internal void GivenInstrumentsRequest_WithNoInstruments_ReturnsQueryFailedMessage()
{
// Arrange
var provider = new InstrumentProvider(
this.container,
this.messagingAdapter,
this.repository,
this.dataSerializer);
provider.Start().Wait();
var query = new Dictionary <string, string>
{
{ "DataType", "Instrument[]" },
{ "Venue", "FXCM" },
};
var request = new DataRequest(
query,
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
// Act
var response = (QueryFailure)provider.FindData(request);
// Assert
Assert.Equal(typeof(QueryFailure), response.Type);
}
internal void GivenInstrumentRequest_WithInstrument_ReturnsValidInstrumentResponse()
{
// Arrange
var provider = new InstrumentProvider(
this.container,
this.messagingAdapter,
this.repository,
this.dataSerializer);
provider.Start().Wait();
var instrument = StubInstrumentProvider.AUDUSD();
this.repository.Add(instrument);
var query = new Dictionary <string, string>
{
{ "DataType", "Instrument[]" },
{ "Symbol", instrument.Symbol.Value },
};
var request = new DataRequest(
query,
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
// Act
var response = (DataResponse)provider.FindData(request);
var data = this.dataSerializer.DeserializeBlob(response.Data);
// Assert
Assert.Equal(typeof(DataResponse), response.Type);
Assert.Equal(instrument, data[0]);
}
static FutureMasterAndCorrelation GetSingleContractCorrelation(CurrencyType baseCurrency, CurrencyType quoteCurrency)
{
var item = _futuresMap.SingleOrDefault(m => m.CurrencyPairBase == baseCurrency.ToForexCode() && m.CurrencyPairQuote == quoteCurrency.ToForexCode());
if (null != item)
{
return new FutureMasterAndCorrelation {
FutureMaster = InstrumentProvider.GetFutureMaster(SymbolProviderType.Generic, item.FutureMasterName),
Correlation = 1,
}
}
;
item = _futuresMap.SingleOrDefault(m => m.CurrencyPairBase == quoteCurrency.ToForexCode() && m.CurrencyPairQuote == baseCurrency.ToForexCode());
if (null != item)
{
return new FutureMasterAndCorrelation {
FutureMaster = InstrumentProvider.GetFutureMaster(SymbolProviderType.Generic, item.FutureMasterName),
Correlation = -1,
}
}
;
return(null);
}
public IFutureContract[] GetContinuousFutureContracts(ICurrencyPair currencyPair)
{
var futureMasters = GetCurrencyFuturesCorrelations(currencyPair).FutureMastersCorrelations.Select(c => c.FutureMaster);
return(futureMasters.Select(fm => InstrumentProvider.GetContinuousFutureContract(fm)).ToArray());
}
