public void Ctor_AssignsVariables_Correctly()
{
var bid = new Money(100, "GBP");
var ask = new Money(99, "GBP");
var price = new Money(101, "GBP");
var volume = new Volume(909);
var spreadTimeBar = new SpreadTimeBar(bid, ask, price, volume);
Assert.AreEqual(bid, spreadTimeBar.Bid);
Assert.AreEqual(ask, spreadTimeBar.Ask);
Assert.AreEqual(price, spreadTimeBar.Price);
Assert.AreEqual(volume, spreadTimeBar.Volume);
}
public void TickSecurity_UpdatesWithNewTickData_Printing100IterationWalk()
{
var strategy = new MarkovEquityStrategy();
var identifiers = new InstrumentIdentifiers(
string.Empty,
string.Empty,
string.Empty,
"MSFT",
"MS12345",
"MSF123456789",
"MSFT",
"MSF12341234",
"MSFT",
"MSFT",
"MSFT",
"MSFT");
var security = new FinancialInstrument(
InstrumentTypes.Equity,
identifiers,
"Microsoft",
"CFI",
"USD",
"Microsoft Company");
var spread = new SpreadTimeBar(
new Money(66, "GBP"),
new Money(65, "GBP"),
new Money(65, "GBP"),
new Volume(200000));
var tick = new EquityInstrumentIntraDayTimeBar(
security,
spread,
new DailySummaryTimeBar(1000, "USD", null, 1000, new Volume(200000), DateTime.UtcNow),
DateTime.UtcNow,
new Market("1", "NASDAQ", "NASDAQ", MarketTypes.STOCKEXCHANGE));
var printableInitialSecurity = JsonConvert.SerializeObject(security);
Console.WriteLine(printableInitialSecurity);
for (var i = 0; i < 99; i++)
{
tick = strategy.AdvanceFrame(tick, DateTime.UtcNow, true);
var printableGeneratedSecurity = JsonConvert.SerializeObject(security);
Console.WriteLine(printableGeneratedSecurity);
Assert.IsTrue(tick.SpreadTimeBar.Bid.Value >= tick.SpreadTimeBar.Ask.Value);
}
}
private IUniverseEvent MapRowToFixedIncomeIntradayMarketDataEvent(IntradayMarketDataParameters marketDataParam)
{
if (marketDataParam == null)
{
return(null);
}
if (string.IsNullOrWhiteSpace(marketDataParam.SecurityName) ||
!this._securitySelection.Securities.ContainsKey(marketDataParam.SecurityName))
{
this._scenarioContext.Pending();
return(null);
}
if (marketDataParam.Bid == null || marketDataParam.Ask == null || marketDataParam.Price == null)
{
this._scenarioContext.Pending();
return(null);
}
var security = this._securitySelection.Securities[marketDataParam.SecurityName];
var bid = this.MapToMoney(marketDataParam.Bid, marketDataParam.Currency);
var ask = this.MapToMoney(marketDataParam.Ask, marketDataParam.Currency);
var price = this.MapToMoney(marketDataParam.Price, marketDataParam.Currency);
var volume = new Volume(marketDataParam.Volume.GetValueOrDefault(0));
var intradayPrices = new SpreadTimeBar(bid.Value, ask.Value, price.Value, volume);
var marketData = new FixedIncomeInstrumentIntraDayTimeBar(
security.Instrument,
intradayPrices,
null,
marketDataParam.Epoch,
security.Market);
var timeBarCollection = new FixedIncomeIntraDayTimeBarCollection(
security.Market,
marketDataParam.Epoch,
new[] { marketData });
var universeEvent = new UniverseEvent(
UniverseStateEvent.FixedIncomeIntraDayTick,
marketDataParam.Epoch,
timeBarCollection);
return(universeEvent);
}
public EquityInstrumentIntraDayTimeBar AdvanceFrame(
EquityInstrumentIntraDayTimeBar tick,
DateTime advanceTick,
bool walkIntraday)
{
if (tick == null)
{
return(null);
}
var newBuy = this.CalculateNewBuyValue(tick);
var newSell = this.CalculateNewSellValue(tick, newBuy);
var newVolume = this.CalculateNewVolume(tick);
var newSpread = new SpreadTimeBar(
new Money(newBuy, tick.SpreadTimeBar.Bid.Currency),
new Money(newSell, tick.SpreadTimeBar.Ask.Currency),
new Money(newBuy, tick.SpreadTimeBar.Bid.Currency),
newVolume);
var newMarketCap =
(tick.DailySummaryTimeBar.ListedSecurities ?? tick.DailySummaryTimeBar.DailyVolume.Traded) * newBuy;
var newIntraday = walkIntraday
? this.BuildIntraday(tick, newBuy, tick.SpreadTimeBar.Bid.Currency.Code)
: tick.DailySummaryTimeBar.IntradayPrices ?? this.BuildIntraday(
tick,
newBuy,
tick.SpreadTimeBar.Bid.Currency.Code);
var newDaily = new DailySummaryTimeBar(
newMarketCap,
"USD",
newIntraday,
tick.DailySummaryTimeBar.ListedSecurities,
tick.DailySummaryTimeBar.DailyVolume,
advanceTick);
return(new EquityInstrumentIntraDayTimeBar(tick.Security, newSpread, newDaily, advanceTick, tick.Market));
}
public void Ctor_AssignsVariables_Correctly()
{
var fi = new FinancialInstrument();
var prices = new IntradayPrices(null, null, null, null);
var dates = DateTime.UtcNow;
var spreadTb = new SpreadTimeBar(
new Money(100, "GBP"),
new Money(100, "GBP"),
new Money(100, "GBP"),
new Volume(99));
var dailyTb = new DailySummaryTimeBar(100, "USD", prices, 123, new Volume(123), dates);
var market = new Market("1", "XLON", "London Stock Exchange", MarketTypes.DealerBooks);
var equityTimeBar = new EquityInstrumentIntraDayTimeBar(fi, spreadTb, dailyTb, dates, market);
Assert.AreEqual(fi, equityTimeBar.Security);
Assert.AreEqual(spreadTb, equityTimeBar.SpreadTimeBar);
Assert.AreEqual(dailyTb, equityTimeBar.DailySummaryTimeBar);
Assert.AreEqual(dates, equityTimeBar.TimeStamp);
Assert.AreEqual(market, equityTimeBar.Market);
}
