public void HandlerUsesAccuracyDictionary()
{
DateTime dt = new DateTime(2017, 1, 1, 0, 0, 0, DateTimeKind.Utc);
const string asset1 = "btcusd";
const string asset2 = "eurusd";
var env = new EnvironmentStub(new List <AssetPair>()
{
new AssetPair()
{
Id = asset1, Accuracy = 5
},
new AssetPair()
{
Id = asset2, Accuracy = 3
}
});
var def = new DefaultHandler(null);
var handler = new MidHandler(env, def);
Queue <QuoteExt> queue = new Queue <QuoteExt>();
handler.Handle(new QuoteExt()
{
AssetPair = asset1, IsBuy = false, Price = 1.12345, Timestamp = dt, PriceType = PriceType.Ask
}, queue).Wait();
handler.Handle(new QuoteExt()
{
AssetPair = asset1, IsBuy = true, Price = 2.54321, Timestamp = dt.AddSeconds(1), PriceType = PriceType.Bid
}, queue).Wait();
handler.Handle(new QuoteExt()
{
AssetPair = asset2, IsBuy = false, Price = 1.1111, Timestamp = dt, PriceType = PriceType.Ask
}, queue).Wait();
handler.Handle(new QuoteExt()
{
AssetPair = asset2, IsBuy = true, Price = 2.2222, Timestamp = dt.AddSeconds(1), PriceType = PriceType.Bid
}, queue).Wait();
Assert.Equal(6, queue.Count);
// Check output queue
var mid = queue.ToList().Where(q => q.PriceType == PriceType.Mid).ToList();
Assert.Equal(2, mid.Count);
mid[0].IsEqual(new QuoteExt()
{
AssetPair = asset1, Price = 1.83333, Timestamp = dt, PriceType = PriceType.Mid
});
mid[1].IsEqual(new QuoteExt()
{
AssetPair = asset2, Price = 1.667, Timestamp = dt, PriceType = PriceType.Mid
});
}
public void HandlerChecksTimestamp()
{
DateTime dt = new DateTime(2017, 1, 1, 0, 0, 0, DateTimeKind.Utc);
const string asset = "btcusd";
var env = new EnvironmentStub(new List <AssetPair>()
{
new AssetPair()
{
Id = asset, Accuracy = 5
}
});
var def = new DefaultHandler(null);
var handler = new MidHandler(env, def);
Queue <QuoteExt> queue = new Queue <QuoteExt>();
handler.Handle(new QuoteExt()
{
AssetPair = asset, IsBuy = false, Price = 1, Timestamp = dt, PriceType = PriceType.Ask
}, queue).Wait();
Assert.Equal(1, queue.Count);
queue.Clear();
handler.Handle(new QuoteExt()
{
AssetPair = asset, IsBuy = true, Price = 2, Timestamp = dt.AddSeconds(1), PriceType = PriceType.Bid
}, queue).Wait();
Assert.Equal(2, queue.Count);
// Check output queue
queue.ToArray()[0].IsEqual(new QuoteExt()
{
AssetPair = asset, Price = 1.5, Timestamp = dt, PriceType = PriceType.Mid
});
queue.Clear();
// Old time quote should not affect computing. Though a new Mid quote is still generated.
handler.Handle(new QuoteExt()
{
AssetPair = asset, IsBuy = false, Price = 3, Timestamp = dt.AddSeconds(-1), PriceType = PriceType.Ask
}, queue).Wait();
Assert.Equal(2, queue.Count);
queue.ToArray()[0].IsEqual(new QuoteExt()
{
AssetPair = asset, Price = 1.5, Timestamp = dt, PriceType = PriceType.Mid
});
}