def test_update_timed_with_test_clock_sends_single_bar_to_handler(self):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TimeBarAggregator(
AUDUSD_SIM,
bar_type,
handler,
True,
TestClock(),
Logger(clock),
)
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),
ts_event_ns=0,
ts_recv_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),
ts_event_ns=0,
ts_recv_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),
ts_event_ns=2 * 60 * 1_000_000_000, # 2 minutes in nanoseconds
ts_recv_ns=2 * 60 * 1_000_000_000, # 2 minutes in nanoseconds
)
# 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 Price.from_str("1.000025") == bar_store.get_store()[0].open
assert Price.from_str("1.000035") == bar_store.get_store()[0].high
assert Price.from_str("1.000025") == bar_store.get_store()[0].low
assert Price.from_str("1.000035") == bar_store.get_store()[0].close
assert Quantity.from_int(2) == bar_store.get_store()[0].volume
assert 60_000_000_000 == bar_store.get_store()[0].ts_recv_ns
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(1000, BarAggregation.VALUE, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = ValueBarAggregator(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(67, len(bar_store.get_store()))
self.assertEqual(Price("0.66921"), last_bar.open)
self.assertEqual(Price("0.669485"), last_bar.high)
self.assertEqual(Price("0.669205"), last_bar.low)
self.assertEqual(Price("0.669475"), last_bar.close)
self.assertEqual(Quantity(1494), 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.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
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()) == 26
assert last_bar.open == Price.from_str("425.17")
assert last_bar.high == Price.from_str("425.24")
assert last_bar.low == Price.from_str("424.69")
assert last_bar.close == Price.from_str("425.14")
assert last_bar.volume == Quantity.from_int(1000)
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.VOLUME,
PriceType.LAST)
bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec)
aggregator = VolumeBarAggregator(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(187, len(bar_store.get_store()))
self.assertEqual(Price("426.44"), last_bar.open)
self.assertEqual(Price("426.84"), last_bar.high)
self.assertEqual(Price("426.00"), last_bar.low)
self.assertEqual(Price("426.82"), last_bar.close)
self.assertEqual(Quantity(1000), last_bar.volume)
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(1000, BarAggregation.VOLUME, PriceType.MID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
# Setup data
wrangler = QuoteTickDataWrangler(instrument)
provider = TestDataProvider()
ticks = wrangler.process(
data=provider.read_csv_ticks("truefx-audusd-ticks.csv")[:10000],
default_volume=1,
)
# 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("0.670635")
assert last_bar.high == Price.from_str("0.670705")
assert last_bar.low == Price.from_str("0.670370")
assert last_bar.close == Price.from_str("0.670655")
assert last_bar.volume == Quantity.from_int(1000)
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(1000, BarAggregation.VOLUME, PriceType.MID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
wrangler = QuoteTickDataWrangler(
instrument=instrument,
data_quotes=TestDataProvider.audusd_ticks(),
)
wrangler.pre_process(instrument_indexer=0, default_volume=1)
ticks = wrangler.build_ticks()
# Act
for tick in ticks:
aggregator.handle_quote_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1]
self.assertEqual(99, len(bar_store.get_store()))
self.assertEqual(Price.from_str("0.669325"), last_bar.open)
self.assertEqual(Price.from_str("0.669485"), last_bar.high)
self.assertEqual(Price.from_str("0.66917"), last_bar.low)
self.assertEqual(Price.from_str("0.66935"), last_bar.close)
self.assertEqual(Quantity.from_int(1000), 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=instrument,
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]
self.assertEqual(69, len(bar_store.get_store()))
self.assertEqual(Price.from_str("426.72"), last_bar.open)
self.assertEqual(Price.from_str("427.01"), last_bar.high)
self.assertEqual(Price.from_str("426.46"), last_bar.low)
self.assertEqual(Price.from_str("426.67"), last_bar.close)
self.assertEqual(Quantity.from_int(2281), last_bar.volume)
def test_handle_quote_tick_when_value_beyond_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(100000, BarAggregation.VALUE,
PriceType.BID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = ValueBarAggregator(
AUDUSD_SIM,
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(20000),
ask_size=Quantity.from_int(20000),
ts_event=0,
ts_init=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(60000),
ask_size=Quantity.from_int(20000),
ts_event=0,
ts_init=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(30500),
ask_size=Quantity.from_int(20000),
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("1.00001")
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_str("99999")
assert aggregator.get_cumulative_value() == Decimal("10501.400")
