def test_can_load_full_ohlc_from_partials(self):
instr = m.FXInstrument("i")
ohlc1 = OHLC(date(2005, 6, 20),
open=10.0,
low=5.0,
high=15.0,
close=12.0,
num_trades=1,
volume=100.0,
waprice=11.0)
ohlc2 = OHLC(date(2005, 6, 23),
open=10.0,
low=5.0,
high=15.0,
close=13.0,
num_trades=2,
volume=100.0,
waprice=11.0)
partial_replies = [
OHLCSeries(instr.code, [ohlc1]),
OHLCSeries(instr.code, [ohlc2]),
OHLCSeries(instr.code, [])
]
mocked_loader = MagicMock(side_effect=partial_replies)
full_table = instr.load_ohlc_table(None, mocked_loader)
assert not full_table.is_empty()
assert full_table.ohlc_series == [ohlc1, ohlc2]
def test_can_parse_empty_reply_type1(self, sample_empty_quote1_xml: str):
instr = m.FXInstrument("i")
today_quotes = instr._parse_intraday_quotes(sample_empty_quote1_xml)
assert today_quotes.instrument == "EUR_RUB__TOM"
assert today_quotes.last == 0.0
assert today_quotes.num_trades == 0
assert today_quotes.is_trading is False
assert today_quotes.time == time(9, 15, 4)
def test_can_parse_day_quotes(self, sample_today_rates_xml: str):
instr = m.FXInstrument("i")
today_quotes = instr._parse_intraday_quotes(sample_today_rates_xml)
assert today_quotes.instrument == "USD000UTSTOM"
assert today_quotes.last == 74.415
assert today_quotes.num_trades == 65036
assert today_quotes.is_trading is False
assert today_quotes.time == time(23, 49, 59)
def test_can_parse_empty_reply_type2(self, sample_empty_quote2_xml: str):
instr = m.FXInstrument("i")
datetime_now = datetime.now()
now = (datetime_now - timedelta(
minutes=15, microseconds=datetime_now.microsecond)).time()
today_quotes = instr._parse_intraday_quotes(sample_empty_quote2_xml)
assert today_quotes.instrument == "i"
assert today_quotes.last == 0.0
assert today_quotes.num_trades == 0
assert today_quotes.is_trading is False
# yes, is not guaranteed to be the same...
assert today_quotes.time == now
def test_hash_equals(self):
fx1 = m.FXInstrument("1234")
fx2 = m.FXInstrument("1234")
assert fx1 == fx2
b1 = m.BondInstrument("1234")
assert fx1 != b1
fx3 = m.FXInstrument("234")
assert fx1 != fx3
b2 = m.BondInstrument("1234")
assert b1 == b2
b3 = m.BondInstrument("789")
assert b1 != b3
s1 = m.ShareInstrument("1234")
assert b1 != s1
s2 = m.ShareInstrument("1234")
assert s1 == s2
s3 = m.ShareInstrument("567")
assert s1 != s3
assert str(fx1) == fx1.code
def main():
parser = argparse.ArgumentParser(
description="Downloads EOD OLHC data from Moscow Exchange (MOEX) "
"and saves to CSV files",
formatter_class=argparse.ArgumentDefaultsHelpFormatter)
parser.add_argument(
"--fx-codes",
help=
"Security ID's of FX instruments on MOEX (e.g. EUR_RUB__TOM USD000UTSTOM). "
"To get it, check "
"https://iss.moex.com/iss/history/engines/currency/markets/selt/boards/cets/securities.csv"
" - you need SECID column",
nargs="+",
metavar="FX_CODE")
parser.add_argument(
"--bond-codes",
help="ISIN's of bond instruments on MOEX (e.g. RU000A100YG1). ",
nargs="+",
metavar="BOND_CODE")
parser.add_argument(
"--share-codes",
help=
"Security ID's (not ISIN's!) of share instruments on MOEX (e.g. SBMX). ",
nargs="+",
metavar="SHARE_CODE")
args = parser.parse_args()
fx_codes = args.fx_codes
bond_codes = args.bond_codes
share_codes = args.share_codes
if fx_codes is None and bond_codes is None and share_codes is None:
raise ValueError(
"At least one of --fx-codes, --bond-codes, --share-codes must be specified"
)
instrums: List[moex.Instrument] = []
instrums.extend([moex.FXInstrument(secid) for secid in fx_codes])
instrums.extend([moex.BondInstrument(isin) for isin in bond_codes])
instrums.extend([moex.ShareInstrument(secid) for secid in share_codes])
for instr in instrums:
logger.info(f"Loading OHLC data for {instr}")
olhc_series = instr.load_ohlc_table(from_date=None)
olhc_series.save_to_csv(f"data/{instr.code}.csv")
