def setUp(self) -> None:
super().setUp()
self.log_records = []
self.test_task: Optional[asyncio.Task] = None
self.exchange = HuobiExchange(
huobi_api_key="testAPIKey",
huobi_secret_key="testSecret",
trading_pairs=[self.trading_pair],
)
self.exchange.logger().setLevel(1)
self.exchange.logger().addHandler(self)
self._initialize_event_loggers()
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
if API_MOCK_ENABLED:
cls.web_app = HummingWebApp.get_instance()
cls.web_app.add_host_to_mock(API_BASE_URL, [
"/v1/common/timestamp", "/v1/common/symbols",
"/market/tickers", "/market/depth"
])
cls.web_app.start()
cls.ev_loop.run_until_complete(cls.web_app.wait_til_started())
cls._patcher = mock.patch("aiohttp.client.URL")
cls._url_mock = cls._patcher.start()
cls._url_mock.side_effect = cls.web_app.reroute_local
mock_account_id = FixtureHuobi.GET_ACCOUNTS["data"][0]["id"]
cls.web_app.update_response("get", API_BASE_URL,
"/v1/account/accounts",
FixtureHuobi.GET_ACCOUNTS)
cls.web_app.update_response(
"get", API_BASE_URL,
f"/v1/account/accounts/{mock_account_id}/balance",
FixtureHuobi.BALANCES)
cls._t_nonce_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.huobi.huobi_exchange.get_tracking_nonce"
)
cls._t_nonce_mock = cls._t_nonce_patcher.start()
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: HuobiExchange = HuobiExchange(API_KEY,
API_SECRET,
trading_pairs=["ETH-USDT"])
# Need 2nd instance of market to prevent events mixing up across tests
cls.market_2: HuobiExchange = HuobiExchange(API_KEY,
API_SECRET,
trading_pairs=["ETH-USDT"])
cls.clock.add_iterator(cls.market)
cls.clock.add_iterator(cls.market_2)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
def customSetUp(self):
self.market: HuobiExchange = HuobiExchange(MOCK_HUOBI_API_KEY,
MOCK_HUOBI_SECRET_KEY,
trading_pairs=["ethusdt"])
# replace regular aiohttp client with test client
self.market.shared_client: TestClient = self.client
# replace default data source with mock data source
mock_data_source: MockAPIOrderBookDataSource = MockAPIOrderBookDataSource(
self.client, HuobiOrderBook, ["ethusdt"])
self.market.order_book_tracker.data_source = mock_data_source
self.clock.add_iterator(self.market)
self.run_parallel(self.wait_til_ready(self.market, self._clock))
self.db_path: str = realpath(join(__file__, "../huobi_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
class HuobiExchangeTests(TestCase):
# the level is required to receive logs from the data source logger
level = 0
@classmethod
def setUpClass(cls) -> None:
super().setUpClass()
cls.base_asset = "COINALPHA"
cls.quote_asset = "HBOT"
cls.trading_pair = f"{cls.base_asset}-{cls.quote_asset}"
cls.symbol = f"{cls.base_asset}{cls.quote_asset}"
cls.listen_key = "TEST_LISTEN_KEY"
def setUp(self) -> None:
super().setUp()
self.log_records = []
self.test_task: Optional[asyncio.Task] = None
self.exchange = HuobiExchange(
huobi_api_key="testAPIKey",
huobi_secret_key="testSecret",
trading_pairs=[self.trading_pair],
)
self.exchange.logger().setLevel(1)
self.exchange.logger().addHandler(self)
self._initialize_event_loggers()
def tearDown(self) -> None:
self.test_task and self.test_task.cancel()
super().tearDown()
def _initialize_event_loggers(self):
self.buy_order_completed_logger = EventLogger()
self.sell_order_completed_logger = EventLogger()
self.order_filled_logger = EventLogger()
events_and_loggers = [
(MarketEvent.BuyOrderCompleted, self.buy_order_completed_logger),
(MarketEvent.SellOrderCompleted, self.sell_order_completed_logger),
(MarketEvent.OrderFilled, self.order_filled_logger)
]
for event, logger in events_and_loggers:
self.exchange.add_listener(event, logger)
def handle(self, record):
self.log_records.append(record)
