internal void GivenInstrument_WithSubscriber_PublishesMessage()
{
// Arrange
this.publisher.Start();
Task.Delay(100).Wait(); // Allow publisher to start
var instrument = StubInstrumentProvider.AUDUSD();
var subscriber = new SubscriberSocket(TestAddress);
subscriber.Connect(TestAddress);
subscriber.Subscribe(nameof(Instrument) + ":" + instrument.Symbol.Value);
Task.Delay(100).Wait();
// Act
this.publisher.Endpoint.SendAsync(instrument);
var topic = subscriber.ReceiveFrameBytes();
var message = subscriber.ReceiveFrameBytes();
// Assert
Assert.Equal("Instrument:AUD/USD.FXCM", Encoding.UTF8.GetString(topic));
Assert.Equal(instrument, this.instrumentSerializer.Deserialize(message));
// Tear Down
subscriber.Disconnect(TestAddress);
subscriber.Dispose();
this.publisher.Stop().Wait();
this.publisher.Dispose();
}
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]);
}
internal void Ingest_MultipleTicksDifferentSymbols_CorrectlyAddsTicksToRepository()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
var eurusd = StubInstrumentProvider.EURUSD();
this.repository.Update(audusd);
this.repository.Update(eurusd);
var tick1 = StubQuoteTickProvider.Create(audusd.Symbol);
var tick2 = StubQuoteTickProvider.Create(audusd.Symbol, StubZonedDateTime.UnixEpoch() + Duration.FromDays(1));
var tick3 = StubQuoteTickProvider.Create(audusd.Symbol, StubZonedDateTime.UnixEpoch() + Duration.FromDays(2));
var tick4 = StubQuoteTickProvider.Create(eurusd.Symbol, StubZonedDateTime.UnixEpoch());
var tick5 = StubQuoteTickProvider.Create(eurusd.Symbol, StubZonedDateTime.UnixEpoch() + Duration.FromDays(1));
// Act
this.repository.Ingest(tick1);
this.repository.Ingest(tick2);
this.repository.Ingest(tick3);
this.repository.Ingest(tick4);
this.repository.Ingest(tick5);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.Equal(3, this.repository.TicksCount(audusd.Symbol));
// Assert.Equal(2, this.repository.TicksCount(eurusd.Symbol));
}
internal void CanSerializeAndDeserialize_InstrumentResponses()
{
// Arrange
var dataSerializer = new InstrumentSerializer();
var instrument = StubInstrumentProvider.AUDUSD();
var correlationId = Guid.NewGuid();
Instrument[] instruments = { instrument };
var serializedInstruments = dataSerializer.Serialize(instruments);
var metadata = new Dictionary <string, string> {
{ "Symbol", instrument.Symbol.ToString() }
};
var data = dataSerializer.SerializeBlob(serializedInstruments, metadata);
var response = new DataResponse(
data,
typeof(Instrument[]).Name,
dataSerializer.BlobEncoding,
correlationId,
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
// Act
var serializedResponse = this.serializer.Serialize(response);
var deserializedResponse = (DataResponse)this.serializer.Deserialize(serializedResponse);
var deserializedData = dataSerializer.DeserializeBlob(deserializedResponse.Data);
// Assert
Assert.Equal(response, deserializedResponse);
Assert.Equal(instrument, deserializedData[0]);
Assert.Equal(correlationId, deserializedResponse.CorrelationId);
this.Output.WriteLine(Convert.ToBase64String(serializedResponse));
this.Output.WriteLine(Encoding.UTF8.GetString(serializedResponse));
}
internal void GivenInstrumentRequest_WithNoInstruments_ReturnsQueryFailedMessage()
{
// Arrange
var provider = new InstrumentProvider(
this.container,
this.messagingAdapter,
this.repository,
this.dataSerializer);
provider.Start().Wait();
var instrument = StubInstrumentProvider.AUDUSD();
var query = new Dictionary <string, string>
{
{ "DataType", "Instrument" },
{ "Symbol", instrument.Symbol.Value },
};
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 Build_WithValidInstrument_ReturnsExpectedInstrument()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
var instrumentBuilder = new InstrumentBuilder(audusd);
// Act
var result = instrumentBuilder.Build(StubZonedDateTime.UnixEpoch());
// Assert
Assert.Equal(audusd, result);
}
internal void Add_WithOneInstruments_AddsToRepository()
{
// Arrange
var instrument = StubInstrumentProvider.AUDUSD();
