public IEnumerable <Tick> GenerateTicks(Symbol symbol)
{
var previousValues = new Dictionary <TickType, decimal>
{
{ TickType.Trade, 100m },
{ TickType.Quote, 100m },
{ TickType.OpenInterest, 10000m }
};
var current = _settings.Start;
// There is a possibility that even though this succeeds, the DateTime
// generated may be the same as the starting DateTime, although the probability
// of this happening diminishes the longer the period we're generating data for is
if (_random.NextBool(_settings.HasIpoPercentage))
{
current = _random.NextDate(_settings.Start, _settings.End, null);
Console.WriteLine($"\tSymbol: {symbol} has delayed IPO at date {current:yyyy MMMM dd}");
}
// creates a max deviation that scales parabolically as resolution decreases (lower frequency)
var deviation = GetMaximumDeviation(_settings.Resolution);
while (current <= _settings.End)
{
var next = _random.NextTickTime(symbol, current, _settings.Resolution, _settings.DataDensity);
if (_settings.TickTypes.Contains(TickType.OpenInterest))
{
if (next.Date != current.Date)
{
// 5% deviation in daily OI
var previous = previousValues[TickType.OpenInterest];
var openInterest = _random.NextTick(symbol, next.Date, TickType.OpenInterest, previous, 5m);
previousValues[TickType.OpenInterest] = openInterest.Value;
yield return(openInterest);
}
}
// keeps quotes close to the trades for consistency
if (_settings.TickTypes.Contains(TickType.Trade) &&
_settings.TickTypes.Contains(TickType.Quote))
{
// since we're generating both trades and quotes we'll only reference one previous value
// to prevent the trade and quote prices from drifting away from each other
var previousValue = previousValues[TickType.Trade];
// %odds of getting a trade tick, for example, a quote:trade ratio of 2 means twice as likely
// to get a quote, which means you have a 33% chance of getting a trade => 1/3
var tradeChancePercent = 100 / (1 + _settings.QuoteTradeRatio);
if (_random.NextBool(tradeChancePercent))
{
var nextTrade = _random.NextTick(symbol, next, TickType.Trade, previousValue, deviation);
previousValues[TickType.Trade] = nextTrade.Value;
yield return(nextTrade);
}
else
{
var nextQuote = _random.NextTick(symbol, next, TickType.Quote, previousValue, deviation);
previousValues[TickType.Trade] = nextQuote.Value;
yield return(nextQuote);
}
}
else if (_settings.TickTypes.Contains(TickType.Trade))
{
var nextTrade = _random.NextTick(symbol, next, TickType.Trade, previousValues[TickType.Trade], deviation);
previousValues[TickType.Trade] = nextTrade.Value;
yield return(nextTrade);
}
else if (_settings.TickTypes.Contains(TickType.Quote))
{
var nextQuote = _random.NextTick(symbol, next, TickType.Quote, previousValues[TickType.Quote], deviation);
previousValues[TickType.Quote] = nextQuote.Value;
yield return(nextQuote);
}
// advance to the next time step
current = next;
}
}
public IEnumerable <Tick> GenerateTicks()
{
var current = _settings.Start;
// There is a possibility that even though this succeeds, the DateTime
// generated may be the same as the starting DateTime, although the probability
// of this happening diminishes the longer the period we're generating data for is
if (_random.NextBool(_settings.HasIpoPercentage))
{
current = _random.NextDate(_settings.Start, _settings.End, null);
Log.Trace($"\tSymbol: {Symbol} has delayed IPO at date {current:yyyy MMMM dd}");
}
// creates a max deviation that scales parabolically as resolution decreases (lower frequency)
var deviation = GetMaximumDeviation(_settings.Resolution);
while (current <= _settings.End)
{
var next = NextTickTime(current, _settings.Resolution, _settings.DataDensity);
if (_tickTypes.Contains(TickType.OpenInterest))
{
if (next.Date != current.Date)
{
// 5% deviation in daily OI
var openInterest = NextTick(next.Date, TickType.OpenInterest, 5m);
yield return(openInterest);
}
}
Tick nextTick = null;
// keeps quotes close to the trades for consistency
if (_tickTypes.Contains(TickType.Trade) &&
_tickTypes.Contains(TickType.Quote))
{
// %odds of getting a trade tick, for example, a quote:trade ratio of 2 means twice as likely
// to get a quote, which means you have a 33% chance of getting a trade => 1/3
var tradeChancePercent = 100 / (1 + _settings.QuoteTradeRatio);
nextTick = NextTick(
next,
_random.NextBool(tradeChancePercent)
? TickType.Trade
: TickType.Quote,
deviation);
}
else if (_tickTypes.Contains(TickType.Trade))
{
nextTick = NextTick(next, TickType.Trade, deviation);
}
else if (_tickTypes.Contains(TickType.Quote))
{
nextTick = NextTick(next, TickType.Quote, deviation);
}
if (nextTick != null && _priceGenerator.WarmedUp)
{
yield return(nextTick);
}
// advance to the next time step
current = next;
}
}