public void EquityTradeBar()
{
var enumerator = new PriceScaleFactorEnumerator(
_rawDataEnumerator,
_config,
new Lazy <FactorFile>(() => _factorFile));
_rawDataEnumerator.CurrentValue = new TradeBar(
new DateTime(2018, 1, 1),
_config.Symbol,
10,
10,
10,
10,
100);
Assert.IsTrue(enumerator.MoveNext());
var tradeBar = enumerator.Current as TradeBar;
var expectedValue = 10 * _config.PriceScaleFactor;
Assert.Less(expectedValue, 10);
Assert.AreEqual(expectedValue, tradeBar.Price);
Assert.AreEqual(expectedValue, tradeBar.Open);
Assert.AreEqual(expectedValue, tradeBar.Close);
Assert.AreEqual(expectedValue, tradeBar.High);
Assert.AreEqual(expectedValue, tradeBar.Low);
Assert.AreEqual(expectedValue, tradeBar.Value);
enumerator.Dispose();
}
public void UpdatesFactorFileCorrectly()
{
var dateBeforeUpadate = new DateTime(2018, 3, 14);
var dateAtUpadate = new DateTime(2018, 3, 15);
var dateAfterUpadate = new DateTime(2018, 3, 16);
var enumerator = new PriceScaleFactorEnumerator(
_rawDataEnumerator,
_config,
TestGlobals.FactorFileProvider);
// Before factor file update date (2018, 3, 15)
_rawDataEnumerator.CurrentValue = new Tick(
dateBeforeUpadate,
_config.Symbol,
10,
10,
10);
Assert.IsTrue(enumerator.MoveNext());
var factorFile = TestGlobals.FactorFileProvider.Get(_config.Symbol);
var expectedFactor = factorFile.GetPriceFactor(dateBeforeUpadate, DataNormalizationMode.Adjusted);
var tick = enumerator.Current as Tick;
Assert.AreEqual(expectedFactor, _config.PriceScaleFactor);
Assert.AreEqual(10 * expectedFactor, tick.Price);
Assert.AreEqual(10 * expectedFactor, tick.Value);
// At factor file update date (2018, 3, 15)
_rawDataEnumerator.CurrentValue = new Tick(
dateAtUpadate,
_config.Symbol,
10,
10,
10);
Assert.IsTrue(enumerator.MoveNext());
var expectedFactor2 = factorFile.GetPriceFactor(dateAtUpadate, DataNormalizationMode.Adjusted);
var tick2 = enumerator.Current as Tick;
Assert.AreEqual(expectedFactor2, _config.PriceScaleFactor);
Assert.AreEqual(10 * expectedFactor2, tick2.Price);
Assert.AreEqual(10 * expectedFactor2, tick2.Value);
// After factor file update date (2018, 3, 15)
_rawDataEnumerator.CurrentValue = new Tick(
dateAfterUpadate,
_config.Symbol,
10,
10,
10);
Assert.IsTrue(enumerator.MoveNext());
var expectedFactor3 = factorFile.GetPriceFactor(dateAfterUpadate, DataNormalizationMode.Adjusted);
var tick3 = enumerator.Current as Tick;
Assert.AreEqual(expectedFactor3, _config.PriceScaleFactor);
Assert.AreEqual(10 * expectedFactor3, tick3.Price);
Assert.AreEqual(10 * expectedFactor3, tick3.Value);
enumerator.Dispose();
}
public void UpdatesFactorFileCorrectly()
{
var dateBeforeUpadate = new DateTime(2018, 3, 14);
var dateAtUpadate = new DateTime(2018, 3, 15);
var dateAfterUpadate = new DateTime(2018, 3, 16);
var enumerator = new PriceScaleFactorEnumerator(
_rawDataEnumerator,
_config,
new Lazy <FactorFile>(() => _factorFile));
// Before factor file update date (2018, 3, 15)
_rawDataEnumerator.CurrentValue = new Tick(
dateBeforeUpadate,
_config.Symbol,
10,
10,
10);
Assert.IsTrue(enumerator.MoveNext());
var expectedFactor = _factorFile.GetPriceScaleFactor(dateBeforeUpadate);
var tick = enumerator.Current as Tick;
Assert.AreEqual(expectedFactor, _config.PriceScaleFactor);
Assert.AreEqual(10 * expectedFactor, tick.Price);
Assert.AreEqual(10 * expectedFactor, tick.Value);
// At factor file update date (2018, 3, 15)
_rawDataEnumerator.CurrentValue = new Tick(
dateAtUpadate,
_config.Symbol,
10,
10,
10);
Assert.IsTrue(enumerator.MoveNext());
var expectedFactor2 = _factorFile.GetPriceScaleFactor(dateAtUpadate);
var tick2 = enumerator.Current as Tick;
Assert.AreEqual(expectedFactor2, _config.PriceScaleFactor);
