def test_tick_logs_warning_when_market_not_connected(self):
exchange = MockExchange()
exchange.ready = True
marketTuple = MarketTradingPairTuple(exchange, "ETH-USDT", "ETH",
"USDT")
strategy = TwapTradeStrategy(market_infos=[marketTuple])
strategy.logger().setLevel(1)
strategy.logger().addHandler(self)
start_timestamp = time.time()
strategy.start(Clock(ClockMode.BACKTEST), start_timestamp)
strategy.tick(start_timestamp + 1000)
self.assertTrue(
self._is_logged('WARNING', (
"WARNING: Some markets are not connected or are down at the moment. "
"Market making may be dangerous when markets or networks are unstable."
)))
def test_tick_logs_warning_when_market_not_ready(self):
exchange = MockExchange()
exchange.ready = False
marketTuple = MarketTradingPairTuple(exchange, "ETH-USDT", "ETH",
"USDT")
strategy = TwapTradeStrategy(market_infos=[marketTuple])
strategy.logger().setLevel(1)
strategy.logger().addHandler(self)
start_timestamp = time.time()
strategy.start(Clock(ClockMode.BACKTEST), start_timestamp)
strategy.tick(start_timestamp + 1000)
self.assertTrue(
self._is_logged(
'WARNING',
"Markets are not ready. No market making trades are permitted."
))
def test_start(self):
exchange = MockExchange()
marketTuple = MarketTradingPairTuple(exchange, "ETH-USDT", "ETH",
"USDT")
strategy = TwapTradeStrategy(market_infos=[marketTuple])
strategy.logger().setLevel(1)
strategy.logger().addHandler(self)
start_timestamp = time.time()
strategy.start(Clock(ClockMode.BACKTEST), start_timestamp)
self.assertTrue(
self._is_logged('INFO', 'Waiting for 10.0 to place orders'))
def test_tick_logs_warning_when_market_not_ready(self):
exchange = MockExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
exchange.ready = False
marketTuple = MarketTradingPairTuple(exchange, "ETH-USDT", "ETH",
"USDT")
strategy = TwapTradeStrategy(market_infos=[marketTuple],
is_buy=True,
target_asset_amount=1,
order_step_size=1,
order_price=1)
strategy.logger().setLevel(1)
strategy.logger().addHandler(self)
start_timestamp = time.time()
strategy.start(Clock(ClockMode.BACKTEST), start_timestamp)
strategy.tick(start_timestamp + 1000)
self.assertTrue(
self._is_logged(
'WARNING',
"Markets are not ready. No market making trades are permitted."
))
def test_status_with_time_span_execution(self):
exchange = MockExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
exchange.buy_price = Decimal("25100")
exchange.sell_price = Decimal("24900")
exchange.update_account_balance({
"ETH": Decimal("100000"),
"USDT": Decimal(10000)
})
exchange.update_account_available_balance({
"ETH": Decimal("100000"),
"USDT": Decimal(10000)
})
marketTuple = MarketTradingPairTuple(exchange, "ETH-USDT", "ETH",
"USDT")
start_time_string = "2021-06-24 10:00:00"
end_time_string = "2021-06-24 10:30:00"
execution_type = RunInTimeConditionalExecutionState(
start_timestamp=datetime.fromisoformat(start_time_string),
end_timestamp=datetime.fromisoformat(end_time_string))
strategy = TwapTradeStrategy(market_infos=[marketTuple],
is_buy=True,
target_asset_amount=Decimal(100),
order_step_size=Decimal(10),
order_price=Decimal(25000),
execution_state=execution_type)
status = strategy.format_status()
expected_status = (
"\n Configuration:\n"
" Total amount: 100 ETH Order price: 25000 USDT Order size: 10.00 ETH\n"
f" Execution type: run between {start_time_string} and {end_time_string}\n\n"
" Markets:\n"
" Exchange Market Best Bid Price Best Ask Price Mid Price\n"
" 0 MockExchange ETH-USDT 24900 25100 25000\n\n"
" Assets:\n"
" Exchange Asset Total Balance Available Balance\n"
" 0 MockExchange ETH 100000 100000\n"
" 1 MockExchange USDT 10000 10000\n\n"
" No active maker orders.\n\n"
" Average filled orders price: 0 USDT\n"
" Pending amount: 100 ETH\n\n"
"*** WARNINGS ***\n"
" Markets are offline for the ETH-USDT pair. "
"Continued trading with these markets may be dangerous.\n")
self.assertEqual(expected_status, status)
def test_start(self):
exchange = MockExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
marketTuple = MarketTradingPairTuple(exchange, "ETH-USDT", "ETH",
"USDT")
strategy = TwapTradeStrategy(market_infos=[marketTuple],
is_buy=True,
target_asset_amount=1,
order_step_size=1,
order_price=1)
strategy.logger().setLevel(1)
strategy.logger().addHandler(self)
start_timestamp = time.time()
strategy.start(Clock(ClockMode.BACKTEST), start_timestamp)
self.assertTrue(
self._is_logged('INFO', 'Waiting for 10.0 to place orders'))
def test_status(self):
exchange = MockExchange()
exchange.buy_price = Decimal("25100")
exchange.sell_price = Decimal("24900")
exchange.update_account_balance({
"ETH": Decimal("100000"),
"USDT": Decimal(10000)
})
exchange.update_account_available_balance({
"ETH": Decimal("100000"),
"USDT": Decimal(10000)
})
marketTuple = MarketTradingPairTuple(exchange, "ETH-USDT", "ETH",
"USDT")
strategy = TwapTradeStrategy(market_infos=[marketTuple],
is_buy=True,
target_asset_amount=Decimal(100),
order_step_size=Decimal(10),
order_price=Decimal(25000))
status = strategy.format_status()
expected_status = (
"\n Configuration:\n"
" Total amount: 100 ETH Order price: 25000 USDT Order size: 10.00 ETH\n"
" Execution type: run continuously\n\n"
" Markets:\n"
" Exchange Market Best Bid Price Best Ask Price Mid Price\n"
" 0 MockExchange ETH-USDT 24900 25100 25000\n\n"
" Assets:\n"
" Exchange Asset Total Balance Available Balance\n"
" 0 MockExchange ETH 100000 100000\n"
" 1 MockExchange USDT 10000 10000\n\n"
" No active maker orders.\n\n"
" Average filled orders price: 0 USDT\n"
" Pending amount: 100 ETH\n\n"
"*** WARNINGS ***\n"
" Markets are offline for the ETH-USDT pair. "
"Continued trading with these markets may be dangerous.\n")
self.assertEqual(expected_status, status)
