def test__place_order_invalid_signal(self):
"""
Test :meth:`ArbitrageStrategy._place_order`
Assert that no orders are placed and `False` is returned.
"""
arbitrage = ArbitrageStrategy()
TEST_PRICE = 1.0
arbitrage._get_market_price = MagicMock(return_value=TEST_PRICE)
arbitrage.get_currency_balance = MagicMock()
trader = MagicMock()
arbitrage.trader = trader
INVALID_SIGNAL = 3
TEST_PRODUCT = 'BTC-USD'
TEST_DISTANCE = 2.0
success = arbitrage._place_order(INVALID_SIGNAL, TEST_PRODUCT,
TEST_DISTANCE)
self.assertEqual(trader.buy.called, 0)
self.assertEqual(trader.sell.called, 0)
self.assertFalse(success)
def test__place_order_below_threshold(self):
"""
Test :meth:`ArbitrageStrategy._place_order`
Assert that no orders are placed and `False` is returned.
"""
arbitrage = ArbitrageStrategy()
TEST_PRICE = 1.0
arbitrage._get_market_price = MagicMock(return_value=TEST_PRICE)
arbitrage.get_currency_balance = MagicMock()
trader = MagicMock()
arbitrage.trader = trader
TEST_SIGNAL = CurrencyGraph.BUY_ORDER
TEST_PRODUCT = 'BTC-USD'
TEST_DISTANCE = 1.0
success = arbitrage._place_order(TEST_SIGNAL, TEST_PRODUCT,
TEST_DISTANCE)
self.assertEqual(trader.buy.called, 0)
self.assertEqual(trader.sell.called, 0)
self.assertFalse(success)
def test__place_order_sell_signal(self):
"""
Test :meth:`ArbitrageStrategy._place_order`
Assert a sell order is placed and `True` is returned.
"""
arbitrage = ArbitrageStrategy()
TEST_PRICE = 1.0
arbitrage._get_market_price = MagicMock(return_value=TEST_PRICE)
arbitrage.get_currency_balance = MagicMock()
trader = MagicMock()
arbitrage.trader = trader
TEST_SIGNAL = CurrencyGraph.SELL_ORDER
TEST_PRODUCT = 'BTC-USD'
TEST_DISTANCE = 2.0
success = arbitrage._place_order(TEST_SIGNAL, TEST_PRODUCT,
TEST_DISTANCE)
self.assertEqual(trader.buy.called, 0)
self.assertEqual(trader.sell.called, 1)
self.assertTrue(success)
def test__build_currency_graph_with_missing_ticker_data(self, currency_graph_mock):
"""
Test :meth:`ArbitrageStrategy._build_currency_graph`
Assert `None` is returned when invalid ticker data is detected.
"""
arbitrage = ArbitrageStrategy()
trader = MagicMock()
TEST_PRODUCT = 'BTC-USD'
trader.products = [TEST_PRODUCT]
arbitrage.trader = trader
ticker = {
TEST_PRODUCT: {
'bid': 1.0,
},
}
arbitrage.ticker = ticker
currency_graph = arbitrage._build_currency_graph()
self.assertEqual(currency_graph, None)
def test__track_order__that_has_been_filled(self):
"""
Test :meth:`ArbitrageStrategy._track_order`
Assert the current order data is cleared and `False` is returned.
"""
arbitrage = ArbitrageStrategy()
test_order = {
'id': 1,
}
arbitrage.order = test_order
trader = MagicMock()
test_order_update = {
'id': 2,
'status': 'done',
'settled': True,
}
trader.get_order.return_value = test_order_update
arbitrage.trader = trader
success = arbitrage._track_order()
self.assertFalse(success)
self.assertEqual(arbitrage.order, None)
def test__track_order_success(self):
"""
Test :meth:`ArbitrageStrategy._track_order`
Assert the current order data is updated and `True` is returned.
"""
arbitrage = ArbitrageStrategy()
test_order = {
'id': 1,
}
arbitrage.order = test_order
trader = MagicMock()
test_order_update = {
'id': 2,
}
trader.get_order.return_value = test_order_update
arbitrage.trader = trader
success = arbitrage._track_order()
self.assertTrue(success)
self.assertEqual(arbitrage.order, test_order_update)
def test__cancel_order_without_order(self):
"""
Test :meth:`ArbitrageStrategy._cancel_order`
Assert `False` is returned.
"""
arbitrage = ArbitrageStrategy()
arbitrage.order = None
trader = MagicMock()
arbitrage.trader = trader
success = arbitrage._cancel_order()
self.assertFalse(success)
def test__cancel_order_with_valid_order(self):
"""
Test :meth:`ArbitrageStrategy._cancel_order`
Assert :meth:`GDAXTrader.cancel_order` is called with current order ID
and `True` is returned.
"""
arbitrage = ArbitrageStrategy()
TEST_ID = 1
arbitrage.order = {
'order_id': TEST_ID,
}
trader = MagicMock()
arbitrage.trader = trader
success = arbitrage._cancel_order()
trader.cancel_order.assert_called_with(TEST_ID)
self.assertTrue(success)
def test__build_currency_graph_with_valid_ticker_data(self, currency_graph_mock):
"""
Test :meth:`ArbitrageStrategy._build_currency_graph`
Assert currency pairs for every product are added to the graph and a
non-`None` value is returned.
"""
arbitrage = ArbitrageStrategy()
trader = MagicMock()
TEST_PRODUCT = 'BTC-USD'
trader.products = [TEST_PRODUCT]
arbitrage.trader = trader
ticker = {
TEST_PRODUCT: {
'bid': 1.0,
'ask': 1.0,
},
}
arbitrage.ticker = ticker
currency_graph = arbitrage._build_currency_graph()
calls = []
for product in ticker:
base = CurrencyGraph.get_base(product)
quote = CurrencyGraph.get_quote(product)
bid = ticker[product]['bid']
ask = ticker[product]['ask']
calls.append(call().add_currency_pair(base, quote, bid, ask))
currency_graph_mock.assert_has_calls(calls, any_order=True)
self.assertNotEqual(currency_graph, None)
def test__track_order_with_no_current_order(self):
"""
Test :meth:`ArbitrageStrategy._track_order`
Assert `False` is returned.
"""
arbitrage = ArbitrageStrategy()
arbitrage.order = None
trader = MagicMock()
test_order_update = {
'id': 2,
}
trader.get_order.return_value = test_order_update
arbitrage.trader = trader
success = arbitrage._track_order()
self.assertFalse(success)
self.assertEqual(arbitrage.order, None)