public void Basics()
{
const string sym = "TST";
const int d = 20080509;
const int t = 935;
const string x = "NYSE";
Tick[] ticklist = new Tick[] {
Tick.NewTrade(sym, d, t, 0, 10, 100, x),
Tick.NewTrade(sym, d, t + 1, 0, 10, 100, x),
Tick.NewTrade(sym, d, t + 2, 0, 10, 100, x),
Tick.NewTrade(sym, d, t + 3, 0, 10, 100, x),
Tick.NewTrade(sym, d, t + 4, 0, 15, 100, x), // blade up
Tick.NewTrade(sym, d, t + 5, 0, 16, 100, x), // new bar (blades reset)
Tick.NewTrade(sym, d, t + 6, 0, 16, 100, x),
Tick.NewTrade(sym, d, t + 7, 0, 10, 100, x), // blade down
Tick.NewTrade(sym, d, t + 7, 10, 10, 100, x), // still a blade down (same bar)
Tick.NewTrade(sym, d, t + 8, 0, 15, 100, x),
Tick.NewTrade(sym, d, t + 15, 0, 15, 800, x), // volume spike
Tick.NewTrade(sym, d, t + 20, 0, 15, 100, x),
Tick.NewTrade(sym, d, t + 25, 0, 15, 100, x),
};
BarList bl = new BarList(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 (Tick k in ticklist)
{
bl.AddTick(k);
b.newBar(bl);
if (bl.NewBar)
{
newbar++;
}
if (b.isBladeUP)
{
up++;
}
if (b.isBladeDOWN)
{
down++;
}
if (b.isBigVolume)
{
bigvol++;
}
}
Assert.That(up == 1, up.ToString());
Assert.That(down == 2, down.ToString());
Assert.That(newbar == 5, newbar.ToString());
Assert.That(bigvol == 1, bigvol.ToString());
}
public void Basics()
{
const string sym = "TST";
const int d = 20080509;
const int t = 935;
const string x = "NYSE";
Tick[] ticklist = new Tick[] {
Tick.NewTrade(sym,d,t,0,10,100,x),
Tick.NewTrade(sym,d,t+1,0,10,100,x),
Tick.NewTrade(sym,d,t+2,0,10,100,x),
Tick.NewTrade(sym,d,t+3,0,10,100,x),
Tick.NewTrade(sym,d,t+4,0,15,100,x), // blade up
Tick.NewTrade(sym,d,t+5,0,16,100,x), // new bar (blades reset)
Tick.NewTrade(sym,d,t+6,0,16,100,x),
Tick.NewTrade(sym,d,t+7,0,10,100,x), // blade down
Tick.NewTrade(sym,d,t+7,10,10,100,x), // still a blade down (same bar)
Tick.NewTrade(sym,d,t+8,0,15,100,x),
Tick.NewTrade(sym,d,t+15,0,15,800,x), // volume spike
Tick.NewTrade(sym,d,t+20,0,15,100,x),
Tick.NewTrade(sym,d,t+25,0,15,100,x),
};
BarList bl = new BarList(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 (Tick k in ticklist)
{
bl.AddTick(k);
b.newBar(bl);
if (bl.NewBar) newbar++;
if (b.isBladeUP) up++;
if (b.isBladeDOWN) down++;
if (b.isBigVolume) bigvol++;
}
Assert.That(up == 1,up.ToString());
Assert.That(down == 2,down.ToString());
Assert.That(newbar == 5,newbar.ToString());
Assert.That(bigvol == 1,bigvol.ToString());
}
public void QuoteOnlyTest()
{
Tick[] timesales = new Tick[] {
Tick.NewBid("TST", 100m, 100),
Tick.NewAsk("TST", 100.1m, 200),
};
Blade b = new Blade();
BarList bl = new BarList(BarInterval.FiveMin, "TST");
foreach (Tick 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()
{
Tick[] timesales = new Tick[] {
Tick.NewBid("TST",100m,100),
Tick.NewAsk("TST",100.1m,200),
};
Blade b = new Blade();
BarList bl = new BarList(BarInterval.FiveMin,"TST");
foreach (Tick 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());
}