public void ServerCorrectlyForwardsRealTimeData()
{
var ds = new Datasource() { ID = 1, Name = "TestDS" };
var inst = new Instrument() { ID = 15, Datasource = ds, DatasourceID = 1, Symbol = "SPY", Type = InstrumentType.Stock };
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds, rthOnly: false, savetoLocalStorage: false);
_brokerMock.Setup(x => x.RequestRealTimeData(It.IsAny<RealTimeDataRequest>())).Returns(true);
_client.RequestRealTimeData(req);
Thread.Sleep(50);
RealTimeDataEventArgs receivedData = null;
_client.RealTimeDataReceived += (s,e) => receivedData = e;
long dt = DateTime.Now.ToBinary();
_brokerMock.Raise(x => x.RealTimeDataArrived += null, new RealTimeDataEventArgs(15, dt, 100m, 105m, 95m, 99m, 10000000, 101, 500, 1));
Thread.Sleep(50);
Assert.IsNotNull(receivedData);
Assert.AreEqual(15, receivedData.InstrumentID);
Assert.AreEqual(dt, receivedData.Time);
Assert.AreEqual(100m, receivedData.Open);
Assert.AreEqual(105m, receivedData.High);
Assert.AreEqual(95m, receivedData.Low);
Assert.AreEqual(99m, receivedData.Close);
Assert.AreEqual(10000000, receivedData.Volume);
Assert.AreEqual(500, receivedData.Count);
Assert.AreEqual(101, receivedData.Wap);
}
/// <summary>
/// Creates a new object that is a copy of the current instance.
/// </summary>
/// <returns>
/// A new object that is a copy of this instance.
/// </returns>
public object Clone()
{
var clone = new RealTimeDataRequest(Instrument, Frequency, RTHOnly, SaveToLocalStorage);
clone.FallBack = FallBack;
clone.RequestID = RequestID;
clone.AssignedID = AssignedID;
return clone;
}
/// <summary>
/// Creates a new object that is a copy of the current instance.
/// </summary>
/// <returns>
/// A new object that is a copy of this instance.
/// </returns>
public object Clone()
{
var clone = new RealTimeDataRequest(Instrument, Frequency, RTHOnly, SaveToLocalStorage);
clone.FallBack = FallBack;
clone.RequestID = RequestID;
clone.AssignedID = AssignedID;
return(clone);
}
public void ServerCorrectlyForwardsRealTimeDataRequestsToBroker()
{
var ds = new Datasource() { ID = 1, Name = "TestDS" };
var inst = new Instrument() { ID = 15, Datasource = ds, DatasourceID = 1, Symbol = "SPY", Type = InstrumentType.Stock };
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds, rthOnly: false, savetoLocalStorage: false);
_client.RequestRealTimeData(req);
_brokerMock.Verify(x => x.RequestRealTimeData(It.Is<RealTimeDataRequest>(
y => y.Frequency == BarSize.FiveSeconds &&
y.RTHOnly == false &&
y.SaveToLocalStorage == false &&
y.Instrument.ID == 15 &&
y.Instrument.Symbol == "SPY" &&
y.Instrument.Datasource.Name == "TestDS")));
}
public void DoesNotRepeatRequestToSourceWhenARealTimeStreamAlreadyExists()
{
var inst = new Instrument
{
ID = 1,
Symbol = "SPY",
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds);
_broker.RequestRealTimeData(req);
Thread.Sleep(100);
_broker.RequestRealTimeData(req);
_dataSourceMock.Verify(x => x.RequestRealTimeData(
It.IsAny<RealTimeDataRequest>()),
Times.Once);
}
public void RealTimeDataRequestsForwardedToDataSource()
{
var inst = new Instrument
{
ID = 1,
Symbol = "SPY",
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds);
_broker.RequestRealTimeData(req);
_dataSourceMock.Verify(x => x.RequestRealTimeData(
It.Is<RealTimeDataRequest>(
r => r.Instrument.ID == 1 &&
r.Instrument.Symbol == "SPY" &&
r.Frequency == BarSize.FiveSeconds)),
Times.Once);
}
public void ServerReturnsErrorToClientIfNoInstrumentIdIsSet()
{
var ds = new Datasource { ID = 1, Name = "TestDS" };
