public void Ctor_AssignsVariables_Correctly()
{
var fi = new FinancialInstrument();
var prices = new IntradayPrices(null, null, null, null);
var dates = DateTime.UtcNow;
var dailyTb = new DailySummaryTimeBar(100, "USD", prices, 123, new Volume(123), dates);
var market = new Market("1", "XLON", "London Stock Exchange", MarketTypes.DealerBooks);
var equityTimeBar = new EquityInstrumentInterDayTimeBar(fi, dailyTb, dates, market);
Assert.AreEqual(fi, equityTimeBar.Security);
Assert.AreEqual(dailyTb, equityTimeBar.DailySummaryTimeBar);
Assert.AreEqual(dates, equityTimeBar.TimeStamp);
Assert.AreEqual(market, equityTimeBar.Market);
}
private IUniverseEvent MapRowToInterdayMarketDataEvent(InterdayMarketDataParameters marketDataParam)
{
if (marketDataParam == null)
{
return(null);
}
if (string.IsNullOrWhiteSpace(marketDataParam.SecurityName) ||
!this._securitySelection.Securities.ContainsKey(marketDataParam.SecurityName))
{
this._scenarioContext.Pending();
return(null);
}
var security = this._securitySelection.Securities[marketDataParam.SecurityName];
var open = this.MapToMoney(marketDataParam.Open, marketDataParam.Currency);
var close = this.MapToMoney(marketDataParam.Close, marketDataParam.Currency);
var high = this.MapToMoney(marketDataParam.High, marketDataParam.Currency);
var low = this.MapToMoney(marketDataParam.Low, marketDataParam.Currency);
var intradayPrices = new IntradayPrices(open, close, high, low);
var dailySummary = new DailySummaryTimeBar(
marketDataParam.MarketCap,
marketDataParam.Currency,
intradayPrices,
marketDataParam.ListedSecurities,
new Volume(marketDataParam.DailyVolume.GetValueOrDefault(0)),
marketDataParam.Epoch);
var marketData = new EquityInstrumentInterDayTimeBar(
security.Instrument,
dailySummary,
marketDataParam.Epoch,
security.Market);
var timeBarCollection = new EquityInterDayTimeBarCollection(
security.Market,
marketDataParam.Epoch,
new[] { marketData });
var universeEvent = new UniverseEvent(
UniverseStateEvent.EquityInterDayTick,
marketDataParam.Epoch,
timeBarCollection);
return(universeEvent);
}
public void Ctor_AssignsVariables_Correctly()
{
var date = DateTime.UtcNow;
var timeBar = new DailySummaryTimeBar(
100,
"USD",
new IntradayPrices(null, null, null, null),
123,
new Volume(101),
date);
Assert.AreEqual(100, timeBar.MarketCap.Value.Value);
Assert.AreEqual("USD", timeBar.MarketCap.Value.Currency.Code);
Assert.AreEqual(101, timeBar.DailyVolume.Traded);
Assert.AreEqual(123, timeBar.ListedSecurities);
Assert.AreEqual(date, timeBar.TimeStamp);
}
public EquityInstrumentIntraDayTimeBar AdvanceFrame(
EquityInstrumentIntraDayTimeBar tick,
DateTime advanceTick,
bool walkIntraday)
{
if (tick == null)
{
return(null);
}
var newBuy = this.CalculateNewBuyValue(tick);
var newSell = this.CalculateNewSellValue(tick, newBuy);
var newVolume = this.CalculateNewVolume(tick);
var newSpread = new SpreadTimeBar(
new Money(newBuy, tick.SpreadTimeBar.Bid.Currency),
new Money(newSell, tick.SpreadTimeBar.Ask.Currency),
new Money(newBuy, tick.SpreadTimeBar.Bid.Currency),
newVolume);
var newMarketCap =
(tick.DailySummaryTimeBar.ListedSecurities ?? tick.DailySummaryTimeBar.DailyVolume.Traded) * newBuy;
var newIntraday = walkIntraday
? this.BuildIntraday(tick, newBuy, tick.SpreadTimeBar.Bid.Currency.Code)
: tick.DailySummaryTimeBar.IntradayPrices ?? this.BuildIntraday(
tick,
newBuy,
tick.SpreadTimeBar.Bid.Currency.Code);
var newDaily = new DailySummaryTimeBar(
newMarketCap,
"USD",
newIntraday,
tick.DailySummaryTimeBar.ListedSecurities,
tick.DailySummaryTimeBar.DailyVolume,
advanceTick);
return(new EquityInstrumentIntraDayTimeBar(tick.Security, newSpread, newDaily, advanceTick, tick.Market));
}
public EquityInstrumentIntraDayTimeBar Map(FinancialInstrumentTimeBarCsv csv)
