public override void OnData(Slice slice)
{
var symbol = Securities[_symbol].Symbol;
if (slice.HasData && slice.TryGetValue(symbol, out var ticks))
{
foreach (var tick in ticks)
{
_vwapCalculator.Tick(tick.Price, tick.Quantity);
}
}
}
public void OnTick_ShouldCalculateAverage(decimal[] values, long[] weights, double[] expected)
{
Assert.AreEqual(values.Length, weights.Length,
$"Length of {nameof(values)} does not match that of {nameof(weights)}");
Assert.AreEqual(values.Length, expected.Length,
$"Length of {nameof(values)} does not match that of {nameof(expected)}");
Assert.AreNotEqual(0, values.Length, $"Length of {nameof(values)} must not be 0");
for (var i = 0; i < values.Length; i++)
{
sut.Tick(values[i], weights[i]);
var actual = sut.Average;
Assert.IsTrue(Utilities.ApproximatelyEquals(expected[i], actual),
$"Average is incorrect at step i={i}. Expected={expected[i]}, Actual={actual}");
}
}