public void NewDataAvailableShouldFire()
{
var currentTime = new DateTime(2000, 01, 01);
var available = false;
var enumerator = new ScannableEnumerator <Tick>(
new IdentityDataConsolidator <Tick>(),
DateTimeZone.ForOffset(Offset.FromHours(-5)),
new ManualTimeProvider(currentTime),
(s, e) => { available = true; }
);
// returns true even if no data present until stop is called
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
Assert.IsFalse(available);
var tick1 = new Tick(currentTime, Symbols.SPY, 199.55m, 199, 200)
{
Quantity = 10
};
enumerator.Update(tick1);
Assert.IsTrue(available);
enumerator.Dispose();
}
/// <summary>
/// Add new subscription to current <see cref="IDataAggregator"/> instance
/// </summary>
/// <param name="dataConfig">defines the parameters to subscribe to a data feed</param>
/// <param name="newDataAvailableHandler">handler to be fired on new data available</param>
/// <returns>The new enumerator for this subscription request</returns>
public IEnumerator <BaseData> Add(SubscriptionDataConfig dataConfig, EventHandler newDataAvailableHandler)
{
IDataConsolidator consolidator;
var period = dataConfig.Resolution.ToTimeSpan();
var isPeriodBased = false;
switch (dataConfig.Type.Name)
{
case nameof(QuoteBar):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new TickQuoteBarConsolidator(period);
break;
case nameof(TradeBar):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new TickConsolidator(period);
break;
case nameof(OpenInterest):
isPeriodBased = dataConfig.Resolution != Resolution.Tick;
consolidator = new OpenInterestConsolidator(period);
break;
case nameof(Tick):
consolidator = FilteredIdentityDataConsolidator.ForTickType(dataConfig.TickType);
break;
case nameof(Split):
consolidator = new IdentityDataConsolidator <Split>();
break;
case nameof(Dividend):
consolidator = new IdentityDataConsolidator <Dividend>();
break;
default:
// streaming custom data subscriptions can pass right through
consolidator = new FilteredIdentityDataConsolidator <BaseData>(data => data.GetType() == dataConfig.Type);
break;
}
var enumerator = new ScannableEnumerator <BaseData>(consolidator, dataConfig.ExchangeTimeZone, TimeProvider, newDataAvailableHandler, isPeriodBased);
_enumerators.AddOrUpdate(
dataConfig.Symbol.ID,
new List <KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> > > {
new KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> >(dataConfig, enumerator)
},
(k, v) => { return(v.Concat(new[] { new KeyValuePair <SubscriptionDataConfig, ScannableEnumerator <BaseData> >(dataConfig, enumerator) }).ToList()); });
return(enumerator);
}
public void PassesTicksStraightThrough()
{
var currentTime = new DateTime(2000, 01, 01);
var enumerator = new ScannableEnumerator <Tick>(
new IdentityDataConsolidator <Tick>(),
DateTimeZone.ForOffset(Offset.FromHours(-5)),
new ManualTimeProvider(currentTime),
(s, e) => { }
);
// returns true even if no data present until stop is called
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick1 = new Tick(currentTime, Symbols.SPY, 199.55m, 199, 200)
{
Quantity = 10
};
enumerator.Update(tick1);
Assert.IsTrue(enumerator.MoveNext());
Assert.AreEqual(tick1, enumerator.Current);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick2 = new Tick(currentTime, Symbols.SPY, 199.56m, 199.21m, 200.02m)
{
Quantity = 5
};
enumerator.Update(tick2);
Assert.IsTrue(enumerator.MoveNext());
Assert.AreEqual(tick2, enumerator.Current);
enumerator.Dispose();
}
public void AggregatesNewQuoteBarProperly()
{
var reference = DateTime.Today;
var enumerator = new ScannableEnumerator <Data.BaseData>(
new TickQuoteBarConsolidator(4),
DateTimeZone.ForOffset(Offset.FromHours(-5)),
new ManualTimeProvider(reference),
(s, e) => { }
);
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference,
BidPrice = 10,
BidSize = 20,
TickType = TickType.Quote
};
enumerator.Update(tick1);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddMinutes(1),
AskPrice = 20,
AskSize = 10,
TickType = TickType.Quote
};
var badTick = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddMinutes(1),
AskPrice = 25,
AskSize = 100,
BidPrice = -100,
BidSize = 2,
Value = 50,
Quantity = 1234,
TickType = TickType.Trade
};
enumerator.Update(badTick);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
enumerator.Update(tick2);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddMinutes(2),
BidPrice = 12,
BidSize = 50,
TickType = TickType.Quote
};
enumerator.Update(tick3);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.AddMinutes(3),
AskPrice = 17,
AskSize = 15,
TickType = TickType.Quote
};
enumerator.Update(tick4);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
QuoteBar quoteBar = enumerator.Current as QuoteBar;
Assert.IsNotNull(quoteBar);
Assert.AreEqual(Symbols.SPY, quoteBar.Symbol);
Assert.AreEqual(tick1.Time, quoteBar.Time);
Assert.AreEqual(tick4.EndTime, quoteBar.EndTime);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Low);
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.High);
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close);
Assert.AreEqual(tick3.BidSize, quoteBar.LastBidSize);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Low);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.High);
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close);
Assert.AreEqual(tick4.AskSize, quoteBar.LastAskSize);
}
public void MoveNextScanQuoteBar()
{
var offset = Offset.FromHours(-5);
var timeZone = DateTimeZone.ForOffset(offset);
var utc = new DateTimeOffset(DateTime.Today);
var reference = utc.ToOffset(offset.ToTimeSpan());
var timeProvider = new ManualTimeProvider(reference.DateTime, timeZone);
var enumerator = new ScannableEnumerator <Data.BaseData>(
new TickQuoteBarConsolidator(TimeSpan.FromMinutes(1)),
timeZone,
timeProvider,
(s, e) => { }
);
var tick1 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.DateTime,
BidPrice = 10,
BidSize = 20,
TickType = TickType.Quote
};
enumerator.Update(tick1);
var tick2 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.DateTime.AddSeconds(1),
AskPrice = 20,
AskSize = 10,
TickType = TickType.Quote
};
enumerator.Update(tick2);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick3 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.DateTime.AddSeconds(2),
BidPrice = 12,
BidSize = 50,
TickType = TickType.Quote
};
enumerator.Update(tick3);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick4 = new Tick
{
Symbol = Symbols.SPY,
Time = reference.DateTime.AddSeconds(3),
AskPrice = 17,
AskSize = 15,
TickType = TickType.Quote
};
enumerator.Update(tick4);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
timeProvider.SetCurrentTime(reference.DateTime.AddMinutes(2));
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
QuoteBar quoteBar = enumerator.Current as QuoteBar;
Assert.IsNotNull(quoteBar);
Assert.AreEqual(Symbols.SPY, quoteBar.Symbol);
Assert.AreEqual(tick1.Time, quoteBar.Time);
Assert.AreNotEqual(tick4.EndTime, quoteBar.EndTime);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Open);
Assert.AreEqual(tick1.BidPrice, quoteBar.Bid.Low);
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.High);
Assert.AreEqual(tick3.BidPrice, quoteBar.Bid.Close);
Assert.AreEqual(tick3.BidSize, quoteBar.LastBidSize);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.Open);
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Low);
Assert.AreEqual(tick2.AskPrice, quoteBar.Ask.High);
Assert.AreEqual(tick4.AskPrice, quoteBar.Ask.Close);
Assert.AreEqual(tick4.AskSize, quoteBar.LastAskSize);
}
