def test___init__(self):
"""
Case: count, no start, no end
"""
COUNT = 100
GRANULARITY = 'S5'
NUM_EXTRA_SECONDS = 300
sample_instrument = Instrument(4) # USD_JPY
# Initialize a sample chart.
chart = Chart(
in_instrument=sample_instrument,
count=COUNT
)
# check success
self.assertNotEqual(chart._granularity, None)
# check indecies
self.assertTrue(
chart._start_index == 0 and chart._get_end_index() == COUNT - 1
)
# check instrument
self.assertEqual(sample_instrument.get_id(), chart._instrument.get_id())
self.assertEqual(sample_instrument.get_name(), chart._instrument.get_name())
# check granularity
self.assertEqual(chart._granularity, GRANULARITY) # Oanda's default (S5)
# check count
self.assertEqual(chart.get_size(), COUNT)
# check candle format
# If 'bidask', then the midpoints will be None, and vice-versa
self.assertNotEqual(chart[0].open_bid, None) # Oanda's default
start = None
chart = None
"""
Case: count, start, no end
"""
COUNT = 100
GRANULARITY = 'M1'
WIGGLE_MINUTES = 5 # no price change -> no candle
ADJUSTMENT = 120
sample_instrument = Instrument(4) # USD_JPY
# Initialize a sample chart with no market close gaps.
# start = now - time since close - chart size
# - (adjustment to busy time to avoid gaps) - skipped candle slack
start = datetime.utcnow() \
- Broker.get_time_since_close() \
- timedelta(minutes = COUNT + ADJUSTMENT + WIGGLE_MINUTES)
chart = Chart(
in_instrument=sample_instrument,
count=COUNT,
start=start,
granularity=GRANULARITY
)
# check success
self.assertNotEqual(chart._granularity, None)
# check indecies
self.assertTrue(
chart._start_index == 0 and chart._get_end_index() == COUNT - 1
)
# check instrument
self.assertEqual(sample_instrument.get_id(), chart._instrument.get_id())
self.assertEqual(sample_instrument.get_name(), chart._instrument.get_name())
# check granularity
self.assertEqual(chart._granularity, GRANULARITY)
# check count
self.assertEqual(chart.get_size(), COUNT)
# check start time
self.assertTrue(
# Candles gap if there were no ticks, so allow some wiggle room.
abs(start - chart.get_start_timestamp()) < timedelta(minutes=WIGGLE_MINUTES)
)
# check end time
end_expected = start + timedelta(minutes=COUNT)
end_real = chart.get_end_timestamp()
self.assertTrue(
# Candles gap if there were no ticks, so allow some wiggle room.
abs(end_expected - end_real) < timedelta(minutes=WIGGLE_MINUTES)
)
# check candle format
self.assertNotEqual(chart[0].open_bid, None)
"""
count, no start, end
"""
COUNT = 100
GRANULARITY = 'H2'
sample_instrument = Instrument(4) # USD_JPY
# Initialize a sample chart.
chart = Chart(
in_instrument=sample_instrument,
count=COUNT,
end=datetime.utcnow(),
granularity=GRANULARITY
)
# check success
self.assertNotEqual(chart._granularity, None)
# check indecies
self.assertTrue(
chart._start_index == 0 and chart._get_end_index() == COUNT - 1
)
# check instrument
self.assertEqual(sample_instrument.get_id(), chart._instrument.get_id())
self.assertEqual(sample_instrument.get_name(), chart._instrument.get_name())
# check granularity
self.assertEqual(chart._granularity, GRANULARITY)
# check count
self.assertEqual(chart.get_size(), COUNT)
