public void Basics()
{
const string sym = "TST";
const int d = 20080509;
const int t = 93500;
const string x = "NYSE";
TickImpl[] ticklist = new TickImpl[] {
TickImpl.NewTrade(sym, d, t, 10, 100, x),
TickImpl.NewTrade(sym, d, t + 100, 10, 100, x),
TickImpl.NewTrade(sym, d, t + 200, 10, 100, x),
TickImpl.NewTrade(sym, d, t + 300, 10, 100, x),
TickImpl.NewTrade(sym, d, t + 400, 15, 100, x), // blade up
TickImpl.NewTrade(sym, d, t + 500, 16, 100, x), // new bar (blades reset)
TickImpl.NewTrade(sym, d, t + 600, 16, 100, x),
TickImpl.NewTrade(sym, d, t + 700, 10, 100, x), // blade down
TickImpl.NewTrade(sym, d, t + 700, 10, 100, x), // still a blade down (same bar)
TickImpl.NewTrade(sym, d, t + 800, 15, 100, x),
TickImpl.NewTrade(sym, d, t + 1500, 15, 800, x), // volume spike
TickImpl.NewTrade(sym, d, t + 2000, 15, 100, x),
TickImpl.NewTrade(sym, d, t + 2500, 15, 100, x),
};
BarListImpl bl = new BarListImpl(BarInterval.FiveMin, sym);
Blade b = new Blade();
Assert.That(b.BladePercentage != 0);
b = new Blade(.2m); // 20 percent move is a blade
int up = 0, down = 0, newbar = 0, bigvol = 0;
foreach (TickImpl k in ticklist)
{
bl.newTick(k);
b.newBar(bl);
if (bl.NewBar)
{
newbar++;
}
if (b.isBladeUP)
{
up++;
}
if (b.isBladeDOWN)
{
down++;
}
if (b.isBigVolume)
{
bigvol++;
}
}
Assert.AreEqual(1, up);
Assert.AreEqual(2, down);
Assert.AreEqual(5, newbar);
Assert.AreEqual(1, bigvol);
}
public void Basics()
{
const string sym = "TST";
const int d = 20080509;
const int t = 93500;
const string x = "NYSE";
TickImpl[] ticklist = new TickImpl[] {
TickImpl.NewTrade(sym,d,t,10,100,x),
TickImpl.NewTrade(sym,d,t+100,10,100,x),
TickImpl.NewTrade(sym,d,t+200,10,100,x),
TickImpl.NewTrade(sym,d,t+300,10,100,x),
TickImpl.NewTrade(sym,d,t+400,15,100,x), // blade up
TickImpl.NewTrade(sym,d,t+500,16,100,x), // new bar (blades reset)
TickImpl.NewTrade(sym,d,t+600,16,100,x),
TickImpl.NewTrade(sym,d,t+700,10,100,x), // blade down
TickImpl.NewTrade(sym,d,t+700,10,100,x), // still a blade down (same bar)
TickImpl.NewTrade(sym,d,t+800,15,100,x),
TickImpl.NewTrade(sym,d,t+1500,15,800,x), // volume spike
TickImpl.NewTrade(sym,d,t+2000,15,100,x),
TickImpl.NewTrade(sym,d,t+2500,15,100,x),
};
BarListImpl bl = new BarListImpl(BarInterval.FiveMin,sym);
Blade b = new Blade();
Assert.That(b.BladePercentage != 0);
b = new Blade(.2m); // 20 percent move is a blade
int up=0,down=0,newbar=0,bigvol=0;
foreach (TickImpl k in ticklist)
{
bl.newTick(k);
b.newBar(bl);
if (bl.NewBar) newbar++;
if (b.isBladeUP) up++;
if (b.isBladeDOWN) down++;
if (b.isBigVolume) bigvol++;
}
Assert.AreEqual(1, up);
Assert.AreEqual(2,down);
Assert.AreEqual(5, newbar);
Assert.AreEqual(1,bigvol);
}
public void QuoteOnlyTest()
{
TickImpl[] timesales = new TickImpl[] {
TickImpl.NewBid("TST", 100m, 100),
TickImpl.NewAsk("TST", 100.1m, 200),
};
Blade b = new Blade();
BarListImpl bl = new BarListImpl(BarInterval.FiveMin, "TST");
foreach (TickImpl k in timesales)
{
bl.newTick(k);
b.newBar(bl);
}
// average volume should be zero bc
// with only quotes we should have no bars to process
Assert.That(b.AvgVol(bl) == 0, b.AvgVol(bl).ToString());
Assert.That(!bl.Has(1), bl.ToString());
}
public void QuoteOnlyTest()
{
TickImpl[] timesales = new TickImpl[] {
TickImpl.NewBid("TST",100m,100),
TickImpl.NewAsk("TST",100.1m,200),
};
Blade b = new Blade();
BarListImpl bl = new BarListImpl(BarInterval.FiveMin,"TST");
foreach (TickImpl k in timesales)
{
bl.newTick(k);
b.newBar(bl);
}
// average volume should be zero bc
// with only quotes we should have no bars to process
Assert.That(b.AvgVol(bl) == 0, b.AvgVol(bl).ToString());
Assert.That(!bl.Has(1), bl.ToString());
}
