public void AggregatesTicksIntoSecondBars()
{
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
var enumerator = new TradeBarBuilderEnumerator(Time.OneSecond, TimeZones.NewYork, timeProvider);
// 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, "SPY", 199.55m, 199, 200) {Quantity = 10},
new Tick(currentTime, "SPY", 199.56m, 199.21m, 200.02m) {Quantity = 5},
new Tick(currentTime, "SPY", 199.53m, 198.77m, 199.75m) {Quantity = 20},
new Tick(currentTime, "SPY", 198.77m, 199.75m) {Quantity = 0},
new Tick(currentTime, "SPY", 199.73m, 198.77m, 199.75m) {Quantity = 20},
new Tick(currentTime, "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);
// in the spirit of not duplicating the above code 5 times (OHLCV, we'll assert these ere as well)
var bar = (TradeBar)enumerator.Current;
Assert.AreEqual(currentTime.AddSeconds(-1), bar.Time);
Assert.AreEqual(currentTime, bar.EndTime);
Assert.AreEqual("SPY", bar.Symbol.Value);
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);
Assert.AreEqual(ticks.Sum(x => x.Quantity), bar.Volume);
}
/// <summary>
/// Primary entry point.
/// </summary>
public void Run()
{
IsActive = true;
// we want to emit to the bridge minimally once a second since the data feed is
// the heartbeat of the application, so this value will contain a second after
// the last emit time, and if we pass this time, we'll emit even with no data
var nextEmit = DateTime.MinValue;
try
{
while (!_cancellationTokenSource.IsCancellationRequested)
{
// perform sleeps to wake up on the second?
var frontier = _timeProvider.GetUtcNow();
_frontierTimeProvider.SetCurrentTime(frontier);
var data = new List <KeyValuePair <Security, List <BaseData> > >();
foreach (var kvp in _subscriptions)
{
var subscription = kvp.Value;
var cache = new KeyValuePair <Security, List <BaseData> >(subscription.Security, new List <BaseData>());
// dequeue data that is time stamped at or before this frontier
while (subscription.MoveNext() && subscription.Current != null)
{
cache.Value.Add(subscription.Current);
}
// if we have data, add it to be added to the bridge
if (cache.Value.Count > 0)
{
data.Add(cache);
}
// we have new universe data to select based on
if (subscription.IsUniverseSelectionSubscription && cache.Value.Count > 0)
{
var universe = subscription.Universe;
// always wait for other thread to sync up
if (!Bridge.Wait(Timeout.Infinite, _cancellationTokenSource.Token))
{
break;
}
// fire the universe selection event
OnUniverseSelection(universe, subscription.Configuration, frontier, cache.Value);
}
}
// check for cancellation
if (_cancellationTokenSource.IsCancellationRequested)
{
return;
}
// emit on data or if we've elapsed a full second since last emit
if (data.Count != 0 || frontier >= nextEmit)
{
Bridge.Add(TimeSlice.Create(frontier, _algorithm.TimeZone, _algorithm.Portfolio.CashBook, data, _changes), _cancellationTokenSource.Token);
// force emitting every second
nextEmit = frontier.RoundDown(Time.OneSecond).Add(Time.OneSecond);
}
// reset our security changes
_changes = SecurityChanges.None;
// take a short nap
Thread.Sleep(1);
}
}
catch (Exception err)
{
Log.Error(err);
_algorithm.RunTimeError = err;
}
IsActive = false;
}
public void FillsForwardOnNulls()
{
var reference = new DateTime(2015, 10, 08);
var period = Time.OneSecond;
var underlying = new List<BaseData>
{
// 0 seconds
new TradeBar(reference, Symbols.SPY, 10, 20, 5, 15, 123456, period),
// 1 seconds
null,
// 3 seconds
new TradeBar(reference.AddSeconds(2), Symbols.SPY, 100, 200, 50, 150, 1234560, period),
null,
null,
null,
null
};
var timeProvider = new ManualTimeProvider(TimeZones.NewYork);
timeProvider.SetCurrentTime(reference);
var exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
var fillForward = new LiveFillForwardEnumerator(timeProvider, underlying.GetEnumerator(), exchange, Ref.Create(Time.OneSecond), false, Time.EndOfTime, Time.OneSecond);
// first point is always emitted
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[0], fillForward.Current);
// stepping again without advancing time does nothing, but we'll still
// return true as per IEnumerator contract
Assert.IsTrue(fillForward.MoveNext());
Assert.IsNull(fillForward.Current);
timeProvider.SetCurrentTime(reference.AddSeconds(1));
// non-null next will fill forward in between
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[0].EndTime, fillForward.Current.Time);
Assert.AreEqual(underlying[0].Value, fillForward.Current.Value);
Assert.IsTrue(fillForward.Current.IsFillForward);
// even without stepping the time this will advance since non-null data is ready
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2], fillForward.Current);
// step ahead into null data territory
timeProvider.SetCurrentTime(reference.AddSeconds(4));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
Assert.IsTrue(fillForward.MoveNext());
Assert.IsNull(fillForward.Current);
timeProvider.SetCurrentTime(reference.AddSeconds(5));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
timeProvider.SetCurrentTime(reference.AddSeconds(6));
Assert.IsTrue(fillForward.MoveNext());
Assert.AreEqual(underlying[2].Value, fillForward.Current.Value);
Assert.AreEqual(timeProvider.GetUtcNow().ConvertFromUtc(TimeZones.NewYork), fillForward.Current.EndTime);
Assert.IsTrue(fillForward.Current.IsFillForward);
}
public void CreatesNewBarWhenBarSizeElapses()
{
var timeProvider = new ManualTimeProvider();
var enumerator = new TradeBarBuilderEnumerator(Time.OneSecond, TimeZones.Utc, timeProvider);
// noon new york time
var startTime = new DateTime(2015, 10, 08, 12, 0, 0);
timeProvider.SetCurrentTime(startTime);
enumerator.ProcessData(new Tick{Time = startTime});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
timeProvider.AdvanceSeconds(0.99);
enumerator.ProcessData(new Tick {Time = timeProvider.GetUtcNow()});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
timeProvider.SetCurrentTime(startTime.AddSeconds(1));
// the second just ticked over, so it shouldn't include this tick when we move next
enumerator.ProcessData(new Tick {Time = timeProvider.GetUtcNow(), Quantity = 1});
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNotNull(enumerator.Current);
Assert.AreEqual(0, ((TradeBar)enumerator.Current).Volume);
}
