public void CalculateEquityCurve()
{
var deals = new List<MarketOrder>();
var dealsOpen = TestDataGenerator.GetOpenPosition().Select(LinqToEntity.DecorateOrder).ToList();
var dealsClose = TestDataGenerator.GetClosePosition().Select(LinqToEntity.DecorateOrder).ToList();
deals.AddRange(dealsOpen);
deals.AddRange(dealsClose);
var transfers = TestDataGenerator.GetBalanceChange().Select(LinqToEntity.DecorateBalanceChange).ToList();
var firstDealOpenedTime = deals.Min(d => d.TimeEnter);
transfers.Insert(0, new BalanceChange
{
AccountID = deals[0].AccountID,
ValueDate = firstDealOpenedTime.AddHours(-1),
CurrencyToDepoRate = 1,
ChangeType = BalanceChangeType.Deposit,
Amount = 500000
});
var dicQuote = new Dictionary<string, List<QuoteData>>();
foreach (var smb in DalSpot.Instance.GetTickerNames())
dicQuote.Add(smb, dailyQuoteStorage.GetQuotes(smb).Select(q => new QuoteData(q.b, q.b, q.a)).ToList());
var quoteArc = new QuoteArchive(dicQuote);
var res = curveCalculator.CalculateEquityCurve(deals, DepoCurrency, quoteArc, transfers);
// сверить точку кривой доходности
CheckEquityCurvePoint(res, transfers, dealsOpen, dealsClose, quoteArc, dicQuote, 0);
CheckEquityCurvePoint(res, transfers, dealsOpen, dealsClose, quoteArc, dicQuote, 10);
CheckEquityCurvePoint(res, transfers, dealsOpen, dealsClose, quoteArc, dicQuote, 40);
}
public void Can_get_lots_of_records_with_new_instantiation_every_time_test()
{
var times = new List<double>();
for (int i = 0; i < 40; ++i)
{
var sw = Stopwatch.StartNew();
var efDriver = new EFDriver();
var rows = efDriver.GetLotsOfRecords();
Assert.That(rows, Is.Not.Null);
Assert.That(rows.Count(), Is.GreaterThan(0));
sw.Stop();
times.Add(sw.ElapsedMilliseconds);
Console.WriteLine("took {0} ms to get {1} records",
sw.ElapsedMilliseconds,
rows.Count());
}
Console.WriteLine("average: {0}, min: {1}, max: {2}, std dev: {3}",
times.Average(),
times.Min(),
times.Max(),
times.StandardDeviation());
}
public void Can_get_lots_of_records_with_new_instantiation_every_time_test()
{
var times = new List<double>();
for (int i = 0; i < 40; ++i)
{
var sw = Stopwatch.StartNew();
var dapperDriver = new DapperDriver();
var rows = dapperDriver.GetLotsOfRecords<TransactionHistory>();
Assert.That(rows, Is.Not.Null);
Assert.That(rows.Count(), Is.GreaterThan(0));
sw.Stop();
times.Add(sw.ElapsedMilliseconds);
Console.WriteLine("took {0} ms to get {1} records",
sw.ElapsedMilliseconds,
rows.Count());
}
Console.WriteLine("average: {0}, min: {1}, max: {2}",
times.Average(),
times.Min(),
times.Max());
var timesSansMinAndMax = new List<double>();
timesSansMinAndMax.AddRange(times);
timesSansMinAndMax.Remove(timesSansMinAndMax.Min());
timesSansMinAndMax.Remove(timesSansMinAndMax.Max());
Console.WriteLine("average sans min & max: {0}",
timesSansMinAndMax.Average());
}
public void Can_get_few_records_test()
{
var efDriver = new EFDriver();
var times = new List<double>();
for (int i = 0; i < 100; ++i)
{
var sw = Stopwatch.StartNew();
var rows = efDriver.GetAFewRecords();
Assert.That(rows, Is.Not.Null);
Assert.That(rows.Count(), Is.GreaterThan(0));
sw.Stop();
times.Add(sw.ElapsedMilliseconds);
Console.WriteLine("took {0} ms to get {1} records",
sw.ElapsedMilliseconds,
rows.Count());
}
Console.WriteLine("average: {0}, min: {1}, max: {2}, std dev: {3}, median: {4}",
