public void Should_Parse(string cultureName)
{
// Arrange
TestHelper.SetThreadCulture(cultureName);
var csv = "2020-01-01 09:30:00,1.21,1.22,1.23,1.24,1000,1,100,1,12345.12345";
// Act
var parsed = HistoricalBar.Parse(csv);
// Assert
Assert.AreEqual(parsed, _historicalBar);
}
private static IEnumerable <HistoricalBar> ToHistoricalBarsUncompressedAscending(this IEnumerable <ITickMessage> tickMessages, TimeSpan interval)
{
var intervalTicks = interval.Ticks;
var nextTimestamp = new DateTime();
HistoricalBar previousBar = null;
foreach (var bar in tickMessages.ToHistoricalBars(interval, DataDirection.Oldest))
{
if (bar.Timestamp != nextTimestamp && previousBar != null)
{
while (bar.Timestamp != nextTimestamp)
{
yield return(new HistoricalBar()
{
Timestamp = nextTimestamp,
Open = previousBar.Close,
High = previousBar.Close,
Low = previousBar.Close,
Close = previousBar.Close,
PeriodVolume = 0,
PeriodTrade = 0,
TotalVolume = previousBar.TotalVolume,
TotalTrade = previousBar.TotalTrade,
VWAP = previousBar.Close
});
nextTimestamp = nextTimestamp.AddTicks(intervalTicks);
}
}
previousBar = bar;
nextTimestamp = bar.Timestamp.AddTicks(intervalTicks);
yield return(bar);
}
}
private static IEnumerable <HistoricalBar <double> > ToHistoricalBarsAscending(this IEnumerable <IIntervalMessage <double> > intervalMessages, TimeSpan timeInterval)
{
var intervalTicks = timeInterval.Ticks;
DateTime?nextTimestamp = null;
HistoricalBar <double> currentBar = null;
var totalTrade = 0;
foreach (var interval in intervalMessages)
{
if (interval.Timestamp < nextTimestamp)
{
totalTrade += interval.NumberOfTrades;
if (interval.Low < currentBar.Low)
{
currentBar.Low = interval.Low;
}
if (interval.High > currentBar.High)
{
currentBar.High = interval.High;
}
currentBar.Close = interval.Close;
currentBar.PeriodVolume += interval.PeriodVolume;
currentBar.PeriodTrade += interval.NumberOfTrades;
currentBar.TotalVolume = interval.TotalVolume;
currentBar.TotalTrade = totalTrade;
currentBar.Wap += (interval.High + interval.Low + interval.Close) / 3 * interval.PeriodVolume; // VWAP estimation
continue;
}
if (currentBar != null)
{
// reset the counts if dates differ
if (interval.Timestamp.Date != currentBar.Timestamp.Date)
{
totalTrade = 0;
}
currentBar.Wap = currentBar.Wap / currentBar.PeriodVolume;
yield return(currentBar);
}
totalTrade += interval.NumberOfTrades;
var currentTimestamp = interval.Timestamp.Trim(intervalTicks);
nextTimestamp = currentTimestamp.AddTicks(intervalTicks);
currentBar = new HistoricalBar <double>()
{
Timestamp = currentTimestamp,
Open = interval.Open,
High = interval.High,
Low = interval.Low,
Close = interval.Close,
PeriodVolume = interval.PeriodVolume,
PeriodTrade = interval.NumberOfTrades,
TotalVolume = interval.TotalVolume,
TotalTrade = totalTrade,
Wap = (interval.High + interval.Low + interval.Close) / 3 * interval.PeriodVolume // VWAP estimation
};
}
// return the last created bar when last interval reached
if (currentBar != null)
{
currentBar.Wap = currentBar.Wap / currentBar.PeriodVolume;
yield return(currentBar);
}
}
private static IEnumerable <HistoricalBar> ToHistoricalBarsAscending(this IEnumerable <ITickMessage> tickMessages, TimeSpan interval)
{
var intervalTicks = interval.Ticks;
DateTime? nextTimestamp = null;
HistoricalBar currentBar = null;
var totalVolume = 0;
var totalTrade = 0;
foreach (var tick in tickMessages)
{
// skip if trade size is zero
if (tick.LastSize == 0)
{
continue;
}
totalVolume += tick.LastSize;
totalTrade += 1;
// to effect the price the trade must be C or E
if (tick.BasisForLast == 'O')
{
continue;
}
if (tick.Timestamp < nextTimestamp)