// Act
this.repository.Add(instrument);
var count = this.repository.GetAllKeys().Count;
// Assert
Assert.Equal(1, count);
}
internal void Delete_WithOneSymbol_DeletesFromRepository()
{
// Arrange
var instrument = StubInstrumentProvider.AUDUSD();
this.repository.Add(instrument);
// Act
this.repository.Delete(instrument.Symbol);
var result = this.repository.GetAllKeys();
// Assert
Assert.Equal(0, result.Count);
}
internal void GetInstrument_WithInstrumentInRepository_ReturnsInstrument()
{
// Arrange
var instrument = StubInstrumentProvider.AUDUSD();
this.repository.Add(instrument);
this.repository.CacheAll();
// Act
var result = this.repository.GetInstrument(instrument.Symbol);
// Assert
Assert.Equal(instrument, result.Value);
}
internal void CanSerializeAndDeserializeInstrument()
{
// Arrange
var serializer = new InstrumentSerializer();
var instrument = StubInstrumentProvider.AUDUSD();
// Act
var packed = serializer.Serialize(instrument);
var unpacked = serializer.Deserialize(packed);
// Assert
Assert.Equal(instrument, unpacked);
this.Output.WriteLine(Convert.ToBase64String(packed));
this.Output.WriteLine(Encoding.UTF8.GetString(packed));
}
internal void GetTicks_WithNoTicks_ReturnsEmptyArray()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
this.repository.Update(audusd);
// Act
var result = this.repository.GetTicks(audusd.Symbol, null, null, null);
// Assert
Assert.False(this.repository.TicksExist(audusd.Symbol));
Assert.Equal(0, this.repository.TicksCount(audusd.Symbol));
Assert.Empty(result);
}
internal void Add_WithCollectionOfInstruments_AddsAllToRepository()
{
// Arrange
var instrument1 = StubInstrumentProvider.AUDUSD();
var instrument2 = StubInstrumentProvider.EURUSD();
var instrument3 = StubInstrumentProvider.USDJPY();
// Act
this.repository.Add(instrument1);
this.repository.Add(instrument2);
this.repository.Add(instrument3);
var count = this.repository.GetAllKeys().Count;
// Assert
Assert.Equal(3, count);
}
[Fact] internal void Ingest_WithValidTick_AddsTickToRepository()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
var tick = StubQuoteTickProvider.Create(audusd.Symbol);
this.repository.Update(audusd);
// Act
this.repository.Ingest(tick);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.True(this.repository.TicksExist(audusd.Symbol));
// Assert.Equal(1, this.repository.TicksCount(audusd.Symbol));
}
internal void GetBars_WithNoTicksIngested_ReturnsEmptyArray()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
// var barType = StubBarType.AUDUSD_OneMinuteAsk();
this.repository.Update(audusd);
// Act
// var result = this.repository.GetBars(StubBarType.AUDUSD_OneMinuteAsk(), null, null, null);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.False(this.repository.BarsExist(barType));
// Assert.Equal(0, this.repository.BarsCount(barType));
// Assert.Empty(result.Bars);
}
internal void DeleteAll_WithThreeInstrumentsInRepository_DeletesAllFromRepository()
{
// Arrange
var instrument1 = StubInstrumentProvider.AUDUSD();
var instrument2 = StubInstrumentProvider.EURUSD();
var instrument3 = StubInstrumentProvider.USDJPY();
this.repository.Add(instrument1);
this.repository.Add(instrument2);
this.repository.Add(instrument3);
// Act
this.repository.DeleteAll();
var result = this.repository.GetAllKeys();
// Assert
Assert.Equal(0, result.Count);
}
internal void GetTicks_WithOneTick_ReturnsCorrectTick()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
this.repository.Update(audusd);
var tick1 = StubQuoteTickProvider.Create(audusd.Symbol);
this.repository.Ingest(tick1);
// Act
// var result = this.repository.GetTicks(audusd.Symbol, null, null, null);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.Equal(1, this.repository.TicksCount(audusd.Symbol));
// Assert.Single(result);
// Assert.Equal(tick1, result[0]);
}
internal void Update_WithChanges_ReturnsNewInstrument()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
var instrumentBuilder = new InstrumentBuilder(audusd);
