def test_build_when_received_updates_returns_expected_bar(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
builder.update(Price.from_str("1.00001"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00002"), Quantity.from_str("1.5"), 0)
builder.update(
Price.from_str("1.00000"),
Quantity.from_str("1.5"),
1_000_000_000,
)
# Act
bar = builder.build_now() # Also resets builder
# Assert
assert bar.open == Price.from_str("1.00001")
assert bar.high == Price.from_str("1.00002")
assert bar.low == Price.from_str("1.00000")
assert bar.close == Price.from_str("1.00000")
assert bar.volume == Quantity.from_str("4.0")
assert bar.ts_init == 1_000_000_000
assert builder.ts_last == 1_000_000_000
assert builder.count == 0
def test_build_when_received_updates_returns_expected_bar(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE,
bar_type,
use_previous_close=True)
builder.update(Price.from_str("1.00001"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00002"), Quantity.from_str("1.5"), 0)
builder.update(
Price.from_str("1.00000"),
Quantity.from_str("1.5"),
1_000_000_000,
)
# Act
bar = builder.build_now() # Also resets builder
# Assert
self.assertEqual(Price.from_str("1.00001"), bar.open)
self.assertEqual(Price.from_str("1.00002"), bar.high)
self.assertEqual(Price.from_str("1.00000"), bar.low)
self.assertEqual(Price.from_str("1.00000"), bar.close)
self.assertEqual(Quantity.from_str("4.0"), bar.volume)
self.assertEqual(1_000_000_000, bar.ts_recv_ns)
self.assertEqual(1_000_000_000, builder.last_timestamp_ns)
self.assertEqual(0, builder.count)
def test_single_update_results_in_expected_properties(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
# Act
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
# Assert
self.assertTrue(builder.initialized)
self.assertEqual(UNIX_EPOCH, builder.last_timestamp)
self.assertEqual(1, builder.count)
def test_single_update_results_in_expected_properties(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=True)
# Act
builder.update(Price("1.00000"), Quantity("1"), 0)
# Assert
self.assertTrue(builder.initialized)
self.assertEqual(0, builder.last_timestamp_ns)
self.assertEqual(1, builder.count)
def test_single_update_results_in_expected_properties(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
# Act
builder.update(Price.from_str("1.00000"), Quantity.from_str("1"), 0)
# Assert
assert builder.initialized
assert builder.ts_last == 0
assert builder.count == 1
def test_single_update_when_timestamp_less_than_last_update_ignores(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=True)
builder.update(Price("1.00000"), Quantity("1"), 0)
# Act
builder.update(Price("1.00001"), Quantity("1"), -1_000_000_000)
# Assert
self.assertTrue(builder.initialized)
self.assertEqual(0, builder.last_timestamp_ns)
self.assertEqual(1, builder.count)
def test_single_update_when_timestamp_less_than_last_update_ignores(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
# Act
builder.update(Price("1.00001"), Quantity("1"), UNIX_EPOCH - timedelta(seconds=1))
# Assert
self.assertTrue(builder.initialized)
self.assertEqual(UNIX_EPOCH, builder.last_timestamp)
self.assertEqual(1, builder.count)
def test_single_update_when_timestamp_less_than_last_update_ignores(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
builder.update(Price.from_str("1.00000"), Quantity.from_str("1"),
1_000)
# Act
builder.update(Price.from_str("1.00001"), Quantity.from_str("1"), 500)
# Assert
assert builder.initialized
assert builder.ts_last == 1_000
assert builder.count == 1
def test_build_when_received_updates_returns_expected_bar(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_bid()
builder = BarBuilder(bar_spec, use_previous_close=True)
builder.update(Price("1.00001"), Quantity("1.0"), UNIX_EPOCH)
builder.update(Price("1.00002"), Quantity("1.5"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1.5"), UNIX_EPOCH + timedelta(seconds=1))
# Act
bar = builder.build() # Also resets builder
# Assert
self.assertEqual(Price("1.00001"), bar.open)
self.assertEqual(Price("1.00002"), bar.high)
self.assertEqual(Price("1.00000"), bar.low)
self.assertEqual(Price("1.00000"), bar.close)
self.assertEqual(Quantity("4.0"), bar.volume)
self.assertEqual(UNIX_EPOCH + timedelta(seconds=1), bar.timestamp)
self.assertEqual(UNIX_EPOCH + timedelta(seconds=1), builder.last_timestamp)
self.assertEqual(0, builder.count)
def test_multiple_updates_correctly_increments_count(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
# Act
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
# Assert
self.assertEqual(5, builder.count)
def test_multiple_updates_correctly_increments_count(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=True)
# Act
builder.update(Price("1.00000"), Quantity("1"), 0)
builder.update(Price("1.00000"), Quantity("1"), 0)
builder.update(Price("1.00000"), Quantity("1"), 0)
builder.update(Price("1.00000"), Quantity("1"), 0)
builder.update(Price("1.00000"), Quantity("1"), 0)
# Assert
self.assertEqual(5, builder.count)
def test_build_with_previous_close(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
builder.update(Price("1.00001"), Quantity("1.0"), UNIX_EPOCH)
builder.build() # This close should become the next open
builder.update(Price("1.00000"), Quantity("1.0"), UNIX_EPOCH)
builder.update(Price("1.00003"), Quantity("1.0"), UNIX_EPOCH)
builder.update(Price("1.00002"), Quantity("1.0"), UNIX_EPOCH)
bar2 = builder.build()
# Assert
self.assertEqual(Price("1.00001"), bar2.open)
self.assertEqual(Price("1.00003"), bar2.high)
self.assertEqual(Price("1.00000"), bar2.low)
self.assertEqual(Price("1.00002"), bar2.close)
self.assertEqual(Quantity("3.0"), bar2.volume)
def test_build_with_previous_close(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
builder.update(Price.from_str("1.00001"), Quantity.from_str("1.0"), 0)
builder.build_now() # This close should become the next open
builder.update(Price.from_str("1.00000"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00003"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00002"), Quantity.from_str("1.0"), 0)
bar2 = builder.build_now()
# Assert
assert bar2.open == Price.from_str("1.00001")
assert bar2.high == Price.from_str("1.00003")
assert bar2.low == Price.from_str("1.00000")
assert bar2.close == Price.from_str("1.00002")
assert bar2.volume == Quantity.from_str("3.0")
def test_build_with_previous_close(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=True)
builder.update(Price("1.00001"), Quantity("1.0"), 0)
builder.build_now() # This close should become the next open
builder.update(Price("1.00000"), Quantity("1.0"), 0)
builder.update(Price("1.00003"), Quantity("1.0"), 0)
builder.update(Price("1.00002"), Quantity("1.0"), 0)
bar2 = builder.build_now()
# Assert
self.assertEqual(Price("1.00001"), bar2.open)
self.assertEqual(Price("1.00003"), bar2.high)
self.assertEqual(Price("1.00000"), bar2.low)
self.assertEqual(Price("1.00002"), bar2.close)
self.assertEqual(Quantity("3.0"), bar2.volume)