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_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_single_update_results_in_expected_properties(self): # Arrange bar_spec = TestStubs.bar_spec_1min_mid() builder = BarBuilder(bar_spec, use_previous_close=True) # Act builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH) # Assert self.assertTrue(builder.initialized) self.assertEqual(UNIX_EPOCH, builder.last_timestamp) self.assertEqual(1, builder.count)
def test_single_update_results_in_expected_properties(self): # Arrange bar_type = TestStubs.bartype_btcusdt_binance_100tick_last() builder = BarBuilder(bar_type, use_previous_close=True) # Act builder.update(Price("1.00000"), Quantity("1"), 0) # Assert self.assertTrue(builder.initialized) self.assertEqual(0, builder.last_timestamp_ns) self.assertEqual(1, builder.count)
def test_single_update_results_in_expected_properties(self): # Arrange bar_type = TestStubs.bartype_btcusdt_binance_100tick_last() builder = BarBuilder(BTCUSDT_BINANCE, bar_type) # Act builder.update(Price.from_str("1.00000"), Quantity.from_str("1"), 0) # Assert assert builder.initialized assert builder.ts_last == 0 assert builder.count == 1
def test_single_update_when_timestamp_less_than_last_update_ignores(self): # Arrange bar_type = TestStubs.bartype_btcusdt_binance_100tick_last() builder = BarBuilder(bar_type, use_previous_close=True) builder.update(Price("1.00000"), Quantity("1"), 0) # Act builder.update(Price("1.00001"), Quantity("1"), -1_000_000_000) # Assert self.assertTrue(builder.initialized) self.assertEqual(0, builder.last_timestamp_ns) self.assertEqual(1, builder.count)
def test_single_update_when_timestamp_less_than_last_update_ignores(self): # Arrange bar_spec = TestStubs.bar_spec_1min_mid() builder = BarBuilder(bar_spec, use_previous_close=True) builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH) # Act builder.update(Price("1.00001"), Quantity("1"), UNIX_EPOCH - timedelta(seconds=1)) # Assert self.assertTrue(builder.initialized) self.assertEqual(UNIX_EPOCH, builder.last_timestamp) self.assertEqual(1, builder.count)
def test_single_update_when_timestamp_less_than_last_update_ignores(self): # Arrange bar_type = TestStubs.bartype_btcusdt_binance_100tick_last() builder = BarBuilder(BTCUSDT_BINANCE, bar_type) builder.update(Price.from_str("1.00000"), Quantity.from_str("1"), 1_000) # Act builder.update(Price.from_str("1.00001"), Quantity.from_str("1"), 500) # Assert assert builder.initialized assert builder.ts_last == 1_000 assert builder.count == 1
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)
def test_multiple_updates_correctly_increments_count(self): # Arrange bar_spec = TestStubs.bar_spec_1min_mid() builder = BarBuilder(bar_spec, use_previous_close=True) # Act builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH) builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH) builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH) builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH) builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH) # Assert self.assertEqual(5, builder.count)
def test_multiple_updates_correctly_increments_count(self): # Arrange bar_type = TestStubs.bartype_btcusdt_binance_100tick_last() builder = BarBuilder(bar_type, use_previous_close=True) # Act builder.update(Price("1.00000"), Quantity("1"), 0) builder.update(Price("1.00000"), Quantity("1"), 0) builder.update(Price("1.00000"), Quantity("1"), 0) builder.update(Price("1.00000"), Quantity("1"), 0) builder.update(Price("1.00000"), Quantity("1"), 0) # Assert self.assertEqual(5, 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_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)