def _is_logged(self, log_level: str, message: str) -> bool:
return any(
record.levelname == log_level and record.getMessage() == message
for record in self.log_records)
def async_run_with_timeout(self, coroutine: Awaitable, timeout: float = 1):
ret = asyncio.get_event_loop().run_until_complete(
asyncio.wait_for(coroutine, timeout))
return ret
def test_order_fill_event_takes_fee_from_update_event(self):
self.exchange.start_tracking_order(
order_id="OID1",
exchange_order_id="99998888",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
price=Decimal("10000"),
amount=Decimal("1"),
)
order = self.exchange.in_flight_orders.get("OID1")
partial_fill = {
"eventType": "trade",
"symbol": "choinalphahbot",
"orderId": 99998888,
"tradePrice": "10050.0",
"tradeVolume": "0.1",
"orderSide": "buy",
"aggressor": True,
"tradeId": 1,
"tradeTime": 998787897878,
"transactFee": "10.00",
"feeDeduct ": "0",
"feeDeductType": "",
"feeCurrency": "usdt",
"accountId": 9912791,
"source": "spot-api",
"orderPrice": "10000",
"orderSize": "1",
"clientOrderId": "OID1",
"orderCreateTime": 998787897878,
"orderStatus": "partial-filled"
}
message = {
"ch": CONSTANTS.HUOBI_TRADE_DETAILS_TOPIC,
"data": partial_fill
}
mock_user_stream = AsyncMock()
mock_user_stream.get.side_effect = [message, asyncio.CancelledError()]
self.exchange.user_stream_tracker._user_stream = mock_user_stream
self.test_task = asyncio.get_event_loop().create_task(
self.exchange._user_stream_event_listener())
try:
self.async_run_with_timeout(self.test_task)
except asyncio.CancelledError:
pass
self.assertEqual(Decimal("10"), order.fee_paid)
self.assertEqual(1, len(self.order_filled_logger.event_log))
fill_event: OrderFilledEvent = self.order_filled_logger.event_log[0]
self.assertEqual(Decimal("0"), fill_event.trade_fee.percent)
self.assertEqual([
TokenAmount(partial_fill["feeCurrency"].upper(),
Decimal(partial_fill["transactFee"]))
], fill_event.trade_fee.flat_fees)
self.assertTrue(
self._is_logged(
"INFO",
f"Filled {Decimal(partial_fill['tradeVolume'])} out of {order.amount} of order "
f"{order.order_type.name}-{order.client_order_id}"))
self.assertEqual(0, len(self.buy_order_completed_logger.event_log))
complete_fill = {
"eventType": "trade",
"symbol": "choinalphahbot",
"orderId": 99998888,
"tradePrice": "10060.0",
"tradeVolume": "0.9",
"orderSide": "buy",
"aggressor": True,
"tradeId": 2,
"tradeTime": 998787897878,
"transactFee": "30.0",
"feeDeduct ": "0",
"feeDeductType": "",
"feeCurrency": "usdt",
"accountId": 9912791,
"source": "spot-api",
"orderPrice": "10000",
"orderSize": "1",
"clientOrderId": "OID1",
"orderCreateTime": 998787897878,
"orderStatus": "partial-filled"
}
message["data"] = complete_fill
mock_user_stream = AsyncMock()
mock_user_stream.get.side_effect = [message, asyncio.CancelledError()]
self.exchange.user_stream_tracker._user_stream = mock_user_stream
self.test_task = asyncio.get_event_loop().create_task(
self.exchange._user_stream_event_listener())
try:
self.async_run_with_timeout(self.test_task)
except asyncio.CancelledError:
pass
self.assertEqual(Decimal("40"), order.fee_paid)
self.assertEqual(2, len(self.order_filled_logger.event_log))
fill_event: OrderFilledEvent = self.order_filled_logger.event_log[1]
self.assertEqual(Decimal("0"), fill_event.trade_fee.percent)
self.assertEqual([
TokenAmount(complete_fill["feeCurrency"].upper(),
Decimal(complete_fill["transactFee"]))
], fill_event.trade_fee.flat_fees)
# The order should be marked as complete only when the "done" event arrives, not with the fill event
self.assertFalse(
self._is_logged(
"INFO",
f"The LIMIT_BUY order {order.client_order_id} has completed according to order delta websocket API."
