internal void Ingest_MultipleTicksDifferentSymbols_CorrectlyAddsTicksToRepository()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
var eurusd = StubInstrumentProvider.EURUSD();
this.repository.Update(audusd);
this.repository.Update(eurusd);
var tick1 = StubQuoteTickProvider.Create(audusd.Symbol);
var tick2 = StubQuoteTickProvider.Create(audusd.Symbol, StubZonedDateTime.UnixEpoch() + Duration.FromDays(1));
var tick3 = StubQuoteTickProvider.Create(audusd.Symbol, StubZonedDateTime.UnixEpoch() + Duration.FromDays(2));
var tick4 = StubQuoteTickProvider.Create(eurusd.Symbol, StubZonedDateTime.UnixEpoch());
var tick5 = StubQuoteTickProvider.Create(eurusd.Symbol, StubZonedDateTime.UnixEpoch() + Duration.FromDays(1));
// Act
this.repository.Ingest(tick1);
this.repository.Ingest(tick2);
this.repository.Ingest(tick3);
this.repository.Ingest(tick4);
this.repository.Ingest(tick5);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.Equal(3, this.repository.TicksCount(audusd.Symbol));
// Assert.Equal(2, this.repository.TicksCount(eurusd.Symbol));
}
internal void GivenTickMessage_WithSubscriber_PublishesMessage()
{
// Arrange
var symbol = new Symbol("AUDUSD", new Venue("FXCM"));
var subscriber = new SubscriberSocket(TestAddress);
subscriber.Connect(TestAddress);
subscriber.Subscribe($"Quote:{symbol.Value}");
Task.Delay(100).Wait(); // Allow subscribers to connect
var tick = StubQuoteTickProvider.Create(symbol);
// Act
this.publisher.Endpoint.SendAsync(tick).Wait();
var topic = subscriber.ReceiveFrameBytes();
var message = subscriber.ReceiveFrameBytes();
// Assert
Assert.Equal(1, this.publisher.SentCount);
Assert.Equal("Quote:AUDUSD.FXCM", Encoding.UTF8.GetString(topic));
Assert.Equal(tick.ToSerializableString(), Encoding.UTF8.GetString(message));
// Tear Down
subscriber.Disconnect(TestAddress);
subscriber.Dispose();
this.publisher.Stop().Wait();
this.publisher.Dispose();
}
internal void ApplyEvents_MultipleFillsInOpenDirection_ReturnsCorrectValues()
{
// Arrange
var orderFill1 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123456"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
new Symbol("AUDUSD", new Venue("FXCM")),
OrderSide.Sell,
Quantity.Create(100000),
Price.Create(1.00000m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var orderFill2 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-1234561"),
new ExecutionId("E-1234561"),
new PositionIdBroker("ET-123456"),
new Symbol("AUDUSD", new Venue("FXCM")),
OrderSide.Sell,
Quantity.Create(100000),
Price.Create(1.00001m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var position = new Position(new PositionId("P-123456"), orderFill1);
var tick = StubQuoteTickProvider.Create(new Symbol("AUDUSD", new Venue("FXCM")));
// Act
position.Apply(orderFill2);
// Assert
Assert.Equal(1.000005m, position.AverageOpenPrice);
Assert.Equal(MarketPosition.Short, position.MarketPosition);
Assert.Equal(Quantity.Create(200000), position.Quantity);
Assert.Equal(decimal.Zero, position.RealizedPoints);
Assert.Equal(0, position.RealizedReturn);
Assert.Equal(Money.Zero(position.BaseCurrency), position.RealizedPnl);
Assert.Equal(0.199945m, position.UnrealizedPoints(tick));
Assert.Equal(0.19994400027999865, position.UnrealizedReturn(tick));
Assert.Equal(Money.Create(39989m, position.BaseCurrency), position.UnrealizedPnl(tick));
Assert.Equal(0.199945m, position.TotalPoints(tick));
Assert.Equal(0.19994400027999865, position.TotalReturn(tick));
Assert.Equal(Money.Create(39989m, position.BaseCurrency), position.TotalPnl(tick));