# check start time
"""self.assertTrue(
# Candles gap if there were no ticks, so allow some wiggle room.
abs(start - chart.get_start_timestamp()) < timedelta(minutes=5)
)"""
# check end time
end_expected = datetime.utcnow()
end_real = chart.get_end_timestamp()
if Broker.get_time_until_close() == timedelta():
self.assertTrue(
abs(end_expected - end_real) < timedelta(days=3)
)
else:
self.assertTrue(
# Candles gap if there were no ticks, so allow some wiggle room.
abs(end_expected - end_real) < timedelta(hours=5)
)
# check candle format
# If 'bidask', then the midpoints will be None, and vice-versa
self.assertNotEqual(chart[0].open_bid, None) # Oanda's default
"""
no count, start, no end
"""
COUNT = 24
GRANULARITY = 'M' # month (Oanda)
sample_instrument = Instrument(4) # USD_JPY
# Initialize a sample chart.
# start = now - 2 years
start = datetime.utcnow() - timedelta(days=365*2)
chart = Chart(
in_instrument=sample_instrument,
start=start,
granularity=GRANULARITY
)
# check success
self.assertNotEqual(chart._granularity, None)
# check indecies
self.assertTrue(
chart._start_index == 0 and abs(chart._get_end_index() - COUNT) <= 1
)
# check instrument
self.assertEqual(sample_instrument.get_id(), chart._instrument.get_id())
self.assertEqual(sample_instrument.get_name(), chart._instrument.get_name())
# check granularity
self.assertEqual(chart._granularity, GRANULARITY)
# check count
self.assertTrue( abs(chart.get_size() - COUNT) <= 1 )
# check start time
self.assertTrue(
# allow wiggle room.
abs(start - chart.get_start_timestamp()) < timedelta(days=32)
)
# check end time
end_expected = datetime.utcnow()
end_real = chart.get_end_timestamp()
self.assertTrue(
# Allow wiggle room for market close.
abs(end_expected - end_real) < timedelta(days=32)
)
# check candle format
# If 'bidask', then the midpoints will be None, and vice-versa
self.assertNotEqual(chart[0].open_bid, None) # Oanda's default
def test_update(self):
"""
test: Chart.update()
Constraints to verify:
- Data is as recent as possible
- start index has earliest timestamp
- end index has latest timestamp
- timestamps from start to end are sequential
Cases:
- old chart (complete update)
- somewhat outdated chart (partially updated)
- new chart (no updates other than last (incomplete) candle)
"""
"""
case: old chart that gets completely updated
"""
# initial "outdated" chart
chart = Chart(
in_instrument=Instrument(4),
granularity='M1',
count=4999,
end=datetime(year=2017, month=12, day=5)
)
# Update chart
chart.update()
# Verify data is most recent
time_since_close = Broker.get_time_since_close()
now = datetime.utcnow()
end_timestamp = chart.get_end_timestamp()
if (Broker.get_time_until_close() == timedelta()):
# Time since last candle should be close to time since market
# close. The leniency is high to allow for periods of no new
# candles.
self.assertTrue(
abs((now - end_timestamp) - (time_since_close))
< timedelta(minutes=62)
)
else:
# Time since last candle should be close to now.
self.assertTrue(abs(now - end_timestamp) < timedelta(minutes=2))
# verify candle at start index has earliest timestamp.
earliest_timestamp = datetime.utcnow()
for i in range(0, chart.get_size()):
if chart[i].timestamp < earliest_timestamp:
earliest_timestamp = chart[i].timestamp
self.assertTrue(chart.get_start_timestamp() == earliest_timestamp)
# verify candle at end index has latest timestamp.
latest_timestamp = datetime(year=1999, month=1, day=1)
for i in range(0, chart.get_size()):
if chart[i].timestamp > latest_timestamp:
latest_timestamp = chart[i].timestamp
self.assertTrue(chart.get_end_timestamp() == latest_timestamp)
# Verify sequential timestamps
for i in range(0, chart.get_size() - 1):
self.assertTrue(chart[i].timestamp < chart[i + 1].timestamp)
"""
Chart that gets partially updated
"""
# TODO
"""
