def test_update_timed_with_test_clock_sends_single_bar_to_handler(self):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TimeBarAggregator(
AUDUSD_SIM,
bar_type,
handler,
True,
TestClock(),
Logger(clock),
)
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("1.00001"),
ask=Price.from_str("1.00004"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event_ns=0,
ts_recv_ns=0,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("1.00002"),
ask=Price.from_str("1.00005"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event_ns=0,
ts_recv_ns=0,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("1.00000"),
ask=Price.from_str("1.00003"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event_ns=2 * 60 * 1_000_000_000, # 2 minutes in nanoseconds
ts_recv_ns=2 * 60 * 1_000_000_000, # 2 minutes in nanoseconds
)
# Act
aggregator.handle_quote_tick(tick1)
aggregator.handle_quote_tick(tick2)
aggregator.handle_quote_tick(tick3)
# Assert
assert len(bar_store.get_store()) == 1
assert Price.from_str("1.000025") == bar_store.get_store()[0].open
assert Price.from_str("1.000035") == bar_store.get_store()[0].high
assert Price.from_str("1.000025") == bar_store.get_store()[0].low
assert Price.from_str("1.000035") == bar_store.get_store()[0].close
assert Quantity.from_int(2) == bar_store.get_store()[0].volume
assert 60_000_000_000 == bar_store.get_store()[0].ts_recv_ns
def test_instantiate_with_various_bar_specs(self, bar_spec, expected):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd_fxcm()
bar_type = BarType(symbol, bar_spec)
# Act
aggregator = TimeBarAggregator(bar_type, handler, True, clock, TestLogger(clock))
# Assert
self.assertEqual(expected, aggregator.next_close)
def test_update_timed_with_test_clock_sends_single_bar_to_handler(self):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TimeBarAggregator(bar_type, handler, True, TestClock(),
TestLogger(clock))
stop_time = UNIX_EPOCH + timedelta(minutes=2)
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=stop_time,
)
# Act
aggregator.handle_quote_tick(tick1)
aggregator.handle_quote_tick(tick2)
aggregator.handle_quote_tick(tick3)
# Assert
self.assertEqual(1, len(bar_store.get_store()))
self.assertEqual(Price("1.000025"), bar_store.get_store()[0].bar.open)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].bar.high)
self.assertEqual(Price("1.000025"), bar_store.get_store()[0].bar.low)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].bar.close)
self.assertEqual(Quantity(2), bar_store.get_store()[0].bar.volume)
self.assertEqual(datetime(1970, 1, 1, 0, 1, tzinfo=pytz.utc),
bar_store.get_store()[0].bar.timestamp)
def test_instantiate_given_invalid_bar_spec_raises_value_error(self):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(100, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(instrument.id, bar_spec)
# Act, Assert
with pytest.raises(ValueError):
TimeBarAggregator(
instrument,
bar_type,
handler,
clock,
Logger(clock),
)
def test_update_timed_with_test_clock_sends_single_bar_to_handler(self):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TimeBarAggregator(
bar_type, handler, True, TestClock(), Logger(clock)
)
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp_ns=0,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp_ns=0,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp_ns=2 * 60 * 1_000_000_000, # 2 minutes in nanoseconds
)
# Act
aggregator.handle_quote_tick(tick1)
aggregator.handle_quote_tick(tick2)
aggregator.handle_quote_tick(tick3)
# Assert
self.assertEqual(1, len(bar_store.get_store()))
self.assertEqual(Price("1.000025"), bar_store.get_store()[0].open)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].high)
self.assertEqual(Price("1.000025"), bar_store.get_store()[0].low)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].close)
self.assertEqual(Quantity(2), bar_store.get_store()[0].volume)
self.assertEqual(60_000_000_000, bar_store.get_store()[0].timestamp_ns)
def test_instantiate_with_various_bar_specs(self, bar_spec, expected):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_type = BarType(instrument_id, bar_spec)
# Act
aggregator = TimeBarAggregator(
AUDUSD_SIM,
bar_type,
handler,
clock,
Logger(clock),
)
# Assert
assert aggregator.next_close_ns == expected