def test_should_generate_signal_when_ticks_are_enough_for_5_10_period_ma(
self):
strategy = BidsMACrossoverStrategy(5, 10)
ticks = []
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, 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 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))
class TestMACrossoverSignals23(unittest.TestCase):
def setUp(self):
self.strategy = BidsMACrossoverStrategy(2, 3)
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_sell_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":1.024,"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":1.023,"ask":1.09}}'
))
self.assertIsNotNone(signal)
self.assertEqual(ORDER_SIDE_SELL, 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":1.024,"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":1.023,"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)
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":"2015-06-11T22:48:02.024026Z","bid":1.02401,"ask":1.07}}'
))
self.assertIsNone(signal)
signal = self.strategy.calculate_signals(
parse_event_str(
get_time(),
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.02402,"ask":1.09}}'
))
self.assertIsNone(signal)
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)
class TestMACrossoverStrategyClass(unittest.TestCase):
def setUp(self):
self.strategy = BidsMACrossoverStrategy(2, 3)
self.ticks = []
self.ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:48:02.024026Z","bid":1.12404,"ask":1.1242}}'
)
self.ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:08.543570Z","bid":1.12403,"ask":1.12421}}'
)
self.ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:08.633262Z","bid":1.12406,"ask":1.12423}}'
)
self.ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:08.754773Z","bid":1.12405,"ask":1.12425}}'
)
self.ticks.append(
'{"tick":{"instrument":"EUR_USD","time":"2015-06-11T22:50:10.243141Z","bid":1.12411,"ask":1.12429}}'
)
def test_should_default_period1(self):
self.assertTrue(BidsMACrossoverStrategy().period1 > 0)
def test_should_default_period2(self):
self.assertTrue(BidsMACrossoverStrategy().period2 > 0)
def test_should_default_period2_greater_than_period1(self):
strategy = BidsMACrossoverStrategy()
self.assertTrue(strategy.period2 > strategy.period1)
def test_should_default_function_for_calculating_moving_average(self):
self.assertEqual(BidsMACrossoverStrategy().ma_function, sma)
def test_should_be_instance_of_AbstractStrategy(self):
self.assertIsInstance(BidsMACrossoverStrategy(), AbstractStrategy)
def test_should_not_allow_period2_equal_to_period1(self):
try:
BidsMACrossoverStrategy(5, 5)
self.fail('should have failed when period1 = period2')
except ValueError:
pass
def test_should_not_allow_period2_less_than_period1(self):
try:
BidsMACrossoverStrategy(15, 5)
self.fail('should have failed when period1 > period2')
except ValueError:
pass
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_enough_for_period1_ma(
self):
for i in range(0, self.strategy.period1):
tick = parse_event_str(get_time(), self.ticks[i])
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))