times.Average(),
times.Min(),
times.Max(),
times.StandardDeviation(),
times.Median());
var timesSansMinAndMax = new List<double>();
timesSansMinAndMax.AddRange(times);
timesSansMinAndMax.Remove(timesSansMinAndMax.Min());
timesSansMinAndMax.Remove(timesSansMinAndMax.Max());
Console.WriteLine("average sans min & max: {0}",
timesSansMinAndMax.Average());
}
public void AggregatesTicksIntoSecondBars()
{
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
var enumerator = new TradeBarBuilderEnumerator(Time.OneSecond, TimeZones.NewYork, timeProvider);
// noon new york time
var currentTime = new DateTime(2015, 10, 08, 12, 0, 0);
timeProvider.SetCurrentTime(currentTime);
// add some ticks
var ticks = new List<Tick>
{
new Tick(currentTime, "SPY", 199.55m, 199, 200) {Quantity = 10},
new Tick(currentTime, "SPY", 199.56m, 199.21m, 200.02m) {Quantity = 5},
new Tick(currentTime, "SPY", 199.53m, 198.77m, 199.75m) {Quantity = 20},
new Tick(currentTime, "SPY", 198.77m, 199.75m) {Quantity = 0},
new Tick(currentTime, "SPY", 199.73m, 198.77m, 199.75m) {Quantity = 20},
new Tick(currentTime, "SPY", 198.77m, 199.75m) {Quantity = 0},
};
foreach (var tick in ticks)
{
enumerator.ProcessData(tick);
}
// even though no data is here, it will still return true
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
// advance a second
currentTime = currentTime.AddSeconds(1);
timeProvider.SetCurrentTime(currentTime);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
// in the spirit of not duplicating the above code 5 times (OHLCV, we'll assert these ere as well)
var bar = (TradeBar)enumerator.Current;
Assert.AreEqual(currentTime.AddSeconds(-1), bar.Time);
Assert.AreEqual(currentTime, bar.EndTime);
Assert.AreEqual("SPY", bar.Symbol.Value);
Assert.AreEqual(ticks.First().LastPrice, bar.Open);
Assert.AreEqual(ticks.Max(x => x.LastPrice), bar.High);
Assert.AreEqual(ticks.Min(x => x.LastPrice), bar.Low);
Assert.AreEqual(ticks.Last().LastPrice, bar.Close);
Assert.AreEqual(ticks.Sum(x => x.Quantity), bar.Volume);
}
public void Can_GetSetCountByScores()
{
var scores = new List<double>();
storeMembers.ForEach(x =>
{
Redis.AddItemToSortedSet(SetId, x);
scores.Add(RedisClient.GetLexicalScore(x));
});
Assert.That(Redis.GetSortedSetCount(SetId, scores.Min(), scores.Max()), Is.EqualTo(storeMembers.Count()));
Assert.That(Redis.GetSortedSetCount(SetId, scores.Min(), scores.Min()), Is.EqualTo(1));
}
public void Can_get_scalar_value()
{
List<Author> authors = new List<Author>();
authors.Add(new Author() { Name = "Demis Bellot", Birthday = DateTime.Today.AddYears(-20), Active = true, Earnings = 99.9m, Comments = "CSharp books", Rate = 10, City = "London", FloatProperty = 10.25f, DoubleProperty = 3.23 });
authors.Add(new Author() { Name = "Angel Colmenares", Birthday = DateTime.Today.AddYears(-25), Active = true, Earnings = 50.0m, Comments = "CSharp books", Rate = 5, City = "Bogota", FloatProperty = 7.59f, DoubleProperty = 4.23 });
authors.Add(new Author() { Name = "Adam Witco", Birthday = DateTime.Today.AddYears(-20), Active = true, Earnings = 80.0m, Comments = "Math Books", Rate = 9, City = "London", FloatProperty = 15.5f, DoubleProperty = 5.42 });