var inst = new Instrument { ID = null, Datasource = ds, DatasourceID = 1, Symbol = "SPY", Type = InstrumentType.Stock };
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds, false);
string error = null;
int? requestId = null;
_client.Error += (s, e) =>
{
error = e.ErrorMessage;
requestId = e.RequestID;
};
_client.RequestRealTimeData(req);
Thread.Sleep(DefaultDelayInMilliseconds);
Assert.IsTrue(!string.IsNullOrEmpty(error));
Assert.IsTrue(requestId.HasValue);
}
public void DoesNotRepeatRequestToSourceWhenARealTimeContinuousFuturesStreamAlreadyExists()
{
var inst = new Instrument
{
ID = 1,
Symbol = "ContinuousVIXFutures",
IsContinuousFuture = true,
Type = InstrumentType.Future,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var frontContract = new Instrument
{
ID = 2,
Symbol = "VXF3",
Type = InstrumentType.Future,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds);
_cfBrokerMock.Setup(x => x.RequestFrontContract(It.IsAny<Instrument>(), It.IsAny<DateTime?>())).Returns(1);
_broker.RequestRealTimeData(req);
_cfBrokerMock.Raise(x => x.FoundFrontContract += null, new FoundFrontContractEventArgs(1, frontContract, DateTime.Now));
_broker.RequestRealTimeData(req);
_dataSourceMock.Verify(x => x.RequestRealTimeData(
It.IsAny<RealTimeDataRequest>()),
Times.Once);
_cfBrokerMock.Verify(x => x.RequestFrontContract(
It.IsAny<Instrument>(),
It.IsAny<DateTime?>()),
Times.Once);
}
private void SendIntradayBarRequest(Session session, RealTimeDataRequest req)
{
session.OpenService("//blp/refdata");
Service refDataService = session.GetService("//blp/refdata");
Request request = refDataService.CreateRequest("IntradayBarRequest");
// only one security/eventType per request
request.Set("security", req.Instrument.DatasourceSymbol);
request.Set("eventType", "TRADE");
request.Set("interval", req.Frequency.ToTimeSpan().TotalSeconds);
DateTime prevTradedDate = DateTime.Now.AddDays(-1); //todo fix
var startDateTime = string.Format("{0}-{1}-{2}T13:30:00", prevTradedDate.Year, prevTradedDate.Month, prevTradedDate.Day);
prevTradedDate = prevTradedDate.AddDays(1); // next day for end date
var endDateTime = string.Format("{0}-{1}-{2}T13:30:00", prevTradedDate.Year, prevTradedDate.Month, prevTradedDate.Day);
request.Set("startDateTime", startDateTime);
request.Set("endDateTime", endDateTime);
request.Set("gapFillInitialBar", true);
session.SendRequest(request, null);
}
static void Main()
{
//create the client, assuming the default port settings
QDMSClient.QDMSClient client = new QDMSClient.QDMSClient(
"SampleClient",
"127.0.0.1",
5556,
5557,
5558,
5555);
//hook up the events needed to receive data & error messages
client.HistoricalDataReceived += client_HistoricalDataReceived;
client.RealTimeDataReceived += client_RealTimeDataReceived;
client.LocallyAvailableDataInfoReceived += client_LocallyAvailableDataInfoReceived;
client.Error += client_Error;
//connect to the server
client.Connect();
//make sure the connection was succesful before we continue
if (!client.Connected)
{
Console.WriteLine("Could not connect.");
Console.WriteLine("Press enter to exit.");
Console.ReadLine();
return;
}
//request the list of available instruments
List<Instrument> instruments = client.FindInstruments();
foreach (Instrument i in instruments)
{
Console.WriteLine("Instrument ID {0}: {1} ({2}), Datasource: {3}",
i.ID,
i.Symbol,
i.Type,
i.Datasource.Name);
}
Thread.Sleep(3000);
//then we grab some historical data from Yahoo
//start by finding the SPY instrument
var spy = client.FindInstruments(x => x.Symbol == "SPY" && x.Datasource.Name == "Yahoo").FirstOrDefault();
if (spy != null)
