def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
bar_spec = BarSpecification(1000, BarAggregation.TICK, PriceType.LAST)
bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec)
aggregator = TickBarAggregator(bar_type, handler,
TestLogger(TestClock()))
wrangler = TradeTickDataWrangler(
instrument=ETHUSDT_BINANCE,
data=TestDataProvider.ethusdt_trades(),
)
wrangler.pre_process(0)
ticks = wrangler.build_ticks()
# Act
for tick in ticks:
aggregator.handle_trade_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1].bar
self.assertEqual(69, len(bar_store.get_store()))
self.assertEqual(Price("426.72"), last_bar.open)
self.assertEqual(Price("427.01"), last_bar.high)
self.assertEqual(Price("426.46"), last_bar.low)
self.assertEqual(Price("426.67"), last_bar.close)
self.assertEqual(Quantity(2281), last_bar.volume)
def test_handle_trade_tick_when_count_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = TickBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00001"),
size=Quantity.from_int(1),
aggressor_side=AggressorSide.BUY,
match_id="123456",
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
aggregator.handle_trade_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
def test_run_quote_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(100, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TickBarAggregator(bar_type, handler,
TestLogger(TestClock()))
wrangler = QuoteTickDataWrangler(
instrument=AUDUSD_SIM,
data_quotes=TestDataProvider.audusd_ticks(),
)
wrangler.pre_process(instrument_indexer=0)
ticks = wrangler.build_ticks()
# Act
for tick in ticks:
aggregator.handle_quote_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1].bar
self.assertEqual(999, len(bar_store.get_store()))
self.assertEqual(Price("0.66939"), last_bar.open)
self.assertEqual(Price("0.66947"), last_bar.high)
self.assertEqual(Price("0.669355"), last_bar.low)
self.assertEqual(Price("0.66945"), last_bar.close)
self.assertEqual(Quantity(100), last_bar.volume)
def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = ETHUSDT_BINANCE
bar_spec = BarSpecification(1000, BarAggregation.TICK, PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = TickBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
wrangler = TradeTickDataWrangler(instrument=ETHUSDT_BINANCE)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("binance-ethusdt-trades.csv")[:10000])
# Act
for tick in ticks:
aggregator.handle_trade_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1]
assert len(bar_store.get_store()) == 10
assert last_bar.open == Price.from_str("424.70")
assert last_bar.high == Price.from_str("425.25")
assert last_bar.low == Price.from_str("424.51")
assert last_bar.close == Price.from_str("425.15")
assert last_bar.volume == Quantity.from_int(3075)
def test_handle_quote_tick_when_count_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = TickBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = QuoteTick(
instrument_id=instrument.id,
bid=Price.from_str("1.00001"),
ask=Price.from_str("1.00004"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
aggregator.handle_quote_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
def test_run_quote_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(100, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = TickBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
# Setup data
wrangler = QuoteTickDataWrangler(instrument)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("truefx-audusd-ticks.csv")[:1000])
# Act
for tick in ticks:
aggregator.handle_quote_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1]
assert len(bar_store.get_store()) == 10
assert last_bar.open == Price.from_str("0.670335")
assert last_bar.high == Price.from_str("0.670345")
assert last_bar.low == Price.from_str("0.670225")
assert last_bar.close == Price.from_str("0.670230")
assert last_bar.volume == Quantity.from_int(100000000)
def test_handle_trade_tick_when_count_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.LAST)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TickBarAggregator(bar_type, handler, Logger(TestClock()))
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price("1.00001"),
size=Quantity(1),
side=OrderSide.BUY,
match_id=TradeMatchId("123456"),
timestamp_ns=0,
)
# Act
aggregator.handle_trade_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
def test_handle_quote_tick_when_count_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd_fxcm()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(symbol, bar_spec)
aggregator = TickBarAggregator(bar_type, handler, TestLogger(TestClock()))
tick1 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
# Act
aggregator.handle_quote_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
def test_handle_trade_tick_when_count_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = TickBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00001"),
size=Quantity.from_int(1),
aggressor_side=AggressorSide.BUY,
trade_id="123456",
ts_event=0,
ts_init=0,
)
tick2 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00002"),
size=Quantity.from_int(1),
aggressor_side=AggressorSide.BUY,
trade_id="123457",
ts_event=0,
ts_init=0,
)
tick3 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00000"),
size=Quantity.from_int(1),
aggressor_side=AggressorSide.BUY,
trade_id="123458",
ts_event=0,
ts_init=0,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
assert len(bar_store.get_store()) == 1
assert bar_store.get_store()[0].open == Price.from_str("1.00001")
assert bar_store.get_store()[0].high == Price.from_str("1.00002")
assert bar_store.get_store()[0].low == Price.from_str("1.00000")
