/// <summary>
/// Creates a new object that is a copy of the current instance.
/// </summary>
/// <returns>
/// A new object that is a copy of this instance.
/// </returns>
public object Clone()
{
var clone = new ContinuousFuture
{
InstrumentID = InstrumentID,
Instrument = Instrument,
UnderlyingSymbol = UnderlyingSymbol,
UnderlyingSymbolID = UnderlyingSymbolID,
Month = Month,
RolloverType = RolloverType,
RolloverDays = RolloverDays,
AdjustmentMode = AdjustmentMode,
UseJan = UseJan,
UseFeb = UseFeb,
UseMar = UseMar,
UseApr = UseApr,
UseMay = UseMay,
UseJun = UseJun,
UseJul = UseJul,
UseAug = UseAug,
UseSep = UseSep,
UseOct = UseOct,
UseNov = UseNov,
UseDec = UseDec
};
return(clone);
}
public void UseMonthSerializesCorrectlyWhenSetToFalse()
{
var ms = new MemoryStream();
var cf = new ContinuousFuture();
cf.UseDec = false;
var serialized = MyUtils.ProtoBufSerialize(cf, ms);
var cf2 = MyUtils.ProtoBufDeserialize<ContinuousFuture>(serialized, ms);
Assert.AreEqual(false, cf2.UseDec);
}
public void RaisesDataEventWithTheContinuousFuturesAlias()
{
var cf = new ContinuousFuture()
{
ID = 1,
InstrumentID = 1,
Month = 1,
UnderlyingSymbol = new UnderlyingSymbol
{
ID = 1,
Symbol = "VIX",
Rule = new ExpirationRule()
}
};
var inst = new Instrument
{
ID = 1,
Symbol = "VIXCONTFUT",
IsContinuousFuture = true,
ContinuousFuture = cf,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds);
_cfBrokerMock.Setup(x => x.RequestFrontContract(It.IsAny<Instrument>(), It.IsAny<DateTime?>())).Returns(0);
int assignedID = 0;
_dataSourceMock.Setup(x => x.RequestRealTimeData(It.IsAny<RealTimeDataRequest>())).Callback<RealTimeDataRequest>(r => assignedID = r.AssignedID);
bool raisedCorrectSymbol = false;
_broker.RealTimeDataArrived += (sender, e) =>
raisedCorrectSymbol = raisedCorrectSymbol ? raisedCorrectSymbol : e.InstrumentID == 1;
_broker.RequestRealTimeData(req);
var frontFutureInstrument = new Instrument
{
Symbol = "VXF4",
ID = 2,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
_cfBrokerMock.Raise(x => x.FoundFrontContract += null, new FoundFrontContractEventArgs(0, frontFutureInstrument, DateTime.Now));
_dataSourceMock.Raise(x => x.DataReceived += null,
new RealTimeDataEventArgs(2, MyUtils.ConvertToTimestamp(DateTime.Now), 100, 100, 100, 100, 50, 100, 2, assignedID));
Thread.Sleep(50);
Assert.IsTrue(raisedCorrectSymbol);
}
/// <summary>
/// Creates a new object that is a copy of the current instance.
/// </summary>
/// <returns>
/// A new object that is a copy of this instance.
/// </returns>
public object Clone()
{
var clone = new Instrument
{
ID = ID,
Symbol = Symbol,
UnderlyingSymbol = UnderlyingSymbol,
PrimaryExchangeID = PrimaryExchangeID,
Name = Name,
ExchangeID = ExchangeID,
Type = Type,
Multiplier = Multiplier,
Expiration = Expiration,
OptionType = OptionType,
Strike = Strike,
Currency = Currency,
MinTick = MinTick,
Industry = Industry,
Category = Category,
Subcategory = Subcategory,
IsContinuousFuture = IsContinuousFuture,
ContinuousFutureID = ContinuousFutureID,
ValidExchanges = ValidExchanges,
DatasourceID = DatasourceID,
Exchange = Exchange,
PrimaryExchange = PrimaryExchange,
Datasource = Datasource,
Tags = Tags == null ? null : Tags.ToList(),
Sessions = Sessions == null ? null : Sessions.Select(x => (InstrumentSession)x.Clone()).ToList(),
SessionsSource = SessionsSource,
SessionTemplateID = SessionTemplateID,
DatasourceSymbol = DatasourceSymbol,
TradingClass = TradingClass
};
if (ContinuousFuture != null)
{
clone.ContinuousFuture = (ContinuousFuture)ContinuousFuture.Clone();
}
return(clone);
}
public void SetUp()
{
_clientMock = new Mock<IDataClient>();
_instrumentMgrMock = new Mock<IInstrumentSource>();
_broker = new ContinuousFuturesBroker(_clientMock.Object, _instrumentMgrMock.Object);
_cfInst = new Instrument();
_cfInst.Type = InstrumentType.Future;
_cfInst.DatasourceID = 1;
_cfInst.Datasource = new Datasource { ID = 1, Name = "Interactive Brokers" };
var cf = new ContinuousFuture();
cf.Month = 1;
_cfInst.IsContinuousFuture = true;
_cfInst.ContinuousFuture = cf;
_cfInst.ContinuousFuture.AdjustmentMode = ContinuousFuturesAdjustmentMode.NoAdjustment;
var vix = new UnderlyingSymbol();
vix.Rule = new ExpirationRule
{
DaysBefore = 30,
DayType = DayType.Calendar,
ReferenceRelativeMonth = RelativeMonth.NextMonth,
ReferenceUsesDays = false,
ReferenceWeekDay = DayOfTheWeek.Friday,
ReferenceWeekDayCount = WeekDayCount.Third,
ReferenceDayMustBeBusinessDay = true
};
vix.Symbol = "VIX";
_cfInst.ContinuousFuture.UnderlyingSymbol = vix;
_req = new HistoricalDataRequest(
_cfInst,
BarSize.OneDay,
new DateTime(2013, 1, 1),
new DateTime(2013, 2, 1));
}
/// <summary>
/// Creates a new object that is a copy of the current instance.
