def test_coordinate_last(mocker):
as_of = dt.datetime(2019, 1, 2, 1, 10)
data = {
'responses': [{
'data': [{
'mktType': 'Prime',
'mktAsset': '335320934',
'mktQuotingStyle': 'price',
'price': 1.0141,
'time': '2019-01-20T01:08:00Z'
}]
}, {
'data': [{
'mktType': 'IR',
'mktAsset': 'USD',
'mktClass': 'Swap',
'mktPoint': ('2Y', ),
'mktQuotingStyle': 'ATMRate',
'ATMRate': 0.02592,
'time': '2019-01-20T01:09:45Z'
}]
}]
}
expected_result = pd.DataFrame(
data={
'time': ['2019-01-20T01:08:00Z', '2019-01-20T01:09:45Z'],
'mktType': ['Prime', 'IR'],
'mktAsset': ['335320934', 'USD'],
'mktClass': [None, 'Swap'],
'mktPoint': [None, ('2Y', )],
'mktQuotingStyle': ['price', None],
'value': [1.0141, 0.02592]
})
# mock GsSession and data response
mocker.patch.object(GsSession.__class__,
'default_value',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
GsSession.current._post = mocker.Mock(return_value=data)
result = GsDataApi.coordinates_last(coordinates=test_coordinates,
as_of=as_of,
as_dataframe=True)
assert result.equals(expected_result)
GsSession.current._post.reset_mock()
result_from_str = GsDataApi.coordinates_last(
coordinates=test_str_coordinates, as_of=as_of, as_dataframe=True)
assert result_from_str.equals(expected_result)
GsSession.current._post.assert_called_once_with(
'/data/coordinates/query/last',
payload=MDAPIDataQuery(market_data_coordinates=test_coordinates,
end_time=as_of,
vendor=MarketDataVendor.Goldman_Sachs,
format="MessagePack"))
def build_query(
start: Optional[Union[dt.date, dt.datetime]] = None,
end: Optional[Union[dt.date, dt.datetime]] = None,
as_of: Optional[dt.datetime] = None,
since: Optional[dt.datetime] = None,
restrict_fields: bool = False,
format: str = 'MessagePack',
dates: List[dt.date] = None,
**kwargs
):
end_is_time = isinstance(end, dt.datetime)
start_is_time = isinstance(start, dt.datetime)
if kwargs.get('market_data_coordinates'):
real_time = ((start is None or start_is_time) and (end is None or end_is_time))
query = MDAPIDataQuery(
start_time=start if real_time else None,
end_time=end if real_time else None,
start_date=start if not real_time else None,
end_date=end if not real_time else None,
format=format,
real_time=real_time,
**kwargs
)
else:
if start_is_time and end is not None and not end_is_time:
raise ValueError('If start is of type datetime, so must end be!')
if isinstance(start, dt.date) and end is not None and not isinstance(end, dt.date):
raise ValueError('If start is of type date, so must end be!')
query = DataQuery(
start_date=start if not start_is_time else None,
start_time=start if start_is_time else None,
end_date=end if not end_is_time else None,
end_time=end if end_is_time else None,
as_of_time=as_of,
since=since,
format=format,
dates=dates
)
query_properties = query.properties()
query.where = dict()
for field, value in kwargs.items():
snake_case_field = inflection.underscore(field)
if snake_case_field in query_properties:
setattr(query, snake_case_field, value)
else:
query.where[field] = value
if getattr(query, 'fields', None) is not None:
try:
query.restrict_fields = restrict_fields
except AttributeError as e:
_logger.debug('unable to set restrict_fields', exc_info=e)
return query
def test_coordinate_data_series(mocker):
start = dt.datetime(2019, 1, 2, 1, 0)
end = dt.datetime(2019, 1, 2, 1, 10)
# mock GsSession and data response
mocker.patch.object(GsSession.__class__, 'default_value',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_post', side_effect=[{'responses': [{'data': bond_data}]},
{'responses': [{'data': swap_data}]},
{'responses': [{'data': bond_data},
{'data': swap_data}]},
{'responses': [{'data': bond_data},
{'data': swap_data}]}
])
bond_expected_series = pd.Series(index=bond_expected_frame.index, data=bond_expected_frame.value.values)
swap_expected_series = pd.Series(index=swap_expected_frame.index, data=swap_expected_frame.value.values)
coord_data_result = GsDataApi.coordinates_data_series(coordinates=test_coordinates[0], start=start, end=end)
assert_series_equal(coord_data_result, bond_expected_series)
str_coord_data_result = GsDataApi.coordinates_data_series(coordinates=test_str_coordinates[1], start=start, end=end)
assert_series_equal(str_coord_data_result, swap_expected_series)
coords_data_result = GsDataApi.coordinates_data_series(coordinates=test_coordinates, start=start, end=end)
assert len(coords_data_result) == 2
assert_series_equal(coords_data_result[0], bond_expected_series)
assert_series_equal(coords_data_result[1], swap_expected_series)
GsSession.current._post.reset_mock()
str_coords_data_result = GsDataApi.coordinates_data_series(coordinates=test_str_coordinates, start=start, end=end)
assert len(str_coords_data_result) == 2
assert_series_equal(str_coords_data_result[0], bond_expected_series)
assert_series_equal(str_coords_data_result[1], swap_expected_series)
GsSession.current._post.assert_called_with('/data/coordinates/query',
payload=MDAPIDataQuery(market_data_coordinates=test_coordinates,
start_time=start,
end_time=end,
vendor=MarketDataVendor.Goldman_Sachs,
format="MessagePack"),
request_headers={'Accept': 'application/msgpack'}
)
def test_coordinates_data(mocker):
start = dt.datetime(2019, 1, 2, 1, 0)
end = dt.datetime(2019, 1, 2, 1, 10)
# mock GsSession and data response
mocker.patch.object(GsSession.__class__, 'default_value',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_post', side_effect=[{'responses': [{'data': bond_data}]},
{'responses': [{'data': swap_data}]},
{'responses': [{'data': bond_data},
{'data': swap_data}]},
{'responses': [{'data': bond_data},
{'data': swap_data}]}
])
coord_data_result = GsDataApi.coordinates_data(coordinates=test_coordinates[0], start=start, end=end)
assert_frame_equal(coord_data_result, bond_expected_frame)
str_coord_data_result = GsDataApi.coordinates_data(coordinates=test_str_coordinates[1], start=start, end=end)
assert_frame_equal(str_coord_data_result, swap_expected_frame)
coords_data_result = GsDataApi.coordinates_data(coordinates=test_coordinates, start=start, end=end,
as_multiple_dataframes=True)
assert len(coords_data_result) == 2
assert_frame_equal(coords_data_result[0], bond_expected_frame)
assert_frame_equal(coords_data_result[1], swap_expected_frame)
GsSession.current._post.reset_mock()
str_coords_data_result = GsDataApi.coordinates_data(coordinates=test_str_coordinates, start=start, end=end,
as_multiple_dataframes=True)
assert len(str_coords_data_result) == 2
assert_frame_equal(str_coords_data_result[0], bond_expected_frame)
assert_frame_equal(str_coords_data_result[1], swap_expected_frame)
GsSession.current._post.assert_called_once_with('/data/coordinates/query',
payload=MDAPIDataQuery(market_data_coordinates=test_coordinates,
start_time=start,
end_time=end,
vendor=MarketDataVendor.Goldman_Sachs,
format="MessagePack")
)