public void CandleCanTake100Characters()
{
var interval = TimeInterval.Sec;
var logger = new LogToMemory();
var storage = CreateStorage <CandleTableEntity>(logger);
DateTime baseTime = new DateTime(2017, 03, 01, 0, 0, 0, DateTimeKind.Utc);
var candlesIn = from i in Enumerable.Range(0, 3600) // 1 hour
select new FeedCandle()
{
DateTime = baseTime.AddSeconds(i),
IsBuy = true,
Open = 1234567890.123456,
Close = 1234567890.123456,
High = 1234567890.123456,
Low = 1234567890.123456
};
new CandleHistoryRepository(storage).InsertOrMergeAsync(candlesIn, PriceType.Ask, interval).Wait();
// Select all candles
var queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(PriceType.Ask, interval,
@from: baseTime,
to: baseTime.AddHours(1)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(3600, queriedCandles.Count());
}
public void RepositoryHandlesConcurrencyConflictsOnUpdate()
{
var logger = new LogToMemory();
DateTime baseTime = new DateTime(2017, 03, 01, 0, 0, 0, DateTimeKind.Utc);
// Clear table and insert entity
var storage = CreateStorage <CandleTableEntity>(logger, clear: true);
var candle = new FeedCandle()
{
DateTime = baseTime, Open = 0, Close = 0, High = 0, Low = 0
};
new CandleHistoryRepository(storage).InsertOrMergeAsync(candle, PriceType.Ask, TimeInterval.Hour).Wait();
// Run multiple update tasks simultaneously
var tasks = new List <Task>();
for (int t = 1; t < 11; t++)
{
tasks.Add(Task.Run(() =>
{
var repo = new CandleHistoryRepository(CreateStorage <CandleTableEntity>(logger, clear: false));
var candlet = new FeedCandle()
{
DateTime = baseTime.AddHours(t), Open = t, Close = t, High = t, Low = t
};
repo.InsertOrMergeAsync(candlet, PriceType.Ask, TimeInterval.Hour).Wait();
}));
}
Task.WhenAll(tasks).Wait();
}
public void WriteReadMinutes()
{
var asset = "EURUSD";
var interval = TimeInterval.Minute;
var logger = new LogToMemory();
var storage = CreateStorage <CandleTableEntity>(logger);
var repo = new CandleHistoryRepository(storage);
DateTime baseTime = new DateTime(2017, 03, 01, 0, 0, 0, DateTimeKind.Utc);
var candlesIn = from i in Enumerable.Range(0, 60 * 24 * 3) // 3 days
select new FeedCandle()
{
DateTime = baseTime.AddMinutes(i), IsBuy = true, Open = i, Close = i, High = i, Low = i
};
repo.InsertOrMergeAsync(candlesIn, asset, interval).Wait();
// Select for 1 hour
var queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(asset, interval, true,
from: baseTime.AddHours(1),
to: baseTime.AddHours(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(60, queriedCandles.Count());
Assert.True(queriedCandles.First().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddHours(1), IsBuy = true, Open = 60, Close = 60, High = 60, Low = 60
}));
Assert.True(queriedCandles.Last().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddHours(1).AddMinutes(59), IsBuy = true, Open = 119, Close = 119, High = 119, Low = 119
}));
// Select for 1 day
queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(asset, interval, true,
from: baseTime.AddDays(1),
to: baseTime.AddDays(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(60 * 24 * 1, queriedCandles.Count());
// Read/write 1 candle
new CandleHistoryRepository(storage).InsertOrMergeAsync(
new FeedCandle()
{
DateTime = baseTime.AddHours(1), IsBuy = true, Open = 99, Close = 99, High = 99, Low = 99
}, asset, interval).Wait();
var candle = new CandleHistoryRepository(storage).GetCandleAsync(asset, interval, true, baseTime.AddHours(1)).Result;
Assert.True(candle.IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddHours(1), IsBuy = true, Open = 99, Close = 99, High = 99, Low = 60
}));
}
public void WriteReadHours()
{
var interval = TimeInterval.Hour;
var logger = new LogToMemory();
var storage = CreateStorage <CandleTableEntity>(logger);
var repo = new CandleHistoryRepository(storage);
DateTime baseTime = new DateTime(2017, 03, 01, 0, 0, 0, DateTimeKind.Utc);
var candlesIn = from i in Enumerable.Range(0, 24 * 31 * 3) // 3 months
select new FeedCandle()
{
DateTime = baseTime.AddHours(i), Open = i, Close = i, High = i, Low = i
