def test_quotes(self, data_loader): data_loader.side_effect = load_mktdata_func('HYG-20150302') start_time = datetime(2015, 3, 2, 0, 0) end_time = datetime(2015, 3, 2, 23, 59) expected = [ ('2015-03-02 14:30:00.000000', 'BEST_BID', Decimal('89.8952'), 1), ('2015-03-02 14:30:00.000000', 'BEST_ASK', Decimal('89.9934'), 14), ('2015-03-02 14:30:01.000000', 'BEST_ASK', Decimal('89.9934'), 16), ('2015-03-02 14:30:02.000000', 'BEST_BID', Decimal('89.9246'), 2), ('2015-03-02 14:30:02.000000', 'BEST_ASK', Decimal('89.9737'), 12), ('2015-03-02 14:30:03.000000', 'BEST_BID', Decimal('89.9246'), 3), ('2015-03-02 14:30:03.000000', 'BEST_ASK', Decimal('89.9737'), 11), ('2015-03-02 14:30:04.000000', 'BEST_BID', Decimal('89.9246'), 3), ('2015-03-02 14:30:04.000000', 'BEST_ASK', Decimal('89.9737'), 111), ('2015-03-02 14:30:05.000000', 'BEST_ASK', Decimal('89.9737'), 11), ('2015-03-02 14:30:08.000000', 'BEST_BID', Decimal('89.9246'), 2), ('2015-03-02 14:30:08.000000', 'BEST_ASK', Decimal('89.9639'), 12), ('2015-03-02 14:30:09.000000', 'BEST_BID', Decimal('89.8853'), 4), ('2015-03-02 14:30:09.000000', 'BEST_ASK', Decimal('89.9737'), 11), ('2015-03-02 14:30:11.000000', 'BEST_ASK', Decimal('89.9737'), 11), ('2015-03-02 14:30:13.000000', 'BEST_ASK', Decimal('89.9737'), 23), ('2015-03-02 14:30:16.000000', 'BEST_BID', Decimal('89.8853'), 3), ('2015-03-02 14:30:32.000000', 'BEST_ASK', Decimal('89.9737'), 25), ('2015-03-02 14:30:34.000000', 'BEST_BID', Decimal('89.905'), 1), ('2015-03-02 14:30:39.000000', 'BEST_BID', Decimal('89.905'), 3), ('2015-03-02 14:30:40.000000', 'BEST_BID', Decimal('89.905'), 2), ('2015-03-02 14:30:42.000000', 'BEST_BID', Decimal('89.905'), 3), ('2015-03-02 14:30:43.000000', 'BEST_ASK', Decimal('89.9737'), 28), ('2015-03-02 14:30:50.000000', 'BEST_BID', Decimal('89.8853'), 14), ('2015-03-02 14:30:50.000000', 'BEST_ASK', Decimal('89.9345'), 9), ('2015-03-02 14:30:54.000000', 'BEST_ASK', Decimal('89.9345'), 14), ('2015-03-02 14:30:59.000000', 'BEST_ASK', Decimal('89.9345'), 16), ] ticks_data = _ticks_quotes('HYG US Equity', start_time, end_time) filtered_ticks_data = _time_filter(ticks_data, '093000', '093100', pytz.timezone('US/Eastern')) self.maxDiff = None self.assertEqual(expected, list(filtered_ticks_data))
def test_quotes_dst(self, data_loader): data_loader.side_effect = load_mktdata_func('HYG-20150402') start_time = datetime(2015, 4, 2, 0, 0) end_time = datetime(2015, 4, 2, 23, 59) expected = [ ('2015-04-02 13:30:00.000000', 'BEST_BID', Decimal('90.38'), 2), ('2015-04-02 13:30:00.000000', 'BEST_ASK', Decimal('90.42'), 38), ('2015-04-02 13:30:01.000000', 'BEST_ASK', Decimal('90.42'), 31), ('2015-04-02 13:30:05.000000', 'BEST_ASK', Decimal('90.42'), 2), ('2015-04-02 13:30:06.000000', 'BEST_BID', Decimal('90.35'), 8), ('2015-04-02 13:30:06.000000', 'BEST_ASK', Decimal('90.42'), 2), ('2015-04-02 13:30:09.000000', 'BEST_BID', Decimal('90.35'), 7), ('2015-04-02 13:30:10.000000', 'BEST_BID', Decimal('90.35'), 2), ('2015-04-02 13:30:15.000000', 'BEST_ASK', Decimal('90.42'), 3), ('2015-04-02 13:30:18.000000', 'BEST_ASK', Decimal('90.39'), 2), ('2015-04-02 13:30:19.000000', 'BEST_ASK', Decimal('90.39'), 1), ('2015-04-02 13:30:22.000000', 'BEST_BID', Decimal('90.35'), 2), ('2015-04-02 13:30:22.000000', 'BEST_ASK', Decimal('90.39'), 4), ('2015-04-02 13:30:24.000000', 'BEST_BID', Decimal('90.35'), 3), ('2015-04-02 13:30:28.000000', 'BEST_BID', Decimal('90.35'), 1), ('2015-04-02 13:30:28.000000', 'BEST_ASK', Decimal('90.36'), 1), ('2015-04-02 13:30:30.000000', 'BEST_BID', Decimal('90.35'), 1), ('2015-04-02 13:30:30.000000', 'BEST_ASK', Decimal('90.37'), 1), ('2015-04-02 13:30:32.000000', 'BEST_ASK', Decimal('90.37'), 7), ('2015-04-02 13:30:42.000000', 'BEST_BID', Decimal('90.35'), 2), ('2015-04-02 13:30:42.000000', 'BEST_ASK', Decimal('90.37'), 5), ('2015-04-02 13:30:43.000000', 'BEST_BID', Decimal('90.35'), 3), ('2015-04-02 13:30:45.000000', 'BEST_BID', Decimal('90.35'), 5), ('2015-04-02 13:30:46.000000', 'BEST_BID', Decimal('90.35'), 15), ('2015-04-02 13:30:49.000000', 'BEST_BID', Decimal('90.35'), 5), ('2015-04-02 13:30:59.000000', 'BEST_BID', Decimal('90.35'), 10), ('2015-04-02 13:30:59.000000', 'BEST_ASK', Decimal('90.36'), 1)] ticks_data = _ticks_quotes('HYG US Equity', start_time, end_time) filtered_ticks_data = _time_filter(ticks_data, '093000', '093100', pytz.timezone('US/Eastern')) self.maxDiff = None self.assertEqual(expected, list(filtered_ticks_data))