public void ResetTests(SecurityCache cache, SecuritySeedData seedType)
{
switch (seedType)
{
case SecuritySeedData.None:
case SecuritySeedData.OpenInterest:
case SecuritySeedData.OpenInterestTick:
break;
case SecuritySeedData.QuoteTick:
Assert.IsNotNull(cache.GetData());
Assert.Greater(cache.GetAll <Tick>().Count(x => x.TickType == TickType.Quote), 0);
cache.Reset();
Assert.IsFalse(cache.HasData(typeof(Tick)));
Assert.AreEqual(cache.GetAll <Tick>().Count(x => x.TickType == TickType.Quote), 0);
break;
case SecuritySeedData.TradeTick:
Assert.IsNotNull(cache.GetData());
Assert.Greater(cache.GetAll <Tick>().Count(x => x.TickType == TickType.Trade), 0);
cache.Reset();
Assert.IsFalse(cache.HasData(typeof(Tick)));
Assert.AreEqual(cache.GetAll <Tick>().Count(x => x.TickType == TickType.Trade), 0);
break;
default:
Assert.IsNotNull(cache.GetData());
cache.Reset();
break;
}
}
public void StoreData_SecurityCacheHasTradeAndQuoteTick()
{
// Arrange
var securityCache = new SecurityCache();
var time = DateTime.Now;
var quote = new Tick(time, Symbol.Empty, 100, 102)
{
TickType = TickType.Quote
};
securityCache.StoreData(new[] { quote }, typeof(Tick));
var trade = new Tick(time.AddMilliseconds(1), Symbol.Empty, 100, 100, 102)
{
TickType = TickType.Trade
};
securityCache.StoreData(new[] { trade }, typeof(Tick));
// Adding OpenInterest as Tick or OpenInterest should not matter
var openInterest = new OpenInterest(time, Symbol.Empty, 1000);
securityCache.StoreData(new[] { openInterest }, typeof(Tick)); // Add as Tick
securityCache.StoreData(new[] { openInterest }, typeof(OpenInterest)); // Add as OI
// Assert
Assert.IsTrue(securityCache.HasData(typeof(Tick)));
Assert.True(securityCache.GetData <Tick>().Equals(trade));
Assert.True(securityCache.GetData <OpenInterest>().Equals(openInterest));
Assert.True(securityCache.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Quote).Equals(quote));
Assert.True(securityCache.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Trade).Equals(trade));
}
public void AddData_SecurityCacheHasTradeAndQuoteTick()
{
// Arrange
var securityCache = new SecurityCache();
var time = DateTime.Now;
var quote = new Tick(time, Symbol.Empty, 100, 102)
{
TickType = TickType.Quote
};
securityCache.AddData(quote);
var trade = new Tick(time, Symbol.Empty, 100, 100, 102)
{
TickType = TickType.Trade
};
securityCache.AddData(trade);
var openInterest = new OpenInterest(time, Symbol.Empty, 1000);
securityCache.AddData(openInterest);
// Assert
Assert.True(securityCache.GetData().Equals(trade));
Assert.True(securityCache.GetData <Tick>().Equals(trade));
Assert.True(securityCache.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Quote).Equals(quote));
Assert.True(securityCache.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Trade).Equals(trade));
}
/// <summary>
/// Advances the enumerator to the next element of the collection.
/// </summary>
/// <returns> true if the enumerator was successfully advanced to the next element; false if the enumerator has passed the end of the collection.</returns>
/// <exception cref="T:System.InvalidOperationException">The collection was modified after the enumerator was created.</exception>
public bool MoveNext()
{
var currentDate = _timeProvider.GetUtcNow().ConvertFromUtc(_dataConfig.ExchangeTimeZone).Date;
if (currentDate != _lastTime)
{
// when the date changes for the security we trigger a new tradable date event
var newDayEvent = new NewTradableDateEventArgs(currentDate, _securityCache.GetData(), _dataConfig.Symbol, null);
foreach (var delistingEvent in _delistingEventProvider.GetEvents(newDayEvent))
{
_dataToEmit.Enqueue(delistingEvent);
}
// update last time
_lastTime = currentDate;
}
if (_dataToEmit.Count > 0)
{
// emit event if any
Current = _dataToEmit.Dequeue();
return(true);
}
Current = null;
return(false);
}
public void GivenSameTimeStampForTradeBarAndQuoteQuotebarPrioritizeQuoteBar()
{
// Arrange
var securityCache = new SecurityCache();
var time = DateTime.Now;
var quotes = GenerateData(MarketDataType.QuoteBar, 5, false, time);
var trades = GenerateData(MarketDataType.TradeBar, 5, false, time);
var data = quotes.Concat(trades);
data = data.OrderBy(d => d.EndTime);
// Act
foreach (var baseData in data)
{
securityCache.AddData(baseData);
}
// Assert
Assert.True(securityCache.GetData().Equals(quotes.Last()));
Assert.True(securityCache.GetData <TradeBar>().Equals(trades.Last()));
}
public void UseLatestTradebarIfThereIsntAvailableQuotebar()
{
// Arrange
var securityCache = new SecurityCache();
var time = DateTime.Now;
var quotes = GenerateData(MarketDataType.QuoteBar, 5, false, time);
