def test_Current_immutable():
current = Current(
high=100.0,
low=50.0,
close=75.0,
bid=2.0,
bid_size=10,
ask=3.0,
ask_size=20,
last=2.5,
last_size=5,
volume=1000,
time=datetime.datetime.now(),
)
with pytest.raises(FrozenInstanceError):
current.high = 300.0
def test_Current_init():
test_time = datetime.datetime.now()
current = Current(
high=100.0,
low=50.0,
close=75.0,
bid=2.0,
bid_size=10,
ask=3.0,
ask_size=20,
last=2.5,
last_size=5,
volume=1000,
time=test_time,
)
assert current.high == 100.0
assert current.low == 50.0
assert current.close == 75.0
assert current.bid == 2.0
assert current.bid_size == 10
assert current.ask == 3.0
assert current.ask_size == 20
assert current.last == 2.5
assert current.last_size == 5
assert current.volume == 1000
assert current.time == test_time
def test_Asset_init():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
asset = Asset(id)
asset.current = Current(
high=100.0,
low=50.0,
close=75.0,
bid=2.0,
bid_size=10,
ask=3.0,
ask_size=20,
last=2.5,
last_size=5,
volume=1000,
time=datetime.datetime.now(),
)
bar = Bar(
count=44,
open=50.0,
high=70.0,
low=40.0,
close=60.0,
average=45.5,
volume=2000,
time=datetime.datetime.now(),
)
m = Measures(
iv=0.45,
iv_rank=0.78,
iv_percentile=0.91,
iv_pct=0.03,
stdev=0.04,
beta=0.2,
correlation=0.5,
price_percentile=0.56,
price_pct=0.02,
directional_assumption=Direction.Bullish,
)
asset.price_history = History((bar, ))
asset.iv_history = History((bar, bar))
asset.measures = m
assert asset.id.code == "SPY"
assert asset.id.asset_type == AssetType.Stock
assert asset.id.currency == Currency.USDollar
assert asset.current.high == 100.0
assert len(asset.price_history.values) == 1
assert len(asset.iv_history.values) == 2
assert asset.measures.iv == 0.45
def test_Current_market_price_bid_last_ask():
current = Current(
high=100.0,
low=50.0,
close=75.0,
bid=2.0,
bid_size=10,
ask=3.0,
ask_size=20,
last=2.75,
last_size=5,
volume=1000,
time=datetime.datetime.now(),
)
assert current.market_price == 2.75
def test_Current_midprice():
current = Current(
high=100.0,
low=50.0,
close=75.0,
bid=2.0,
bid_size=10,
ask=3.0,
ask_size=20,
last=2.5,
last_size=5,
volume=1000,
time=datetime.datetime.now(),
)
assert current.midpoint == 2.5
def update_assets(self, assets: Dict[str, Asset]) -> Dict[str, Current]:
contracts = [a.id.contract for a in assets.values()]
tickers = self._broker.reqTickers(*contracts)
current_values = {}
for t in tickers:
c = Current(
high=t.high,
low=t.low,
close=t.close,
bid=t.bid,
bid_size=t.bidSize,
ask=t.ask,
ask_size=t.askSize,
last=t.last,
last_size=t.lastSize,
volume=t.volume,
time=t.time,
)
current_values[t.contract.symbol] = c
return current_values