public void LastCloseAndCurrentOpenPriceShouldBeSameConsolidated()
{
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
var enumerator = new QuoteBarBuilderEnumerator(Time.OneSecond, TimeZones.NewYork, timeProvider, false);
// noon new york time
var currentTime = new DateTime(2015, 10, 08, 12, 0, 0);
timeProvider.SetCurrentTime(currentTime);
var reference = DateTime.Today;
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
TickType = TickType.Quote,
AskPrice = 0,
BidPrice = 24,
};
enumerator.ProcessData(tick1);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(1),
TickType = TickType.Quote,
AskPrice = 25,
BidPrice = 0,
};
enumerator.ProcessData(tick2);
currentTime = currentTime.AddSeconds(1);
timeProvider.SetCurrentTime(currentTime);
Assert.IsTrue(enumerator.MoveNext());
var quoteBar = enumerator.Current as QuoteBar;
// bar 1 emitted
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Close);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Close);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddSeconds(1),
TickType = TickType.Quote,
AskPrice = 36,
BidPrice = 35,
};
enumerator.ProcessData(tick3);
currentTime = currentTime.AddSeconds(1);
timeProvider.SetCurrentTime(currentTime);
Assert.IsTrue(enumerator.MoveNext());
quoteBar = enumerator.Current as QuoteBar;
// bar 2 emitted
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open, "Ask Open not equal to Previous Close");
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open, "Bid Open not equal to Previous Close");
Assert.AreEqual(tick3.AskPrice, quoteBar.Ask.Close, "Ask Close incorrect");
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close, "Bid Close incorrect");
enumerator.Dispose();
}
public void AggregatesTicksIntoSecondBars()
{
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
var enumerator = new QuoteBarBuilderEnumerator(Time.OneSecond, TimeZones.NewYork, timeProvider, false);
// noon new york time
var currentTime = new DateTime(2015, 10, 08, 12, 0, 0);
timeProvider.SetCurrentTime(currentTime);
// add some ticks
var ticks = new List <Tick>
{
new Tick(currentTime, Symbols.SPY, 199, 200)
{
Quantity = 10
},
new Tick(currentTime, Symbols.SPY, 199.21m, 200.02m)
{
Quantity = 5
},
new Tick(currentTime, Symbols.SPY, 198.77m, 199.75m)
{
Quantity = 20
},
new Tick(currentTime, Symbols.SPY, 198.77m, 199.75m)
{
Quantity = 0
},
new Tick(currentTime, Symbols.SPY, 198.77m, 199.75m)
{
Quantity = 20
},
new Tick(currentTime, Symbols.SPY, 198.77m, 199.75m)
{
Quantity = 0
},
};
foreach (var tick in ticks)
{
enumerator.ProcessData(tick);
}
// even though no data is here, it will still return true
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
// advance a second
currentTime = currentTime.AddSeconds(1);
timeProvider.SetCurrentTime(currentTime);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
var bar = (QuoteBar)enumerator.Current;
Assert.AreEqual(currentTime.AddSeconds(-1), bar.Time);
Assert.AreEqual(currentTime, bar.EndTime);
Assert.AreEqual(Symbols.SPY, bar.Symbol);
Assert.AreEqual(ticks.First().LastPrice, bar.Open);
Assert.AreEqual(ticks.Max(x => x.LastPrice), bar.High);
Assert.AreEqual(ticks.Min(x => x.LastPrice), bar.Low);
Assert.AreEqual(ticks.Last().LastPrice, bar.Close);
enumerator.Dispose();
}