/// </summary>
/// <returns>
/// A new object that is a copy of this instance.
/// </returns>
public object Clone()
{
var clone = new ContinuousFuture
{
InstrumentID = InstrumentID,
Instrument = Instrument,
UnderlyingSymbol = UnderlyingSymbol,
UnderlyingSymbolID = UnderlyingSymbolID,
Month = Month,
RolloverType = RolloverType,
RolloverDays = RolloverDays,
AdjustmentMode = AdjustmentMode,
UseJan = UseJan,
UseFeb = UseFeb,
UseMar = UseMar,
UseApr = UseApr,
UseMay = UseMay,
UseJun = UseJun,
UseJul = UseJul,
UseAug = UseAug,
UseSep = UseSep,
UseOct = UseOct,
UseNov = UseNov,
UseDec = UseDec
};
return clone;
}
public void RequestsFrontContractFromCFBrokerForContinuousFuturesRequests()
{
var cf = new ContinuousFuture()
{
ID = 1,
InstrumentID = 1,
Month = 1,
UnderlyingSymbol = new UnderlyingSymbol
{
ID = 1,
Symbol = "VIX",
Rule = new ExpirationRule()
}
};
var inst = new Instrument
{
ID = 1,
Symbol = "VIXCONTFUT",
IsContinuousFuture = true,
ContinuousFuture = cf,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds);
_cfBrokerMock.Setup(x => x.RequestFrontContract(It.IsAny<Instrument>(), It.IsAny<DateTime?>())).Returns(0);
_broker.RequestRealTimeData(req);
_cfBrokerMock.Verify(x => x.RequestFrontContract(It.IsAny<Instrument>(), It.IsAny<DateTime?>()));
}
public void RequestsCorrectFuturesContractForContinuousFutures()
{
var cf = new ContinuousFuture()
{
ID = 1,
InstrumentID = 1,
Month = 1,
UnderlyingSymbol = new UnderlyingSymbol
{
ID = 1,
Symbol = "VIX",
Rule = new ExpirationRule()
}
};
var inst = new Instrument
{
ID = 1,
Symbol = "VIXCONTFUT",
IsContinuousFuture = true,
ContinuousFuture = cf,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds);
_cfBrokerMock.Setup(x => x.RequestFrontContract(It.IsAny<Instrument>(), It.IsAny<DateTime?>())).Returns(0);
_broker.RequestRealTimeData(req);
var frontFutureInstrument = new Instrument
{
Symbol = "VXF4",
ID = 2,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
_cfBrokerMock.Raise(x => x.FoundFrontContract += null, new FoundFrontContractEventArgs(0, frontFutureInstrument, DateTime.Now));
_dataSourceMock.Verify(x => x.RequestRealTimeData(
It.Is<RealTimeDataRequest>(y =>
y.Instrument.ID == 2)), Times.Once);
}
public void SetUp()
{
_clientMock = new Mock<IDataClient>();
_instrumentMgrMock = new Mock<IInstrumentSource>();
_broker = new ContinuousFuturesBroker(_clientMock.Object, _instrumentMgrMock.Object);
_cfInst = new Instrument();
_cfInst.Type = InstrumentType.Future;
_cfInst.DatasourceID = 1;
_cfInst.Datasource = new Datasource { ID = 1, Name = "Interactive Brokers" };
var cf = new ContinuousFuture();
cf.Month = 1;
_cfInst.ContinuousFuture = cf;
_cfInst.ContinuousFuture.AdjustmentMode = ContinuousFuturesAdjustmentMode.NoAdjustment;
var underlying = new UnderlyingSymbol();
underlying.Symbol = "VIX";
_cfInst.ContinuousFuture.UnderlyingSymbol = underlying;
_req = new HistoricalDataRequest(
_cfInst,
BarSize.OneDay,
new DateTime(2013, 1, 1),
new DateTime(2013, 2, 1));
}