TimeSpan.FromMilliseconds(500), 10, Trade.CreateCalculation, testDateTimeProvider);
// Act
foreach (var trade in trades)
{
testDateTimeProvider.Now = trade.TimeStamp;
window.Add(trade);
}
var currentCalculation = window.GetCurrentWindowCalculation() as Calculation;
var shiftLeft = window.GetCalculationFor(testDateTimeProvider.Now.AddMilliseconds(-250)) as Calculation;
// Assert
Assert.Equal((250, 6), (currentCalculation.Volume, currentCalculation.CurrentCount));
Assert.Equal((2500m / 5, 5), (shiftLeft.Volume, shiftLeft.CurrentCount));
}