authors.Add(new Author() { Name = "Claudia Espinel", Birthday = DateTime.Today.AddYears(-23), Active = true, Earnings = 60.0m, Comments = "Cooking books", Rate = 10, City = "Bogota", FloatProperty = 0.57f, DoubleProperty = 8.76 });
authors.Add(new Author() { Name = "Libardo Pajaro", Birthday = DateTime.Today.AddYears(-25), Active = true, Earnings = 80.0m, Comments = "CSharp books", Rate = 9, City = "Bogota", FloatProperty = 8.43f, DoubleProperty = 7.35 });
authors.Add(new Author() { Name = "Jorge Garzon", Birthday = DateTime.Today.AddYears(-28), Active = true, Earnings = 70.0m, Comments = "CSharp books", Rate = 9, City = "Bogota", FloatProperty = 1.25f, DoubleProperty = 0.3652 });
authors.Add(new Author() { Name = "Alejandro Isaza", Birthday = DateTime.Today.AddYears(-20), Active = true, Earnings = 70.0m, Comments = "Java books", Rate = 0, City = "Bogota", FloatProperty = 1.5f, DoubleProperty = 100.563 });
authors.Add(new Author() { Name = "Wilmer Agamez", Birthday = DateTime.Today.AddYears(-20), Active = true, Earnings = 30.0m, Comments = "Java books", Rate = 0, City = "Cartagena", FloatProperty = 3.5f, DoubleProperty = 7.23 });
authors.Add(new Author() { Name = "Rodger Contreras", Birthday = DateTime.Today.AddYears(-25), Active = true, Earnings = 90.0m, Comments = "CSharp books", Rate = 8, City = "Cartagena", FloatProperty = 0.25f, DoubleProperty = 9.23 });
authors.Add(new Author() { Name = "Chuck Benedict", Birthday = DateTime.Today.AddYears(-22), Active = true, Earnings = 85.5m, Comments = "CSharp books", Rate = 8, City = "London", FloatProperty = 9.95f, DoubleProperty = 4.91 });
authors.Add(new Author() { Name = "James Benedict II", Birthday = DateTime.Today.AddYears(-22), Active = true, Earnings = 85.5m, Comments = "Java books", Rate = 5, City = "Berlin", FloatProperty = 4.44f, DoubleProperty = 6.41 });
authors.Add(new Author() { Name = "Ethan Brown", Birthday = DateTime.Today.AddYears(-20), Active = true, Earnings = 45.0m, Comments = "CSharp books", Rate = 5, City = "Madrid", FloatProperty = 6.67f, DoubleProperty = 8.05 });
authors.Add(new Author() { Name = "Xavi Garzon", Birthday = DateTime.Today.AddYears(-22), Active = true, Earnings = 75.0m, Comments = "CSharp books", Rate = 9, City = "Madrid", FloatProperty = 1.25f, DoubleProperty = 3.99 });
authors.Add(new Author()
{
Name = "Luis garzon",
Birthday = DateTime.Today.AddYears(-22),
Active = true,
Earnings = 85.0m,
Comments = "CSharp books",
Rate = 10,
City = "Mexico",
LastActivity = DateTime.Today,
NRate = 5,
FloatProperty = 1.25f,
NFloatProperty = 3.15f,
DoubleProperty = 1.25,
NDoubleProperty = 8.25
});
using (var db = OpenDbConnection())
{
db.CreateTable<Author>(true);
db.DeleteAll<Author>();
db.InsertAll(authors);
var expectedDate = authors.Max(e => e.Birthday);
var r1 = db.Scalar<Author, DateTime>(e => Sql.Max(e.Birthday));
Assert.That(expectedDate, Is.EqualTo(r1));
expectedDate = authors.Where(e => e.City == "London").Max(e => e.Birthday);
r1 = db.Scalar<Author, DateTime>(e => Sql.Max(e.Birthday), e => e.City == "London");
Assert.That(expectedDate, Is.EqualTo(r1));
r1 = db.Scalar<Author, DateTime>(e => Sql.Max(e.Birthday), e => e.City == "SinCity");
Assert.That(default(DateTime), Is.EqualTo(r1));
var expectedNullableDate = authors.Max(e => e.LastActivity);
DateTime? r2 = db.Scalar<Author, DateTime?>(e => Sql.Max(e.LastActivity));
Assert.That(expectedNullableDate, Is.EqualTo(r2));
