public void DoesNotConsolidateDifferentSymbols()
{
var consolidator = new BaseDataConsolidator(2);
var reference = DateTime.Today;
var tb1 = new Tick
{
Symbol = Symbols.AAPL,
Time = reference,
Value = 5,
Quantity = 10
};
var tb2 = new Tick
{
Symbol = Symbols.ZNGA,
Time = reference,
Value = 2,
Quantity = 5
};
consolidator.Update(tb1);
Exception ex = Assert.Throws <InvalidOperationException>(() => consolidator.Update(tb2));
Assert.That(ex.Message, Is.StringContaining("is not the same"));
}
public void AggregatesNewTradeBarProperly()
{
TradeBar newTradeBar = null;
var creator = new BaseDataConsolidator(4);
creator.DataConsolidated += (sender, tradeBar) =>
{
newTradeBar = tradeBar;
};
var reference = DateTime.Today;
var bar1 = new Tick
{
Symbol = "SPY",
Time = reference,
Value = 5,
Quantity = 10
};
creator.Update(bar1);
Assert.IsNull(newTradeBar);
var bar2 = new Tick
{
Symbol = "SPY",
Time = reference.AddHours(1),
Value = 10,
Quantity = 20
};
creator.Update(bar2);
Assert.IsNull(newTradeBar);
var bar3 = new Tick
{
Symbol = "SPY",
Time = reference.AddHours(2),
Value = 1,
Quantity = 10
};
creator.Update(bar3);
Assert.IsNull(newTradeBar);
var bar4 = new Tick
{
Symbol = "SPY",
Time = reference.AddHours(3),
Value = 9,
Quantity = 20
};
creator.Update(bar4);
Assert.IsNotNull(newTradeBar);
Assert.AreEqual("SPY", newTradeBar.Symbol);
Assert.AreEqual(bar1.Time, newTradeBar.Time);
Assert.AreEqual(bar1.Value, newTradeBar.Open);
Assert.AreEqual(bar2.Value, newTradeBar.High);
Assert.AreEqual(bar3.Value, newTradeBar.Low);
Assert.AreEqual(bar4.Value, newTradeBar.Close);
// base data can't aggregate volume
Assert.AreEqual(0, newTradeBar.Volume);
}
public void AggregatesPeriodInCountModeWithHourlyData()
{
TradeBar consolidated = null;
var consolidator = new BaseDataConsolidator(2);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new Tick {
Time = reference
});
Assert.IsNull(consolidated);
consolidator.Update(new Tick {
Time = reference.AddHours(1)
});
Assert.IsNotNull(consolidated);
// sadly the first emit will be off by the data resolution since we 'swallow' a point, so to speak.
Assert.AreEqual(TimeSpan.FromHours(1), consolidated.Period);
consolidated = null;
consolidator.Update(new Tick {
Time = reference.AddHours(2)
});
Assert.IsNull(consolidated);
consolidator.Update(new Tick {
Time = reference.AddHours(3)
});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromHours(2), consolidated.Period);
consolidated = null;
consolidator.Update(new Tick {
Time = reference.AddHours(4)
});
Assert.IsNull(consolidated);
consolidator.Update(new Tick {
Time = reference.AddHours(5)
});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromHours(2), consolidated.Period);
}
public void ConsolidatesWithRegisterIndicator()
{
var consolidator = new BaseDataConsolidator(TimeSpan.FromMinutes(5));
consolidator.DataConsolidated += OnFiveMinutes;
indicator = new SimpleMovingAverage(2);
RegisterIndicator(indicator, consolidator);
var time = DateTime.Today.AddHours(9);
for (var i = 1; i < 100; i++)
{
consolidator.Update(new Tick(time.AddMinutes(i - 1), Symbols.SPY, i, i, i));
}
}
public void ExpectedConsolidatedTradeBarsInPeriodMode(TimeSpan barSpan, TimeSpan updateSpan)
{
TradeBar consolidated = null;
using var consolidator = new BaseDataConsolidator(barSpan);
consolidator.DataConsolidated += (sender, bar) =>
{
Assert.AreEqual(barSpan, bar.Period); // The period matches our span
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
var dataTime = reference;
var nextBarTime = reference + barSpan;
var lastBarTime = reference;
// First data point
consolidator.Update(new Tick {
Time = dataTime
});
Assert.IsNull(consolidated);
for (var i = 0; i < 10; i++)
{
// Add data on the given interval until we expect a new bar
while (dataTime < nextBarTime)
{
dataTime = dataTime.Add(updateSpan);
consolidator.Update(new Tick {
Time = dataTime
});
}
// Our asserts
Assert.IsNotNull(consolidated); // We have a bar
Assert.AreEqual(dataTime, consolidated.EndTime); // New bar time should be dataTime
Assert.AreEqual(barSpan, consolidated.EndTime - lastBarTime); // The difference between the bars is the span
nextBarTime = dataTime + barSpan;
lastBarTime = consolidated.EndTime;
}
}
public void AggregatesPeriodInPeriodModeWithDailyDataAndRoundedTime()
{
TradeBar consolidated = null;
var consolidator = new BaseDataConsolidator(TimeSpan.FromDays(1));
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new Tick {
Time = reference.AddSeconds(45)
});
Assert.IsNull(consolidated);
consolidator.Update(new Tick {
Time = reference.AddDays(1).AddMinutes(1)
});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
Assert.AreEqual(reference, consolidated.Time);
consolidated = null;
consolidator.Update(new Tick {
Time = reference.AddDays(2).AddHours(1).AddMinutes(1).AddSeconds(1)
});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
Assert.AreEqual(reference.AddDays(1), consolidated.Time);
consolidated = null;
consolidator.Update(new Tick {
Time = reference.AddDays(3)
