/// <summary>
/// Generates a random <see cref="Tick"/> that is at most the specified <paramref name="maximumPercentDeviation"/> away from the
/// previous price and is of the requested <paramref name="tickType"/>
/// </summary>
/// <param name="dateTime">The time of the generated tick</param>
/// <param name="tickType">The type of <see cref="Tick"/> to be generated</param>
/// <param name="maximumPercentDeviation">The maximum percentage to deviate from the
/// previous price for example, 1 would indicate a maximum of 1% deviation from the
/// previous price. For a previous price of 100, this would yield a price between 99 and 101 inclusive</param>
/// <returns>A random <see cref="Tick"/> value that is within the specified <paramref name="maximumPercentDeviation"/>
/// from the previous price</returns>
public virtual Tick NextTick(DateTime dateTime, TickType tickType, decimal maximumPercentDeviation)
{
var next = _priceGenerator.NextValue(maximumPercentDeviation, dateTime);
var tick = new Tick
{
Time = dateTime,
Symbol = Symbol,
TickType = tickType,
Value = next
};
switch (tickType)
{
case TickType.OpenInterest:
return(NextOpenInterest(dateTime, Security.OpenInterest, maximumPercentDeviation));
case TickType.Trade:
tick.Quantity = _random.NextInt(1, 1500);
return(tick);
case TickType.Quote:
var bid = _random.NextPrice(Symbol.SecurityType, Symbol.ID.Market, tick.Value, maximumPercentDeviation);
if (bid > tick.Value)
{
bid = tick.Value - (bid - tick.Value);
}
var ask = _random.NextPrice(Symbol.SecurityType, Symbol.ID.Market, tick.Value, maximumPercentDeviation);
if (ask < tick.Value)
{
ask = tick.Value + (tick.Value - ask);
}
tick.BidPrice = bid;
tick.BidSize = _random.NextInt(1, 1500);
tick.AskPrice = ask;
tick.AskSize = _random.NextInt(1, 1500);
return(tick);
default:
throw new ArgumentOutOfRangeException(nameof(tickType), tickType, null);
}
}
/// <summary> /// Generates an asset price /// </summary> /// <param name="maximumPercentDeviation">The maximum percent deviation. This value is in percent space, /// so a value of 1m is equal to 1%.</param> /// <param name="referenceDate">date used in price calculation</param> /// <returns>Returns a new decimal as price</returns> public decimal NextValue(decimal maximumPercentDeviation, DateTime referenceDate) => _random.NextPrice(_security.Symbol.SecurityType, _security.Symbol.ID.Market, _security.Price, maximumPercentDeviation);