expectedNullableDate = authors.Where(e => e.City == "Bogota").Max(e => e.LastActivity);
r2 = db.Scalar<Author, DateTime?>(
e => Sql.Max(e.LastActivity),
e => e.City == "Bogota");
Assert.That(r2, Is.EqualTo(expectedNullableDate));
r2 = db.Scalar<Author, DateTime?>(e => Sql.Max(e.LastActivity), e => e.City == "SinCity");
Assert.That(default(DateTime?), Is.EqualTo(r2));
var expectedDecimal = authors.Max(e => e.Earnings);
decimal r3 = db.Scalar<Author, decimal>(e => Sql.Max(e.Earnings));
Assert.That(expectedDecimal, Is.EqualTo(r3));
expectedDecimal = authors.Where(e => e.City == "London").Max(e => e.Earnings);
r3 = db.Scalar<Author, decimal>(e => Sql.Max(e.Earnings), e => e.City == "London");
Assert.That(expectedDecimal, Is.EqualTo(r3));
r3 = db.Scalar<Author, decimal>(e => Sql.Max(e.Earnings), e => e.City == "SinCity");
Assert.That(default(decimal), Is.EqualTo(r3));
var expectedNullableDecimal = authors.Max(e => e.NEarnings);
decimal? r4 = db.Scalar<Author, decimal?>(e => Sql.Max(e.NEarnings));
Assert.That(expectedNullableDecimal, Is.EqualTo(r4));
expectedNullableDecimal = authors.Where(e => e.City == "London").Max(e => e.NEarnings);
r4 = db.Scalar<Author, decimal?>(e => Sql.Max(e.NEarnings), e => e.City == "London");
Assert.That(expectedNullableDecimal, Is.EqualTo(r4));
r4 = db.Scalar<Author, decimal?>(e => Sql.Max(e.NEarnings), e => e.City == "SinCity");
Assert.That(default(decimal?), Is.EqualTo(r4));
var expectedDouble = authors.Max(e => e.DoubleProperty);
double r5 = db.Scalar<Author, double>(e => Sql.Max(e.DoubleProperty));
Assert.That(expectedDouble, Is.EqualTo(r5).Within(.1d));
expectedDouble = authors.Where(e => e.City == "London").Max(e => e.DoubleProperty);
r5 = db.Scalar<Author, double>(e => Sql.Max(e.DoubleProperty), e => e.City == "London");
Assert.That(expectedDouble, Is.EqualTo(r5).Within(.1d));
r5 = db.Scalar<Author, double>(e => Sql.Max(e.DoubleProperty), e => e.City == "SinCity");
Assert.That(default(double), Is.EqualTo(r5));
var expectedNullableDouble = authors.Max(e => e.NDoubleProperty);
double? r6 = db.Scalar<Author, double?>(e => Sql.Max(e.NDoubleProperty));
Assert.That(expectedNullableDouble, Is.EqualTo(r6));
expectedNullableDouble = authors.Where(e => e.City == "London").Max(e => e.NDoubleProperty);
r6 = db.Scalar<Author, double?>(e => Sql.Max(e.NDoubleProperty), e => e.City == "London");
Assert.That(expectedNullableDouble, Is.EqualTo(r6));
r6 = db.Scalar<Author, double?>(e => Sql.Max(e.NDoubleProperty), e => e.City == "SinCity");
Assert.That(default(double?), Is.EqualTo(r6));
var expectedFloat = authors.Max(e => e.FloatProperty);
var r7 = db.Scalar<Author, float>(e => Sql.Max(e.FloatProperty));
Assert.That(expectedFloat, Is.EqualTo(r7));
expectedFloat = authors.Where(e => e.City == "London").Max(e => e.FloatProperty);
r7 = db.Scalar<Author, float>(e => Sql.Max(e.FloatProperty), e => e.City == "London");
Assert.That(expectedFloat, Is.EqualTo(r7));
r7 = db.Scalar<Author, float>(e => Sql.Max(e.FloatProperty), e => e.City == "SinCity");
Assert.That(default(float), Is.EqualTo(r7));
var expectedNullableFloat = authors.Max(e => e.NFloatProperty);
var r8 = db.Scalar<Author, float?>(e => Sql.Max(e.NFloatProperty));
Assert.That(expectedNullableFloat, Is.EqualTo(r8));
