def test_should_generate_buy_signal_then_sell_signal(self):
signal = self.strategy.calculate_signals(
parse_event_str(
get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.021,"ask":1.01}}'
))
self.assertIsNone(signal)
signal = self.strategy.calculate_signals(
parse_event_str(
get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.026,"ask":1.07}}'
))
self.assertIsNone(signal)
signal = self.strategy.calculate_signals(
parse_event_str(
get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.026,"ask":1.09}}'
))
self.assertIsNotNone(signal)
self.assertEqual(ORDER_SIDE_BUY, signal)
signal = self.strategy.calculate_signals(
parse_event_str(
get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.026,"ask":1.07}}'
))
self.assertIsNone(signal)
signal = self.strategy.calculate_signals(
parse_event_str(
get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.023,"ask":1.09}}'
))
self.assertIsNotNone(signal)
self.assertEqual(ORDER_SIDE_SELL, signal)
def test_should_generate_signal_when_ticks_are_enough_for_5_10_period_ma(self):
strategy = TWMACrossoverStrategy(5, 10)
ticks = list()
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.12404,"ask":1.1242}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:08.543570Z","bid":1.12403,"ask":1.12421}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:08.633262Z","bid":1.12406,"ask":1.12423}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:08.754773Z","bid":1.12405,"ask":1.12425}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:10.243141Z","bid":1.12411,"ask":1.12429}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:10.221148Z","bid":1.12409,"ask":1.12427}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:25.349546Z","bid":1.12415,"ask":1.12433}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:48.074682Z","bid":1.12411,"ask":1.12431}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:51:52.351710Z","bid":1.12409,"ask":1.12428}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:51:52.526526Z","bid":1.12407,"ask":1.12424}}')
# ticks.append(
# '{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:51:52.721429Z","bid":1.12404,"ask":1.12423}}')
for i in range(0, 10 - 1):
self.assertIsNone(
strategy.calculate_signals(parse_event_str(get_time(), ticks[i])))
#sending another tick will trigger MA crossover detection
tick = parse_event_str(get_time(), ticks[10 - 1])
self.assertIsNotNone(strategy.calculate_signals(tick))
def test_should_not_generate_signal_when_no_cross_over(self):
signal = self.strategy.calculate_signals(parse_event_str(get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.02400,"ask":1.01}}'))
self.assertIsNone(signal)
signal = self.strategy.calculate_signals(parse_event_str(get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:03.024026Z","bid":1.02401,"ask":1.07}}'))
self.assertIsNone(signal)
signal = self.strategy.calculate_signals(parse_event_str(get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:04.024026Z","bid":1.02402,"ask":1.09}}'))
self.assertIsNone(signal)
def test_should_not_generate_signal_when_ma_and_previous_ma_are_same_for_the_first_period(self):
signal = self.strategy.calculate_signals(parse_event_str(get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.024,"ask":1.01}}'))
self.assertIsNone(signal)
signal = self.strategy.calculate_signals(parse_event_str(get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.026,"ask":1.07}}'))
self.assertIsNone(signal)
signal = self.strategy.calculate_signals(parse_event_str(get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.024,"ask":1.09}}'))
self.assertIsNone(signal)
def test_should_generate_buy_signal_when_ticks_are_enough_for_period2_ma(self):
signal = self.strategy.calculate_signals(parse_event_str(get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.023,"ask":1.01}}'))
self.assertIsNone(signal)
signal = self.strategy.calculate_signals(parse_event_str(get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:03.024026Z","bid":1.024,"ask":1.07}}'))
self.assertIsNone(signal)
