public void MakeBarFromTicks()
{
Bar bar = BarsFactory.MakeBar(MakeTicks(), new DateTime(2012, 12, 01, 10, 00, 15));
Assert.AreEqual(142100, bar.High);
Assert.AreEqual(138808, bar.Low);
Assert.AreEqual(140000, bar.Open);
Assert.AreEqual(141000, bar.Close);
Assert.AreEqual(17000, bar.Volume);
Assert.AreEqual(new DateTime(2012, 12, 01, 10, 00, 15), bar.DateTime);
}
public void GetPart()
{
long interval = TimeSpan.TicksPerMinute;
long from = new DateTime(2012, 10, 23, 20, 20, 0).Ticks;
long to = from + interval;
IEnumerable <Tick> ticks = BarsFactory.GetTicksInterval(this.ticks, from, to);
Assert.IsTrue(ticks.Count() == 5);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 20, 20), ticks.ElementAt(0).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 20, 25), ticks.ElementAt(1).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 20, 28), ticks.ElementAt(2).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 20, 33), ticks.ElementAt(3).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 20, 38), ticks.ElementAt(4).DateTime);
}
public override void OnItemAdded(Tick item)
{
if (barSettings.Symbol != item.Symbol)
{
return;
}
((FakeTimeTracker)this.timeTracker).stop = item.DateTime;
DateTime end = GetPeriodEndDate();
if (this.tradingData.Get <IEnumerable <Tick> >().LastOrDefault(t => t.Symbol == item.Symbol).DateTime < end)
{
return;
}
if (BarExists(end))
{
return;
}
if (end > this.timeTracker.StartAt + this.timeTracker.Duration)
{
return;
}
DateTime begin = end.AddSeconds(-this.barSettings.Interval);
IEnumerable <Tick> barTicks = GetTicksInRangeOf(item, begin, end);
if (barTicks == null)
{
return;
}
if (barTicks.Count() == 0)
{
return;
}
Bar fresh = BarsFactory.MakeBar(barTicks, end);
fresh.Interval = this.barSettings.Interval;
this.logger.Log(String.Format("{0:dd/MM/yyyy H:mm:ss.fff}, {1}, добавлен новый бар {2}", DateTime.Now, this.GetType().Name, fresh.ToString()));
this.tradingData.Get <ObservableCollection <Bar> >().Add(fresh);
}
public void OrderTicksByDate()
{
IEnumerable <Tick> orderedTicks = BarsFactory.OrderByDateTime(this.ticks);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 20, 20), orderedTicks.ElementAt(0).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 20, 25), orderedTicks.ElementAt(1).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 20, 28), orderedTicks.ElementAt(2).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 20, 33), orderedTicks.ElementAt(3).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 20, 38), orderedTicks.ElementAt(4).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 21, 10), orderedTicks.ElementAt(5).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 21, 20), orderedTicks.ElementAt(6).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 21, 23), orderedTicks.ElementAt(7).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 21, 45), orderedTicks.ElementAt(8).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 21, 58), orderedTicks.ElementAt(9).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 22, 20), orderedTicks.ElementAt(10).DateTime);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 22, 45), orderedTicks.ElementAt(11).DateTime);
}
public void OrderTicksByPrice()
{
IEnumerable <Tick> orderedTicks = BarsFactory.OrderByPrice(this.ticks);
Assert.AreEqual(149, orderedTicks.ElementAt(0).Price);
Assert.AreEqual(149.55, orderedTicks.ElementAt(1).Price);
Assert.AreEqual(150, orderedTicks.ElementAt(2).Price);
Assert.AreEqual(150.15, orderedTicks.ElementAt(3).Price);
Assert.AreEqual(150.43, orderedTicks.ElementAt(4).Price);
Assert.AreEqual(151, orderedTicks.ElementAt(5).Price);
Assert.AreEqual(151.12, orderedTicks.ElementAt(6).Price);
Assert.AreEqual(152, orderedTicks.ElementAt(7).Price);
Assert.AreEqual(152.38, orderedTicks.ElementAt(8).Price);
Assert.AreEqual(152.40, orderedTicks.ElementAt(9).Price);
Assert.AreEqual(152.49, orderedTicks.ElementAt(10).Price);
Assert.AreEqual(155, orderedTicks.ElementAt(11).Price);
}
public void MakeThirdBar()
{
long interval = TimeSpan.TicksPerMinute;
long from = new DateTime(2012, 10, 23, 20, 22, 0).Ticks;
long to = from + interval;
IEnumerable <Tick> ticks = BarsFactory.GetTicksInterval(this.ticks, from, to);
Bar bar = BarsFactory.MakeBar(ticks, new DateTime(2012, 10, 23, 20, 22, 45));
Assert.AreEqual(152.49, bar.High);
Assert.AreEqual(150, bar.Low);
Assert.AreEqual(152.49, bar.Open);
Assert.AreEqual(150, bar.Close);
Assert.AreEqual(200, bar.Volume);
Assert.AreEqual(new DateTime(2012, 10, 23, 20, 22, 45), bar.DateTime);
}
public void BarsFactory_Load_All_Bars_From_File()
{
IEnumerable <Bar> bars = BarsFactory.Make(String.Concat(ProjectRootFolderNameFactory.Make(), "\\App_Data\\Import\\SPFB.RTS_120901_121001_Hour.txt"));
Assert.AreEqual(294, bars.Count());
}
public void BarsFactory_Make_ForHour()
{
IEnumerable <Bar> bars = BarsFactory.Make(String.Concat(ProjectRootFolderNameFactory.Make(), "\\TestData\\SPFB.RTS.txt"));
Assert.AreEqual(574, bars.Count());
}
