private void SimulateData(object sender, ElapsedEventArgs e)
{
foreach (int instrumentID in _requestedInstrumentIDs.Values)
{
_loopsPassed[instrumentID]++;
if (_loopsPassed[instrumentID] < _loopLimit[instrumentID])
{
continue;
}
_loopsPassed[instrumentID] = 0;
double open = _rand.NextDouble() * 50 + 20;
double high = open + _rand.NextDouble();
double low = open - _rand.NextDouble();
double close = low + (high - low) * _rand.NextDouble();
int id;
bool success = _idMap.TryGetValue(instrumentID, out id);
if (success)
{
RaiseEvent(DataReceived, this, new RealTimeDataEventArgs(
instrumentID,
_requests[id].Frequency,
MyUtils.ConvertToTimestamp(DateTime.Now),
(decimal)open,
(decimal)high,
(decimal)low,
(decimal)close,
1000,
0,
0,
id));
}
}
}
public void RaisesDataEventWithTheContinuousFuturesAlias()
{
var cf = new ContinuousFuture()
{
ID = 1,
InstrumentID = 1,
Month = 1,
UnderlyingSymbol = new UnderlyingSymbol
{
ID = 1,
Symbol = "VIX",
Rule = new ExpirationRule()
}
};
var inst = new Instrument
{
ID = 1,
Symbol = "VIXCONTFUT",
IsContinuousFuture = true,
ContinuousFuture = cf,
Datasource = new Datasource {
ID = 999, Name = "MockSource"
}
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds);
_cfBrokerMock.Setup(x => x.RequestFrontContract(It.IsAny <Instrument>(), It.IsAny <DateTime?>())).Returns(0);
int assignedID = 0;
_dataSourceMock.Setup(x => x.RequestRealTimeData(It.IsAny <RealTimeDataRequest>())).Callback <RealTimeDataRequest>(r => assignedID = r.AssignedID);
bool raisedCorrectSymbol = false;
_broker.RealTimeDataArrived += (sender, e) =>
raisedCorrectSymbol = raisedCorrectSymbol ? raisedCorrectSymbol : e.InstrumentID == 1;
_broker.RequestRealTimeData(req);
var frontFutureInstrument = new Instrument
{
Symbol = "VXF4",
ID = 2,
Datasource = new Datasource {
ID = 999, Name = "MockSource"
}
};
_cfBrokerMock.Raise(x => x.FoundFrontContract += null, new FoundFrontContractEventArgs(0, frontFutureInstrument, DateTime.Now));
_dataSourceMock.Raise(x => x.DataReceived += null,
new RealTimeDataEventArgs(2, MyUtils.ConvertToTimestamp(DateTime.Now), 100, 100, 100, 100, 50, 100, 2, assignedID));
Thread.Sleep(50);
Assert.IsTrue(raisedCorrectSymbol);
}
public static RealTimeDataEventArgs HistoricalDataEventArgsToRealTimeDataEventArgs(QDMSIBClient.HistoricalDataEventArgs e, int instrumentId, int reqId)
{
var rtdea = new RealTimeDataEventArgs(instrumentId,
QDMS.BarSize.FiveSeconds,
MyUtils.ConvertToTimestamp(e.Bar.Time),
(decimal)e.Bar.Open,
(decimal)e.Bar.High,
(decimal)e.Bar.Low,
(decimal)e.Bar.Close,
e.Bar.Volume,
e.Bar.WAP,
e.Bar.Count,
reqId);
return(rtdea);
}
void SendData(BarSize barSize)
{
foreach (KeyValuePair <RequestGrouping, ConcurrentDictionary <int, RealTimeDataRequest> > pair in _connectedRequests)
{
// @ToDo: Performance: if many entries exists in this list, this could be an performance issue.
if (pair.Key.Frequency != barSize)
{
continue;
}
if (_connectedRequests.Count == 0)
{
continue;
}
int historicalRequestId;
if (!_historicalRequests.TryGetValue(pair.Key, out historicalRequestId))
{
continue; // the historical request is not made yet.
}
List <OHLCBar> historicalData;
if (!_historicalData.TryGetValue(historicalRequestId, out historicalData))
{
continue; // the historical data did not arrived yet.
}
List <int> requestsToDelete = new List <int>();
foreach (var pair2 in pair.Value)
{
// get the current position
int indexPosition = 0;
if (_requestPosition.TryGetValue(pair2.Key, out indexPosition))
{
indexPosition++;
}
if (historicalData.Count <= indexPosition)
{
// end of historical data
_logger.Log(LogLevel.Info, $"End of historical data for real time simulation - request ID: {pair2.Key}");
requestsToDelete.Add(pair2.Key);
}
else
{
var currentBar = historicalData[indexPosition];
RaiseEvent(DataReceived, this, new RealTimeDataEventArgs(
pair2.Value.Instrument.ID.Value,
barSize,
MyUtils.ConvertToTimestamp(currentBar.DT),
currentBar.Open,
currentBar.High,
currentBar.Low,
currentBar.Close,
currentBar.Volume ?? 0,
0,
0,
pair2.Value.AssignedID
));
if (indexPosition == 0)
{
_requestPosition.TryAdd(pair2.Key, indexPosition);
}
else
{
_requestPosition[pair2.Key] = indexPosition;
}
}
}
RealTimeDataRequest dummy;
foreach (var i in requestsToDelete)
{
pair.Value.TryRemove(i, out dummy);
}
}
}
public void ConvertToTimestampReturnsCorrectTimestamp()
{
Assert.AreEqual(1012907112, MyUtils.ConvertToTimestamp(new DateTime(2002, 2, 5, 11, 5, 12)));
}