public void ItemsT_Enumerating_Returns_Correct_Values()
{
using (TeaFile <OHLCV> f = TeaFile <OHLCV> .Create(Guid.NewGuid() + "lab1.tea"))
{
var firstValue = new OHLCV {
Open = 111
};
var someValue = new OHLCV {
Open = 222
};
var lastValue = new OHLCV {
Open = 333
};
List <OHLCV> values = new List <OHLCV>();
values.Add(firstValue);
values.Add(someValue);
values.Add(lastValue);
int i = 0;
foreach (OHLCV ohlcv in f.Items)
{
Assert.AreEqual(values[i], ohlcv);
}
}
}
public void AddTransformedValue(OHLCV Value)
{
if (_currentTransformedData == null)
{
throw new ApplicationException("Must first start new transformation.");
}
AddTransformedValue(this.ConversionStrategy.Convert(Value));
}
public void Test_Bin_EmptyData()
{
IList <OHLCV> data = new OHLCV[] { };
Periods period = Periods.OneMinute;
TimeZoneInfo timeZone = TimeZoneInfo.Utc;
var expected = new List <OHLCV>();
var source = new Mock <ISourceSpecification>();
source.Setup(x => x.DataStartTime).Returns(new TimeSpan(0, 0, 0));
source.Setup(x => x.TimeZoneInfo).Returns(TimeZoneInfo.FindSystemTimeZoneById("W. Europe Standard Time"));
var target = new Binner(source.Object);
var actual = target.Bin(data, period, timeZone);
Assert.IsTrue(actual.SequenceEqual(expected));
}
public void CouldAggregateWithHoles()
{
var count = 1000000;
var start = DateTime.UtcNow.Date;
var source = new List <Tick>();
source.Add(new Tick(start.AddMilliseconds(250), new Price(1.0), 1));
source.Add(new Tick(start.AddMilliseconds(750), new Price(2.0), 2));
source.Add(new Tick(start.AddMilliseconds(2500), new Price(3.0), 3));
var seconds = source.Select(x => new KeyValuePair <DateTime, Tick>(x.DateTimeUtc, x)).TimeSlice((t) => new OHLCV(t.Price, t.Price, t.Price, t.Price, t.Volume),
(st, t) =>
{
var res = new OHLCV(
st.Open,
t.Price > st.High ? t.Price : st.High,
t.Price < st.Low ? t.Price : st.Low,
t.Price,
st.Volume + t.Volume
);
return(res);
}, UnitPeriod.Second, 1, 0); //.ToSortedMap();
var sw = new Stopwatch();
//Console.WriteLine("Spreads");
sw.Restart();
var total = 0L;
foreach (var kvp in seconds)
{
total += kvp.Value.Volume;
Console.WriteLine($"{kvp.Key} - {kvp.Value.Open} - {kvp.Value.High} - {kvp.Value.Low} - {kvp.Value.Close} - {kvp.Value.Volume}");
}
if (total == short.MaxValue)
{
Console.WriteLine("avoid optimizations");
}
}
/// <inheritdoc/>
public IList <OHLCV> Bin(IList <OHLCV> data, Periods period, TimeZoneInfo targetTimeZone, TimeSpan phase = default(TimeSpan))
{
if ((data == null) || (data.Count == 0) || (period == Periods.NotSet))
{
return(new List <OHLCV>());
}
TimeSpan interval = PeriodIntervals.Instance[period];
IList <OHLCV> binnedData = new List <OHLCV>();
DateTime targetStartMidnight = (TimeZoneInfo.ConvertTime(data[0].BeginDateTimeOffset, targetTimeZone) + phase).Date;
DateTimeOffset currentBinEnd = new DateTimeOffset(
targetStartMidnight,
targetTimeZone.GetUtcOffset(targetStartMidnight));
DateTimeOffset currentBinStart;
OHLCV ohlcv = default(OHLCV);
var lastDate = TimeZoneInfo.ConvertTime(data.Last().EndDateTimeOffset, targetTimeZone) + phase;
foreach (var d in data)
{
DateTimeOffset dataStartDateTime = TimeZoneInfo.ConvertTime(d.BeginDateTimeOffset, targetTimeZone) + phase;
// if new bin add the current value, move bin to correct location and open a new one
if (currentBinEnd <= dataStartDateTime)
{
// add the current value
if (!(ohlcv.Equals(default(OHLCV))))
{
binnedData.Add(ohlcv);
}
// move bin to correct location
while (currentBinEnd <= dataStartDateTime)
{
currentBinEnd += interval;
}
// do not bin beyond the source data (i.e. don't create partial bins
if (currentBinEnd > lastDate)
{
break;
}
currentBinStart = currentBinEnd - interval;
// open a new one
ohlcv = new OHLCV(
currentBinStart - phase,
d.Open,
0,
currentBinEnd - phase);
ohlcv.Open = d.Open;
}
// update bin values
ohlcv.AddData(d);
// if this is the last data then add the current bin
if (d.Equals(data[data.Count - 1]))
{
binnedData.Add(ohlcv);
}
}
return(binnedData);
}
public IList <OHLCV> Bin(IList <OHLCV> data, Periods period, TimeZoneInfo targetTimeZone)
{
if ((data == null) || (data.Count == 0) || (period == Periods.NotSet))
{
return(new List <OHLCV>());
}
TimeSpan interval = PeriodIntervals[period];
IList <OHLCV> binnedData = new List <OHLCV>();