foreach (var baseData in quotes)
{
securityCache.AddData(baseData);
}
// Add one last tradebar with a later timestamp
var laterTrade = GenerateData(MarketDataType.TradeBar, 1, true, quotes.Last().Time.AddSeconds(1)).First();
// Act
securityCache.AddData(laterTrade);
// Assert
Assert.True(securityCache.GetData().Equals(laterTrade));
Assert.True(securityCache.GetData <QuoteBar>().Equals(quotes.Last()));
}
public void StoreData_TargetToModify_SecurityCacheHasTradeAndQuoteTick()
{
// Arrange
var sourceToShare = new SecurityCache();
var time = DateTime.Now;
var quote = new Tick(time, Symbol.Empty, 100, 102)
{
TickType = TickType.Quote
};
sourceToShare.StoreData(new[] { quote }, typeof(Tick));
var trade = new Tick(time, Symbol.Empty, 100, 100, 102)
{
TickType = TickType.Trade
};
sourceToShare.StoreData(new[] { trade }, typeof(Tick));
// Adding OpenInterest as Tick or OpenInterest should not matter
var openInterest = new OpenInterest(time, Symbol.Empty, 1000);
sourceToShare.StoreData(new[] { openInterest }, typeof(Tick)); // Add as Tick
sourceToShare.StoreData(new[] { openInterest }, typeof(OpenInterest)); // Add as OI
var targetToModify = new SecurityCache();
SecurityCache.ShareTypeCacheInstance(sourceToShare, targetToModify);
// Assert
Assert.IsTrue(targetToModify.HasData(typeof(Tick)));
Assert.True(targetToModify.GetData <Tick>().Equals(trade));
Assert.True(targetToModify.GetData <OpenInterest>().Equals(openInterest));
Assert.True(targetToModify.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Quote).Equals(quote));
Assert.True(targetToModify.GetAll <Tick>().LastOrDefault(x => x.TickType == TickType.Trade).Equals(trade));
}
public void AlwaysReturnTheLastData(MarketDataType marketDataType, int quantity, bool sameTime)
{
// Arrange
var securityCache = new SecurityCache();
var quotes = GenerateData(marketDataType, quantity, sameTime);
// Act
foreach (var quoteBar in quotes)
{
securityCache.AddData(quoteBar);
}
// Assert
Assert.True(securityCache.GetData().Equals(quotes.Last()));
}
public override bool MoveNext()
{
var currentDate = _timeProvider.GetUtcNow().ConvertFromUtc(Config.ExchangeTimeZone).Add(-Time.LiveAuxiliaryDataOffset).Date;
if (currentDate != _lastTime)
{
// when the date changes for the security we trigger a new tradable date event
var newDayEvent = new NewTradableDateEventArgs(currentDate, _securityCache.GetData(), Config.Symbol, null);
NewTradableDate(this, newDayEvent);
// update last time
_lastTime = currentDate;
}
return(base.MoveNext());
}
public void AlwaysReturnTheLastData(MarketDataType marketDataType, int quantity, bool sameTime)
{
// Arrange
var securityCache = new SecurityCache();
var quotes = GenerateData(marketDataType, quantity, sameTime);
// Act
foreach (var quoteBar in quotes)
{
quoteBar.Symbol = Symbols.SPY;
securityCache.AddData(quoteBar);
}
var lastData = securityCache.GetData();
if (marketDataType == MarketDataType.QuoteBar)
{
Assert.IsNull(lastData);
}
else
{
Assert.True(lastData.Equals(quotes.Last()));
}
}
public void AddDataEquity_OHLC_IgnoresQuoteBar()
{
var securityCache = new SecurityCache();
var quoteBar = new QuoteBar
{
Bid = new Bar(101, 102, 103, 104),
Ask = new Bar(105, 106, 107, 108),
LastAskSize = 109,
LastBidSize = 110,
EndTime = ReferenceTime,
Symbol = Symbols.SPY
};
securityCache.AddData(quoteBar);
var last = securityCache.GetData();
Assert.IsNull(last);
Assert.AreEqual(0, securityCache.High);
Assert.AreEqual(0, securityCache.Close);
Assert.AreEqual(0, securityCache.Low);
Assert.AreEqual(0, securityCache.Open);
Assert.AreEqual(0, securityCache.Volume);
var actualQuoteBar = securityCache.GetData <QuoteBar>();
Assert.IsNotNull(actualQuoteBar);
Assert.AreEqual(108, securityCache.AskPrice);
Assert.AreEqual(109, securityCache.AskSize);
Assert.AreEqual(104, securityCache.BidPrice);
Assert.AreEqual(110, securityCache.BidSize);
var tradeBar = new TradeBar
{
Open = 101,
High = 102,
Low = 103,
Close = 104,
Volume = 105,
EndTime = ReferenceTime,
Symbol = Symbols.SPY
};
securityCache.AddData(tradeBar);
last = securityCache.GetData();
Assert.IsNotNull(last);
var actualTradeBar = securityCache.GetData <TradeBar>();
Assert.IsNotNull(actualTradeBar);
Assert.AreEqual(102, securityCache.High);
Assert.AreEqual(104, securityCache.Close);
Assert.AreEqual(103, securityCache.Low);
Assert.AreEqual(101, securityCache.Open);
Assert.AreEqual(105, securityCache.Volume);
// quote bar data should still be the same
Assert.AreEqual(108, securityCache.AskPrice);
Assert.AreEqual(109, securityCache.AskSize);
Assert.AreEqual(104, securityCache.BidPrice);
Assert.AreEqual(110, securityCache.BidSize);
}