}
internal void GivenData_WhenNoSubscribers_DoesNothing()
{
// Arrange
var tick = StubQuoteTickProvider.Create(new Symbol("AUD/USD", new Venue("FXCM")));
// Act
this.dataBus.PostData(tick);
this.dataBus.PostData(tick);
this.dataBus.PostData(tick);
this.dataBus.Stop().Wait();
this.dataBus.StopData().Wait();
// Assert
Assert.Equal(0, this.dataBus.Subscriptions.Count);
}
[Fact] internal void Ingest_WithValidTick_AddsTickToRepository()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
var tick = StubQuoteTickProvider.Create(audusd.Symbol);
this.repository.Update(audusd);
// Act
this.repository.Ingest(tick);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.True(this.repository.TicksExist(audusd.Symbol));
// Assert.Equal(1, this.repository.TicksCount(audusd.Symbol));
}
internal void GivenData_WhenSubscribers_SendsDataToSubscriber()
{
// Arrange
var receiver2 = new MockComponent(this.container, "2");
receiver2.RegisterHandler <Tick>(receiver2.OnMessage);
var subscribe1 = new Subscribe <Type>(
typeof(Tick),
this.receiver.Mailbox,
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var subscribe2 = new Subscribe <Type>(
typeof(Tick),
receiver2.Mailbox,
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var tick1 = StubQuoteTickProvider.Create(new Symbol("AUD/USD", new Venue("FXCM")));
var tick2 = StubQuoteTickProvider.Create(new Symbol("AUD/USD", new Venue("FXCM")), StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(1));
var tick3 = StubQuoteTickProvider.Create(new Symbol("AUD/USD", new Venue("FXCM")), StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(2));
// Act
this.dataBus.Endpoint.SendAsync(subscribe1).Wait();
this.dataBus.Endpoint.SendAsync(subscribe2).Wait();
Task.Delay(100).Wait(); // Allow subscriptions
this.dataBus.PostData(tick1);
this.dataBus.PostData(tick2);
this.dataBus.PostData(tick3);
this.dataBus.Stop().Wait();
this.dataBus.StopData().Wait();
this.receiver.Stop().Wait();
receiver2.Stop().Wait();
// Assert
Assert.Contains(tick1, this.receiver.Messages);
Assert.Contains(tick2, this.receiver.Messages);
Assert.Contains(tick3, this.receiver.Messages);
Assert.Contains(tick1, receiver2.Messages);
Assert.Contains(tick2, receiver2.Messages);
Assert.Contains(tick3, receiver2.Messages);
Assert.Equal(3, this.receiver.Messages.Count);
Assert.Equal(3, receiver2.Messages.Count);
}
internal void GetTicks_WithOneTick_ReturnsCorrectTick()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
this.repository.Update(audusd);
var tick1 = StubQuoteTickProvider.Create(audusd.Symbol);
this.repository.Ingest(tick1);
// Act
// var result = this.repository.GetTicks(audusd.Symbol, null, null, null);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.Equal(1, this.repository.TicksCount(audusd.Symbol));
// Assert.Single(result);
// Assert.Equal(tick1, result[0]);
}
internal void GetTicks_WithToDateTime_ReturnsTickInRange()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
this.repository.Update(audusd);
var tick1 = StubQuoteTickProvider.Create(audusd.Symbol);
var tick2 = StubQuoteTickProvider.Create(audusd.Symbol, StubZonedDateTime.UnixEpoch() + Duration.FromMilliseconds(1000));
this.repository.Ingest(tick1);
this.repository.Ingest(tick2);
// Act
// var result = this.repository.GetTicks(audusd.Symbol, null, StubZonedDateTime.UnixEpoch(), null);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.Equal(2, this.repository.TicksCount(audusd.Symbol));
// Assert.Single(result);
// Assert.Equal(tick1, result[0]);
}
