def test_build_when_no_updates_raises_exception(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
builder = BarBuilder(AUDUSD_SIM, bar_type)
# Act, Assert
with pytest.raises(TypeError):
builder.build()
def test_build_with_previous_close(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
tick1 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
tick2 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
tick3 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
builder.handle_quote_tick(tick1)
builder.handle_quote_tick(tick2)
builder.handle_quote_tick(tick3)
builder.build()
# Act
bar = builder.build() # Also resets builder
# Assert
self.assertEqual(Price("1.000015"), bar.open)
self.assertEqual(Price("1.000015"), bar.high)
self.assertEqual(Price("1.000015"), bar.low)
self.assertEqual(Price("1.000015"), bar.close)
self.assertEqual(Quantity(), bar.volume)
self.assertEqual(UNIX_EPOCH, bar.timestamp)
self.assertEqual(UNIX_EPOCH, builder.last_update)
self.assertEqual(0, builder.count)
def test_build_with_previous_close(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
builder.update(Price("1.00001"), Quantity("1.0"), UNIX_EPOCH)
builder.build() # This close should become the next open
builder.update(Price("1.00000"), Quantity("1.0"), UNIX_EPOCH)
builder.update(Price("1.00003"), Quantity("1.0"), UNIX_EPOCH)
builder.update(Price("1.00002"), Quantity("1.0"), UNIX_EPOCH)
bar2 = builder.build()
# Assert
self.assertEqual(Price("1.00001"), bar2.open)
self.assertEqual(Price("1.00003"), bar2.high)
self.assertEqual(Price("1.00000"), bar2.low)
self.assertEqual(Price("1.00002"), bar2.close)
self.assertEqual(Quantity("3.0"), bar2.volume)
def test_build_when_received_updates_returns_expected_bar(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_bid()
builder = BarBuilder(bar_spec, use_previous_close=True)
builder.update(Price("1.00001"), Quantity("1.0"), UNIX_EPOCH)
builder.update(Price("1.00002"), Quantity("1.5"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1.5"), UNIX_EPOCH + timedelta(seconds=1))
# Act
bar = builder.build() # Also resets builder
# Assert
self.assertEqual(Price("1.00001"), bar.open)
self.assertEqual(Price("1.00002"), bar.high)
self.assertEqual(Price("1.00000"), bar.low)
self.assertEqual(Price("1.00000"), bar.close)
self.assertEqual(Quantity("4.0"), bar.volume)
self.assertEqual(UNIX_EPOCH + timedelta(seconds=1), bar.timestamp)
self.assertEqual(UNIX_EPOCH + timedelta(seconds=1), builder.last_timestamp)
self.assertEqual(0, builder.count)
