/// <summary>
/// Processes the specified data points.
/// </summary>
/// <param name="dataPoints">The data points.</param>
private void Process(IEnumerable <DataPoint> dataPoints)
{
//Convert, aggregate and save
foreach (var datapoint in dataPoints.OrderBy(x => x.Occured))
{
//Set meta-data
string ticker = DataFeed.GetFeedTicker(datapoint.Ticker);
if (_date == 0)
{
_date = int.Parse(datapoint.Occured.ToString("yyyyMMdd"));
}
//Check for aggregation
if (!_minBarAggregators.TryGetValue(ticker, out TickAggregator tickAggregator))
{
_minBarWriters[ticker] = new DataWriter(Machine.Instance.GetPath(_options.OutputFolder), ticker, _date, "1m", DataType.TradeBar);
_minBarAggregators[ticker] = new TickAggregator(TimeSpan.FromMinutes(1));
_minBarAggregators[ticker].DataAggregated += (sender, data) => _minBarWriters[ticker].Feed(data);
tickAggregator = _minBarAggregators[ticker];
}
//Check for tick writer
if (!_tickWriters.TryGetValue(ticker, out DataWriter tickwriter))
{
tickwriter = new DataWriter(Machine.Instance.GetPath(_options.OutputFolder), ticker, _date, "1t", DataType.Tick);
_tickWriters[ticker] = tickwriter;
}
//Add data
tickAggregator.Feed(datapoint);
tickwriter.Feed(datapoint);
}
}
public void AggregatesPeriodInPeriodModeWithDailyDataAndRoundedTime()
{
//Arrange
TradeBar tradeBar = null;
var tickAggregator = new TickAggregator(TimeSpan.FromDays(1));
tickAggregator.DataAggregated += (sender, bar) =>
{
tradeBar = bar;
};
//Act
var reference = new DateTime(2015, 04, 13);
tickAggregator.Feed(new Tick {
Occured = reference.AddSeconds(5)
});
tradeBar.Should().BeNull();
tickAggregator.Feed(new Tick {
Occured = reference.AddDays(1).AddSeconds(15)
});
tradeBar.Should().NotBeNull();
tradeBar.Period.Should().Be(TimeSpan.FromDays(1));
tradeBar.Occured.Should().Be(reference);
tradeBar = null;
tickAggregator.Feed(new Tick {
Occured = reference.AddDays(2).AddMinutes(1)
});
tradeBar.Should().NotBeNull();
tradeBar.Period.Should().Be(TimeSpan.FromDays(1));
tradeBar.Occured.Should().Be(reference.AddDays(1));
tradeBar = null;
tickAggregator.Feed(new Tick {
Occured = reference.AddDays(3).AddMinutes(5)
});
//Assert
tradeBar.Should().NotBeNull();
tradeBar.Period.Should().Be(TimeSpan.FromDays(1));
tradeBar.Occured.Should().Be(reference.AddDays(2));
}
public void AggregatesPeriodInCountModeWithDailyData()
{
//Arrange
TradeBar tradeBar = null;
var tickAggregator = new TickAggregator(2);
tickAggregator.DataAggregated += (sender, bar) =>
{
tradeBar = bar;
};
//Act
var reference = new DateTime(2015, 04, 13);
tickAggregator.Feed(new Tick {
Occured = reference
});
tradeBar.Should().BeNull();
tickAggregator.Feed(new Tick {
Occured = reference.AddMilliseconds(1)
});
tradeBar.Should().NotBeNull();
// sadly the first emit will be off by the data resolution since we 'swallow' a point, so to
tradeBar.Period.Should().Be(TimeSpan.FromMilliseconds(1));
tradeBar = null;
tickAggregator.Feed(new Tick {
Occured = reference.AddMilliseconds(2)
});
tradeBar.Should().BeNull();
tickAggregator.Feed(new Tick {
Occured = reference.AddMilliseconds(3)
});
//Assert
tradeBar.Should().NotBeNull();
tradeBar.Period.Should().Be(TimeSpan.FromMilliseconds(2));
}
public IEnumerable <TickAggregator> CreateAggregators()
{
// create default aggregators for tick type/resolution