def test_can_parse_currency_ohlc(self, sample_ohlc_currency_csv):
inst = m.FXInstrument("eurrub")
ohlc: OHLCSeries = inst._parse_ohlc_csv(sample_ohlc_currency_csv)
assert not ohlc.is_empty()
s = ohlc.ohlc_series
assert s[0] == OHLC(date(2005, 6, 20),
open=34.79,
low=34.7701,
high=34.83,
close=34.81,
num_trades=21,
volume=157224489.9,
waprice=34.8073)
assert s[-1] == OHLC(date(2005, 11, 7),
open=34.97,
low=33.925,
high=34.97,
close=34.01,
num_trades=57,
volume=142336864.5,
waprice=34.0031)
assert ohlc.name == "EURRUB_TOM"
assert inst.name == ohlc.name
def main():
parser = argparse.ArgumentParser(
description=
"Sends mail if avg of intraday quotes for specified instruments deviate "
"significantly from previous days average",
formatter_class=argparse.ArgumentDefaultsHelpFormatter)
parser.add_argument("--email",
default="root",
help="E-mail address to which send notifications")
parser.add_argument(
"--hist-window",
type=int,
default=5,
help="Number of business days to calculate historical average")
parser.add_argument(
"--intra-window",
type=int,
default=3,
help=
"Number of ticks (see --ticks-freq-seconds) to calculate intraday average"
)
parser.add_argument(
"--ticks-freq-seconds",
type=int,
default=60,
help="Check intraday rates with this frequency, in seconds")
parser.add_argument(
"--saving-freq-hours",
type=int,
default=24,
help="Save collected EOD rates to disk with this frequency, in hours")
parser.add_argument(
"--num-std-devs-thresh",
type=float,
default=2.0,
help=
"Minimum number of standard deviations intraday rate should jump from the mean to "
"send warning email")
parser.add_argument(
"--fx-codes",
help=
"Security ID's of FX instruments on MOEX (e.g. EUR_RUB__TOM USD000UTSTOM). "
"To get it, check "
"https://iss.moex.com/iss/history/engines/currency/markets/selt/boards/cets/securities.csv"
" - you need SECID column",
nargs="+",
metavar="FX_CODE")
parser.add_argument(
"--bond-codes",
help="ISIN's of bond instruments on MOEX (e.g. RU000A100YG1). ",
nargs="+",
metavar="BOND_CODE")
parser.add_argument(
"--share-codes",
help=
"Security ID's (not ISIN's!) of share instruments on MOEX (e.g. SBMX). ",
nargs="+",
metavar="SHARE_CODE")
parser.add_argument("--index-codes",
help="Security ID's of indexes on MOEX (e.g. MREDC).",
nargs="+",
metavar="INDEX_CODE")
args = parser.parse_args()
email = args.email
fx_codes = args.fx_codes
bond_codes = args.bond_codes
share_codes = args.share_codes
index_codes = args.index_codes
if fx_codes is None and bond_codes is None and share_codes is None and index_codes is None:
raise ValueError(
"At least one of --fx-codes, --bond-codes, --share-codes, --index-codes must be specified"
)
instrums: List[moex.Instrument] = []
if fx_codes is not None:
instrums.extend([moex.FXInstrument(secid) for secid in fx_codes])
if bond_codes is not None:
instrums.extend([moex.BondInstrument(isin) for isin in bond_codes])
if share_codes is not None:
instrums.extend([moex.ShareInstrument(secid) for secid in share_codes])
if index_codes is not None:
instrums.extend([moex.IndexInstrument(secid) for secid in index_codes])
hist_window_size = args.hist_window
intraday_window_size = args.intra_window
num_std_devs_thresh = args.num_std_devs_thresh
ticks_freq = args.ticks_freq_seconds
saving_freq = datetime.timedelta(hours=args.saving_freq_hours)
logger.info(f"PID {os.getpid()}")
s = sched.scheduler()
initial_series = get_initial_series(instrums)
ticker = Ticker(initial_series, email, hist_window_size,
intraday_window_size, num_std_devs_thresh, s, ticks_freq,
saving_freq)
s.enter(delay=0, priority=1, action=ticker.tick, argument=(ticker, ))
def on_sigterm(sig, stack):
logger.info(f"Received SIGTERM ({sig}), shutting down\n{stack}")
# TODO: save series? but should not wait for next tick which can be too far away
exit(0)
signal.signal(signal.SIGTERM, on_sigterm)
s.run()
