def test_run_quartile(self):
"""testing the computation of order book snapshots using a quartile approach
"""
dummy_db.insert_agg_orders_snapshot(self.session)
dummy_db.insert_coins(self.session)
dummy_db.insert_events_snapshot(self.session)
dummy_db.insert_exchange_markets(self.session)
dummy_db.insert_exchanges(self.session)
dummy_db.insert_markets(self.session)
self.session.flush()
interval = 60
mid_price_range = 0
# Check 1
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 1, 1, 6, 0, 0),
mid_price_range,
interval,
session=self.session)
generator.run()
all_snapshots = self.session.execute(
"select timestamp, spread, bids_count, asks_count, bids_volume, asks_volume, bids_price_stddev, asks_price_stddev, bids_price_mean, asks_price_mean from order_book_snapshots snap inner join exchanges ex on snap.exchange_id = ex.id where ex.name = 'hitbtc' order by timestamp asc"
)
results = list(all_snapshots)
self.assertEqual(len(results), 5)
self.assertAlmostEqual(results[4][1], 0.1)
self.assertEqual(results[4][2], 2)
self.assertEqual(results[4][3], 1)
self.assertAlmostEqual(results[4][4], 97.8)
self.assertAlmostEqual(results[4][5], 92.0)
self.assertAlmostEqual(results[4][6], 0.0499, delta=0.001)
self.assertAlmostEqual(results[4][7], 0.0)
self.assertAlmostEqual(results[4][8], 4.45)
self.assertAlmostEqual(results[4][9], 4.6)
# Check 2
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 1, 1, 11, 0, 0),
mid_price_range,
interval,
session=self.session)
generator.run()
all_snapshots = self.session.execute(
"select timestamp, spread, bids_count, asks_count, bids_volume, asks_volume, bids_price_stddev, asks_price_stddev, bids_price_mean, asks_price_mean from order_book_snapshots snap inner join exchanges ex on snap.exchange_id = ex.id where ex.name = 'hitbtc' order by timestamp asc"
)
results = list(all_snapshots)
self.assertEqual(len(results), 10)
self.assertAlmostEqual(results[9][1], 0.2)
self.assertEqual(results[9][2], 2)
self.assertEqual(results[9][3], 2)
self.assertAlmostEqual(results[9][4], 87.2)
self.assertAlmostEqual(results[9][5], 195.4)
self.assertAlmostEqual(results[9][6], 0.05, delta=0.001)
self.assertAlmostEqual(results[9][7], 0.05, delta=0.001)
self.assertAlmostEqual(results[9][8], 4.35)
self.assertAlmostEqual(results[9][9], 4.65)
def test_get_connection_window(self):
self._insert_data()
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc", datetime.now(), session=self.session)
connection_events = generator._query_connection_events()
generator._parse_connection_events(connection_events)
connect_time, disconnect_time = generator._get_connection_window(
datetime(2019, 5, 15, 19, 35, 30, 0), "hitbtcETHBTC")
self.assertEqual(connect_time, datetime(2019, 5, 15, 19, 30, 0, 0))
self.assertEqual(disconnect_time, datetime(2019, 5, 15, 19, 35, 45, 0))
connect_time, disconnect_time = generator._get_connection_window(
datetime(2019, 5, 15, 19, 37, 30, 0), "hitbtcETHBTC")
self.assertEqual(connect_time, datetime(2019, 5, 15, 19, 36, 0, 0))
self.assertEqual(disconnect_time, datetime(2019, 5, 15, 19, 38, 0, 0))
connect_time, disconnect_time = generator._get_connection_window(
datetime(2019, 5, 15, 19, 39, 0, 0), "hitbtcETHBTC")
self.assertEqual(connect_time, datetime(2019, 5, 15, 19, 39, 0, 0))
self.assertEqual(disconnect_time, generator.stop_time)
connect_time, disconnect_time = generator._get_connection_window(
datetime(2019, 5, 15, 19, 45, 30, 0), "hitbtcETHBTC")
