public void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, bool shouldBeEmpty, bool throwsException)
{
TestDelegate test = () =>
{
var brokerage = (BitfinexBrokerage)Brokerage;
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, new DataPermissionManager()));
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
DateTimeZone.Utc,
Resolution.Minute,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Trade)
};
// 'GetBrokerageSymbol' method called inside 'GetHistory' may throw an ArgumentException for invalid symbol supplied
var history = historyProvider.GetHistory(requests, TimeZones.Utc).ToList();
foreach (var slice in history)
{
var bar = slice.Bars[symbol];
Log.Trace("{0}: {1} - O={2}, H={3}, L={4}, C={5}", bar.Time, bar.Symbol, bar.Open, bar.High, bar.Low, bar.Close);
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
if (shouldBeEmpty)
{
Assert.IsTrue(history.Count == 0);
}
else
{
Assert.IsTrue(history.Count > 0);
}
};
// assert for ArgumentException
if (throwsException)
{
Assert.Throws <ArgumentException>(test);
}
else
{
Assert.DoesNotThrow(test);
}
}
public void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, bool throwsException)
{
TestDelegate test = () =>
{
var brokerage = (BitfinexBrokerage)Brokerage;
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(null, null, null, null, null, null);
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
DateTimeZone.Utc,
Resolution.Minute,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Quote)
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc);
foreach (var slice in history)
{
if (resolution == Resolution.Tick)
{
foreach (var tick in slice.Ticks[symbol])
{
Log.Trace("{0}: {1} - {2} / {3}", tick.Time.ToString("yyyy-MM-dd HH:mm:ss.fff"), tick.Symbol, tick.BidPrice, tick.AskPrice);
}
}
else
{
var bar = slice.Bars[symbol];
Log.Trace("{0}: {1} - O={2}, H={3}, L={4}, C={5}", bar.Time, bar.Symbol, bar.Open, bar.High, bar.Low, bar.Close);
}
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
};
if (throwsException)
{
Assert.Throws <ArgumentException>(test);
}
else
{
Assert.DoesNotThrow(test);
}
}
public void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, bool throwsException)
{
TestDelegate test = () =>
{
var environment = Config.Get("oanda-environment").ConvertTo <Environment>();
var accessToken = Config.Get("oanda-access-token");
var accountId = Config.Get("oanda-account-id");
var brokerage = new OandaBrokerage(null, null, environment, accessToken, accountId);
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(null, null, null, null, null, null);
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest
{
Symbol = symbol,
Resolution = resolution,
StartTimeUtc = now.Add(-period),
EndTimeUtc = now
}
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc);
foreach (var slice in history)
{
if (resolution == Resolution.Tick)
{
foreach (var tick in slice.Ticks[symbol])
{
Log.Trace("{0}: {1} - {2} / {3}", tick.Time, tick.Symbol, tick.BidPrice, tick.AskPrice);
}
}
else
{
var bar = slice.QuoteBars[symbol];
Log.Trace("{0}: {1} - O={2}, H={3}, L={4}, C={5}", bar.Time, bar.Symbol, bar.Open, bar.High, bar.Low, bar.Close);
}
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
};
if (throwsException)
{
Assert.Throws <ArgumentException>(test);
}
else
{
Assert.DoesNotThrow(test);
}
}
public void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, bool throwsException)
{
TestDelegate test = () =>
{
var brokerage = (FxcmBrokerage)Brokerage;
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(null, null, null, null, null, null);
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest
{
Symbol = symbol,
Resolution = resolution,
StartTimeUtc = now.Add(-period),
EndTimeUtc = now
}
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc);
foreach (var slice in history)
{
if (resolution == Resolution.Tick)
{
foreach (var tick in slice.Ticks[symbol])
{
Log.Trace("{0}: {1} - {2} / {3}", tick.Time.ToString("yyyy-MM-dd HH:mm:ss.fff"), tick.Symbol, tick.BidPrice, tick.AskPrice);
}
}
else
{
var bar = slice.Bars[symbol];
