public void Should_Resample_Bars_From_Ticks()
{
// Arrange
var ticks = TickMessage.ParseFromFile(TestData.TestData.GetFileName(TestDataType.Ticks, DataDirection.Oldest)).ToList();
var intervals = IntervalMessage.ParseFromFile(TestData.TestData.GetFileName(TestDataType.Intervals_1s, DataDirection.Oldest)).ToList();
// Act
var bars = ticks.ToHistoricalBars(TimeSpan.FromSeconds(1), DataDirection.Oldest).ToList().ToList();
// Assert
Assert.IsNotEmpty(intervals);
Assert.AreEqual(intervals.Count, bars.Count);
for (var i = 0; i < intervals.Count; i++)
{
var interval = intervals[i];
var bar = bars[i];
// TODO: create comparable
if (interval.Timestamp == bar.Timestamp &&
interval.Open == bar.Open &&
interval.High == bar.High &&
interval.Low == bar.Low &&
interval.Close == bar.Close &&
interval.PeriodVolume == bar.PeriodVolume &&
interval.TotalVolume == bar.TotalVolume)
{
continue;
}
throw new Exception();
}
}
/// <summary>
/// Stream IQFeed IntervalMessage from disk to Lean TradeBar
/// </summary>
/// <param name="filename"></param>
/// <param name="request"></param>
/// <returns>Converted TradeBar</returns>
private IEnumerable <BaseData> GetDataFromIntervalMessages(string filename, HistoryRequest request)
{
var dataTimeZone = _marketHoursDatabase.GetDataTimeZone(request.Symbol.ID.Market, request.Symbol, request.Symbol.SecurityType);
foreach (var interval in IntervalMessage.ParseFromFile(filename))
{
var iStartTime = interval.Timestamp;
iStartTime = iStartTime.ConvertTo(TimeZones.NewYork, dataTimeZone);
yield return(new TradeBar(
iStartTime,
request.Symbol,
(decimal)interval.Open,
(decimal)interval.High,
(decimal)interval.Low,
(decimal)interval.Close,
interval.PeriodVolume
));
}
File.Delete(filename);
}