});
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
Assert.AreEqual(reference.AddDays(2), consolidated.Time);
}
public void AggregatesBaseDataToCalendarTradeBarProperly()
{
// Monday
var reference = new DateTime(2019, 3, 18);
var ticks = new List <Tick>
{
new Tick(reference.AddDays(1), Symbols.SPY, 9, 11, 8)
{
Quantity = 10
},
new Tick(reference.AddDays(3), Symbols.SPY, 10, 12, 8)
{
Quantity = 10
},
new Tick(reference.AddDays(5), Symbols.SPY, 11, 13, 9)
{
Quantity = 10
},
new Tick(reference.AddDays(7), Symbols.SPY, 11, 13, 9)
{
Quantity = 10
},
new Tick(reference.AddDays(14), Symbols.SPY, 11, 13, 9)
{
Quantity = 10
}
};
var weeklyConsolidator = new BaseDataConsolidator(CalendarType.Weekly);
weeklyConsolidator.DataConsolidated += (s, e) =>
{
AssertBaseTradeBar(
ticks.Take(3),
reference,
reference.AddDays(7),
Symbols.SPY,
e);
};
var monthlyConsolidator = new BaseDataConsolidator(CalendarType.Monthly);
monthlyConsolidator.DataConsolidated += (s, e) =>
{
AssertBaseTradeBar(
ticks.Take(4),
new DateTime(reference.Year, reference.Month, 1),
new DateTime(reference.Year, reference.Month + 1, 1),
Symbols.SPY,
e);
};
foreach (var tick in ticks.Take(4))
{
weeklyConsolidator.Update(tick);
}
foreach (var tick in ticks)
{
monthlyConsolidator.Update(tick);
}
}
public void AggregatesTickToNewTradeBarProperly()
{
TradeBar newTradeBar = null;
var creator = new BaseDataConsolidator(4);
creator.DataConsolidated += (sender, tradeBar) =>
{
newTradeBar = tradeBar;
};
var reference = DateTime.Today;
var bar1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
Value = 5,
Quantity = 10
};
creator.Update(bar1);
Assert.IsNull(newTradeBar);
var bar2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(1),
Value = 10,
Quantity = 20
};
creator.Update(bar2);
Assert.IsNull(newTradeBar);
var bar3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(2),
Value = 1,
Quantity = 10
};
creator.Update(bar3);
Assert.IsNull(newTradeBar);
var bar4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddHours(3),
Value = 9,
Quantity = 20
};
creator.Update(bar4);
Assert.IsNotNull(newTradeBar);
Assert.AreEqual(Symbols.SPY, newTradeBar.Symbol);
Assert.AreEqual(bar1.Time, newTradeBar.Time);
Assert.AreEqual(bar1.Value, newTradeBar.Open);
Assert.AreEqual(bar2.Value, newTradeBar.High);
Assert.AreEqual(bar3.Value, newTradeBar.Low);
Assert.AreEqual(bar4.Value, newTradeBar.Close);
Assert.AreEqual(bar4.EndTime, newTradeBar.EndTime);
// base data can't aggregate volume
Assert.AreEqual(0, newTradeBar.Volume);
}
public void AggregatesPeriodInCountModeWithHourlyData()
{
TradeBar consolidated = null;
var consolidator = new BaseDataConsolidator(2);
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new Tick { Time = reference });
Assert.IsNull(consolidated);
consolidator.Update(new Tick { Time = reference.AddHours(1) });
Assert.IsNotNull(consolidated);
// sadly the first emit will be off by the data resolution since we 'swallow' a point, so to speak.
Assert.AreEqual(TimeSpan.FromHours(1), consolidated.Period);
consolidated = null;
consolidator.Update(new Tick { Time = reference.AddHours(2) });
Assert.IsNull(consolidated);
consolidator.Update(new Tick { Time = reference.AddHours(3) });
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromHours(2), consolidated.Period);
consolidated = null;
consolidator.Update(new Tick { Time = reference.AddHours(4) });
Assert.IsNull(consolidated);
consolidator.Update(new Tick { Time = reference.AddHours(5) });
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromHours(2), consolidated.Period);
}
public void AggregatesPeriodInPeriodModeWithDailyDataAndRoundedTime()
{
TradeBar consolidated = null;
var consolidator = new BaseDataConsolidator(TimeSpan.FromDays(1));
consolidator.DataConsolidated += (sender, bar) =>
{
consolidated = bar;
};
var reference = new DateTime(2015, 04, 13);
consolidator.Update(new Tick { Time = reference.AddSeconds(45) });
Assert.IsNull(consolidated);
consolidator.Update(new Tick { Time = reference.AddDays(1).AddMinutes(1) });
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
Assert.AreEqual(reference, consolidated.Time);
consolidated = null;
consolidator.Update(new Tick { Time = reference.AddDays(2).AddHours(1).AddMinutes(1).AddSeconds(1) });
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
Assert.AreEqual(reference.AddDays(1), consolidated.Time);
consolidated = null;
consolidator.Update(new Tick { Time = reference.AddDays(3) });
Assert.IsNotNull(consolidated);
Assert.AreEqual(TimeSpan.FromDays(1), consolidated.Period);
Assert.AreEqual(reference.AddDays(2), consolidated.Time);
}
public void ConsolidatesWithRegisterIndicator()
{
var consolidator = new BaseDataConsolidator(TimeSpan.FromMinutes(5));
consolidator.DataConsolidated += OnFiveMinutes;
indicator = new SimpleMovingAverage(2);
RegisterIndicator(indicator, consolidator);
var time = DateTime.Today.AddHours(9);
for (var i = 1; i < 100; i++)
{
consolidator.Update(new Tick(time.AddMinutes(i - 1), Symbols.SPY, i, i, i));
}
}