))
self.assertEqual(0, len(self.buy_order_completed_logger.event_log))
def test_order_fill_event_processed_before_order_complete_event(self):
self.exchange.start_tracking_order(
order_id="OID1",
exchange_order_id="99998888",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
price=Decimal("10000"),
amount=Decimal("1"),
)
order = self.exchange.in_flight_orders.get("OID1")
complete_fill = {
"eventType": "trade",
"symbol": "choinalphahbot",
"orderId": 99998888,
"tradePrice": "10060.0",
"tradeVolume": "1",
"orderSide": "buy",
"aggressor": True,
"tradeId": 1,
"tradeTime": 998787897878,
"transactFee": "30.0",
"feeDeduct ": "0",
"feeDeductType": "",
"feeCurrency": "usdt",
"accountId": 9912791,
"source": "spot-api",
"orderPrice": "10000",
"orderSize": "1",
"clientOrderId": "OID1",
"orderCreateTime": 998787897878,
"orderStatus": "partial-filled"
}
fill_message = {
"ch": CONSTANTS.HUOBI_TRADE_DETAILS_TOPIC,
"data": complete_fill
}
update_data = {
"tradePrice": "10060.0",
"tradeVolume": "1",
"tradeId": 1,
"tradeTime": 1583854188883,
"aggressor": True,
"remainAmt": "0.0",
"execAmt": "1",
"orderId": 99998888,
"type": "buy-limit",
"clientOrderId": "OID1",
"orderSource": "spot-api",
"orderPrice": "10000",
"orderSize": "1",
"orderStatus": "filled",
"symbol": "btcusdt",
"eventType": "trade"
}
update_message = {
"action": "push",
"ch": CONSTANTS.HUOBI_ORDER_UPDATE_TOPIC,
"data": update_data,
}
mock_user_stream = AsyncMock()
# We simulate the case when the order update arrives before the order fill
mock_user_stream.get.side_effect = [
update_message, fill_message,
asyncio.CancelledError()
]
self.exchange.user_stream_tracker._user_stream = mock_user_stream
self.test_task = asyncio.get_event_loop().create_task(
self.exchange._user_stream_event_listener())
try:
self.async_run_with_timeout(self.test_task)
except asyncio.CancelledError:
pass
self.async_run_with_timeout(order.wait_until_completely_filled())
self.assertEqual(Decimal("30"), order.fee_paid)
self.assertEqual(1, len(self.order_filled_logger.event_log))
fill_event: OrderFilledEvent = self.order_filled_logger.event_log[0]
self.assertEqual(Decimal("0"), fill_event.trade_fee.percent)
self.assertEqual([
TokenAmount(complete_fill["feeCurrency"].upper(),
Decimal(complete_fill["transactFee"]))
], fill_event.trade_fee.flat_fees)
self.assertTrue(
self._is_logged(
"INFO",
f"Filled {Decimal(complete_fill['tradeVolume'])} out of {order.amount} of order "
f"{order.order_type.name}-{order.client_order_id}"))
self.assertTrue(
self._is_logged(
"INFO",
f"The {order.trade_type.name} order {order.client_order_id} "
f"has completed according to order delta websocket API."))
self.assertEqual(1, len(self.buy_order_completed_logger.event_log))
buy_event: BuyOrderCompletedEvent = self.buy_order_completed_logger.event_log[
0]
self.assertEqual(complete_fill["feeCurrency"].upper(),
buy_event.fee_asset)
self.assertEqual(Decimal(complete_fill["transactFee"]),
buy_event.fee_amount)
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-USDT"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.04 ETH, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price(
trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal("0.8")
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
amount: Decimal = Decimal("0.06")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, exch_order_id = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001, FixtureHuobi.OPEN_BUY_LIMIT_ORDER)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: HuobiExchange = HuobiExchange(
huobi_api_key=API_KEY,
huobi_secret_key=API_SECRET,
trading_pairs=["ETH-USDT", "BTC-USDT"])
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.cancel_order(trading_pair, order_id, exch_order_id,
FixtureHuobi.CANCEL_ORDER)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_orders_saving_and_restoration(self):
self.customSetUp()
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ethusdt"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.04 ETH, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal(0.8)
quantize_bid_price: Decimal = self.market.quantize_order_price(trading_pair, bid_price)
amount: Decimal = Decimal(0.04)
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
self.mock_api.order_id = self.mock_api.MOCK_HUOBI_LIMIT_OPEN_ORDER_ID
order_id = self.market.buy(trading_pair, quantized_amount, OrderType.LIMIT_MAKER, quantize_bid_price)
[order_created_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id, list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[Order] = recorder.get_orders_for_config_and_market(config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: HuobiExchange = HuobiExchange(
huobi_api_key=MOCK_HUOBI_API_KEY,
huobi_secret_key=MOCK_HUOBI_SECRET_KEY,
trading_pairs=["ethusdt", "btcusdt"]
)
self.market.shared_client: TestClient = self.client
mock_data_source: MockAPIOrderBookDataSource = MockAPIOrderBookDataSource(self.client, HuobiOrderBook, ["ethusdt"])
self.market.order_book_tracker.data_source = mock_data_source
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.mock_api.order_id = self.mock_api.MOCK_HUOBI_LIMIT_OPEN_ORDER_ID
self.mock_api.order_response_dict[self.mock_api.MOCK_HUOBI_LIMIT_OPEN_ORDER_ID]["data"]["state"] = "canceled"
self.market.cancel(trading_pair, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)