def test_set_partial_updates_bar_to_expected_properties(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE,
bar_type,
use_previous_close=True)
partial_bar = Bar(
bar_type=bar_type,
open_price=Price.from_str("1.00001"),
high_price=Price.from_str("1.00010"),
low_price=Price.from_str("1.00000"),
close_price=Price.from_str("1.00002"),
volume=Quantity.from_str("1"),
ts_event_ns=1_000_000_000,
ts_recv_ns=1_000_000_000,
)
# Act
builder.set_partial(partial_bar)
bar = builder.build_now()
# Assert
self.assertEqual(Price.from_str("1.00001"), bar.open)
self.assertEqual(Price.from_str("1.00010"), bar.high)
self.assertEqual(Price.from_str("1.00000"), bar.low)
self.assertEqual(Price.from_str("1.00002"), bar.close)
self.assertEqual(Quantity.from_str("1"), bar.volume)
self.assertEqual(1_000_000_000, bar.ts_recv_ns)
self.assertEqual(1_000_000_000, builder.last_timestamp_ns)
def test_build_when_received_updates_returns_expected_bar(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE,
bar_type,
use_previous_close=True)
builder.update(Price.from_str("1.00001"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00002"), Quantity.from_str("1.5"), 0)
builder.update(
Price.from_str("1.00000"),
Quantity.from_str("1.5"),
1_000_000_000,
)
# Act
bar = builder.build_now() # Also resets builder
# Assert
self.assertEqual(Price.from_str("1.00001"), bar.open)
self.assertEqual(Price.from_str("1.00002"), bar.high)
self.assertEqual(Price.from_str("1.00000"), bar.low)
self.assertEqual(Price.from_str("1.00000"), bar.close)
self.assertEqual(Quantity.from_str("4.0"), bar.volume)
self.assertEqual(1_000_000_000, bar.ts_recv_ns)
self.assertEqual(1_000_000_000, builder.last_timestamp_ns)
self.assertEqual(0, builder.count)
def test_set_partial_updates_bar_to_expected_properties(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
partial_bar = Bar(
bar_type=bar_type,
open=Price.from_str("1.00001"),
high=Price.from_str("1.00010"),
low=Price.from_str("1.00000"),
close=Price.from_str("1.00002"),
volume=Quantity.from_str("1"),
ts_event=1_000_000_000,
ts_init=1_000_000_000,
)
# Act
builder.set_partial(partial_bar)
bar = builder.build_now()
# Assert
assert bar.open == Price.from_str("1.00001")
assert bar.high == Price.from_str("1.00010")
assert bar.low == Price.from_str("1.00000")
assert bar.close == Price.from_str("1.00002")
assert bar.volume == Quantity.from_str("1")
assert bar.ts_init == 1_000_000_000
assert builder.ts_last == 1_000_000_000
def test_build_when_received_updates_returns_expected_bar(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
builder.update(Price.from_str("1.00001"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00002"), Quantity.from_str("1.5"), 0)
builder.update(
Price.from_str("1.00000"),
Quantity.from_str("1.5"),
1_000_000_000,
)
# Act
bar = builder.build_now() # Also resets builder
# Assert
assert bar.open == Price.from_str("1.00001")
assert bar.high == Price.from_str("1.00002")
assert bar.low == Price.from_str("1.00000")
assert bar.close == Price.from_str("1.00000")
assert bar.volume == Quantity.from_str("4.0")
assert bar.ts_init == 1_000_000_000
assert builder.ts_last == 1_000_000_000
assert builder.count == 0
def test_build_with_previous_close(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
builder.update(Price.from_str("1.00001"), Quantity.from_str("1.0"), 0)
builder.build_now() # This close should become the next open
builder.update(Price.from_str("1.00000"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00003"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00002"), Quantity.from_str("1.0"), 0)
bar2 = builder.build_now()
# Assert
assert bar2.open == Price.from_str("1.00001")
assert bar2.high == Price.from_str("1.00003")
assert bar2.low == Price.from_str("1.00000")
assert bar2.close == Price.from_str("1.00002")
assert bar2.volume == Quantity.from_str("3.0")
def test_build_with_previous_close(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=True)
builder.update(Price("1.00001"), Quantity("1.0"), 0)
builder.build_now() # This close should become the next open
builder.update(Price("1.00000"), Quantity("1.0"), 0)
builder.update(Price("1.00003"), Quantity("1.0"), 0)
builder.update(Price("1.00002"), Quantity("1.0"), 0)
bar2 = builder.build_now()
# 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)
