async def test_set_mark_price_for_rt_source_only(prices_manager):
assert prices_manager.set_mark_price(
10, MarkPriceSources.RECENT_TRADE_AVERAGE.value) is False
assert prices_manager.mark_price == 0 # drop first RT mark price
assert prices_manager.set_mark_price(
25, MarkPriceSources.RECENT_TRADE_AVERAGE.value) is True
assert prices_manager.mark_price == 25
check_event_is_set(prices_manager)
async def test_set_mark_price_for_rt_source_only(prices_manager):
assert prices_manager.set_mark_price(
decimal.Decimal(10),
MarkPriceSources.RECENT_TRADE_AVERAGE.value) is False
assert prices_manager.mark_price == decimal.Decimal(
0) # drop first RT mark price
assert prices_manager.set_mark_price(
decimal.Decimal(25),
MarkPriceSources.RECENT_TRADE_AVERAGE.value) is True
assert prices_manager.mark_price == decimal.Decimal(25)
check_event_is_set(prices_manager)
async def test_set_mark_price_for_exchange_source(prices_manager):
prices_manager.set_mark_price(10,
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert prices_manager.mark_price == 10
check_event_is_set(prices_manager)
prices_manager.set_mark_price(25,
MarkPriceSources.RECENT_TRADE_AVERAGE.value)
assert prices_manager.mark_price == 10 # Drop first RT update
prices_manager.set_mark_price(30,
MarkPriceSources.RECENT_TRADE_AVERAGE.value)
assert prices_manager.mark_price == 30
prices_manager.set_mark_price(20,
MarkPriceSources.TICKER_CLOSE_PRICE.value)
assert prices_manager.mark_price == 30
prices_manager.set_mark_price(15,
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert prices_manager.mark_price == 15
async def test_set_mark_price_for_exchange_source(prices_manager):
prices_manager.set_mark_price(decimal.Decimal(10),
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert prices_manager.mark_price == decimal.Decimal(10)
check_event_is_set(prices_manager)
prices_manager.set_mark_price(decimal.Decimal(25),
MarkPriceSources.RECENT_TRADE_AVERAGE.value)
assert prices_manager.mark_price == decimal.Decimal(
10) # Drop first RT update
prices_manager.set_mark_price(decimal.Decimal(30),
MarkPriceSources.RECENT_TRADE_AVERAGE.value)
assert prices_manager.mark_price == decimal.Decimal(30)
prices_manager.set_mark_price(decimal.Decimal(20),
MarkPriceSources.TICKER_CLOSE_PRICE.value)
assert prices_manager.mark_price == decimal.Decimal(30)
prices_manager.set_mark_price(decimal.Decimal(15),
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert prices_manager.mark_price == decimal.Decimal(15)
async def test_get_mark_price(prices_manager):
# without a set price
with pytest.raises(asyncio.TimeoutError):
await prices_manager.get_mark_price(0.01)
assert not prices_manager.valid_price_received_event.is_set()
# set price
prices_manager.set_mark_price(decimal.Decimal(10),
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert await prices_manager.get_mark_price(0.01) == decimal.Decimal(10)
assert prices_manager.valid_price_received_event.is_set()
# expired price
if not os.getenv('CYTHON_IGNORE'):
prices_manager.exchange_manager.backtesting.time_manager.current_timestamp = 66666666
with pytest.raises(asyncio.TimeoutError):
await prices_manager.get_mark_price(0.01)
assert not prices_manager.valid_price_received_event.is_set()
# reset price with this time
prices_manager.set_mark_price(decimal.Decimal(10),
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert await prices_manager.get_mark_price(0.01) == decimal.Decimal(10)
assert prices_manager.valid_price_received_event.is_set()
# current time move within allowed range
if not os.getenv('CYTHON_IGNORE'):
prices_manager.exchange_manager.backtesting.time_manager.current_timestamp = 1