self.assertEqual(connect_time, datetime(2019, 5, 15, 19, 39, 0, 0))
self.assertEqual(disconnect_time, generator.stop_time)
connect_time, disconnect_time = generator._get_connection_window(
datetime(2019, 5, 15, 19, 34, 44, 0), "binanceETHBTC")
self.assertEqual(connect_time, datetime(2019, 5, 15, 19, 34, 30, 0))
self.assertEqual(disconnect_time, datetime(2019, 5, 15, 19, 38, 34, 0))
connect_time, disconnect_time = generator._get_connection_window(
datetime(2019, 5, 15, 19, 34, 0, 0), "hitbtcETHBTC")
self.assertEqual(connect_time, datetime(2019, 5, 15, 19, 30, 0, 0))
self.assertEqual(disconnect_time, datetime(2019, 5, 15, 19, 35, 45, 0))
connect_time, disconnect_time = generator._get_connection_window(
datetime(2019, 5, 15, 19, 35, 45, 0), "hitbtcETHBTC")
self.assertEqual(connect_time, datetime(2019, 5, 15, 19, 36, 0, 0))
self.assertEqual(disconnect_time, datetime(2019, 5, 15, 19, 38, 0, 0))
def test_generate_snapshot_3(self):
""" counts the number of snapshots submitted over two different connection windows with a mid starting point
in the first window
"""
dummy_db.insert_agg_order(self.session)
dummy_db.insert_coins(self.session)
dummy_db.insert_instable_connection_events(self.session)
dummy_db.insert_exchange_markets(self.session)
dummy_db.insert_exchanges(self.session)
dummy_db.insert_markets(self.session)
self.session.flush()
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 15, 19, 32, 41, 0),
session=self.session)
connection_events = generator._query_connection_events()
generator._parse_connection_events(connection_events)
generator.snapshot_interval = 1
market = dict(exchange_id=1, buy_sym_id="ETH", sell_sym_id="BTC")
exchange = "hitbtc"
snapshot_time = datetime(2019, 5, 15, 19, 30, 45, 0)
connect_time, disconnect_time = generator._get_connection_window(
snapshot_time, "hitbtcETHBTC")
generator._generate_all_snapshots(connect_time, disconnect_time,
snapshot_time, market, exchange)
created_snapshots = list(
self.session.execute(
"select count(*) from order_book_snapshots"))[0]
self.assertEqual(created_snapshots[0], 109)
def test_query_exchange_markets(self):
self._insert_data()
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc", datetime.now(), session=self.session)
exchange_markets = generator._query_exchange_markets()
parsed_exchange_markets = generator._parse_exchange_markets(
exchange_markets)
self.assertEqual(parsed_exchange_markets["hitbtc"], [
dict(buy_sym_id="ETH",
sell_sym_id="BTC",
exchange="hitbtc",
exchange_id=1)
])
def test_generate_snapshot_2(self):
self._insert_data()
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 15, 19, 35, 11, 0),
session=self.session)
connection_events = generator._query_connection_events()
generator._parse_connection_events(connection_events)
generator.snapshot_interval = 1
market = dict(exchange_id=1, buy_sym_id="ETH", sell_sym_id="BTC")
exchange = "hitbtc"
snapshot_time = datetime(2019, 5, 15, 19, 34, 0, 0)
connect_time, disconnect_time = generator._get_connection_window(
snapshot_time, "hitbtcETHBTC")
generator._generate_all_snapshots(connect_time, disconnect_time,
snapshot_time, market, exchange)
created_snapshots = list(
self.session.execute(
"select count(*) from order_book_snapshots"))[0]
self.assertEqual(created_snapshots[0], 70)
def test_generate_snapshot_1(self):
self._insert_data()
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 15, 19, 35, 42, 0),
session=self.session)
connection_events = generator._query_connection_events()
