public void ConstructorWithNullSymbolConvertsToWildcard()
{
var key = new SecurityDatabaseKey(Market.USA, null, SecurityType.Equity);
Assert.AreEqual(SecurityType.Equity, key.SecurityType);
Assert.AreEqual(Market.USA, key.Market);
Assert.AreEqual("[*]", key.Symbol);
}
public void ConstructorWithEmptyMarketConvertsToWildcard()
{
var key = new SecurityDatabaseKey(string.Empty, "SPY", SecurityType.Equity);
Assert.AreEqual(SecurityType.Equity, key.SecurityType);
Assert.AreEqual("[*]", key.Market);
Assert.AreEqual("SPY", key.Symbol);
}
public void ConstructorWithNoWildcards()
{
var key = new SecurityDatabaseKey(Market.USA, "SPY", SecurityType.Equity);
Assert.AreEqual(SecurityType.Equity, key.SecurityType);
Assert.AreEqual(Market.USA, key.Market);
Assert.AreEqual("SPY", key.Symbol);
}
public void EqualityMembersAreCaseInsensitive()
{
var key = new SecurityDatabaseKey("uSa", "SPY", SecurityType.Equity);
var key2 = new SecurityDatabaseKey("UsA", "spy", SecurityType.Equity);
Assert.AreEqual(key, key2);
Assert.AreEqual(key.GetHashCode(), key2.GetHashCode());
}
public void ConstructorWithNoWildcards()
{
var key = new SecurityDatabaseKey(Market.USA, "SPY", SecurityType.Equity);
Assert.AreEqual(SecurityType.Equity, key.SecurityType);
Assert.AreEqual(Market.USA, key.Market);
Assert.AreEqual("SPY", key.Symbol);
}
public void ConstructorWithNullSymbolConvertsToWildcard()
{
var key = new SecurityDatabaseKey(Market.USA, null, SecurityType.Equity);
Assert.AreEqual(SecurityType.Equity, key.SecurityType);
Assert.AreEqual(Market.USA, key.Market);
Assert.AreEqual("[*]", key.Symbol);
}
public void ConstructorWithEmptyMarketConvertsToWildcard()
{
var key = new SecurityDatabaseKey(string.Empty, "SPY", SecurityType.Equity);
Assert.AreEqual(SecurityType.Equity, key.SecurityType);
Assert.AreEqual("[*]", key.Market);
Assert.AreEqual("SPY", key.Symbol);
}
public void ThrowsOnInvalidFormat()
{
const string input = "Equity-[*]";
Assert.Throws <FormatException>(() =>
{
SecurityDatabaseKey.Parse(input);
}, "expected format");
}
public void ParsesKeyProperly()
{
const string input = "Equity-usa-SPY";
var key = SecurityDatabaseKey.Parse(input);
Assert.AreEqual(SecurityType.Equity, key.SecurityType);
Assert.AreEqual(Market.USA, key.Market);
Assert.AreEqual("SPY", key.Symbol);
}
public void ParsesWildcardMarket()
{
const string input = "Equity-[*]-SPY";
var key = SecurityDatabaseKey.Parse(input);
Assert.AreEqual(SecurityType.Equity, key.SecurityType);
Assert.AreEqual("[*]", key.Market);
Assert.AreEqual("SPY", key.Symbol);
}
public void ThrowsOnWildcardSecurityType()
{
const string input = "[*]-usa-SPY";
Assert.Throws <ArgumentException>(() =>
{
SecurityDatabaseKey.Parse(input);
}, "as a SecurityType");
}
public override Entry GetEntry(string market, string symbol, SecurityType securityType)
{
var key = new SecurityDatabaseKey(market, symbol, securityType);
var tz = ContainsKey(key)
? base.GetEntry(market, symbol, securityType).ExchangeHours.TimeZone
: DateTimeZone.Utc;
return(new Entry(tz, SecurityExchangeHours.AlwaysOpen(tz)));
}
/// <summary>
/// Gets the symbol properties for the specified market/symbol/security-type
/// </summary>
/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
/// <param name="symbol">The particular symbol being traded</param>
/// <param name="securityType">The security type of the symbol</param>
/// <param name="defaultQuoteCurrency">Specifies the quote currency to be used when returning a default instance of an entry is not found in the database</param>
/// <returns>The symbol properties matching the specified market/symbol/security-type or null if not found</returns>
public SymbolProperties GetSymbolProperties(string market, string symbol, SecurityType securityType, string defaultQuoteCurrency)
{
SymbolProperties symbolProperties;
var key = new SecurityDatabaseKey(market, symbol, securityType);
if (!_entries.TryGetValue(key, out symbolProperties))
{
// now check with null symbol key
if (!_entries.TryGetValue(new SecurityDatabaseKey(market, null, securityType), out symbolProperties))
{
// no properties found, return object with default property values
return SymbolProperties.GetDefault(defaultQuoteCurrency);
}
}
return symbolProperties;
}
/// <summary>
