public void Setup()
{
this._logger = A.Fake <ILogger>();
this._exchangeTickInitialiser = A.Fake <IExchangeSeriesInitialiser>();
this._strategy = A.Fake <IEquityDataGeneratorStrategy>();
this._heartbeat = new Heartbeat(TimeSpan.FromMilliseconds(500));
}
public EquitiesDataGenerationMarkovProcess(
IEquityDataGeneratorStrategy dataStrategy,
IReadOnlyCollection <DataGenerationPlan> plan,
TimeSpan tickSeparation,
ILogger logger)
{
this._dataStrategy = dataStrategy ?? throw new ArgumentNullException(nameof(dataStrategy));
this._tickSeparation = tickSeparation;
this._plan = plan ?? new List <DataGenerationPlan>();
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public EquitiesMarkovProcess(
IExchangeSeriesInitialiser exchangeTickInitialiser,
IEquityDataGeneratorStrategy dataStrategy,
IHeartbeat heartbeat,
ILogger logger)
{
this._exchangeTickInitialiser = exchangeTickInitialiser
?? throw new ArgumentNullException(nameof(exchangeTickInitialiser));
this._dataStrategy = dataStrategy ?? throw new ArgumentNullException(nameof(dataStrategy));
this._heartBeat = heartbeat ?? throw new ArgumentNullException(nameof(heartbeat));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
private void Tick(DateTime advanceTick, IEquityDataGeneratorStrategy strategy)
{
lock (this._walkingLock)
{
var tockedSecurities = this._activeFrame.Securities
.Select(sec => strategy.AdvanceFrame(sec, advanceTick, false)).ToArray();
var tickTock = new EquityIntraDayTimeBarCollection(
this._activeFrame.Exchange,
advanceTick,
tockedSecurities);
this._activeFrame = tickTock;
this._stream.Add(tickTock);
}
}
public PlanEquityStrategy(DataGenerationPlan plan, IEquityDataGeneratorStrategy baseStrategy)
{
this._plan = plan ?? throw new ArgumentNullException(nameof(plan));
this._baseStrategy = baseStrategy ?? throw new ArgumentNullException(nameof(baseStrategy));
}