def test_handle_quote_tick_when_volume_beyond_threshold_sends_bars_to_handler(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd_fxcm()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.BID)
bar_type = BarType(symbol, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler, TestLogger(TestClock()))
tick1 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(2000),
ask_size=Quantity(2000),
timestamp=UNIX_EPOCH,
)
tick2 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(3000),
ask_size=Quantity(3000),
timestamp=UNIX_EPOCH,
)
tick3 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(25000),
ask_size=Quantity(25000),
timestamp=UNIX_EPOCH,
)
# Act
aggregator.handle_quote_tick(tick1)
aggregator.handle_quote_tick(tick2)
aggregator.handle_quote_tick(tick3)
# Assert
self.assertEqual(3, 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(10000), bar_store.get_store()[0].bar.volume)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].bar.open)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].bar.high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].bar.low)
self.assertEqual(Price('1.00000'), bar_store.get_store()[1].bar.close)
self.assertEqual(Quantity(10000), bar_store.get_store()[1].bar.volume)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].bar.open)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].bar.high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].bar.low)
self.assertEqual(Price('1.00000'), bar_store.get_store()[2].bar.close)
self.assertEqual(Quantity(10000), bar_store.get_store()[2].bar.volume)
def test_handle_trade_tick_when_volume_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00001"),
size=Quantity.from_int(3000),
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(4000),
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(3000),
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(10000)
def test_handle_quote_tick_when_volume_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.BID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
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(3000),
ask_size=Quantity.from_int(2000),
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(4000),
ask_size=Quantity.from_int(2000),
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(3000),
ask_size=Quantity.from_int(2000),
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("1.00001")
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(10000)
def test_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.LAST)
bar_type = BarType(instrument_id, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler, Logger(TestClock()))
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price("1.00001"),
size=Quantity(2000),
side=OrderSide.BUY,
match_id=TradeMatchId("123456"),
timestamp_ns=0,
)
tick2 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price("1.00002"),
size=Quantity(3000),
side=OrderSide.BUY,
match_id=TradeMatchId("123457"),
timestamp_ns=0,
)
tick3 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price("1.00000"),
size=Quantity(25000),
side=OrderSide.BUY,
match_id=TradeMatchId("123458"),
timestamp_ns=0,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
self.assertEqual(3, len(bar_store.get_store()))
self.assertEqual(Price("1.00001"), bar_store.get_store()[0].open)
self.assertEqual(Price("1.00002"), bar_store.get_store()[0].high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[0].low)
self.assertEqual(Price("1.00000"), bar_store.get_store()[0].close)
self.assertEqual(Quantity(10000), bar_store.get_store()[0].volume)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].open)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].low)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].close)
self.assertEqual(Quantity(10000), bar_store.get_store()[1].volume)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].open)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].low)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].close)
self.assertEqual(Quantity(10000), bar_store.get_store()[2].volume)
def test_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(100000, BarAggregation.VALUE,
PriceType.LAST)
bar_type = BarType(instrument_id, bar_spec)
aggregator = ValueBarAggregator(bar_type, handler, Logger(TestClock()))
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price("20.00001"),
size=Quantity("3000.00"),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123456"),
timestamp_ns=0,
)
tick2 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price("20.00002"),
size=Quantity("4000.00"),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123457"),
timestamp_ns=0,
)
tick3 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price("20.00000"),
size=Quantity("5000.00"),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123458"),
timestamp_ns=0,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
self.assertEqual(2, len(bar_store.get_store()))
self.assertEqual(Price("20.00001"), bar_store.get_store()[0].open)
self.assertEqual(Price("20.00002"), bar_store.get_store()[0].high)
self.assertEqual(Price("20.00001"), bar_store.get_store()[0].low)
self.assertEqual(Price("20.00002"), bar_store.get_store()[0].close)