generator._parse_connection_events(connection_events)
generator.snapshot_interval = 1
market = dict(exchange_id=1, buy_sym_id="ETH", sell_sym_id="BTC")
exchange = "hitbtc"
connect_time = datetime(2019, 5, 15, 19, 30, 0, 0)
disconnect_time = datetime(2019, 5, 15, 19, 35, 45, 0)
snapshot_time = datetime(2019, 5, 15, 19, 34, 59, 0)
generator._generate_all_snapshots(connect_time, disconnect_time,
snapshot_time, market, exchange)
created_snapshots = list(
self.session.execute(
"select count(*) from order_book_snapshots where timestamp >= '2019-05-15 19:34:59.0' and timestamp <= '2019-05-15 19:35:45.0'"
))[0]
self.assertEqual(created_snapshots[0], 42)
def test_compute_stats(self):
order_book = [{"order_type":"bid", "price": 0.5, "size": 10}, {"order_type":"ask", "price": 1.1, "size": 5},\
{"order_type":"bid", "price": 0.75, "size": 30}, {"order_type":"bid", "price": 0.8, "size": 5},\
{"order_type":"ask", "price": 1.08, "size": 4}, {"order_type":"ask", "price": 1.02, "size": 7},\
{"order_type":"bid", "price": 0.95, "size": 7}, {"order_type":"ask", "price": 0.97, "size": 3}]
generator = ob_snapshot_generator.OBSnapshotGenerator('hitbtc', 0)
output = generator._compute_stats(order_book)
self.assertEqual(output["spread"], 0.020000000000000018)
self.assertEqual(output["min_ask_price"], 0.97)
self.assertEqual(output["min_ask_size"], 3)
self.assertEqual(output["max_bid_price"], 0.95)
self.assertEqual(output["max_bid_size"], 7)
self.assertEqual(output["bids_volume"], 38.15)
self.assertEqual(output["asks_volume"], 19.87)
self.assertEqual(output["bids_count"], 4)
self.assertEqual(output["asks_count"], 4)
self.assertEqual(output["bids_price_stddev"], 0.1620185174601965)
self.assertEqual(output["asks_price_stddev"], 0.05117372372614685)
self.assertEqual(output["bids_price_mean"], 0.75)
self.assertEqual(output["asks_price_mean"], 1.0425)
self.assertEqual(output["bid_price_median"], 0.775)
self.assertEqual(output["ask_price_median"], 1.05)
def test_query_order_book(self):
self._insert_data()
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc", datetime.now(), 1, session=self.session)
ob_result_proxy = generator._query_order_book("hitbtc", "ETH", "BTC",
"2019-05-15 19:30:0.0",
"2019-05-15 19:35:45.0")
full_order_book = generator._parse_order_book(ob_result_proxy)
self.assertEqual(len(full_order_book), 6)
bids = 0
asks = 0
bids = list(filter(lambda x: x["order_type"] == "bid",
full_order_book))
asks = list(filter(lambda x: x["order_type"] == "ask",
full_order_book))
bid_prices = list(map(lambda x: x["price"], bids))
ask_prices = list(map(lambda x: x["price"], asks))
self.assertEqual(len(bids), 3)
self.assertEqual(len(asks), 3)
self.assertAlmostEqual(min(bid_prices), 0.3)
self.assertAlmostEqual(min(ask_prices), 0.6)
self.assertAlmostEqual(max(bid_prices), 0.5)
self.assertAlmostEqual(max(ask_prices), 0.7)
def test_query_connection_events(self):
self._insert_data()
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc", datetime.now(), session=self.session)
connection_events = generator._query_connection_events()
generator._parse_connection_events(connection_events)
for ex in generator.event_log.keys():
for ev in generator.event_log[ex]:
del ev["id"]
self.assertEqual(
generator.event_log["hitbtcETHBTC"][0],
dict(timestamp=datetime(2019, 5, 15, 19, 30, 0, 0),
connection_event="connect"))
self.assertEqual(
generator.event_log["hitbtcETHBTC"][1],
dict(timestamp=datetime(2019, 5, 15, 19, 35, 45, 0),
connection_event="disconnect"))
