public void ToString_PrintsOutExpected_ExchangeAndSecurities()
{
var market = new Market("1", "xlon", "london stock exchange", MarketTypes.DarkPool);
var date = DateTime.UtcNow;
var timeBars = new EquityInstrumentInterDayTimeBar[0];
var coll = new EquityInterDayTimeBarCollection(market, date, timeBars);
var result = coll.ToString();
Assert.AreEqual("Exchange (xlon.london stock exchange) Securities(0)", result);
}
/// <summary>
/// The calculate daily volume percentage.
/// </summary>
/// <param name="securityTimeBar">
/// The security.
/// </param>
/// <param name="tradedVolume">
/// The traded volume.
/// </param>
/// <returns>
/// The <see cref="decimal"/>.
/// </returns>
private decimal CalculateDailyVolumePercentage(EquityInstrumentInterDayTimeBar securityTimeBar, decimal tradedVolume)
{
if (securityTimeBar.DailySummaryTimeBar.DailyVolume.Traded != 0 && tradedVolume != 0)
{
return(tradedVolume / securityTimeBar.DailySummaryTimeBar.DailyVolume.Traded);
}
else
{
return(0);
}
}
public void Ctor_AssignsVariables_Correctly()
{
var market = new Market("1", "xlon", "london stock exchange", MarketTypes.DarkPool);
var date = DateTime.UtcNow;
var timeBars = new EquityInstrumentInterDayTimeBar[0];
var coll = new EquityInterDayTimeBarCollection(market, date, timeBars);
Assert.AreEqual(market, coll.Exchange);
Assert.AreEqual(date, coll.Epoch);
Assert.AreEqual(timeBars, coll.Securities);
}
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);
}
/// <summary>
/// The calculate daily volume threshold percentage.
/// </summary>
/// <param name="securityTimeBar">
/// The security time bar.
/// </param>
/// <returns>
/// The <see cref="long"/>.
/// </returns>
private long CalculateDailyVolumeThresholdPercentage(EquityInstrumentInterDayTimeBar securityTimeBar)
{
return((long)Math.Ceiling(
this.parameters.FixedIncomeHighVolumePercentageDaily.GetValueOrDefault(0)
* securityTimeBar.DailySummaryTimeBar.DailyVolume.Traded));
}
