def test_imbalance_volume_bars(self):
"""
Tests the imbalance volume bars implementation.
"""
exp_num_ticks_init = 100
num_prev_bars = 3
db1 = ds.get_volume_imbalance_bars(
self.path,
exp_num_ticks_init=exp_num_ticks_init,
num_prev_bars=num_prev_bars,
batch_size=1000,
verbose=False)
db2 = ds.get_volume_imbalance_bars(
self.path,
exp_num_ticks_init=exp_num_ticks_init,
num_prev_bars=num_prev_bars,
batch_size=50,
verbose=False)
db3 = ds.get_volume_imbalance_bars(
self.path,
exp_num_ticks_init=exp_num_ticks_init,
num_prev_bars=num_prev_bars,
batch_size=10,
verbose=False)
ds.get_volume_imbalance_bars(self.path,
exp_num_ticks_init=exp_num_ticks_init,
num_prev_bars=num_prev_bars,
batch_size=50,
verbose=False,
to_csv=True,
output_path='test.csv')
db4 = pd.read_csv('test.csv')
# Assert diff batch sizes have same number of bars
self.assertTrue(db1.shape == db2.shape)
self.assertTrue(db1.shape == db3.shape)
self.assertTrue(db1.shape == db4.shape)
# Assert same values
self.assertTrue(np.all(db1.values == db2.values))
self.assertTrue(np.all(db1.values == db3.values))
self.assertTrue(np.all(db1.values == db4.values))
# Assert OHLC is correct
self.assertTrue(db1.loc[0, 'open'] == 1306.0)
self.assertTrue(db1.loc[0, 'high'] == 1306.00)
self.assertTrue(db1.loc[0, 'low'] == 1305.75)
self.assertTrue(db1.loc[0, 'close'] == 1305.75)
self.assertTrue((db1.loc[:, 'high'] >= db1.loc[:, 'low']).all())
# delete generated csv file (if it wasn't generated test would fail)
os.remove('test.csv')
def test_imbalance_volume_bars_add_features(self):
"""
Tests the additional features functionality with volume imbalance bars.
"""
# Arrange
exp_num_ticks_init = 100
num_prev_bars = 3
high_over_low = BarFeature(
name='high_over_low',
function=lambda df: df['Price'].max() / df['Price'].min())
low_over_high = BarFeature(
name='low_over_high',
function=lambda df: df['Price'].min() / df['Price'].max())
# Act
bars = ds.get_volume_imbalance_bars(
self.path,
exp_num_ticks_init=exp_num_ticks_init,
num_prev_bars=num_prev_bars,
batch_size=1000,
verbose=False,
additional_features=[high_over_low, low_over_high])
# Assert
self.assertTrue(
np.all(bars['high_over_low'] == bars['high'] / bars['low']))
self.assertTrue(
np.all(bars['low_over_high'] == bars['low'] / bars['high']))
def test_imbalance_volume_bars(self):
"""
Tests the imbalance volume bars implementation.
"""
exp_num_ticks_init = 10000
num_prev_bars = 3
num_ticks_ewma_window = 10
db1 = ds.get_volume_imbalance_bars(
self.path,
exp_num_ticks_init=exp_num_ticks_init,
num_prev_bars=num_prev_bars,
num_ticks_ewma_window=num_ticks_ewma_window,
batch_size=1000)
db2 = ds.get_volume_imbalance_bars(
self.path,
exp_num_ticks_init=exp_num_ticks_init,
num_prev_bars=num_prev_bars,
num_ticks_ewma_window=num_ticks_ewma_window,
batch_size=50)
db3 = ds.get_volume_imbalance_bars(
self.path,
exp_num_ticks_init=exp_num_ticks_init,
num_prev_bars=num_prev_bars,
num_ticks_ewma_window=num_ticks_ewma_window,
batch_size=10)
# Assert diff batch sizes have same number of bars
self.assertTrue(db1.shape == db2.shape)
self.assertTrue(db1.shape == db3.shape)
# Assert same values
self.assertTrue(np.all(db1.values == db2.values))
self.assertTrue(np.all(db1.values == db3.values))
# Assert OHLC is correct
self.assertTrue(db1.loc[0, 'open'] == 1306)
self.assertTrue(db1.loc[0, 'high'] == 1308.75)
self.assertTrue(db1.loc[0, 'low'] == 1301.75)
self.assertTrue(db1.loc[0, 'close'] == 1304.75)
self.assertTrue((db1.loc[:, 'high'] >= db1.loc[:, 'low']).all())