Assert.AreEqual(10 * expectedFactor2, tick2.Price);
Assert.AreEqual(10 * expectedFactor2, tick2.Value);
// After factor file update date (2018, 3, 15)
_rawDataEnumerator.CurrentValue = new Tick(
dateAfterUpadate,
_config.Symbol,
10,
10,
10);
Assert.IsTrue(enumerator.MoveNext());
var expectedFactor3 = _factorFile.GetPriceScaleFactor(dateAfterUpadate);
var tick3 = enumerator.Current as Tick;
Assert.AreEqual(expectedFactor3, _config.PriceScaleFactor);
Assert.AreEqual(10 * expectedFactor3, tick3.Price);
Assert.AreEqual(10 * expectedFactor3, tick3.Value);
enumerator.Dispose();
}
public void RawEnumeratorCurrentIsNull()
{
var enumerator = new PriceScaleFactorEnumerator(
_rawDataEnumerator,
_config,
new Lazy <FactorFile>(() => _factorFile));
_rawDataEnumerator.CurrentValue = null;
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
enumerator.Dispose();
}
public void RawEnumeratorCurrentIsNull()
{
var enumerator = new PriceScaleFactorEnumerator(
_rawDataEnumerator,
_config,
TestGlobals.FactorFileProvider);
_rawDataEnumerator.CurrentValue = null;
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
enumerator.Dispose();
}
public void RawEnumeratorReturnsFalse()
{
var enumerator = new PriceScaleFactorEnumerator(
_rawDataEnumerator,
_config,
new Lazy <FactorFile>(() => _factorFile));
_rawDataEnumerator.CurrentValue = new Tick(
new DateTime(2018, 1, 1),
_config.Symbol,
10,
10,
10);
_rawDataEnumerator.MoveNextReturnValue = false;
Assert.IsFalse(enumerator.MoveNext());
Assert.AreEqual(_rawDataEnumerator.CurrentValue, enumerator.Current);
enumerator.Dispose();
}
public void FactorFileIsNull()
{
var enumerator = new PriceScaleFactorEnumerator(
_rawDataEnumerator,
_config,
null);
_rawDataEnumerator.CurrentValue = new Tick(
new DateTime(2018, 1, 1),
_config.Symbol,
10,
10,
10);
Assert.IsTrue(enumerator.MoveNext());
var tick = enumerator.Current as Tick;
Assert.AreEqual(10, tick.Price);
Assert.AreEqual(10, tick.Value);
enumerator.Dispose();
}
public void EquityQuoteBar()
{
var enumerator = new PriceScaleFactorEnumerator(
_rawDataEnumerator,
_config,
new Lazy <FactorFile>(() => _factorFile));
_rawDataEnumerator.CurrentValue = new QuoteBar(
new DateTime(2018, 1, 1),
_config.Symbol,
new Bar(10, 10, 10, 10),
100,
new Bar(10, 10, 10, 10),
100);
Assert.IsTrue(enumerator.MoveNext());
var quoteBar = enumerator.Current as QuoteBar;
var expectedValue = 10 * _config.PriceScaleFactor;
Assert.Less(expectedValue, 10);
Assert.AreEqual(expectedValue, quoteBar.Price);
Assert.AreEqual(expectedValue, quoteBar.Value);
Assert.AreEqual(expectedValue, quoteBar.Open);
Assert.AreEqual(expectedValue, quoteBar.Close);
Assert.AreEqual(expectedValue, quoteBar.High);
Assert.AreEqual(expectedValue, quoteBar.Low);
// bid
Assert.AreEqual(expectedValue, quoteBar.Bid.Open);
Assert.AreEqual(expectedValue, quoteBar.Bid.Close);
Assert.AreEqual(expectedValue, quoteBar.Bid.High);
Assert.AreEqual(expectedValue, quoteBar.Bid.Low);
// ask
Assert.AreEqual(expectedValue, quoteBar.Ask.Open);
Assert.AreEqual(expectedValue, quoteBar.Ask.Close);
Assert.AreEqual(expectedValue, quoteBar.Ask.High);
Assert.AreEqual(expectedValue, quoteBar.Ask.Low);
enumerator.Dispose();
}
public void EquityTick()
{
var enumerator = new PriceScaleFactorEnumerator(
_rawDataEnumerator,
_config,
new Lazy <FactorFile>(() => _factorFile));
_rawDataEnumerator.CurrentValue = new Tick(
new DateTime(2018, 1, 1),
_config.Symbol,
10,
10,
10);
Assert.IsTrue(enumerator.MoveNext());
var tick = enumerator.Current as Tick;
var expectedValue = 10 * _config.PriceScaleFactor;
Assert.Less(expectedValue, 10);
Assert.AreEqual(expectedValue, tick.Price);
Assert.AreEqual(expectedValue, tick.Value);
enumerator.Dispose();
}
