public void TestParsingResultOldestFormat()
{
MEFFHistoricalQuote quote = new MEFFHistoricalQuote(GetSampleCSVLineOldestFormat(), true);
Assert.AreEqual(new DateTime(1999, 01, 04), quote.SessionDate);
Assert.AreEqual("AAB", quote.ContractGroup);
Assert.AreEqual(new DateTime(1999, 01, 05), quote.MaturityDate);
Assert.AreEqual(22.02f, quote.StrikePrice, 0.0001);
Assert.AreEqual("AC 4578C", quote.ContractCode);
Assert.AreEqual(0.0f, quote.BidPrice, 0.0001);
Assert.AreEqual(0.0f, quote.AskPrice, 0.0001);
Assert.AreEqual(0.0f, quote.HighPrice, 0.0001);
Assert.AreEqual(0.0f, quote.LowPrice, 0.0001);
Assert.AreEqual(0.0f, quote.LastPrice, 0.0001);
Assert.AreEqual(0, quote.TotalRegVolume);
Assert.AreEqual(22.32f, quote.SettlPrice, 0.0001);
Assert.AreEqual(0, quote.OpenInterest);
Assert.AreEqual(19.00f, quote.SettlVolatility, 0.0001);
// Fields missing from this format.
Assert.AreEqual(null, quote.ContractSubgroupCode);
Assert.AreEqual("OC", quote.CFICode);
Assert.AreEqual(0.0f, quote.SettlDelta, 0.0001);
Assert.AreEqual(0, quote.NumberOfTrades);
}
public void TestParsingResult()
{
MEFFHistoricalQuote quote = new MEFFHistoricalQuote(GetSampleCSVLine());
Assert.AreEqual(new DateTime(2013, 07, 01), quote.SessionDate);
Assert.AreEqual("C2", quote.ContractGroup);
Assert.AreEqual("AAABC", quote.ContractCode);
Assert.AreEqual("12", quote.ContractSubgroupCode);
Assert.AreEqual("XIINAA", quote.CFICode);
Assert.AreEqual(0.0f, quote.StrikePrice, 0.0001);
Assert.AreEqual(new DateTime(2030, 12, 31), quote.MaturityDate);
Assert.AreEqual(6.7895f, quote.BidPrice, 0.0001);
Assert.AreEqual(9.147f, quote.AskPrice, 0.0001);
Assert.AreEqual(12.2542f, quote.HighPrice, 0.0001);
Assert.AreEqual(1.8745f, quote.LowPrice, 0.0001);
Assert.AreEqual(9.1254f, quote.LastPrice, 0.0001);
Assert.AreEqual(9.1254f, quote.SettlPrice, 0.0001);
Assert.AreEqual(0.0f, quote.SettlVolatility, 0.0001);
Assert.AreEqual(1.0f, quote.SettlDelta, 0.0001);
Assert.AreEqual(0, quote.TotalRegVolume);
Assert.AreEqual(0, quote.NumberOfTrades);
Assert.AreEqual(0, quote.OpenInterest);
}
public void TestParsingOldFormat()
{
MEFFHistoricalQuote quote = new MEFFHistoricalQuote();
quote.ParseOldFormatCSVLine(GetSampleCSVLineOldFormat());
}
