public void InitiateWalk_GeneratesSubsequentTicks_AsExpected()
{
var randomWalkStrategy = new MarkovEquityStrategy();
var randomWalk = new EquitiesMarkovProcess(
new NasdaqInitialiser(),
randomWalkStrategy,
this._heartbeat,
this._logger);
var stream = new ExchangeStream(new UnsubscriberFactory <EquityIntraDayTimeBarCollection>());
var observer = new RecordingObserver <EquityIntraDayTimeBarCollection>(this._logger, 5);
stream.Subscribe(observer);
randomWalk.InitiateWalk(stream);
var timeOut = DateTime.UtcNow.AddSeconds(5);
while (observer.Buffer.Count < 2 && DateTime.UtcNow < timeOut)
{
// don't sleep the thread
}
Assert.AreEqual(observer.Buffer.Count, 2);
randomWalk.TerminateWalk();
}
public void TickSecurity_ReturnsNullTick_ForNullArgument()
{
var strategy = new MarkovEquityStrategy();
var result = strategy.AdvanceFrame(null, DateTime.UtcNow, true);
Assert.IsNull(result);
}
public IEquityDataGenerator Finish()
{
var equityDataStrategy = new MarkovEquityStrategy();
var nasdaqInitialiser = new NasdaqInitialiser();
var equityDataGenerator = new EquitiesMarkovProcess(
nasdaqInitialiser,
equityDataStrategy,
this._heartbeat,
this._logger);
return(equityDataGenerator);
}
public void TickSecurity_UpdatesWithNewTickData_Printing100IterationWalk()
{
var strategy = new MarkovEquityStrategy();
var identifiers = new InstrumentIdentifiers(
string.Empty,
string.Empty,
string.Empty,
"MSFT",
"MS12345",
"MSF123456789",
"MSFT",
"MSF12341234",
"MSFT",
"MSFT",
"MSFT",
"MSFT");
var security = new FinancialInstrument(
InstrumentTypes.Equity,
identifiers,
"Microsoft",
"CFI",
"USD",
"Microsoft Company");
var spread = new SpreadTimeBar(
new Money(66, "GBP"),
new Money(65, "GBP"),
new Money(65, "GBP"),
new Volume(200000));
var tick = new EquityInstrumentIntraDayTimeBar(
security,
spread,
new DailySummaryTimeBar(1000, "USD", null, 1000, new Volume(200000), DateTime.UtcNow),
DateTime.UtcNow,
new Market("1", "NASDAQ", "NASDAQ", MarketTypes.STOCKEXCHANGE));
var printableInitialSecurity = JsonConvert.SerializeObject(security);
Console.WriteLine(printableInitialSecurity);
for (var i = 0; i < 99; i++)
{
tick = strategy.AdvanceFrame(tick, DateTime.UtcNow, true);
var printableGeneratedSecurity = JsonConvert.SerializeObject(security);
Console.WriteLine(printableGeneratedSecurity);
Assert.IsTrue(tick.SpreadTimeBar.Bid.Value >= tick.SpreadTimeBar.Ask.Value);
}
}
public void InitiateWalk_ReceivesTicks_AfterInitiationImmediately()
{
var randomWalkStrategy = new MarkovEquityStrategy();
var randomWalk = new EquitiesMarkovProcess(
this._exchangeTickInitialiser,
randomWalkStrategy,
this._heartbeat,
this._logger);
var stream = new ExchangeStream(new UnsubscriberFactory <EquityIntraDayTimeBarCollection>());
var observer = new RecordingObserver <EquityIntraDayTimeBarCollection>(this._logger, 10);
stream.Subscribe(observer);
randomWalk.InitiateWalk(stream);
Assert.AreEqual(observer.Buffer.Count, 1);
randomWalk.TerminateWalk();
}