var sourceStartDate = new DateTimeOffset(
TimeZoneInfo.ConvertTime(data[0].BeginDateTimeOffset, Source.TimeZoneInfo).Date + Source.DataStartTime,
Source.TimeZoneInfo.BaseUtcOffset);
// go back an entire day to ensure that the time zone differences between source and target are defo taken into account
var currentBinEnd = TimeZoneInfo.ConvertTime(sourceStartDate, targetTimeZone).AddDays(-1);
DateTimeOffset currentBinStart;
OHLCV ohlcv = default(OHLCV);
foreach (var d in data)
{
DateTimeOffset dataStartDateTime = TimeZoneInfo.ConvertTime(d.BeginDateTimeOffset, targetTimeZone);
// if new bin add the current value, move bin to correct location and open a new one
if (currentBinEnd <= dataStartDateTime)
{
// add the current value
if (!(ohlcv.Equals(default(OHLCV))))
{
binnedData.Add(ohlcv);
}
// move bin to correct location
while (currentBinEnd <= dataStartDateTime)
{
currentBinEnd += interval;
}
currentBinStart = currentBinEnd - interval;
// open a new one
ohlcv = new OHLCV(
currentBinStart,
0.0,
double.MinValue,
double.MaxValue,
0.0,
0,
currentBinEnd);
ohlcv.Open = d.Open;
}
// update bin values
ohlcv.High = (d.High > ohlcv.High) ? d.High : ohlcv.High;
ohlcv.Low = (d.Low < ohlcv.Low) ? d.Low : ohlcv.Low;
ohlcv.Close = d.Close;
ohlcv.Volume += d.Volume;
// if this is the last data then add the current bin
if (d.Equals(data[data.Count - 1]))
{
binnedData.Add(ohlcv);
}
}
return(binnedData);
}
public override double Convert(OHLCV Value)
{
return((double)Value.High);
}
public override double Convert(OHLCV Value)
{
return((double)Value.Close);
}
public abstract double Convert(OHLCV Value);
public void CouldAggregate()
{
var count = 10000;
var start = DateTime.UtcNow.Date;
var source = new List <Tick>();
for (int i = 0; i < count; i++)
{
source.Add(new Tick(start.AddMilliseconds((i / 5) * 5), new Price((double)i), i));
}
var seconds = source.Select(x => new KeyValuePair <DateTime, Tick>(x.DateTimeUtc, x)).TimeSlice((t) => new OHLCV(t.Price, t.Price, t.Price, t.Price, t.Volume),
(st, t) =>
{
var res = new OHLCV(
st.Open,
t.Price > st.High ? t.Price : st.High,
t.Price < st.Low ? t.Price : st.Low,
t.Price,
st.Volume + t.Volume
);
return(res);
}, UnitPeriod.Second, 1, 0); //.ToSortedMap();
var grouped =
source.GroupBy(t => new DateTime((t.DateTimeUtc.Ticks / TimeSpan.TicksPerSecond) * TimeSpan.TicksPerSecond, t.DateTimeUtc.Kind))
.Select(gr => gr.Aggregate(new KeyValuePair <DateTime, OHLCV>(default(DateTime), new OHLCV((decimal)(-1), -1, -1, -1, 0, 5)), (st, t) =>
{
if (st.Value.Open == -1)
{
var res = new OHLCV(
t.Price,
t.Price,
t.Price,
t.Price,
t.Volume
);
return(new KeyValuePair <DateTime, OHLCV>(gr.Key, res));
}
else
{
var res = new OHLCV(
st.Value.Open,
t.Price > st.Value.High ? t.Price : st.Value.High,
t.Price < st.Value.Low ? t.Price : st.Value.Low,
t.Price,
st.Value.Volume + t.Volume
);
return(new KeyValuePair <DateTime, OHLCV>(gr.Key, res));
}
}));
var sw = new Stopwatch();
Console.WriteLine($"Memory: {GC.GetTotalMemory(false)}");
for (int r = 0; r < 1; r++)
{
//Console.WriteLine("Spreads");
sw.Restart();
var total = 0L;
foreach (var kvp in seconds)
{
total += kvp.Value.Volume;
Console.WriteLine($"{kvp.Key} - {kvp.Value.Open} - {kvp.Value.High} - {kvp.Value.Low} - {kvp.Value.Close} - {kvp.Value.Volume}");
}
if (total == short.MaxValue)
{
Console.WriteLine("avoid optimizations");
}
sw.Stop();
Console.WriteLine($"Spreads: {sw.ElapsedMilliseconds}");
Console.WriteLine("LINQ");
sw.Restart();
var total2 = 0L;
foreach (var kvp in grouped)
{
total2 += kvp.Value.Volume;
Console.WriteLine($"{kvp.Key} - {kvp.Value.Open} - {kvp.Value.High} - {kvp.Value.Low} - {kvp.Value.Close} - {kvp.Value.Volume}");
}
if (total2 == short.MaxValue)
{
Console.WriteLine("avoid optimizations");
}
sw.Stop();
Console.WriteLine($"LINQ: {sw.ElapsedMilliseconds}");
Assert.AreEqual(total, total2);
Console.WriteLine($"GC: {GC.CollectionCount(0)} - {GC.CollectionCount(1)} - {GC.CollectionCount(2)}");
}
Console.WriteLine($"Memory: {GC.GetTotalMemory(false)}");
Console.WriteLine($"GC: {GC.CollectionCount(0)} - {GC.CollectionCount(1)} - {GC.CollectionCount(2)}");
}
public override double Convert(OHLCV Value)
{
return(((double)Value.High + (double)Value.Low) / 2.0);
}