{
var req = new HistoricalDataRequest(
spy,
BarSize.OneDay,
new DateTime(2013, 1, 1),
new DateTime(2013, 1, 15),
dataLocation: DataLocation.Both,
saveToLocalStorage: true,
rthOnly: true);
client.RequestHistoricalData(req);
Thread.Sleep(3000);
//now that we downloaded the data, let's make a request to see what is stored locally
client.GetLocallyAvailableDataInfo(spy);
Thread.Sleep(3000);
//finally send a real time data request (from the simulated data datasource)
spy.Datasource.Name = "SIM";
var rtReq = new RealTimeDataRequest(spy, BarSize.OneSecond);
client.RequestRealTimeData(rtReq);
Thread.Sleep(3000);
//And then cancel the real time data stream
client.CancelRealTimeData(spy);
}
Console.WriteLine("Press enter to exit.");
Console.ReadLine();
client.Disconnect();
client.Dispose();
}
public void ArrivedRealTimeDataCorrentlyRaisesEvent()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new RealTimeDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", UnderlyingSymbol = "SPY", Exchange = exchange, Currency = "USD", Type = InstrumentType.Stock },
Frequency = QDMS.BarSize.FiveSeconds,
RTHOnly = true
};
int requestID = -1;
_ibClientMock
.Setup(x => x.RequestRealTimeBars(It.IsAny<int>(), It.IsAny<Contract>(), It.IsAny<int>(), It.IsAny<RealTimeBarType>(), It.IsAny<bool>()))
.Callback<int, Contract, Int32, RealTimeBarType, Boolean>((y, a, b, c, d) => requestID = y);
_ibDatasource.RequestRealTimeData(req);
bool received = false;
_ibDatasource.DataReceived += (sender, e) => received = true;
_ibClientMock.Raise(x => x.RealTimeBar += null, new RealTimeBarEventArgs(requestID, 10000000, 1, 2, 3, 4, 5, 3, 5));
Assert.IsTrue(received);
}
public void WhenDataSourceSymbolIsSetThatIsTheValueSentInTheRealTimeRequest()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new RealTimeDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", DatasourceSymbol = "TestMe!", UnderlyingSymbol = "SPY", Exchange = exchange, Currency = "USD", Type = InstrumentType.Stock },
Frequency = QDMS.BarSize.FiveSeconds,
RTHOnly = true
};
_ibDatasource.RequestRealTimeData(req);
_ibClientMock.Verify(x => x.RequestRealTimeBars(
It.IsAny<int>(),
It.Is<Contract>(y => y.Symbol == "TestMe!"),
It.IsAny<int>(),
It.IsAny<RealTimeBarType>(),
It.IsAny<bool>()));
}
public void RealTimeRequestsAreCorrectlyForwardedToTheIBClient()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new RealTimeDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", UnderlyingSymbol = "SPY", Exchange = exchange, Currency = "USD", Type = InstrumentType.Stock },
Frequency = QDMS.BarSize.FiveSeconds,
RTHOnly = true
};
_ibDatasource.RequestRealTimeData(req);
_ibClientMock.Verify(x => x.RequestRealTimeBars(
It.IsAny<int>(),
It.Is<Contract>(y => y.Symbol == "SPY" && y.Exchange == "Ex" && y.SecurityType == SecurityType.Stock),
It.Is<int>(y => y == (int)Krs.Ats.IBNet.BarSize.FiveSeconds),
It.Is<RealTimeBarType>(y => y == RealTimeBarType.Trades),
It.Is<bool>(y => y == true)));
}
public void RealTimeRequestsAreReSentAfterARealTimeDataPacingViolation()
{
var exchange = new Exchange { ID = 1, Name = "Ex", Timezone = "Pacific Standard Time" };
var req = new RealTimeDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY", Exchange = exchange },
Frequency = QDMS.BarSize.FiveSeconds,
RTHOnly = true
};
int requestID = 0;
_ibClientMock
.Setup(x => x.RequestRealTimeBars(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<int>(),
It.IsAny<RealTimeBarType>(),
It.IsAny<bool>()))
.Callback<int, Contract, int, RealTimeBarType, bool>((y, a, b, c, d) => requestID = y);
