public void ReturnsCorrectBrokerageSymbol()
{
var mapper = new OandaSymbolMapper();
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda);
var brokerageSymbol = mapper.GetBrokerageSymbol(symbol);
Assert.AreEqual("EUR_USD", brokerageSymbol);
symbol = Symbol.Create("DE30EUR", SecurityType.Cfd, Market.Oanda);
brokerageSymbol = mapper.GetBrokerageSymbol(symbol);
Assert.AreEqual("DE30_EUR", brokerageSymbol);
}
public void ThrowsOnNullOrEmptySymbol()
{
var mapper = new OandaSymbolMapper();
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol(null, SecurityType.Forex, Market.Oanda));
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol("", SecurityType.Forex, Market.Oanda));
var symbol = Symbol.Empty;
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = null;
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = Symbol.Create("", SecurityType.Forex, Market.Oanda);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnInvalidSecurityType()
{
var mapper = new OandaSymbolMapper();
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol("AAPL", SecurityType.Equity, Market.Oanda));
var symbol = Symbol.Create("AAPL", SecurityType.Equity, Market.Oanda);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void ThrowsOnUnknownSymbol()
{
var mapper = new OandaSymbolMapper();
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol("ABC_USD", SecurityType.Forex, Market.Oanda));
var symbol = Symbol.Create("ABCUSD", SecurityType.Forex, Market.Oanda);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
/// <summary>
/// Get historical data enumerable for a single symbol, type and resolution given this start and end time (in UTC).
/// </summary>
/// <param name="symbol">Symbol for the data we're looking for.</param>
/// <param name="resolution">Resolution of the data request</param>
/// <param name="startUtc">Start time of the data in UTC</param>
/// <param name="endUtc">End time of the data in UTC</param>
/// <returns>Enumerable of base data for this symbol</returns>
public IEnumerable <BaseData> Get(Symbol symbol, Resolution resolution, DateTime startUtc, DateTime endUtc)
{
if (!_symbolMapper.IsKnownLeanSymbol(symbol))
{
throw new ArgumentException("Invalid symbol requested: " + symbol.Value);
}
if (resolution == Resolution.Tick)
{
throw new NotSupportedException("Resolution not available: " + resolution);
}
if (symbol.ID.SecurityType != SecurityType.Forex && symbol.ID.SecurityType != SecurityType.Cfd)
{
throw new NotSupportedException("SecurityType not available: " + symbol.ID.SecurityType);
}
if (endUtc < startUtc)
{
throw new ArgumentException("The end date must be greater or equal than the start date.");
}
var barsTotalInPeriod = new List <Candle>();
var barsToSave = new List <Candle>();
// set the starting date/time
DateTime date = startUtc;
DateTime startDateTime = date;
// loop until last date
while (startDateTime <= endUtc.AddDays(1))
{
string start = startDateTime.ToString("yyyy-MM-ddTHH:mm:ssZ");
// request blocks of 5-second bars with a starting date/time
var oandaSymbol = _symbolMapper.GetBrokerageSymbol(symbol);
var bars = DownloadBars(oandaSymbol, start, BarsPerRequest);
if (bars.Count == 0)
{
break;
}
var groupedBars = GroupBarsByDate(bars);
if (groupedBars.Count > 1)
{
// we received more than one day, so we save the completed days and continue
while (groupedBars.Count > 1)
{
var currentDate = groupedBars.Keys.First();
if (currentDate > endUtc)
{
break;
}
barsToSave.AddRange(groupedBars[currentDate]);
barsTotalInPeriod.AddRange(barsToSave);
barsToSave.Clear();
// remove the completed date
groupedBars.Remove(currentDate);
}
// update the current date
date = groupedBars.Keys.First();
if (date <= endUtc)
{
barsToSave.AddRange(groupedBars[date]);
}
}
else
{
var currentDate = groupedBars.Keys.First();
if (currentDate > endUtc)
{
break;
}
// update the current date
date = currentDate;
barsToSave.AddRange(groupedBars[date]);
}
// calculate the next request datetime (next 5-sec bar time)
startDateTime = GetDateTimeFromString(bars[bars.Count - 1].time).AddSeconds(5);
}
if (barsToSave.Count > 0)
{
barsTotalInPeriod.AddRange(barsToSave);
}
switch (resolution)
{
case Resolution.Second:
case Resolution.Minute:
case Resolution.Hour:
case Resolution.Daily:
foreach (var bar in AggregateBars(symbol, barsTotalInPeriod, resolution.ToTimeSpan()))
{
yield return(bar);
}
break;
}
}