foreach (var tickAggregator in TickAggregator.ForTickTypes(Resolution, TickTypes))
{
yield return(tickAggregator);
}
// ensure we have a daily consolidator when coarse is enabled
if (IncludeCoarse && Resolution != Resolution.Daily)
{
// prefer trades for coarse - in practice equity only does trades, but leaving this as configurable
if (TickTypes.Contains(TickType.Trade))
{
yield return(TickAggregator.ForTickTypes(Resolution.Daily, TickType.Trade).Single());
}
else
{
yield return(TickAggregator.ForTickTypes(Resolution.Daily, TickType.Quote).Single());
}
}
}
public void AggregatesNewTicksInPeriodWithRoundedTime()
{
//Arrange
TradeBar tradeBar = null;
var tickersymbol = TickerSymbol.NIL("TST");
var tickAggregator = new TickAggregator(TimeSpan.FromMinutes(1));
tickAggregator.DataAggregated += (sender, bar) =>
{
tradeBar = bar;
};
//Act
var reference = new DateTime(2015, 06, 02);
var tick1 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(3),
Price = 1.1000m
};
tickAggregator.Feed(tick1);
tradeBar.Should().BeNull();
var tick2 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(10),
Price = 1.1005m
};
tickAggregator.Feed(tick2);
tradeBar.Should().BeNull();
var tick3 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(61),
Price = 1.1010m
};
tickAggregator.Feed(tick3);
tradeBar.Should().NotBeNull();
tradeBar.Occured.Should().Be(reference);
tradeBar.Open.Should().Be(tick1.Price);
tradeBar.Close.Should().Be(tick2.Price);
var tick4 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(70),
Price = 1.1015m
};
tickAggregator.Feed(tick4);
tradeBar.Should().NotBeNull();
var tick5 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(118),
Price = 1.1020m
};
tickAggregator.Feed(tick5);
tradeBar.Should().NotBeNull();
var tick6 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddSeconds(140),
Price = 1.1025m
};
tickAggregator.Feed(tick6);
//Assert
tradeBar.Should().NotBeNull();
tradeBar.Occured.Should().Be(reference.AddSeconds(60));
tradeBar.Open.Should().Be(tick3.Price);
tradeBar.Close.Should().Be(tick5.Price);
}
public void AggregatesNewTradeBarsProperly()
{
//Arrange
TradeBar newTradeBar = null;
var tickAggregator = new TickAggregator(4);
tickAggregator.DataAggregated += (sender, tradeBar) =>
{
newTradeBar = tradeBar;
};
//Act
var reference = DateTime.Today;
var tickersymbol = TickerSymbol.NIL("TST");
var bar1 = new Tick
{
Ticker = tickersymbol,
Occured = reference,
Price = 5,
Size = 10
};
tickAggregator.Feed(bar1);
newTradeBar.Should().BeNull();
var bar2 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddHours(1),
Price = 10,
Size = 20
};
tickAggregator.Feed(bar2);
newTradeBar.Should().BeNull();
var bar3 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddHours(2),
Price = 1,
Size = 10
};
tickAggregator.Feed(bar3);
newTradeBar.Should().BeNull();
var bar4 = new Tick
{
Ticker = tickersymbol,
Occured = reference.AddHours(3),
Price = 9,
Size = 20
};
tickAggregator.Feed(bar4);
//Assert
newTradeBar.Should().NotBeNull();
newTradeBar.Ticker.Should().Be(tickersymbol);
bar1.Occured.Should().Be(newTradeBar.Occured);
bar1.Price.Should().Be(newTradeBar.Open);
bar2.Price.Should().Be(newTradeBar.High);
bar3.Price.Should().Be(newTradeBar.Low);
bar4.Price.Should().Be(newTradeBar.Close);
(bar1.Size + bar2.Size + bar3.Size + bar4.Size).Should().Be(newTradeBar.Volume);
}