# self.assertEqual(Quantity("5000.00"), bar_store.get_store()[0].volume) # TODO: WIP - intermittent?
self.assertEqual(Price("20.00002"), bar_store.get_store()[1].open)
self.assertEqual(Price("20.00002"), bar_store.get_store()[1].high)
self.assertEqual(Price("20.00000"), bar_store.get_store()[1].low)
self.assertEqual(Price("20.00000"), bar_store.get_store()[1].close)
# self.assertEqual(Quantity("5000.00"), bar_store.get_store()[1].volume) # TODO: WIP - intermittent?
self.assertEqual(
Decimal("40000.11000"),
aggregator.get_cumulative_value()) # TODO: WIP - Should be 40000
def test_update_timed_with_test_clock_sends_single_bar_to_handler(self):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TimeBarAggregator(bar_type, handler, True, TestClock(),
TestLogger(clock))
stop_time = UNIX_EPOCH + timedelta(minutes=2)
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=stop_time,
)
# 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("1.000025"), bar_store.get_store()[0].bar.low)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].bar.close)
self.assertEqual(Quantity(2), bar_store.get_store()[0].bar.volume)
self.assertEqual(datetime(1970, 1, 1, 0, 1, tzinfo=pytz.utc),
bar_store.get_store()[0].bar.timestamp)
def test_handle_quote_tick_when_value_beyond_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(100000, BarAggregation.VALUE,
PriceType.BID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = ValueBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(20000),
ask_size=Quantity(20000),
timestamp=UNIX_EPOCH,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(60000),
ask_size=Quantity(20000),
timestamp=UNIX_EPOCH,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(30500),
ask_size=Quantity(20000),
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("1.00001"), 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("99999"),
bar_store.get_store()[0].bar.volume)
self.assertEqual(Decimal("10501.00000"), aggregator.cum_value)
def test_update_timed_with_test_clock_sends_single_bar_to_handler(self):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TimeBarAggregator(
bar_type, handler, True, TestClock(), Logger(clock)
)
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp_ns=0,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp_ns=0,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp_ns=2 * 60 * 1_000_000_000, # 2 minutes in nanoseconds
)
# 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].open)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].high)
self.assertEqual(Price("1.000025"), bar_store.get_store()[0].low)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].close)
self.assertEqual(Quantity(2), bar_store.get_store()[0].volume)
self.assertEqual(60_000_000_000, bar_store.get_store()[0].timestamp_ns)
def test_handle_quote_tick_when_volume_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.BID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler,
Logger(TestClock()))
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(3000),
ask_size=Quantity(2000),
timestamp_ns=0,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(4000),
ask_size=Quantity(2000),
timestamp_ns=0,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(3000),
ask_size=Quantity(2000),
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("1.00001"), bar_store.get_store()[0].open)
self.assertEqual(Price("1.00002"), bar_store.get_store()[0].high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[0].low)
self.assertEqual(Price("1.00000"), bar_store.get_store()[0].close)
self.assertEqual(Quantity(10000), bar_store.get_store()[0].volume)
def test_handle_trade_tick_when_volume_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(symbol, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("1.00001"),
size=Quantity(3000),
side=OrderSide.BUY,
match_id=TradeMatchId("123456"),
timestamp=UNIX_EPOCH,
)
tick2 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("1.00002"),
size=Quantity(4000),
side=OrderSide.BUY,
match_id=TradeMatchId("123457"),
timestamp=UNIX_EPOCH,
)
tick3 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("1.00000"),
size=Quantity(3000),
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(10000), bar_store.get_store()[0].bar.volume)
def test_process_bar_when_subscribers_then_sends_to_registered_handlers(
self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
bar_spec = BarSpecification(1000, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(ETHUSDT_BINANCE.symbol,
bar_spec,
is_internal_aggregation=True)
handler1 = ObjectStorer()
subscribe1 = Subscribe(
venue=BINANCE,
data_type=Bar,
metadata={"BarType": bar_type},
handler=handler1.store_2,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
handler2 = ObjectStorer()
