public void Add(EquityIntraDayTimeBarCollection value)
{
if (value == null)
{
this._logger.LogInformation("UniverseMarketCache was asked to add null. returning");
return;
}
this._logger.LogInformation(
$"UniverseMarketCache adding {value.Epoch} - {value.Exchange?.MarketIdentifierCode}");
if (this._latestExchangeFrameBook.ContainsKey(value.Exchange.MarketIdentifierCode))
{
this._latestExchangeFrameBook.Remove(value.Exchange.MarketIdentifierCode);
this._latestExchangeFrameBook.Add(value.Exchange.MarketIdentifierCode, value);
}
else
{
this._latestExchangeFrameBook.Add(value.Exchange.MarketIdentifierCode, value);
}
if (!this._marketHistory.ContainsKey(value.Exchange.MarketIdentifierCode))
{
var history = new EquityIntraDayHistoryStack(this._windowSize);
history.Add(value, value.Epoch);
this._marketHistory.TryAdd(value.Exchange.MarketIdentifierCode, history);
}
else
{
this._marketHistory.TryGetValue(value.Exchange.MarketIdentifierCode, out var history);
history?.Add(value, value.Epoch);
history?.ArchiveExpiredActiveItems(value.Epoch);
}
}
public void ArchiveEmptyCollection_OneItemToArchive_OneToKeep_ReturnsOne()
{
var stack = new EquityIntraDayHistoryStack(TimeSpan.Zero);
var date = DateTime.UtcNow;
var firstBar = date - TimeSpan.FromDays(2);
var tb = this.GetTimeBar();
var tb2 = this.GetTimeBar();
var timeBarCollection = new EquityIntraDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
firstBar,
new[] { tb, tb2 });
var timeBarCollection2 = new EquityIntraDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
DateTime.UtcNow,
new[] { tb, tb2 });
stack.Add(timeBarCollection, firstBar);
stack.Add(timeBarCollection2, date);
var stackContents = stack.ActiveMarketHistory();
Assert.AreEqual(2, stackContents.Count);
stack.ArchiveExpiredActiveItems(date);
var stackContentsAfterExpire = stack.ActiveMarketHistory();
Assert.AreEqual(1, stackContentsAfterExpire.Count);
Assert.AreEqual(timeBarCollection2, stackContentsAfterExpire.Pop());
}
public void DoesPush_IfDateDoesMatch_MultipleTimeBars()
{
var stack = new EquityIntraDayHistoryStack(TimeSpan.Zero);
var date = DateTime.UtcNow;
var tb = this.GetTimeBar();
var tb2 = this.GetTimeBar();
var timeBarCollection = new EquityIntraDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
date,
new[] { tb, tb2 });
var timeBarCollection2 = new EquityIntraDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
date,
new[] { tb, tb2 });
stack.Add(timeBarCollection, date);
stack.Add(timeBarCollection2, date);
var stackContents = stack.ActiveMarketHistory();
Assert.AreEqual(2, stackContents.Count);
Assert.AreEqual(timeBarCollection2, stackContents.Pop());
Assert.AreEqual(timeBarCollection, stackContents.Pop());
}
public void DoesExchange_ReturnNullWhen_NoPush()
{
var stack = new EquityIntraDayHistoryStack(TimeSpan.Zero);
var exch = stack.Exchange();
Assert.IsNull(exch);
}
public void DoesPush_SetAMarket_OnExchangeCall()
{
var stack = new EquityIntraDayHistoryStack(TimeSpan.Zero);
var date = DateTime.UtcNow;
var tb = this.GetTimeBar();
var venue = new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE);
var timeBarCollection = new EquityIntraDayTimeBarCollection(venue, DateTime.UtcNow, new[] { tb });
stack.Add(timeBarCollection, date);
var exch = stack.Exchange();
Assert.AreEqual(exch, venue);
}
public void DoesNotPush_IfDateDoesNotMatch()
{
var stack = new EquityIntraDayHistoryStack(TimeSpan.Zero);
var date = DateTime.UtcNow;
var tb = this.GetTimeBar();
var timeBarCollection = new EquityIntraDayTimeBarCollection(
new Market("1", "xlon", "London Stock Exchange", MarketTypes.STOCKEXCHANGE),
date,
new[] { tb });
stack.Add(timeBarCollection, date + TimeSpan.FromDays(1));
var stackContents = stack.ActiveMarketHistory();
Assert.IsEmpty(stackContents);
}
public void ArchiveEmptyCollection_DoesNotThrow()
{
var stack = new EquityIntraDayHistoryStack(TimeSpan.Zero);
Assert.DoesNotThrow(() => stack.ActiveMarketHistory());
}
public void Add_DoesNotThrow_ForNull()
{
var stack = new EquityIntraDayHistoryStack(TimeSpan.Zero);
Assert.DoesNotThrow(() => stack.Add(null, DateTime.UtcNow));
}