{
if (csv == null)
{
this.FailedParseTotal += 1;
this._logger?.LogError("Failed to parse security tick csv due to being passed a null value");
return(null);
}
var failedRead = false;
if (!int.TryParse(csv.Volume, out var volume))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable volume {csv.Volume} for row {csv.RowId}");
failedRead = true;
}
if (!int.TryParse(csv.DailyVolume, out var dailyVolume))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable daily volume {csv.DailyVolume} for row {csv.RowId}");
failedRead = true;
}
if (!DateTime.TryParse(csv.Timestamp, out var timeStamp))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable timestamp {csv.Timestamp} for row {csv.RowId}");
failedRead = true;
}
decimal marketCap = 0;
if (!string.IsNullOrWhiteSpace(csv.MarketCap) && !decimal.TryParse(csv.MarketCap, out marketCap))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable market cap {csv.MarketCap} for row {csv.RowId}");
failedRead = true;
}
decimal spreadAsk = 0;
if (!string.IsNullOrWhiteSpace(csv.Ask) && !decimal.TryParse(csv.Ask, out spreadAsk))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable spread ask price {csv.Ask} for row {csv.RowId}");
failedRead = true;
}
decimal spreadBid = 0;
if (!string.IsNullOrWhiteSpace(csv.Bid) && !decimal.TryParse(csv.Bid, out spreadBid))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable spread bid price {csv.Bid} for row {csv.RowId}");
failedRead = true;
}
decimal spreadPrice = 0;
if (!string.IsNullOrWhiteSpace(csv.Price) && !decimal.TryParse(csv.Price, out spreadPrice))
{
this._logger?.LogError(
$"Failed to parse security tick csv due to being passed an unparseable spread price {csv.Price} for row {csv.RowId}");
failedRead = true;
}
var listedSecurities = 0;
if (!string.IsNullOrWhiteSpace(csv.ListedSecurities) &&
!int.TryParse(csv.ListedSecurities, out listedSecurities))
{
this._logger?.LogError(
$"Failed to parse listed securities due to being passed an unparseable listed security {csv.ListedSecurities} for row {csv.RowId}");
failedRead = true;
}
decimal open = 0;
if (!string.IsNullOrWhiteSpace(csv.Open) && !decimal.TryParse(csv.Open, out open))
{
this._logger?.LogError(
$"Failed to parse open price due to being passed an unparseable price {csv.Open} for row {csv.RowId}");
failedRead = true;
}
decimal close = 0;
if (!string.IsNullOrWhiteSpace(csv.Close) && !decimal.TryParse(csv.Close, out close))
{
this._logger?.LogError(
$"Failed to parse close price due to being passed an unparseable price {csv.Close} for row {csv.RowId}");
failedRead = true;
}
decimal high = 0;
if (!string.IsNullOrWhiteSpace(csv.High) && !decimal.TryParse(csv.High, out high))
{
this._logger?.LogError(
$"Failed to parse high price due to being passed an unparseable price {csv.High} for row {csv.RowId}");
failedRead = true;
}
decimal low = 0;
if (!string.IsNullOrWhiteSpace(csv.Low) && !decimal.TryParse(csv.Low, out low))
{
this._logger?.LogError(
$"Failed to parse low price due to being passed an unparseable price {csv.Low} for row {csv.RowId}");
failedRead = true;
}
if (failedRead)
{
this.FailedParseTotal += 1;
return(null);
}
var security = this.BuildSecurity(csv);
var spread = this.BuildSpread(csv, spreadAsk, spreadBid, spreadPrice, new Volume(volume));
var intradayPrices = this.BuildIntradayPrices(csv, open, close, high, low);
var dailySummary = new DailySummaryTimeBar(
marketCap,
csv.Currency,
intradayPrices,
listedSecurities,
new Volume(dailyVolume),
timeStamp);
var market = new Market(string.Empty, csv.MarketIdentifierCode, csv.MarketName, MarketTypes.STOCKEXCHANGE);
return(new EquityInstrumentIntraDayTimeBar(security, spread, dailySummary, timeStamp, market));
}