Log.Trace("{0}: {1} - O={2}, H={3}, L={4}, C={5}", bar.Time, bar.Symbol, bar.Open, bar.High, bar.Low, bar.Close);
}
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
};
if (throwsException)
{
Assert.Throws <ArgumentException>(test);
}
else
{
Assert.DoesNotThrow(test);
}
}
public void GetsHistory(Symbol symbol, Resolution resolution, TickType tickType, TimeSpan period, bool shouldBeEmpty)
{
var restClient = new RestClient("https://api.pro.coinbase.com");
var webSocketClient = new WebSocketClientWrapper();
var aggregator = new AggregationManager();
var brokerage = new GDAXBrokerage(
Config.Get("gdax-url", "wss://ws-feed.pro.coinbase.com"), webSocketClient, restClient,
Config.Get("gdax-api-key"), Config.Get("gdax-api-secret"), Config.Get("gdax-passphrase"), null, null, aggregator, null);
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, new DataPermissionManager()));
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
DateTimeZone.Utc,
resolution,
false,
false,
DataNormalizationMode.Adjusted,
tickType)
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc).ToList();
foreach (var slice in history)
{
var bar = slice.Bars[symbol];
Log.Trace($"{bar.Time}: {bar.Symbol} - O={bar.Open}, H={bar.High}, L={bar.Low}, C={bar.Close}, V={bar.Volume}");
}
if (shouldBeEmpty)
{
Assert.IsTrue(history.Count == 0);
}
else
{
Assert.IsTrue(history.Count > 0);
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
}
public void GetsFullDayTickHistory()
{
var symbol = Symbols.EURUSD;
const Resolution resolution = Resolution.Tick;
var startDate = new DateTime(2016, 11, 1);
var endDate = startDate.AddDays(1);
var brokerage = (FxcmBrokerage)Brokerage;
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false));
var stopwatch = Stopwatch.StartNew();
var requests = new[]
{
new HistoryRequest(startDate,
endDate,
typeof(QuoteBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
DateTimeZone.Utc,
Resolution.Minute,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Quote)
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc);
var tickCount = history.SelectMany(slice => slice.Ticks[symbol]).Count();
stopwatch.Stop();
Log.Trace("Download time: " + stopwatch.Elapsed);
Log.Trace("History ticks returned: " + tickCount);
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
Assert.AreEqual(tickCount, historyProvider.DataPointCount);
Assert.AreEqual(241233, tickCount);
}
public void GetsFullDayTickHistory()
{
var symbol = Symbols.EURUSD;
const Resolution resolution = Resolution.Tick;
var startDate = new DateTime(2016, 11, 1);
var endDate = startDate.AddDays(1);
var brokerage = (FxcmBrokerage)Brokerage;
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(null, null, null, null, null, null);
var stopwatch = Stopwatch.StartNew();
var requests = new[]
{
new HistoryRequest
{
Symbol = symbol,
Resolution = resolution,
StartTimeUtc = startDate,
EndTimeUtc = endDate
}
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc);
var tickCount = history.SelectMany(slice => slice.Ticks[symbol]).Count();
stopwatch.Stop();
Log.Trace("Download time: " + stopwatch.Elapsed);
Log.Trace("History ticks returned: " + tickCount);
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
Assert.AreEqual(tickCount, historyProvider.DataPointCount);
Assert.AreEqual(241233, tickCount);
}
public void GetEmptyHistory(Symbol symbol, Resolution resolution, TimeSpan period)
{
TestDelegate test = () =>
{
var brokerage = (BinanceBrokerage)Brokerage;
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, new DataPermissionManager()));
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
DateTimeZone.Utc,
Resolution.Minute,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Quote)
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc).ToList();
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
Assert.AreEqual(0, historyProvider.DataPointCount);
};
Assert.DoesNotThrow(test);
}
public void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, bool shouldBeEmpty)
{
Log.LogHandler = new ConsoleLogHandler();
var keyId = Config.Get("alpaca-key-id");
