public void EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var abcConfig = subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, abcConfig, 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen);
Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == Symbols.USDJPY));
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == Symbols.USDJPY));
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, minimumResolution, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY).Resolution);
}
public void UpdateModifiesConversionRateAsInvertedValue()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.USDJPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.USDJPY, Resolution.Minute, TimeZone), 1m));
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
var last = 120m;
cash.Update(new Tick(DateTime.Now, Symbols.USDJPY, last, 119.95m, 120.05m));
// jpy is inverted, so compare on the inverse
Assert.AreEqual(1 / last, cash.ConversionRate);
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone), 1m));
securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, minimumResolution, TimeZone), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY).Resolution);
}
public void EnsureCurrencyDataFeedMarksIsCurrencyDataFeedForNewSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, Resolution.Minute, TimeZone), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsTrue(config.IsInternalFeed);
}
public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var securities = new SecurityManager(TimeKeeper);
var subscriptions = new SubscriptionManager(TimeKeeper);
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add("ABC", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute, "usa", TimeZones.NewYork), 1m));
securities.Add("BCD", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Forex, "BCD", minimumResolution, "fxcm", TimeZones.NewYork), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY").Resolution);
}
public void UpdateModifiesConversionRate()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("GBP", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("GBP", cash);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.GBPUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.GBPUSD, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
var last = 1.5m;
cash.Update(new Tick(DateTime.Now, Symbols.GBPUSD, last, last * 1.009m, last * 0.009m));
// jpy is inverted, so compare on the inverse
Assert.AreEqual(last, cash.ConversionRate);
}
public void UpdateModifiesConversionRateAsInvertedValue()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager();
var securities = new SecurityManager();
securities.Add("USDJPY", new Security(subscriptions.Add(SecurityType.Forex, "USDJPY", Resolution.Minute), 1m));
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions);
var last = 120m;
var data = new Dictionary<int, List<BaseData>>();
data.Add(0, new List<BaseData>
{
new Tick(DateTime.Now, "USDJPY", last, 119.95m, 120.05m)
});
cash.Update(data);
// jpy is inverted, so compare on the inverse
Assert.AreEqual(1 / last, cash.ConversionRate);
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager();
var securities = new SecurityManager();
securities.Add("ABC", new Security(subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute), 1m));
securities.Add("BCD", new Security(subscriptions.Add(SecurityType.Equity, "BCD", minimumResolution), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions);
Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY").Resolution);
}
public void EnsureCurrencyDataFeedMarksIsCurrencyDataFeedForNewSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager();
var securities = new SecurityManager();
securities.Add("ABC", new Security(subscriptions.Add(SecurityType.Forex, "ABC", Resolution.Minute), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY");
Assert.IsTrue(config.IsInternalFeed);
}
public void UpdateModifiesConversionRate()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("GBP", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add("GBPUSD", new Security(SecurityExchangeHours, subscriptions.Add(SecurityType.Forex, "GBPUSD", Resolution.Minute, "fxcm", TimeZone), 1m));
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
var last = 1.5m;
cash.Update(new Tick(DateTime.Now, "GBPUSD", last, last * 1.009m, last * 0.009m));
// jpy is inverted, so compare on the inverse
Assert.AreEqual(last, cash.ConversionRate);
}
public void EnsureCurrencyDataFeedDoesNotMarkIsCurrencyDataFeedForExistantSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add("USDJPY", new Security(SecurityExchangeHours, subscriptions.Add(SecurityType.Forex, "USDJPY", Resolution.Minute, "fxcm", TimeZone), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY");
Assert.IsFalse(config.IsInternalFeed);
}
public void EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var abcConfig = subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute, "fxcm", TimeZones.NewYork);
var securities = new SecurityManager(TimeKeeper);
securities.Add("ABC", new Security(SecurityExchangeHours.AlwaysOpen, abcConfig, 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == "USDJPY"));
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == "USDJPY"));
}
public void EnsureCurrencyDataFeedDoesNotMarkIsCurrencyDataFeedForExistantSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.USDJPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.USDJPY, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsFalse(config.IsInternalFeed);
}
public void EnsureInternalCurrencyDataFeedsForNonUsdQuoteCurrencyGetAdded()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cashJPY = new Cash("JPY", quantity, conversionRate);
var cashGBP = new Cash("GBP", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cashJPY);
cashBook.Add("GBP", cashGBP);
var symbol = Symbol.Create("GBPJPY", SecurityType.Forex, Market.FXCM);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(symbol, new Security(SecurityExchangeHours, subscriptions.Add(symbol, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cashJPY.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
var config1 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsTrue(config1.IsInternalFeed);
cashGBP.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
var config2 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.GBPUSD);
Assert.IsTrue(config2.IsInternalFeed);
}
public void EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager();
var abcConfig = subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute);
var securities = new SecurityManager();
securities.Add("ABC", new Security(abcConfig, 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions);
Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == "USDJPY"));
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == "USDJPY"));
}
public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var securities = new SecurityManager(TimeKeeper);
var subscriptions = new SubscriptionManager(TimeKeeper);
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
}
public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var securities = new SecurityManager();
var subscriptions = new SubscriptionManager();
cash.EnsureCurrencyDataFeed(securities, subscriptions);
}
