public void AggregationTest()
{
var d = new DateTime(1, 1, 1);
var trades = new List <Trade>();
var trade1 = Trade.Create(d, 3);
trade1.Periods[0].Volume = 10.110001010102;
trade1.Periods[1].Volume = 15;
trade1.Periods[2].Volume = 10000000001;
trades.Add(trade1);
var trade2 = Trade.Create(d, 3);
trade2.Periods[0].Volume = 3;
trade2.Periods[1].Volume = 10.1100010101071;
trade2.Periods[2].Volume = 10.110001010102;
trades.Add(trade2);
var extractor = new Extractor();
SortedDictionary <int, double> aggr = null;
try
{
aggr = extractor.AggregateTrades(trades);
}
catch (Exception ex)
{
Assert.Fail("AggregateTrades exception:" + ex.Message);
}
var delta = 0.000000000001; //trades come with 11 decimals
Assert.IsNotNull(aggr, "Aggregations are empty");
Assert.AreEqual(3, aggr.Count, "Aggregations size is invalid");
Assert.AreEqual(13.110001010102, aggr[1], delta, "Aggregation volume is incorrect, period 1");
Assert.AreEqual(25.1100010101071, aggr[2], delta, "Aggregation volume is incorrect, period 2");
Assert.AreEqual(10000000011.110001010102, aggr[3], delta, "Aggregation volume is incorrect, period 3");
extractor.Stop();
}