def test_simulated_from_config():
class NoSlippage(SlippageModel):
def adjust_trade(self, trade: Trade, **kwargs) -> Trade:
pass
config = {
'base_instrument': 'EURO',
'instruments': ['BTC', 'ETH'],
'exchanges': {
'commission': 0.5,
'base_precision': 0.3,
'instrument_precision': 10,
'min_trade_price': 1e-7,
'max_trade_price': 1e7,
'min_trade_size': 1e-4,
'max_trade_size': 1e4,
'initial_balance': 1e5,
'window_size': 5,
'should_pretransform_obs': True,
'max_allowed_slippage_percent': 3.0,
'slippage_model': NoSlippage
}
}
with TradingContext(**config):
df = pd.Source([[900, 849, 9023, 94039, 943]],
columns=["open", "high", "low", "close", "volume"])
exchange_ds = DataFrameSource('prices', df)
data_feed = DataFeed([exchange_ds])
exchange = Exchange('Exchange', lambda x: {EUR / ETH: x['close']})
assert exchange._base_instrument == 'EURO'
assert exchange._commission == 0.5
def test_data_frame_next():
data = np.array([[13863.13, 13889., 12952.5, 13480.01, 11484.01],
[13480.01, 15275., 13005., 14781.51, 23957.87],
[14781.51, 15400., 14628., 15098.14, 16584.63],
[15098.14, 15400., 14230., 15144.99, 17980.39],
[15144.99, 17178., 14824.05, 16960.01, 20781.65]])
index = pd.Index(
['2018-01-01', '2018-01-02', '2018-01-03', '2018-01-04', '2018-01-05'],
name="date")
columns = ["open", "high", "low", "close", "volume"]
data_frame = pd.DataFrame(data, index=index, columns=columns)
data_frame_ds = DataFrameSource(data_frame)
d1 = data_frame_ds.next()
assert d1 == {k: v for k, v in zip(columns, data[0, :])}
def test_exchange_with_data_source():
data = np.array([[13863.13, 13889., 12952.5, 13480.01, 11484.01],
[13480.01, 15275., 13005., 14781.51, 23957.87],
[14781.51, 15400., 14628., 15098.14, 16584.63],
[15098.14, 15400., 14230., 15144.99, 17980.39],
[15144.99, 17178., 14824.05, 16960.01, 20781.65]])
index = pd.Index(
['2018-01-01', '2018-01-02', '2018-01-03', '2018-01-04', '2018-01-05'],
name="date")
columns = ["open", "high", "low", "close", "volume"]
data_frame = pd.Source(data, index=index, columns=columns)
data_frame_ds = DataFrameSource('a1', data_frame)
data_feed = DataFeed([data_frame_ds])
from tensortrade.base.exceptions import InsufficientFunds, IncompatibleInstrumentOperation
from tensortrade.data import DataFeed, DataFrameSource
from tensortrade.exchanges import Exchange
from tensortrade.wallets import Wallet
from tensortrade.instruments import USD, BTC, Quantity
path_id = "f4cfeeae-a3e4-42e9-84b9-a24ccd2eebeb"
other_id = "7f3de243-0474-48d9-bf44-ca55ae07a70e"
PRICE_COLUMN = "close"
data_frame = pd.read_csv("tests/data/input/coinbase-1h-btc-usd.csv")
data_frame.columns = map(str.lower, data_frame.columns)
data_frame = data_frame.rename(columns={'volume btc': 'volume'})
exchange_ds = DataFrameSource('Frame', data_frame)
exchange_feed = DataFeed([exchange_ds])
exchange = Exchange('Exchange', lambda x: x)
def test_init():
wallet = Wallet(exchange, 10000 * USD)
assert wallet.balance == 10000 * USD
assert wallet.exchange == exchange
assert wallet.instrument == USD
assert len(wallet.locked) == 0