expectedNullableFloat = authors.Where(e => e.City == "London").Max(e => e.NFloatProperty);
r8 = db.Scalar<Author, float?>(e => Sql.Max(e.NFloatProperty), e => e.City == "London");
Assert.That(expectedNullableFloat, Is.EqualTo(r8));
r8 = db.Scalar<Author, float?>(e => Sql.Max(e.NFloatProperty), e => e.City == "SinCity");
Assert.That(default(float?), Is.EqualTo(r8));
var expectedString = authors.Min(e => e.Name);
var r9 = db.Scalar<Author, string>(e => Sql.Min(e.Name));
Assert.That(expectedString, Is.EqualTo(r9));
expectedString = authors.Where(e => e.City == "London").Min(e => e.Name);
r9 = db.Scalar<Author, string>(e => Sql.Min(e.Name), e => e.City == "London");
Assert.That(expectedString, Is.EqualTo(r9));
r9 = db.Scalar<Author, string>(e => Sql.Max(e.Name), e => e.City == "SinCity");
Assert.That(string.IsNullOrEmpty(r9));
//Can't MIN(bit)/MAX(bit) in SQL Server
if (Dialect == Dialect.SqlServer)
{
var expectedBool = authors.Min(e => e.Active);
var r10 = db.Scalar<Author, bool>(e => Sql.Count(e.Active));
Assert.That(expectedBool, Is.EqualTo(r10));
expectedBool = authors.Max(e => e.Active);
r10 = db.Scalar<Author, bool>(e => Sql.Count(e.Active));
Assert.That(expectedBool, Is.EqualTo(r10));
r10 = db.Scalar<Author, bool>(e => Sql.Count(e.Active), e => e.City == "SinCity");
Assert.IsFalse(r10);
}
var expectedShort = authors.Max(e => e.Rate);
var r11 = db.Scalar<Author, short>(e => Sql.Max(e.Rate));
Assert.That(expectedShort, Is.EqualTo(r11));
expectedShort = authors.Where(e => e.City == "London").Max(e => e.Rate);
r11 = db.Scalar<Author, short>(e => Sql.Max(e.Rate), e => e.City == "London");
Assert.That(expectedShort, Is.EqualTo(r11));
r11 = db.Scalar<Author, short>(e => Sql.Max(e.Rate), e => e.City == "SinCity");
Assert.That(default(short), Is.EqualTo(r7));
var expectedNullableShort = authors.Max(e => e.NRate);
var r12 = db.Scalar<Author, short?>(e => Sql.Max(e.NRate));
Assert.That(expectedNullableShort, Is.EqualTo(r12));
expectedNullableShort = authors.Where(e => e.City == "London").Max(e => e.NRate);
r12 = db.Scalar<Author, short?>(e => Sql.Max(e.NRate), e => e.City == "London");
Assert.That(expectedNullableShort, Is.EqualTo(r12));
r12 = db.Scalar<Author, short?>(e => Sql.Max(e.NRate), e => e.City == "SinCity");
Assert.That(default(short?), Is.EqualTo(r12));
}
}
public static double IntersectBox(Box box, Ray ray)
{
Ball ball = GetExternalSphere(box);
if (double.IsPositiveInfinity(IntersectBall(ball, ray)))
return double.PositiveInfinity;
else
{
var points = new List<Point3D>();
var vertex = GetVertex(box);
int[][] order = new int[12][];
order[0] = new[] {0, 2, 1};
order[1] = new[] {1, 2, 4};
order[2] = new[] {0, 5, 2};
order[3] = new[] {0, 3, 5};
order[4] = new[] {0, 3, 1};
order[5] = new[] {1, 3, 6};
order[6] = new[] {3, 5, 6};
order[7] = new[] {6, 5, 7};
order[8] = new[] {1, 6, 7};
order[9] = new[] {1, 7, 4};
order[10] = new[] {2, 5, 7};
order[11] = new[] {2, 7, 4};
for (int i = 0; i < 12; i++)
{
Point3D? point = TriangleIntersection.IntersectTriangle(vertex[order[i][0]], vertex[order[i][1]],
vertex[order[i][2]], ray);
if (point != null)
points.Add(point.Value);
else
{
point = TriangleIntersection.IntersectTriangle(vertex[order[i][0]], vertex[order[i][2]],
vertex[order[i][1]], ray);
if (point != null)
points.Add(point.Value);
}
}