_ibDatasource.RequestRealTimeData(req);
_ibClientMock.Raise(x => x.Error += null, new ErrorEventArgs(requestID, (ErrorMessage)420, ""));
Thread.Sleep(25000);
_ibClientMock.Verify(x => x.RequestRealTimeBars(
It.IsAny<int>(),
It.IsAny<Contract>(),
It.IsAny<int>(),
It.IsAny<RealTimeBarType>(),
It.IsAny<bool>()),
Times.Exactly(2));
}
public void RaisesDataEventWithTheContinuousFuturesAlias()
{
var cf = new ContinuousFuture()
{
ID = 1,
InstrumentID = 1,
Month = 1,
UnderlyingSymbol = new UnderlyingSymbol
{
ID = 1,
Symbol = "VIX",
Rule = new ExpirationRule()
}
};
var inst = new Instrument
{
ID = 1,
Symbol = "VIXCONTFUT",
IsContinuousFuture = true,
ContinuousFuture = cf,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds);
_cfBrokerMock.Setup(x => x.RequestFrontContract(It.IsAny<Instrument>(), It.IsAny<DateTime?>())).Returns(0);
int assignedID = 0;
_dataSourceMock.Setup(x => x.RequestRealTimeData(It.IsAny<RealTimeDataRequest>())).Callback<RealTimeDataRequest>(r => assignedID = r.AssignedID);
bool raisedCorrectSymbol = false;
_broker.RealTimeDataArrived += (sender, e) =>
raisedCorrectSymbol = raisedCorrectSymbol ? raisedCorrectSymbol : e.InstrumentID == 1;
_broker.RequestRealTimeData(req);
var frontFutureInstrument = new Instrument
{
Symbol = "VXF4",
ID = 2,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
_cfBrokerMock.Raise(x => x.FoundFrontContract += null, new FoundFrontContractEventArgs(0, frontFutureInstrument, DateTime.Now));
_dataSourceMock.Raise(x => x.DataReceived += null,
new RealTimeDataEventArgs(2, MyUtils.ConvertToTimestamp(DateTime.Now), 100, 100, 100, 100, 50, 100, 2, assignedID));
Thread.Sleep(50);
Assert.IsTrue(raisedCorrectSymbol);
}
public void ServerReturnsErrorToClientIfNoInstrumentIdIsSet()
{
var ds = new Datasource() { ID = 1, Name = "TestDS" };
var inst = new Instrument() { ID = null, Datasource = ds, DatasourceID = 1, Symbol = "SPY", Type = InstrumentType.Stock };
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds, rthOnly: false, savetoLocalStorage: false);
string error = null;
int? requestID = -1;
_client.Error += (s, e) =>
{
error = e.ErrorMessage;
requestID = e.RequestID;
};
_client.RequestRealTimeData(req);
Thread.Sleep(100);
Assert.AreEqual("Real time data request error: Instrument had no ID set.", error);
}
public void RequestsFrontContractFromCFBrokerForContinuousFuturesRequests()
{
var cf = new ContinuousFuture()
{
ID = 1,
InstrumentID = 1,
Month = 1,
UnderlyingSymbol = new UnderlyingSymbol
{
ID = 1,
Symbol = "VIX",
Rule = new ExpirationRule()
}
};
var inst = new Instrument
{
ID = 1,
Symbol = "VIXCONTFUT",
IsContinuousFuture = true,
ContinuousFuture = cf,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds);
_cfBrokerMock.Setup(x => x.RequestFrontContract(It.IsAny<Instrument>(), It.IsAny<DateTime?>())).Returns(0);
_broker.RequestRealTimeData(req);
_cfBrokerMock.Verify(x => x.RequestFrontContract(It.IsAny<Instrument>(), It.IsAny<DateTime?>()));
}
public void RequestsCorrectFuturesContractForContinuousFutures()
{
var cf = new ContinuousFuture()
{
ID = 1,
InstrumentID = 1,
Month = 1,
UnderlyingSymbol = new UnderlyingSymbol
{
ID = 1,
Symbol = "VIX",
Rule = new ExpirationRule()
}
};
var inst = new Instrument
{
ID = 1,
Symbol = "VIXCONTFUT",
IsContinuousFuture = true,
ContinuousFuture = cf,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds);
_cfBrokerMock.Setup(x => x.RequestFrontContract(It.IsAny<Instrument>(), It.IsAny<DateTime?>())).Returns(0);
_broker.RequestRealTimeData(req);
var frontFutureInstrument = new Instrument
{
Symbol = "VXF4",
ID = 2,