signal = self.strategy.calculate_signals(parse_event_str(get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:04.024026Z","bid":1.026,"ask":1.09}}'))
self.assertIsNotNone(signal)
self.assertEqual(ORDER_SIDE_BUY, signal)
def setUp(self):
self.rates_q = Queue()
self.tick = parse_event_str(None, TICK_STRING)
self.forward_q = Queue()
self.rates_cache_wiring = WireRateCache()
self.rates_cache_wiring.set_max_tick_age(TICK_MAX_AGE)
def setUp(self):
self.starter = ThreadStarter()
self.rates_q = Queue()
self.tick = parse_event_str(None, TICK_STRING)
self.forward_q = Queue()
self.rates_cache_wiring = WireRateCache()
self.rates_cache_wiring.set_max_tick_age(TICK_MAX_AGE)
self.command_q = Queue()
def test_should_generate_signal_when_ticks_are_enough_for_2_3_period_ma(self):
strategy = TWMACrossoverStrategy(2, 3, 'time', 'bid')
ticks = list()
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:03.000000Z","bid":1.1000,"ask":1.1242}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:04.00000Z","bid":1.2000,"ask":1.12421}}')
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:05.000000Z","bid":1.3000,"ask":1.12423}}')
# ticks.append(
# '{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:08.754773Z","bid":1.12405,"ask":1.12425}}')
for i in range(0, len(ticks) - 1):
self.assertIsNone(
strategy.calculate_signals(parse_event_str(get_time(), ticks[i])))
tick = parse_event_str(get_time(), ticks[len(ticks)-1])
self.assertIsNotNone(strategy.calculate_signals(tick))
def test_should_generate_signal_when_ticks_are_enough_for_2_3_period_ma(
self):
strategy = BidsMACrossoverStrategy(2, 3)
ticks = []
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.12401,"ask":1.1242}}'
)
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:08.543570Z","bid":1.12404,"ask":1.12421}}'
)
ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:08.633262Z","bid":1.12406,"ask":1.12423}}'
)
# ticks.append(
# '{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:08.754773Z","bid":1.12405,"ask":1.12425}}')
for i in range(0, strategy.period2 - 1):
self.assertIsNone(
strategy.calculate_signals(
parse_event_str(get_time(), ticks[i])))
tick = parse_event_str(get_time(), ticks[strategy.period2 - 1])
self.assertIsNotNone(strategy.calculate_signals(tick))
def setUp(self):
self.rates_q = Queue()
self.tick = parse_event_str(None, TICK_STRING)
self.tick_for_strategy_q = Queue()
self.signal_output_q = Queue()
self.strategy_wiring = WireStrategy().set_strategy(DummyBuyStrategy(), 100)
self.strategy_loop = self.strategy_wiring.wire(in_q=self.tick_for_strategy_q, out_q=self.signal_output_q)
self.strategy_thread = Thread(target=self.strategy_loop.start)
self.rates_cache_wiring = WireRateCache()
self.rates_cache_wiring.set_max_tick_age(TICK_MAX_AGE)
self.rates_cache_loop = self.rates_cache_wiring.wire(in_q=self.rates_q, out_q=self.tick_for_strategy_q)
self.rates_cache_thread = Thread(target=self.rates_cache_loop.start)
def setUp(self):
self.starter = ThreadStarter()
self.tick = parse_event_str(None, TICK_STRING)
self.rates_q = Queue()
self.tick_for_strategy_q = Queue()
self.signal_output_q = Queue()
self.strategy_wiring = WireStrategy().set_strategy(
DummyBuyStrategy(), 100)
command_q_strategy = Queue()
self.starter.add_target(self.strategy_wiring, command_q_strategy,
self.tick_for_strategy_q, self.signal_output_q)
self.rates_cache_wiring = WireRateCache().set_max_tick_age(
TICK_MAX_AGE)
command_q_rates = Queue()
self.starter.add_target(self.rates_cache_wiring, command_q_rates,
self.rates_q, self.tick_for_strategy_q)
self.command_q = QueueSPMC(Journaler())
self.command_q.add_consumer(command_q_rates).add_consumer(
command_q_strategy)
def test_should_not_generate_signal_after_one_tick_event(self):
tick = parse_event_str(get_time(), self.ticks[0])
self.assertIsNone(self.strategy.calculate_signals(tick))
def test_should_not_generate_signal_when_ticks_are_not_enough_for_period2_ma(
self):
for i in range(0, self.strategy.period2 - 1):
tick = parse_event_str(get_time(), self.ticks[i])
self.assertIsNone(self.strategy.calculate_signals(tick))