/// Creates a new instance of <see cref="SecurityExchangeHours"/> from the specified csv line and holiday set
/// </summary>
/// <param name="line">The csv line to be parsed</param>
/// <param name="holidaysByMarket">The holidays this exchange isn't open for trading by market</param>
/// <param name="key">The key used to uniquely identify these market hours</param>
/// <returns>A new <see cref="SecurityExchangeHours"/> for the specified csv line and holidays</returns>
private static MarketHoursDatabase.Entry FromCsvLine(string line,
IReadOnlyDictionary <string, IEnumerable <DateTime> > holidaysByMarket,
out SecurityDatabaseKey key)
{
var csv = line.Split(',');
var marketHours = new List <LocalMarketHours>(7);
// timezones can be specified using Tzdb names (America/New_York) or they can
// be specified using offsets, UTC-5
var dataTimeZone = ParseTimeZone(csv[0]);
var exchangeTimeZone = ParseTimeZone(csv[1]);
//var market = csv[2];
//var symbol = csv[3];
//var type = csv[4];
var symbol = string.IsNullOrEmpty(csv[3]) ? null : csv[3];
key = new SecurityDatabaseKey(csv[2], symbol, (SecurityType)Enum.Parse(typeof(SecurityType), csv[4], true));
int csvLength = csv.Length;
for (int i = 1; i < 8; i++) // 7 days, so < 8
{
// the 4 here is because 4 times per day, ex_open,open,close,ex_close
if (4 * i + 4 > csvLength - 1)
{
break;
}
var hours = ReadCsvHours(csv, 4 * i + 1, (DayOfWeek)(i - 1));
marketHours.Add(hours);
}
IEnumerable <DateTime> holidays;
if (!holidaysByMarket.TryGetValue(key.Market, out holidays))
{
holidays = Enumerable.Empty <DateTime>();
}
var earlyCloses = new Dictionary <DateTime, TimeSpan>();
var lateOpens = new Dictionary <DateTime, TimeSpan>();
var exchangeHours = new SecurityExchangeHours(exchangeTimeZone, holidays, marketHours.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
return(new MarketHoursDatabase.Entry(dataTimeZone, exchangeHours));
}
/// <summary>
/// Converts this json representation to the <see cref="MarketHoursDatabase"/> type
/// </summary>
/// <returns>A new instance of the <see cref="MarketHoursDatabase"/> class</returns>
public MarketHoursDatabase Convert()
{
var entries = new Dictionary <SecurityDatabaseKey, MarketHoursDatabase.Entry>();
foreach (var entry in Entries)
{
try
{
var key = SecurityDatabaseKey.Parse(entry.Key);
entries[key] = entry.Value.Convert();
}
catch (Exception err)
{
Log.Error(err);
}
}
return(new MarketHoursDatabase(entries));
}
/// <summary>
/// Gets the symbol properties for the specified market/symbol/security-type
/// </summary>
/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
/// <param name="symbol">The particular symbol being traded</param>
/// <param name="securityType">The security type of the symbol</param>
/// <returns>The symbol properties matching the specified market/symbol/security-type or null if not found</returns>
public SymbolProperties GetSymbolProperties(string market, string symbol, SecurityType securityType)
{
SymbolProperties symbolProperties;
var key = new SecurityDatabaseKey(market, symbol, securityType);
if (!_entries.TryGetValue(key, out symbolProperties))
{
// now check with null symbol key
if (!_entries.TryGetValue(new SecurityDatabaseKey(market, null, securityType), out symbolProperties))
{
// no properties found, return object with default property values
return new SymbolProperties(
description: "",
quoteCurrency: "USD",
contractMultiplier: 1m,
pipSize: 0.01m);
}
}
return symbolProperties;
}
public void ThrowsOnWildcardSecurityType()
{
const string input = "[*]-usa-SPY";
SecurityDatabaseKey.Parse(input);
}
public static SymbolProperties TestFromCsvLine(string line, out SecurityDatabaseKey key)
{
return(FromCsvLine(line, out key));
}
/// <summary>
/// Gets the entry for the specified market/symbol/security-type
/// </summary>
/// <param name="market">The market the exchange resides in, i.e, 'usa', 'fxcm', ect...</param>
/// <param name="symbol">The particular symbol being traded</param>
/// <param name="securityType">The security type of the symbol</param>
/// <param name="overrideTimeZone">Specify this time zone to override the resolved time zone from the market hours database.
/// This value will also be used as the time zone for SecurityType.Base with no market hours database entry.