};
repo.InsertOrMergeAsync(candlesIn, PriceType.Bid, interval).Wait();
// Select for 1 day
var queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(PriceType.Bid, interval,
@from: baseTime.AddDays(1),
to: baseTime.AddDays(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(24, queriedCandles.Count());
Assert.True(queriedCandles.First().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddDays(1), IsBuy = true, Open = 24, Close = 24, High = 24, Low = 24
}));
Assert.True(queriedCandles.Last().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddDays(1).AddHours(23), IsBuy = true, Open = 47, Close = 47, High = 47, Low = 47
}));
// Select for 1 month
queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(PriceType.Bid, interval,
@from: baseTime.AddMonths(1),
to: baseTime.AddMonths(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(24 * 30, queriedCandles.Count());
// Read/write 1 candle
new CandleHistoryRepository(storage).InsertOrMergeAsync(
new FeedCandle()
{
DateTime = baseTime.AddDays(1), IsBuy = true, Open = 99, Close = 99, High = 99, Low = 99
}, PriceType.Bid, interval).Wait();
var candle = new CandleHistoryRepository(storage).GetCandleAsync(PriceType.Bid, interval, baseTime.AddDays(1)).Result;
Assert.True(candle.IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddDays(1), IsBuy = true, Open = 99, Close = 99, High = 99, Low = 24
}));
}
public void WriteRead30Minutes()
{
var interval = TimeInterval.Min30;
var logger = new LogToMemory();
var storage = CreateStorage <CandleTableEntity>(logger);
var repo = new CandleHistoryRepository(storage);
DateTime baseTime = new DateTime(2017, 03, 01, 0, 0, 0, DateTimeKind.Utc);
var candlesIn = from i in Enumerable.Range(0, 2 * 24 * 3) // 3 days
select new FeedCandle()
{
DateTime = baseTime.AddMinutes(30 * i), Open = i, Close = i, High = i, Low = i
};
repo.InsertOrMergeAsync(candlesIn, PriceType.Mid, interval).Wait();
// Select for 1 hour
var queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(PriceType.Mid, interval,
@from: baseTime.AddHours(1),
to: baseTime.AddHours(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(2, queriedCandles.Count());
Assert.True(queriedCandles.First().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddHours(1), Open = 2, Close = 2, High = 2, Low = 2
}));
Assert.True(queriedCandles.Last().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddHours(1).AddMinutes(30), Open = 3, Close = 3, High = 3, Low = 3
}));
// Select for 1 day
queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(PriceType.Mid, interval,
@from: baseTime.AddDays(1),
to: baseTime.AddDays(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(2 * 24, queriedCandles.Count());
// Read/write 1 candle
new CandleHistoryRepository(storage).InsertOrMergeAsync(
new FeedCandle()
{
DateTime = baseTime.AddHours(1), Open = 99, Close = 99, High = 99, Low = 99
}, PriceType.Mid, interval).Wait();
var candle = new CandleHistoryRepository(storage).GetCandleAsync(PriceType.Mid, interval, baseTime.AddHours(1)).Result;
Assert.True(candle.IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddHours(1), Open = 99, Close = 99, High = 99, Low = 2
}));
}
public void WriteReadWeeks()
{
var asset = "EURUSD";
var interval = TimeInterval.Week;
var logger = new LogToMemory();
var storage = CreateStorage <CandleTableEntity>(logger);
DateTime baseTime = new DateTime(2016, 12, 26, 0, 0, 0, DateTimeKind.Utc);
var candlesIn = from i in Enumerable.Range(0, 54 * 3) // > 3 years
select new FeedCandle()
{
DateTime = baseTime.AddDays(7 * i), IsBuy = true, Open = i, Close = i, High = i, Low = i
};
new CandleHistoryRepository(storage).InsertOrMergeAsync(candlesIn, asset, interval).Wait();
// Select for 1 month
var queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(asset, interval, true,
from: baseTime,
to: baseTime.AddDays(28)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(4, queriedCandles.Count());
Assert.True(queriedCandles.First().IsEqual(
new FeedCandle()
{