assert await prices_manager.get_mark_price(0.01) == decimal.Decimal(10)
assert prices_manager.valid_price_received_event.is_set()
# new value
prices_manager.set_mark_price(decimal.Decimal(42.0000172),
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert await prices_manager.get_mark_price(0.01) == decimal.Decimal(
42.0000172)
assert prices_manager.valid_price_received_event.is_set()
# random value
random_mark_price = decimal_random_price()
prices_manager.set_mark_price(random_mark_price,
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert await prices_manager.get_mark_price(0.01) == random_mark_price
assert prices_manager.valid_price_received_event.is_set()
async def test_set_mark_price_for_ticker_with_rt_source_outdated(
prices_manager):
prices_manager.set_mark_price(5,
MarkPriceSources.RECENT_TRADE_AVERAGE.value)
assert prices_manager.mark_price == 0 # Drop first RT update
assert prices_manager.set_mark_price(
10, MarkPriceSources.RECENT_TRADE_AVERAGE.value) is True
assert prices_manager.mark_price == 10
check_event_is_set(prices_manager)
assert prices_manager.set_mark_price(
40, MarkPriceSources.TICKER_CLOSE_PRICE.value) is False
assert prices_manager.mark_price == 10 # should not be updated because RECENT_TRADE_AVERAGE has not expired
check_event_is_set(prices_manager)
assert prices_manager.set_mark_price(
20, MarkPriceSources.TICKER_CLOSE_PRICE.value) is False
assert prices_manager.mark_price == 10 # should not be updated because RECENT_TRADE_AVERAGE has not expired
check_event_is_set(prices_manager)
# force rt source expiration
if not os.getenv('CYTHON_IGNORE'):
prices_manager.mark_price_from_sources[
MarkPriceSources.RECENT_TRADE_AVERAGE.value] = None
assert prices_manager.set_mark_price(
40, MarkPriceSources.TICKER_CLOSE_PRICE.value) is True
assert prices_manager.mark_price == 40 # should be updated because RECENT_TRADE_AVERAGE has expired
check_event_is_set(prices_manager)
assert prices_manager.set_mark_price(
8, MarkPriceSources.RECENT_TRADE_AVERAGE.value) is False
assert prices_manager.mark_price == 40 # Drop first RT update after reset
assert prices_manager.mark_price_from_sources[
MarkPriceSources.RECENT_TRADE_AVERAGE.value][1] == 0
assert prices_manager.set_mark_price(
15, MarkPriceSources.RECENT_TRADE_AVERAGE.value) is True
assert prices_manager.mark_price == 15
assert prices_manager.mark_price_from_sources[
MarkPriceSources.RECENT_TRADE_AVERAGE.value][1] != 0
check_event_is_set(prices_manager)
assert prices_manager.set_mark_price(
20, MarkPriceSources.TICKER_CLOSE_PRICE.value) is False
assert prices_manager.mark_price == 15 # should not be updated because RECENT_TRADE_AVERAGE has not expired
check_event_is_set(prices_manager)
# force rt source expiration
prices_manager.mark_price_from_sources[
MarkPriceSources.RECENT_TRADE_AVERAGE.value] = (
prices_manager.mark_price_from_sources[
MarkPriceSources.RECENT_TRADE_AVERAGE.value][0],
prices_manager.mark_price_from_sources[
MarkPriceSources.RECENT_TRADE_AVERAGE.value][1] -
5 * constants.MINUTE_TO_SECONDS)
prices_manager.set_mark_price(
40, MarkPriceSources.TICKER_CLOSE_PRICE.value)
assert prices_manager.mark_price == 40 # should be updated because RECENT_TRADE_AVERAGE has expired
check_event_is_set(prices_manager)
async def test_set_mark_price_for_ticker_source_only(prices_manager):
assert prices_manager.set_mark_price(
10, MarkPriceSources.TICKER_CLOSE_PRICE.value) is True
assert prices_manager.mark_price == 10
check_event_is_set(prices_manager)
async def test_set_mark_price(prices_manager):
prices_manager.set_mark_price(10,
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert prices_manager.mark_price == 10
check_event_is_set(prices_manager)