if (points.Capacity == 0)
{
return double.PositiveInfinity;
}
return points.Min(a => ray.Origin.Hypot(a));
}
}
public void BenchSingleAdd()
{
Database.RegisterDataObject(typeof(TestTable));
Database.RegisterDataObject(typeof(TestTableRelations));
Database.RegisterDataObject(typeof(TestTableRelationsEntries));
Database.DeleteObject(Database.SelectAllObjects<TestTable>());
Database.DeleteObject(Database.SelectAllObjects<TestTableRelations>());
Database.DeleteObject(Database.SelectAllObjects<TestTableRelationsEntries>());
Assert.IsEmpty(Database.SelectAllObjects<TestTable>(), "Database shouldn't have any record For TestTable.");
Assert.IsEmpty(Database.SelectAllObjects<TestTableRelations>(), "Database shouldn't have any record For TestTable.");
Assert.IsEmpty(Database.SelectAllObjects<TestTableRelationsEntries>(), "Database shouldn't have any record For TestTable.");
var objs = Enumerable.Range(0, 100).Select(i => new TestTable { TestField = string.Format("Bench Single Add '{0}'", i) }).ToArray();
var times = new List<long>();
foreach (var obj in objs)
{
var stopWatch = Stopwatch.StartNew();
Database.AddObject(obj);
stopWatch.Stop();
times.Add(stopWatch.ElapsedMilliseconds);
}
var relationObjs = Enumerable.Range(0, 100).Select(i => new TestTableRelations { TestField = string.Format("Bench Single Relations Add '{0}'", i) }).ToArray();
foreach (var obj in relationObjs)
obj.Entries = Enumerable.Range(0, 5).Select(i => new TestTableRelationsEntries { ForeignTestField = obj.ObjectId }).ToArray();
var timesRelations = new List<long>();
foreach (var obj in relationObjs)
{
var stopWatch = Stopwatch.StartNew();
Database.AddObject(obj);
stopWatch.Stop();
timesRelations.Add(stopWatch.ElapsedMilliseconds);
}
Console.WriteLine("Bench Single TestTable Add Total Elapse {3}ms, Average {0}ms, Min {1}ms, Max {2}ms", times.Average(), times.Min(), times.Max(), times.Sum());
Console.WriteLine("Bench Single TestTableRelations Add Total Elapse {3}ms, Average {0}ms, Min {1}ms, Max {2}ms", timesRelations.Average(), timesRelations.Min(), timesRelations.Max(), timesRelations.Sum());
}
public void ListExtensions_Min_ThrowsExceptionIfListIsEmpty()
{
var list = new List<Int32>();
Assert.That(() => list.Min(),
Throws.TypeOf<InvalidOperationException>());
}
public void ListExtensions_Min_ReturnsMinValue()
{
var list = new List<Int32>() { 4, 5, 6, 99, 10, 1, 12, 45 };
var result = list.Min();
TheResultingValue(result).ShouldBe(1);
}
public void maximum_inflight_is_respected(int limit)
{
var counts = new List<int>();
long completed = 0;
var _lock = new object();
// ReSharper disable AccessToModifiedClosure
_subject.AddConsumer(s => {
Thread.Sleep(15);
lock (_lock) { counts.Add(_subject.CurrentInflight()); }
Interlocked.Increment(ref completed);
Thread.Sleep(15);
});
// ReSharper restore AccessToModifiedClosure
_subject.SetMaximumInflight(limit);
_subject.Start();
const int runs = 100;
for (int i = 0; i < runs; i++) { _subject.AddWork(""); }
while (Interlocked.Read(ref completed) < runs)
{
Thread.Sleep(500);
}
_subject.Stop();
Assert.That(counts.Count(), Is.GreaterThan(0), "No actions ran");
Assert.That(counts.Min(), Is.GreaterThan(0), "Inflight count is invalid");
Assert.That(counts.Max(), Is.LessThanOrEqualTo(limit), "More workers run in parallel than limit");
}