var secretKey = Config.Get("alpaca-secret-key");
var tradingMode = Config.Get("alpaca-trading-mode");
using (var brokerage = new AlpacaBrokerage(null, null, keyId, secretKey, tradingMode, true))
{
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false));
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(
now.Add(-period),
now,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
TimeZones.NewYork,
null,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Trade)
};
var history = historyProvider.GetHistory(requests, TimeZones.NewYork).ToList();
foreach (var slice in history)
{
if (resolution == Resolution.Tick)
{
foreach (var tick in slice.Ticks[symbol])
{
Console.WriteLine($"{tick.Time}: {tick.Symbol} - P={tick.Price}, Q={tick.Quantity}");
}
}
else
{
var bar = slice.Bars[symbol];
Console.WriteLine($"{bar.Time}: {bar.Symbol} - O={bar.Open}, H={bar.High}, L={bar.Low}, C={bar.Close}, V={bar.Volume}");
}
}
if (shouldBeEmpty)
{
Assert.IsTrue(history.Count == 0);
}
else
{
Assert.IsTrue(history.Count > 0);
}
brokerage.Disconnect();
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
}
}
public void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, bool throwsException)
{
TestDelegate test = () =>
{
var environment = Config.Get("oanda-environment").ConvertTo <Environment>();
var accessToken = Config.Get("oanda-access-token");
var accountId = Config.Get("oanda-account-id");
var brokerage = new OandaBrokerage(null, null, null, environment, accessToken, accountId);
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, null, null, null, null, false, null));
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
typeof(QuoteBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.EasternStandard),
DateTimeZone.Utc,
Resolution.Minute,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Quote)
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc);
foreach (var slice in history)
{
if (resolution == Resolution.Tick)
{
foreach (var tick in slice.Ticks[symbol])
{
Log.Trace("{0}: {1} - {2} / {3}", tick.Time, tick.Symbol, tick.BidPrice, tick.AskPrice);
}
}
else
{
var bar = slice.QuoteBars[symbol];
Log.Trace("{0}: {1} - O={2}, H={3}, L={4}, C={5}", bar.Time, bar.Symbol, bar.Open, bar.High, bar.Low, bar.Close);
}
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
};
if (throwsException)
{
Assert.Throws <ArgumentException>(test);
}
else
{
Assert.DoesNotThrow(test);
}
}
public void GetsHistory(Symbol symbol, Resolution resolution, TimeSpan period, bool throwsException)
{
TestDelegate test = () =>
{
var keyId = Config.Get("alpaca-key-id");
var secretKey = Config.Get("alpaca-secret-key");
var tradingMode = Config.Get("alpaca-trading-mode");
var brokerage = new AlpacaBrokerage(null, null, keyId, secretKey, tradingMode);
var historyProvider = new BrokerageHistoryProvider();
historyProvider.SetBrokerage(brokerage);
historyProvider.Initialize(null, null, null, null, null, null);
var now = DateTime.UtcNow;
var requests = new[]
{
new HistoryRequest(now.Add(-period),
now,
typeof(TradeBar),
symbol,
resolution,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
DateTimeZone.Utc,
Resolution.Daily,
false,
false,
DataNormalizationMode.Adjusted,
TickType.Trade)
};
var history = historyProvider.GetHistory(requests, TimeZones.Utc);
foreach (var slice in history)
{
if (resolution == Resolution.Tick)
{
foreach (var tick in slice.Ticks[symbol])
{
Console.WriteLine("{0}: {1} - {2} / {3}", tick.Time, tick.Symbol, tick.BidPrice, tick.AskPrice);
}
}
else if (resolution == Resolution.Second)
{
var bar = slice.QuoteBars[symbol];
Console.WriteLine("{0}: {1} - O={2}, H={3}, L={4}, C={5}", bar.Time, bar.Symbol, bar.Open, bar.High, bar.Low, bar.Close);
}
else
{
var bar = slice.Bars[symbol];
Console.WriteLine("{0}: {1} - O={2}, H={3}, L={4}, C={5}", bar.Time, bar.Symbol, bar.Open, bar.High, bar.Low, bar.Close);
}
}
Log.Trace("Data points retrieved: " + historyProvider.DataPointCount);
};
if (throwsException)
{
Assert.Throws <ArgumentException>(test);
}
else
{
Assert.DoesNotThrow(test);
}
}