var instrument = new Instrument(
new Symbol("SPX500", new Venue("FXCM")),
Currency.USD,
SecurityType.CFD,
2,
0,
1,
1,
1,
1,
Price.Create(0.01m, 2),
Quantity.Create(1m),
Quantity.Create(10m),
Quantity.Create(10000m),
45,
45,
StubZonedDateTime.UnixEpoch());
// Act
var result = instrumentBuilder
.Update(instrument)
.Build(StubZonedDateTime.UnixEpoch());
// Assert
Assert.Equal(8, instrumentBuilder.Changes.Count);
Assert.Equal(Quantity.Create(10000), result.MaxTradeSize);
Assert.Equal(45, result.RolloverInterestBuy);
Assert.Equal(45, result.RolloverInterestSell);
foreach (var change in instrumentBuilder.Changes)
{
this.Output.WriteLine(change);
}
}
internal void GetTicks_WithToDateTime_ReturnsTickInRange()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
this.repository.Update(audusd);
var tick1 = StubQuoteTickProvider.Create(audusd.Symbol);
var tick2 = StubQuoteTickProvider.Create(audusd.Symbol, StubZonedDateTime.UnixEpoch() + Duration.FromMilliseconds(1000));
this.repository.Ingest(tick1);
this.repository.Ingest(tick2);
// Act
// var result = this.repository.GetTicks(audusd.Symbol, null, StubZonedDateTime.UnixEpoch(), null);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.Equal(2, this.repository.TicksCount(audusd.Symbol));
// Assert.Single(result);
// Assert.Equal(tick1, result[0]);
}
internal void Add_WithMultipleInstruments_AddsToRepository()
{
// Arrange
var instrument1 = StubInstrumentProvider.AUDUSD();
var instrument2 = StubInstrumentProvider.EURUSD();
var instrument3 = StubInstrumentProvider.USDJPY();
this.repository.Add(instrument1);
this.repository.Add(instrument2);
this.repository.Add(instrument3);
// Act
this.repository.CacheAll();
var result1 = this.repository.GetInstrument(instrument1.Symbol);
var result2 = this.repository.GetInstrument(instrument2.Symbol);
var result3 = this.repository.GetInstrument(instrument3.Symbol);
// Assert
Assert.Equal(instrument1, result1.Value);
Assert.Equal(instrument2, result2.Value);
Assert.Equal(instrument3, result3.Value);
}
internal void GetMidBars_WithTicksCreatingBar_ReturnsExpectedBar()
{
// Arrange
var audusd = StubInstrumentProvider.AUDUSD();
// var barType = StubBarType.AUDUSD_OneMinuteMid();
this.repository.Update(audusd);
var tick0 = new QuoteTick(
audusd.Symbol,
Price.Create(1.00001, 5),
Price.Create(1.00010, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch());
var tick1 = new QuoteTick(
audusd.Symbol,
Price.Create(1.00000, 5),
Price.Create(1.00010, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(60));
var tick2 = new QuoteTick(
audusd.Symbol,
Price.Create(1.00030, 5),
Price.Create(1.00040, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(62));
var tick3 = new QuoteTick(
audusd.Symbol,
Price.Create(0.99980, 5),
Price.Create(0.99990, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(63));
var tick4 = new QuoteTick(
audusd.Symbol,
Price.Create(1.00001, 5),
Price.Create(1.00004, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(119));
var tick5 = new QuoteTick(
audusd.Symbol,
Price.Create(1.00001, 5),
Price.Create(1.00011, 5),
Quantity.One(),
Quantity.One(),
StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(121));
this.repository.Ingest(tick0);
this.repository.Ingest(tick1);
this.repository.Ingest(tick2);
this.repository.Ingest(tick3);
this.repository.Ingest(tick4);
this.repository.Ingest(tick5);
// var expected = new Bar(
// Price.Create(1.000050, 6),
// Price.Create(1.000350, 6),
// Price.Create(0.999850, 6),
// Price.Create(1.000025, 6),
// Quantity.Create(8),
// StubZonedDateTime.UnixEpoch() + Duration.FromSeconds(120));
// Act
// var result = this.repository.GetBars(barType, null, null, 1);
// Assert
// TODO: System.InvalidCastException : Specified cast is not valid. (inside StackExchange.Redis)
// Assert.Equal(6, this.repository.TicksCount(audusd.Symbol));
// Assert.True(this.repository.BarsExist(barType));
// Assert.Equal(2, this.repository.BarsCount(barType));
// Assert.Single(result.Bars);
// Assert.Equal(expected, result.Bars[0]);
}