public void FiltersDataOutsideRTHWhenSessionSpansMultipleDays()
{
var sessions = new List <InstrumentSession>
{
new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
ClosingDay = DayOfTheWeek.Tuesday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingTime = new TimeSpan(16, 0, 0),
IsSessionEnd = true
}
};
var data = GetDataBetween(new DateTime(2014, 1, 13, 0, 0, 0), new DateTime(2014, 1, 14, 23, 0, 0));
var unfilteredData = new List <OHLCBar>(data);
RTHFilter.Filter(data, sessions);
var startCutoff = new DateTime(2014, 1, 13, 8, 0, 0);
var endingCutoff = new DateTime(2014, 1, 14, 16, 0, 0);
Assert.AreEqual(0, data.Count(x => x.DT < startCutoff));
Assert.AreEqual(0, data.Count(x => x.DT > endingCutoff));
Assert.AreEqual(
unfilteredData.Count
- unfilteredData.Count(x => x.DT <= startCutoff)
- unfilteredData.Count(x => x.DT > endingCutoff),
data.Count);
}
public void FiltersCorrectlyWhenDataGapsOverMultipleSessionsOutsideASession()
{
var sessions = new List <InstrumentSession>
{
new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
ClosingDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingTime = new TimeSpan(12, 0, 0)
},
new InstrumentSession
{
OpeningDay = DayOfTheWeek.Tuesday,
ClosingDay = DayOfTheWeek.Tuesday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingTime = new TimeSpan(12, 0, 0)
},
new InstrumentSession
{
OpeningDay = DayOfTheWeek.Wednesday,
ClosingDay = DayOfTheWeek.Wednesday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingTime = new TimeSpan(12, 0, 0)
},
new InstrumentSession
{
OpeningDay = DayOfTheWeek.Thursday,
ClosingDay = DayOfTheWeek.Thursday,
OpeningTime = new TimeSpan(12, 0, 0),
ClosingTime = new TimeSpan(16, 0, 0)
}
};
// the data starts right before monday, but then jumps to before the wednesday session
// 31/3: Monday
var data = GetDataBetween(new DateTime(2014, 3, 31, 0, 0, 0), new DateTime(2014, 3, 31, 11, 0, 0));
data.AddRange(GetDataBetween(new DateTime(2014, 4, 2, 4, 0, 0), new DateTime(2014, 4, 3, 20, 0, 0)));
var unfilteredData = new List <OHLCBar>(data);
RTHFilter.Filter(data, sessions);
var startCutoff1 = new DateTime(2014, 3, 31, 8, 0, 0);
var endingCutoff1 = new DateTime(2014, 3, 31, 12, 0, 0);
var startCutoff2 = new DateTime(2014, 4, 2, 8, 0, 0);
var endingCutoff2 = new DateTime(2014, 4, 2, 12, 0, 0);
var startCutoff3 = new DateTime(2014, 4, 3, 12, 0, 0);
var endingCutoff3 = new DateTime(2014, 4, 3, 16, 0, 0);
Assert.AreEqual(unfilteredData.Count
- unfilteredData.Count(x => x.DT <= startCutoff1)
- unfilteredData.Count(x => x.DT > endingCutoff1 && x.DT <= startCutoff2)
- unfilteredData.Count(x => x.DT > endingCutoff2 && x.DT <= startCutoff3)
- unfilteredData.Count(x => x.DT > endingCutoff3)
, data.Count);
}
public void FiltersDataOutsideRTHWithMultipleSessionsInOneDay()
{
var sessions = new List <InstrumentSession>
{
new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
ClosingDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingTime = new TimeSpan(11, 0, 0)
},
new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
ClosingDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(14, 0, 0),
ClosingTime = new TimeSpan(18, 0, 0)
}
};
var data = GetDataBetween(new DateTime(2014, 1, 13, 0, 0, 0), new DateTime(2014, 1, 14, 23, 0, 0));
var unfilteredData = new List <OHLCBar>(data);
RTHFilter.Filter(data, sessions);
var startCutoff1 = new DateTime(2014, 1, 13, 8, 0, 0);
var endingCutoff1 = new DateTime(2014, 1, 13, 11, 0, 0);
var startCutoff2 = new DateTime(2014, 1, 13, 14, 0, 0);
var endingCutoff2 = new DateTime(2014, 1, 13, 18, 0, 0);
Assert.AreEqual(0, data.Count(x => x.DT <= startCutoff1));
Assert.AreEqual(0, data.Count(x => x.DT > endingCutoff1 && x.DT <= startCutoff2));
Assert.AreEqual(0, data.Count(x => x.DT > endingCutoff2));
Assert.AreEqual(
unfilteredData.Count
- unfilteredData.Count(x => x.DT <= startCutoff1)
- unfilteredData.Count(x => x.DT > endingCutoff1 && x.DT <= startCutoff2)
- unfilteredData.Count(x => x.DT > endingCutoff2)
, data.Count);
}
public void FiltersDataOutsideRTHWithSingleDaySession()
{
var sessions = new List <InstrumentSession>
{
new InstrumentSession
{
OpeningDay = DayOfTheWeek.Monday,
ClosingDay = DayOfTheWeek.Monday,
OpeningTime = new TimeSpan(8, 0, 0),
ClosingTime = new TimeSpan(16, 0, 0),
IsSessionEnd = true
}
};
var data = GetDataBetween(new DateTime(2014, 1, 13, 0, 0, 0), new DateTime(2014, 1, 13, 23, 0, 0));
RTHFilter.Filter(data, sessions);
var startCutoff = new DateTime(2014, 1, 13, 8, 0, 0);
var endingCutoff = new DateTime(2014, 1, 13, 16, 0, 0);
Assert.AreEqual(0, data.Count(x => x.DT <= startCutoff));
Assert.AreEqual(0, data.Count(x => x.DT > endingCutoff));
}