DateTime = baseTime, IsBuy = true, Open = 0, Close = 0, High = 0, Low = 0
}));
Assert.True(queriedCandles.Last().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddDays(21), IsBuy = true, Open = 3, Close = 3, High = 3, Low = 3
}));
// Select for 1 year
queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(asset, interval, true,
from: new DateTime(2017, 12, 25),
to: new DateTime(2017, 12, 25).AddDays(364)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(52, queriedCandles.Count());
// Read/write 1 candle
new CandleHistoryRepository(storage).InsertOrMergeAsync(
new FeedCandle()
{
DateTime = baseTime.AddDays(21), IsBuy = true, Open = 99, Close = 99, High = 99, Low = 99
}, asset, interval).Wait();
var candle = new CandleHistoryRepository(storage).GetCandleAsync(asset, interval, true, baseTime.AddDays(21)).Result;
Assert.True(candle.IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddDays(21), IsBuy = true, Open = 99, Close = 99, High = 99, Low = 3
}));
}
public void WriteReadDays()
{
var asset = "EURUSD";
var interval = TimeInterval.Day;
var logger = new LogToMemory();
var storage = CreateStorage <CandleTableEntity>(logger);
DateTime baseTime = new DateTime(2017, 03, 01, 0, 0, 0, DateTimeKind.Utc);
var candlesIn = from i in Enumerable.Range(0, 31 * 12 * 3) // > 3 years
select new FeedCandle()
{
DateTime = baseTime.AddDays(i), IsBuy = true, Open = i, Close = i, High = i, Low = i
};
new CandleHistoryRepository(storage).InsertOrMergeAsync(candlesIn, asset, interval).Wait();
// Select for 1 month
var queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(asset, interval, true,
from: baseTime.AddMonths(1),
to: baseTime.AddMonths(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(30, queriedCandles.Count());
Assert.True(queriedCandles.First().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddMonths(1), IsBuy = true, Open = 31, Close = 31, High = 31, Low = 31
}));
Assert.True(queriedCandles.Last().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddMonths(1).AddDays(29), IsBuy = true, Open = 60, Close = 60, High = 60, Low = 60
}));
// Select for 1 year
queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(asset, interval, true,
from: baseTime.AddYears(1),
to: baseTime.AddYears(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(365, queriedCandles.Count());
// Read/write 1 candle
new CandleHistoryRepository(storage).InsertOrMergeAsync(
new FeedCandle()
{
DateTime = baseTime.AddMonths(1), IsBuy = true, Open = 99, Close = 99, High = 99, Low = 99
}, asset, interval).Wait();
var candle = new CandleHistoryRepository(storage).GetCandleAsync(asset, interval, true, baseTime.AddMonths(1)).Result;
Assert.True(candle.IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddMonths(1), IsBuy = true, Open = 99, Close = 99, High = 99, Low = 31
}));
}
public void WriteReadMonths()
{
var asset = "EURUSD";
var interval = TimeInterval.Month;
var logger = new LogToMemory();
var storage = CreateStorage <CandleTableEntity>(logger);
var repo = new CandleHistoryRepository(storage);
DateTime baseTime = new DateTime(2017, 03, 01, 0, 0, 0, DateTimeKind.Utc);
var candlesIn = from i in Enumerable.Range(0, 12 * 3) // 3 years
select new FeedCandle()
{
DateTime = baseTime.AddMonths(i), IsBuy = true, Open = i, Close = i, High = i, Low = i
};
repo.InsertOrMergeAsync(candlesIn, asset, interval).Wait();
// Select for 1 year
var queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(asset, interval, true,
from: baseTime.AddYears(1),
to: baseTime.AddYears(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(12, queriedCandles.Count());
Assert.True(queriedCandles.First().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddYears(1), IsBuy = true, Open = 12, Close = 12, High = 12, Low = 12
}));
Assert.True(queriedCandles.Last().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddYears(1).AddMonths(11), IsBuy = true, Open = 23, Close = 23, High = 23, Low = 23
}));
// Select for 1 month
queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(asset, interval, true,
from: baseTime,