/// If null is specified, no override will be performed. If null is specified, and it's SecurityType.Base, then Utc will be used.</param>
/// <returns>The entry matching the specified market/symbol/security-type</returns>
public virtual Entry GetEntry(string market, string symbol, SecurityType securityType, DateTimeZone overrideTimeZone = null)
{
Entry entry;
var key = new SecurityDatabaseKey(market, symbol, securityType);
if (!_entries.TryGetValue(key, out entry))
{
// now check with null symbol key
if (!_entries.TryGetValue(new SecurityDatabaseKey(market, null, securityType), out entry))
{
if (securityType == SecurityType.Base)
{
if (overrideTimeZone == null)
{
overrideTimeZone = TimeZones.Utc;
Log.Error("MarketHoursDatabase.GetExchangeHours(): Custom data no time zone specified, default to UTC. " + key);
}
// base securities are always open by default and have equal data time zone and exchange time zones
return new Entry(overrideTimeZone, SecurityExchangeHours.AlwaysOpen(overrideTimeZone));
}
Log.Error(string.Format("MarketHoursDatabase.GetExchangeHours(): Unable to locate exchange hours for {0}." + "Available keys: {1}", key, string.Join(", ", _entries.Keys)));
// there was nothing that really matched exactly... what should we do here?
throw new ArgumentException("Unable to locate exchange hours for " + key);
}
// perform time zone override if requested, we'll use the same exact local hours
// and holidays, but we'll express them in a different time zone
if (overrideTimeZone != null && !entry.ExchangeHours.TimeZone.Equals(overrideTimeZone))
{
return new Entry(overrideTimeZone, new SecurityExchangeHours(overrideTimeZone, entry.ExchangeHours.Holidays, entry.ExchangeHours.MarketHours));
}
}
return entry;
}
/// <summary>
/// Creates a new instance of <see cref="SecurityExchangeHours"/> from the specified csv line and holiday set
/// </summary>
/// <param name="line">The csv line to be parsed</param>
/// <param name="holidaysByMarket">The holidays this exchange isn't open for trading by market</param>
/// <param name="key">The key used to uniquely identify these market hours</param>
/// <returns>A new <see cref="SecurityExchangeHours"/> for the specified csv line and holidays</returns>
private static MarketHoursDatabase.Entry FromCsvLine(string line,
IReadOnlyDictionary<string, IEnumerable<DateTime>> holidaysByMarket,
out SecurityDatabaseKey key)
{
var csv = line.Split(',');
var marketHours = new List<LocalMarketHours>(7);
// timezones can be specified using Tzdb names (America/New_York) or they can
// be specified using offsets, UTC-5
var dataTimeZone = ParseTimeZone(csv[0]);
var exchangeTimeZone = ParseTimeZone(csv[1]);
//var market = csv[2];
//var symbol = csv[3];
//var type = csv[4];
var symbol = string.IsNullOrEmpty(csv[3]) ? null : csv[3];
key = new SecurityDatabaseKey(csv[2], symbol, (SecurityType)Enum.Parse(typeof(SecurityType), csv[4], true));
int csvLength = csv.Length;
for (int i = 1; i < 8; i++) // 7 days, so < 8
{
// the 4 here is because 4 times per day, ex_open,open,close,ex_close
if (4*i + 4 > csvLength - 1)
{
break;
}
var hours = ReadCsvHours(csv, 4*i + 1, (DayOfWeek) (i - 1));
marketHours.Add(hours);
}
IEnumerable<DateTime> holidays;
if (!holidaysByMarket.TryGetValue(key.Market, out holidays))
{
holidays = Enumerable.Empty<DateTime>();
}
var exchangeHours = new SecurityExchangeHours(exchangeTimeZone, holidays, marketHours.ToDictionary(x => x.DayOfWeek));
return new MarketHoursDatabase.Entry(dataTimeZone, exchangeHours);
}
/// <summary>
/// Creates a new instance of <see cref="SymbolProperties"/> from the specified csv line
/// </summary>
/// <param name="line">The csv line to be parsed</param>
/// <param name="key">The key used to uniquely identify this security</param>
/// <returns>A new <see cref="SymbolProperties"/> for the specified csv line</returns>
private static SymbolProperties FromCsvLine(string line, out SecurityDatabaseKey key)
{
var csv = line.Split(',');
key = new SecurityDatabaseKey(
market: csv[0],
symbol: csv[1],
securityType: (SecurityType)Enum.Parse(typeof(SecurityType), csv[2], true));
return new SymbolProperties(
description: csv[3],
quoteCurrency: csv[4],
contractMultiplier: csv[5].ToDecimal(),
pipSize: csv[6].ToDecimal());
}
public void DoesNotThrowOnUnknownSecurityType(string key)
{
Assert.DoesNotThrow(() => SecurityDatabaseKey.Parse(key));
}
public void ThrowsOnInvalidFormat()
{
const string input = "Equity-[*]";
SecurityDatabaseKey.Parse(input);
}