assert bar_store.get_store()[0].close == Price.from_str("1.00000")
assert bar_store.get_store()[0].volume == Quantity.from_int(3)
def test_handle_quote_tick_when_count_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = TickBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = QuoteTick(
instrument_id=instrument.id,
bid=Price.from_str("1.00001"),
ask=Price.from_str("1.00004"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
tick2 = QuoteTick(
instrument_id=instrument.id,
bid=Price.from_str("1.00002"),
ask=Price.from_str("1.00005"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
tick3 = QuoteTick(
instrument_id=instrument.id,
bid=Price.from_str("1.00000"),
ask=Price.from_str("1.00003"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
# Act
aggregator.handle_quote_tick(tick1)
aggregator.handle_quote_tick(tick2)
aggregator.handle_quote_tick(tick3)
# Assert
assert len(bar_store.get_store()) == 1
assert bar_store.get_store()[0].open == Price.from_str("1.000025")
assert bar_store.get_store()[0].high == Price.from_str("1.000035")
assert bar_store.get_store()[0].low == Price.from_str("1.000015")
assert bar_store.get_store()[0].close == Price.from_str("1.000015")
assert bar_store.get_store()[0].volume == Quantity.from_int(3)
def test_handle_trade_tick_when_count_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.LAST)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TickBarAggregator(bar_type, handler, Logger(TestClock()))
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00001"),
size=Quantity.from_int(1),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123456"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
tick2 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00002"),
size=Quantity.from_int(1),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123457"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
tick3 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00000"),
size=Quantity.from_int(1),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123458"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
self.assertEqual(1, len(bar_store.get_store()))
self.assertEqual(Price.from_str("1.00001"),
bar_store.get_store()[0].open)
self.assertEqual(Price.from_str("1.00002"),
bar_store.get_store()[0].high)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[0].low)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[0].close)
self.assertEqual(Quantity.from_int(3), bar_store.get_store()[0].volume)
def test_handle_quote_tick_when_count_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TickBarAggregator(bar_type, handler, Logger(TestClock()))
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("1.00001"),
ask=Price.from_str("1.00004"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
timestamp_origin_ns=0,
timestamp_ns=0,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("1.00002"),
ask=Price.from_str("1.00005"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
timestamp_origin_ns=0,
timestamp_ns=0,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("1.00000"),
ask=Price.from_str("1.00003"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
timestamp_origin_ns=0,
timestamp_ns=0,
)
# Act
aggregator.handle_quote_tick(tick1)
aggregator.handle_quote_tick(tick2)
aggregator.handle_quote_tick(tick3)
# Assert
self.assertEqual(1, len(bar_store.get_store()))
self.assertEqual(Price.from_str("1.000025"),
bar_store.get_store()[0].open)
self.assertEqual(Price.from_str("1.000035"),
bar_store.get_store()[0].high)
self.assertEqual(Price.from_str("1.000015"),
bar_store.get_store()[0].low)
self.assertEqual(Price.from_str("1.000015"),
bar_store.get_store()[0].close)
self.assertEqual(Quantity.from_int(3), bar_store.get_store()[0].volume)
def test_handle_trade_tick_when_count_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.LAST)
bar_type = BarType(symbol, bar_spec)
aggregator = TickBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("1.00001"),
size=Quantity(1),
side=OrderSide.BUY,
match_id=TradeMatchId("123456"),
timestamp=UNIX_EPOCH,
)
tick2 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("1.00002"),
size=Quantity(1),
side=OrderSide.BUY,
match_id=TradeMatchId("123457"),
timestamp=UNIX_EPOCH,
)
tick3 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("1.00000"),
size=Quantity(1),
side=OrderSide.BUY,
match_id=TradeMatchId("123458"),
timestamp=UNIX_EPOCH,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
self.assertEqual(1, len(bar_store.get_store()))
self.assertEqual(Price("1.00001"), bar_store.get_store()[0].bar.open)
self.assertEqual(Price("1.00002"), bar_store.get_store()[0].bar.high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[0].bar.low)
self.assertEqual(Price("1.00000"), bar_store.get_store()[0].bar.close)
self.assertEqual(Quantity(3), bar_store.get_store()[0].bar.volume)
def test_handle_quote_tick_when_count_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(symbol, bar_spec)
aggregator = TickBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick2 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick3 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
# Act
aggregator.handle_quote_tick(tick1)
aggregator.handle_quote_tick(tick2)
aggregator.handle_quote_tick(tick3)
# Assert
self.assertEqual(1, len(bar_store.get_store()))
self.assertEqual(Price("1.000025"), bar_store.get_store()[0].bar.open)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].bar.high)
self.assertEqual(Price("1.000015"), bar_store.get_store()[0].bar.low)
self.assertEqual(Price("1.000015"), bar_store.get_store()[0].bar.close)
self.assertEqual(Quantity(3), bar_store.get_store()[0].bar.volume)