{
if (tick.Last < currentBar.Low)
{
currentBar.Low = tick.Last;
}
if (tick.Last > currentBar.High)
{
currentBar.High = tick.Last;
}
currentBar.Close = tick.Last;
currentBar.PeriodVolume += tick.LastSize;
currentBar.PeriodTrade += 1;
currentBar.TotalVolume = totalVolume;
currentBar.TotalTrade = totalTrade;
currentBar.VWAP += tick.Last * tick.LastSize;
continue;
}
if (currentBar != null)
{
// reset the counts if dates differ
if (tick.Timestamp.Date != currentBar.Timestamp.Date)
{
totalVolume = tick.LastSize;
totalTrade = 1;
}
currentBar.VWAP = currentBar.VWAP / currentBar.PeriodVolume;
yield return(currentBar);
}
var currentTimestamp = tick.Timestamp.Trim(intervalTicks);
nextTimestamp = currentTimestamp.AddTicks(intervalTicks);
currentBar = new HistoricalBar(
currentTimestamp,
tick.Last,
tick.Last,
tick.Last,
tick.Last,
totalVolume,
tick.LastSize,
totalTrade,
1,
tick.Last * tick.LastSize);
}
// return the last created bar when last tick reached
if (currentBar != null)
{
currentBar.VWAP = currentBar.VWAP / currentBar.PeriodVolume;
yield return(currentBar);
}
}
private static IEnumerable <HistoricalBar> ToHistoricalBarsAscending(this IEnumerable <ITickMessage> tickMessages, TimeSpan interval)
{
var intervalTicks = interval.Ticks;
DateTime? nextTimestamp = null;
DateTime? currentDate = null;
HistoricalBar currentBar = null;
var totalVolume = 0;
var totalTrade = 0;
foreach (var tick in tickMessages)
{
// skip if trade size is zero
if (tick.LastSize == 0)
{
continue;
}
// Check if we need to close off the current bar before we do anything else
if (currentBar != null && tick.Timestamp >= nextTimestamp)
{
// We've reached the end of this bar. Send it out! Setting the currentBar to null
// will cause a new bar to be generated on the first valid tick, below.
currentBar.VWAP = currentBar.VWAP / currentBar.PeriodVolume;
yield return(currentBar);
currentBar = null;
}
// Check for date change up here otherwise 'O' ticks will be ignored
// if they are the first ticks of the day, which will make total volume incorrect
if (currentDate != null && tick.Timestamp.Date != currentDate)
{
// Date has changed. Reset the numbers for the next one
// Don't start a new bar here, because if the next tick is an 'O' we want to count the volume
// but not the tick, and if it's the only tick in a bar, then there shouldn't be a bar! (Apparently)
totalVolume = 0;
totalTrade = 0;
currentDate = tick.Timestamp.Date;
}
totalVolume += tick.LastSize;
totalTrade += 1;
// to effect the price the trade must be C or E
if (tick.BasisForLast == 'O')
{
continue;
}
if (currentBar == null)
{
// if we get here, we have a valid trade tick, and we need a new bar
var currentTimestamp = tick.Timestamp.Trim(intervalTicks);
currentBar = new HistoricalBar(
currentTimestamp,
tick.Last,
tick.Last,
tick.Last,
tick.Last,
0,
0,
0,
0,
0);
nextTimestamp = currentTimestamp.AddTicks(intervalTicks);
currentDate = currentTimestamp.Date;
}
if (tick.Last < currentBar.Low)
{
currentBar.Low = tick.Last;
}
if (tick.Last > currentBar.High)
{
currentBar.High = tick.Last;
}
currentBar.Close = tick.Last;
currentBar.PeriodVolume += tick.LastSize;
currentBar.PeriodTrade += 1;
currentBar.TotalVolume = totalVolume;
currentBar.TotalTrade = totalTrade;
currentBar.VWAP += tick.Last * tick.LastSize;
}
// return the last created bar when last tick reached
if (currentBar != null)
{
currentBar.VWAP = currentBar.VWAP / currentBar.PeriodVolume;
yield return(currentBar);
}
}
public void SetUp()
{
_historicalBar = new HistoricalBar(new DateTime(2020, 01, 01, 9, 30, 00), 1.21, 1.22, 1.23, 1.24, 1000, 1, 100, 1, 12345.12345);
}