self.assertEqual(
generator.event_log["hitbtcETHBTC"][2],
dict(timestamp=datetime(2019, 5, 15, 19, 36, 0, 0),
connection_event="connect"))
self.assertEqual(
generator.event_log["hitbtcETHBTC"][3],
dict(timestamp=datetime(2019, 5, 15, 19, 38, 0, 0),
connection_event="disconnect"))
self.assertEqual(
generator.event_log["hitbtcETHBTC"][4],
dict(timestamp=datetime(2019, 5, 15, 19, 39, 0, 0),
connection_event="connect"))
self.assertEqual(
generator.event_log["binanceETHBTC"][0],
dict(timestamp=datetime(2019, 5, 15, 19, 34, 30, 0),
connection_event="connect"))
self.assertEqual(
generator.event_log["binanceETHBTC"][1],
dict(timestamp=datetime(2019, 5, 15, 19, 38, 34, 0),
connection_event="disconnect"))
def test_run_mid_price(self):
"""testing the computation of order book snapshots using a mid price range approach
"""
dummy_db.insert_agg_orders_snapshot(self.session)
dummy_db.insert_coins(self.session)
dummy_db.insert_events_snapshot(self.session)
dummy_db.insert_exchange_markets(self.session)
dummy_db.insert_exchanges(self.session)
dummy_db.insert_markets(self.session)
self.session.flush()
interval = 60
mid_price_range = 0.1
# Check 1
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 1, 1, 2, 0, 0),
mid_price_range,
interval,
session=self.session)
generator.run()
all_snapshots = self.session.execute(
"select timestamp, spread, bids_count, asks_count, bids_volume, asks_volume, bids_price_stddev, asks_price_stddev, bids_price_mean, asks_price_mean from order_book_snapshots snap inner join exchanges ex on snap.exchange_id = ex.id where ex.name = 'hitbtc' order by timestamp asc"
)
results = list(all_snapshots)
self.assertEqual(len(results), 1)
self.assertAlmostEqual(results[0][1], 0.1)
self.assertEqual(results[0][2], 1)
self.assertEqual(results[0][3], 1)
self.assertEqual(results[0][4], 45.0)
self.assertEqual(results[0][5], 92.0)
# Check 2
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 1, 1, 6, 0, 0),
mid_price_range,
interval,
session=self.session)
generator.run()
all_snapshots = self.session.execute(
"select timestamp, spread, bids_count, asks_count, bids_volume, asks_volume, bids_price_stddev,\
asks_price_stddev, bids_price_mean, asks_price_mean from order_book_snapshots snap inner join exchanges\
ex on snap.exchange_id = ex.id where ex.name = 'hitbtc' order by timestamp asc"
)
results = list(all_snapshots)
# five snapshots have been generated - last bid added is not included due to being out of range
self.assertEqual(len(results), 5)
self.assertAlmostEqual(results[4][1], 0.1)
self.assertEqual(results[4][2], 4)
self.assertEqual(results[4][3], 4)
self.assertAlmostEqual(results[4][4], 174.2)
self.assertAlmostEqual(results[4][5], 248.7)
self.assertAlmostEqual(results[4][6], 0.11180339887498948)
self.assertAlmostEqual(results[4][7], 0.11180339887498948)
# Check 3
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 1, 1, 9, 0, 0),
mid_price_range,
interval,
session=self.session)
generator.run()
all_snapshots = self.session.execute(
"select timestamp, spread, bids_count, asks_count, bids_volume, asks_volume, bids_price_stddev,\
asks_price_stddev, bids_price_mean, asks_price_mean from order_book_snapshots snap inner join exchanges\
ex on snap.exchange_id = ex.id where ex.name = 'hitbtc' order by timestamp asc"
)
results = list(all_snapshots)
# eight snapshots have been generated - last five orders are ignored due to being out of range
self.assertEqual(len(results), 8)
self.assertAlmostEqual(results[7][1], 0.1)
