public void DateAroundEventModelTest() { var inputs = new InstrumentInputItem { Ticker = "UST1_1", Type = ParserType.CMT_Yield } ; var events1 = new[] { new DateTime(2016,02,04), new DateTime(2016,01,07), new DateTime(2015,12,10), new DateTime(2015,11,15), new DateTime(2015,10,08), new DateTime(2015,09,10), }; var events2 = new[] { new DateTime(2016,02,08), new DateTime(2016,01,10), new DateTime(2015,12,15), new DateTime(2015,11,21), new DateTime(2015,10,19), new DateTime(2015,09,11), }; var productWrapper = new ProductWrapper { InputText = inputs.Ticker, ParserType = inputs.Type }; var dataRetriever = new DailyDataRetriever(new List<ProductWrapper>() { productWrapper }); var data = dataRetriever.getData(new DateTime(2012, 1, 1), false, false, productWrapper.ToString()); var list = new List<DataAroundEvent>(); var offset = -5; var numberofPoints = 10; foreach (var v in events1) { list.Add(new DataAroundEvent(v.Date.Date, data.Item1, data.Item2, numberofPoints, "event1", offset));// { PivotIndex = numberofPoints - offset }); } //foreach (var v in events2) //{ // list.Add(new DataAroundEvent(v.Date.Date, data.Item1, data.Item2, 10, "event2")); //} foreach (var dataAroundEvent in list) { Console.WriteLine(@" "); Console.WriteLine(@" "); Console.WriteLine(@"-------------------------------------------"); Console.WriteLine(@"Event {0}", dataAroundEvent.EventDate); foreach (var p in dataAroundEvent.FilledDataAroundEvent_Level.Data) { Console.WriteLine(@"{0},{1}", p.Index, p.Value); } } }
public void ShouldCreateDataAroundEventsBucket() { var inputs = new InstrumentInputItem {Ticker = "UST1_1", Type = ParserType.CMT_Yield} ; var events = new[] { new DateTime(2016,02,04), new DateTime(2016,01,07), new DateTime(2015,12,10), new DateTime(2015,11,15), new DateTime(2015,10,08), new DateTime(2015,09,10), }; var productWrapper = new ProductWrapper { InputText = inputs.Ticker, ParserType = inputs.Type }; var dataRetriever = new DailyDataRetriever(new List<ProductWrapper>() { productWrapper }); var data = dataRetriever.getData(new DateTime(2012, 1, 1), false, false, productWrapper.ToString()).Item2; var instData = MultiInstrumentsSignalGenerator.DataAroundEventsBucket(inputs, data, events, 2012, 5, DataAroundEventField.Filled_Diff); Assert.That(instData.Count, Is.EqualTo(11)); }