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
_cfBrokerMock.Raise(x => x.FoundFrontContract += null, new FoundFrontContractEventArgs(0, frontFutureInstrument, DateTime.Now));
_dataSourceMock.Verify(x => x.RequestRealTimeData(
It.Is<RealTimeDataRequest>(y =>
y.Instrument.ID == 2)), Times.Once);
}
public void RealTimeDataIsSavedToLocalStorageIfFlagIsSet()
{
var inst = new Instrument
{
ID = 1,
Symbol = "SPY",
Datasource = new Datasource { ID = 999, Name = "MockSource" }
};
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds, savetoLocalStorage: true);
int assignedID = 0;
_dataSourceMock.Setup(x => x.RequestRealTimeData(It.IsAny<RealTimeDataRequest>())).Callback<RealTimeDataRequest>(r => assignedID = r.AssignedID);
_broker.RequestRealTimeData(req);
Thread.Sleep(100);
_dataSourceMock.Raise(x => x.DataReceived += null, new RealTimeDataEventArgs(1, 1389906576, 100, 100, 100, 100, 1000, 100, 5, assignedID));
_localStorageMock.Verify(x => x.AddDataAsync(
It.Is<OHLCBar>(y => y.Open == 100 && y.Volume == 1000),
It.Is<Instrument>(y => y.ID == 1 && y.Symbol == "SPY"),
It.Is<BarSize>(y => y == BarSize.FiveSeconds),
It.Is<bool>(y => y == false)));
}
public void ServerForwardsErrorToClientIfExceptionIsThrownInRequestRealTimeData()
{
var ds = new Datasource { ID = 1, Name = "TestDS" };
var inst = new Instrument { ID = 1, Datasource = ds, DatasourceID = 1, Symbol = "SPY", Type = InstrumentType.Stock };
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds, false);
string error = null;
int? requestId = null;
_client.Error += (s, e) =>
{
error = e.ErrorMessage;
requestId = e.RequestID;
};
_brokerMock.Setup(x => x.RequestRealTimeData(It.IsAny<RealTimeDataRequest>())).Throws(new Exception("testerror"));
_client.RequestRealTimeData(req);
Thread.Sleep(DefaultDelayInMilliseconds);
Assert.IsTrue(!string.IsNullOrEmpty(error));
Assert.IsTrue(requestId.HasValue);
}
public void ServerForwardsErrorToClientIfExceptionIsThrownInRequestRealTimeData()
{
var ds = new Datasource() { ID = 1, Name = "TestDS" };
var inst = new Instrument() { ID = 1, Datasource = ds, DatasourceID = 1, Symbol = "SPY", Type = InstrumentType.Stock };
var req = new RealTimeDataRequest(inst, BarSize.FiveSeconds, rthOnly: false, savetoLocalStorage: false);
string error = null;
int? requestID = -1;
_client.Error += (s, e) =>
{
error = e.ErrorMessage;
requestID = e.RequestID;
};
_brokerMock.Setup(x => x.RequestRealTimeData(It.IsAny<RealTimeDataRequest>())).Throws(new Exception("testerror"));
_client.RequestRealTimeData(req);
Thread.Sleep(100);
Assert.AreEqual("Real time data request error: testerror", error);
}
/// <summary>
/// Request real time data.
/// </summary>
/// <param name="request"></param>
/// <returns>The ID associated with this real time data request.</returns>
public int RequestRealTimeData(RealTimeDataRequest request)
{
throw new NotImplementedException();
}
public void RequestRealTimelDataRaisesErrorEventAndReturnsMinusOneWhenInstrumentIsNull()
{
var req = new RealTimeDataRequest
{
Instrument = null
};
bool errorTriggered = false;
_client.Error += (sender, e) => errorTriggered = true;
Assert.AreEqual(-1, _client.RequestRealTimeData(req));
Assert.IsTrue(errorTriggered);
}
public void RequestRealTimelDataRaisesErrorEventAndReturnsMinusOneWhenNotConnected()
{
var req = new RealTimeDataRequest
{
Instrument = new Instrument { ID = 1, Symbol = "SPY" }
};
bool errorTriggered = false;
_client.Error += (sender, e) => errorTriggered = true;
Assert.AreEqual(-1, _client.RequestRealTimeData(req));
Assert.IsTrue(errorTriggered);
}