self.assertEqual(results[7][2], 4)
self.assertEqual(results[7][3], 4)
self.assertAlmostEqual(results[7][4], 174.2)
self.assertAlmostEqual(results[7][5], 248.7)
self.assertAlmostEqual(results[7][6], 0.11180339887498948)
self.assertAlmostEqual(results[7][7], 0.11180339887498948)
# Check 4
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 1, 1, 10, 0, 0),
mid_price_range,
interval,
session=self.session)
generator.run()
all_snapshots = self.session.execute(
"select timestamp, spread, bids_count, asks_count, bids_volume, asks_volume, bids_price_stddev,\
asks_price_stddev, bids_price_mean, asks_price_mean from order_book_snapshots snap inner join exchanges\
ex on snap.exchange_id = ex.id where ex.name = 'hitbtc' order by timestamp asc"
)
results = list(all_snapshots)
# nine snapshots have been generated - last order sets a new mid price
self.assertEqual(len(results), 9)
self.assertAlmostEqual(results[8][1], 0.2)
self.assertEqual(results[8][2], 3)
self.assertEqual(results[8][3], 4)
self.assertAlmostEqual(results[8][4], 129.2)
self.assertAlmostEqual(results[8][5], 248.7)
self.assertAlmostEqual(results[8][6], 0.08164965809277268)
self.assertAlmostEqual(results[8][7], 0.11180339887498948)
# Check 5
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 1, 1, 11, 0, 0),
mid_price_range,
interval,
session=self.session)
generator.run()
all_snapshots = self.session.execute(
"select timestamp, spread, bids_count, asks_count, bids_volume, asks_volume, bids_price_stddev,\
asks_price_stddev, bids_price_mean, asks_price_mean from order_book_snapshots snap inner join exchanges\
ex on snap.exchange_id = ex.id where ex.name = 'hitbtc' order by timestamp asc"
)
results = list(all_snapshots)
# ten snapshots have been generated - last order is a new ask order which should be included in snapshot
self.assertEqual(len(results), 10)
self.assertAlmostEqual(results[9][1], 0.2)
self.assertEqual(results[9][2], 3)
self.assertEqual(results[9][3], 5)
self.assertAlmostEqual(results[9][4], 129.2)
self.assertAlmostEqual(results[9][5], 297.2)
self.assertAlmostEqual(results[9][6], 0.08164965809277268)
self.assertAlmostEqual(results[9][7], 0.10770329614269018)
self.assertAlmostEqual(results[9][8], 4.3)
self.assertAlmostEqual(results[9][9], 4.77)
# Check 6: mid price +- 20%
mid_price_range = 0.2
generator = ob_snapshot_generator.OBSnapshotGenerator(
"hitbtc",
datetime(2019, 5, 1, 1, 11, 0, 0),
mid_price_range,
interval,
session=self.session)
generator.run()
all_snapshots = self.session.execute(
"select timestamp, spread, bids_count, asks_count, bids_volume, asks_volume, bids_price_stddev,\
asks_price_stddev, bids_price_mean, asks_price_mean from order_book_snapshots snap inner join exchanges\
ex on snap.exchange_id = ex.id where ex.name = 'hitbtc' order by timestamp asc"
)
results = list(all_snapshots)
# ten snapshots have been generated - mid price range is changed to +-20%
# total of 20 snapshots in db: 10 @ range +-10% and 10 @ range +-20%
self.assertEqual(len(results), 20)
self.assertAlmostEqual(results[19][1], 0.2)
self.assertEqual(results[19][2], 6)
self.assertEqual(results[19][3], 6)
self.assertAlmostEqual(results[19][4], 201.8)
self.assertAlmostEqual(results[19][5], 318.0)
self.assertAlmostEqual(results[19][6], 0.25603819159562036)
self.assertAlmostEqual(results[19][7], 0.18800856954464143)
self.assertAlmostEqual(results[19][8], 4.066666666666666)
self.assertAlmostEqual(results[19][9], 4.841666666666667)