to: baseTime.AddMonths(1)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(1, queriedCandles.Count());
}
public void WriteReadMultipleIntervals()
{
var asset = "EURUSD";
var logger = new LogToMemory();
var storage = CreateStorage <CandleTableEntity>(logger);
var repo = new CandleHistoryRepository(storage);
DateTime baseTime = new DateTime(2017, 03, 01, 0, 0, 0, DateTimeKind.Utc);
var candlesMinutes = from i in Enumerable.Range(0, 60 * 24 * 3) // 3 days
select new FeedCandle()
{
DateTime = baseTime.AddMinutes(i), IsBuy = true, Open = i, Close = i, High = i, Low = i
};
var candlesHours = from i in Enumerable.Range(0, 24 * 31 * 3) // 3 months
select new FeedCandle()
{
DateTime = baseTime.AddHours(i), IsBuy = true, Open = i, Close = i, High = i, Low = i
};
repo.InsertOrMergeAsync(new Dictionary <TimeInterval, IEnumerable <IFeedCandle> >()
{
{ TimeInterval.Minute, candlesMinutes },
{ TimeInterval.Hour, candlesHours }
}, asset).Wait();
// Select minutes for 1 day
var queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(asset, TimeInterval.Minute, true,
from: baseTime.AddDays(1),
to: baseTime.AddDays(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(60 * 24 * 1, queriedCandles.Count());
// Select hours for 1 month
queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(asset, TimeInterval.Hour, true,
from: baseTime.AddMonths(1),
to: baseTime.AddMonths(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(24 * 30, queriedCandles.Count());
}
private static void GenerateAndStoreCandles(CandleHistoryRepository repo, string asset, DateTime baseTime, TimeInterval interval)
{
List <IFeedCandle> candles = new List <IFeedCandle>(3600 * 3);
for (int second = 0; second < 3600 * 3; second++)
{
var candle = new FeedCandle()
{
DateTime = baseTime.AddSeconds(second),
IsBuy = true,
Open = second,
Close = second + 1,
High = second + 1,
Low = second
};
candles.Add(candle);
}
repo.InsertOrMergeAsync(candles, asset, interval).Wait();
}
public void WriteReadSeconds()
{
var interval = TimeInterval.Sec;
var logger = new LogToMemory();
var storage = CreateStorage <CandleTableEntity>(logger);
DateTime baseTime = new DateTime(2017, 03, 01, 0, 0, 0, DateTimeKind.Utc);
var candlesIn = from i in Enumerable.Range(0, 3600 * 3) // 3 hours
select new FeedCandle()
{
DateTime = baseTime.AddSeconds(i), Open = i, Close = i, High = i, Low = i
};
new CandleHistoryRepository(storage).InsertOrMergeAsync(candlesIn, PriceType.Ask, interval).Wait();
// Select for 1 minute
var queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(PriceType.Ask, interval,
@from: baseTime.AddHours(1).AddMinutes(1),
to: baseTime.AddHours(1).AddMinutes(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(60, queriedCandles.Count());
Assert.True(queriedCandles.First().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddHours(1).AddMinutes(1), Open = 3660, Close = 3660, High = 3660, Low = 3660
}));
Assert.True(queriedCandles.Last().IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddHours(1).AddMinutes(1).AddSeconds(59), Open = 3719, Close = 3719, High = 3719, Low = 3719
}));
// Select for 1 hour
queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(PriceType.Ask, interval,
@from: baseTime.AddHours(1),
to: baseTime.AddHours(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(3600, queriedCandles.Count());
// Select for 2 hours
queriedCandles = new CandleHistoryRepository(storage).GetCandlesAsync(PriceType.Ask, interval,
@from: baseTime,
to: baseTime.AddHours(2)).Result;
Assert.NotNull(queriedCandles);
Assert.Equal(7200, queriedCandles.Count());
// Read / write 1 candle
new CandleHistoryRepository(storage).InsertOrMergeAsync(
new FeedCandle()
{
DateTime = baseTime.AddMinutes(1), Open = 99, Close = 99, High = 99, Low = 99
}, PriceType.Ask, interval).Wait();
var candle = new CandleHistoryRepository(storage).GetCandleAsync(PriceType.Ask, interval, baseTime.AddMinutes(1)).Result;
Assert.True(candle.IsEqual(
new FeedCandle()
{
DateTime = baseTime.AddMinutes(1), Open = 99, Close = 99, High = 99, Low = 60
}));
}
