def bartype_usdjpy_1min_bid() -> BarType:
return BarType(TestStubs.usdjpy_id(), TestStubs.bar_spec_1min_bid())
def bartype_gbpusd_1sec_mid() -> BarType:
return BarType(TestStubs.gbpusd_id(), TestStubs.bar_spec_1sec_mid())
def test_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(100000, BarAggregation.VALUE,
PriceType.LAST)
bar_type = BarType(instrument_id, bar_spec)
aggregator = ValueBarAggregator(bar_type, handler, Logger(TestClock()))
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("20.00001"),
size=Quantity.from_str("3000.00"),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123456"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
tick2 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("20.00002"),
size=Quantity.from_str("4000.00"),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123457"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
tick3 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("20.00000"),
size=Quantity.from_str("5000.00"),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123458"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
self.assertEqual(2, len(bar_store.get_store()))
self.assertEqual(Price.from_str("20.00001"),
bar_store.get_store()[0].open)
self.assertEqual(Price.from_str("20.00002"),
bar_store.get_store()[0].high)
self.assertEqual(Price.from_str("20.00001"),
bar_store.get_store()[0].low)
self.assertEqual(Price.from_str("20.00002"),
bar_store.get_store()[0].close)
self.assertEqual(
Quantity.from_str("5000.00"),
bar_store.get_store()[0].volume) # TODO: WIP - intermittent?
self.assertEqual(Price.from_str("20.00002"),
bar_store.get_store()[1].open)
self.assertEqual(Price.from_str("20.00002"),
bar_store.get_store()[1].high)
self.assertEqual(Price.from_str("20.00000"),
bar_store.get_store()[1].low)
self.assertEqual(Price.from_str("20.00000"),
bar_store.get_store()[1].close)
self.assertEqual(
Quantity.from_str("4999.99"),
bar_store.get_store()[1].volume) # TODO: WIP - intermittent?
self.assertEqual(
Decimal("40000.11000"),
aggregator.get_cumulative_value()) # TODO: WIP - Should be 40000
def bartype_audusd_1min_ask() -> BarType:
return BarType(TestStubs.audusd_id(), TestStubs.bar_spec_1min_ask())
def test_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument_id, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler,
Logger(TestClock()))
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00001"),
size=Quantity.from_int(2000),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123456"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
tick2 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00002"),
size=Quantity.from_int(3000),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123457"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
tick3 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00000"),
size=Quantity.from_int(25000),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123458"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
self.assertEqual(3, len(bar_store.get_store()))
self.assertEqual(Price.from_str("1.00001"),
bar_store.get_store()[0].open)
self.assertEqual(Price.from_str("1.00002"),
bar_store.get_store()[0].high)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[0].low)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[0].close)
self.assertEqual(Quantity.from_int(10000),
bar_store.get_store()[0].volume)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[1].open)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[1].high)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[1].low)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[1].close)
self.assertEqual(Quantity.from_int(10000),
bar_store.get_store()[1].volume)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[2].open)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[2].high)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[2].low)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[2].close)
self.assertEqual(Quantity.from_int(10000),
bar_store.get_store()[2].volume)