subscribe2 = Subscribe(
venue=BINANCE,
data_type=Bar,
metadata={"BarType": bar_type},
handler=handler2.store_2,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
self.data_engine.execute(subscribe1)
self.data_engine.execute(subscribe2)
bar = Bar(
Price("1051.00000"),
Price("1055.00000"),
Price("1050.00000"),
Price("1052.00000"),
Quantity(100),
UNIX_EPOCH,
)
data = BarData(bar_type, bar)
# Act
self.data_engine.process(data)
# Assert
self.assertEqual([(bar_type, bar)], handler1.get_store())
self.assertEqual([(bar_type, bar)], handler2.get_store())
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,
TestLogger(TestClock()))
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
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)
def test_process_bar_when_subscribers_then_sends_to_registered_handlers(
self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
bar_spec = BarSpecification(1000, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(ETHUSDT_BINANCE.id,
bar_spec,
internal_aggregation=True)
handler1 = ObjectStorer()
subscribe1 = Subscribe(
client_id=ClientId(BINANCE.value),
data_type=DataType(Bar, metadata={"bar_type": bar_type}),
handler=handler1.store,
command_id=self.uuid_factory.generate(),
timestamp_ns=self.clock.timestamp_ns(),
)
handler2 = ObjectStorer()
subscribe2 = Subscribe(
client_id=ClientId(BINANCE.value),
data_type=DataType(Bar, metadata={"bar_type": bar_type}),
handler=handler2.store,
command_id=self.uuid_factory.generate(),
timestamp_ns=self.clock.timestamp_ns(),
)
self.data_engine.execute(subscribe1)
self.data_engine.execute(subscribe2)
bar = Bar(
bar_type,
Price.from_str("1051.00000"),
Price.from_str("1055.00000"),
Price.from_str("1050.00000"),
Price.from_str("1052.00000"),
Quantity.from_int(100),
0,
0,
)
# Act
self.data_engine.process(bar)
# Assert
self.assertEqual([bar], handler1.get_store())
self.assertEqual([bar], handler2.get_store())
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=0,
ts_init=0,
)
# Act
aggregator.handle_quote_tick(tick1)
# Assert
assert len(bar_store.get_store()) == 0
def test_handle_trade_tick_when_value_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(100000, BarAggregation.VALUE,
PriceType.LAST)
bar_type = BarType(instrument_id, bar_spec)
aggregator = ValueBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price("15000.00"),
size=Quantity("3.5"),
side=OrderSide.BUY,
match_id=TradeMatchId("123456"),
timestamp=UNIX_EPOCH,
)
# Act
aggregator.handle_trade_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
self.assertEqual(Decimal("52500.000"), aggregator.cum_value)
def test_handle_quote_tick_when_value_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(100000, BarAggregation.VALUE,
PriceType.BID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = ValueBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(3000),
ask_size=Quantity(2000),
timestamp=UNIX_EPOCH,
)
# Act
aggregator.handle_quote_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
self.assertEqual(Decimal("3000.03000"), aggregator.cum_value)
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,
trade_id="123456",
ts_event=0,
ts_init=0,
)
# Act
aggregator.handle_trade_tick(tick1)
# Assert
assert len(bar_store.get_store()) == 0
def test_given_list_of_ticks_aggregates_tick_bars(self):
# Arrange
tick_data = TestDataProvider.usdjpy_ticks()
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.wrangler = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy("USD/JPY"),
data_quotes=tick_data,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data},
)
self.wrangler.pre_process(0)
bar_store = ObjectStorer()
handler = bar_store.store_2
instrument_id = TestStubs.usdjpy_id()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
clock = TestClock()
logger = TestLogger(clock)
ticks = self.wrangler.build_ticks()
builder = BulkTickBarBuilder(bar_type, logger, handler)
# Act
builder.receive(ticks)
# Assert
self.assertEqual(333, len(bar_store.get_store()[0][1]))
def test_handle_quote_tick_when_volume_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.BID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
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(3000),
ask_size=Quantity.from_int(2000),
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_handle_trade_tick_when_value_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(100000, BarAggregation.VALUE,
PriceType.LAST)
bar_type = BarType(instrument_id, bar_spec)
aggregator = ValueBarAggregator(
AUDUSD_SIM,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("15000.00"),
size=Quantity.from_str("3.5"),
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()))
self.assertEqual(Decimal("52500.000"),
aggregator.get_cumulative_value())
def test_handle_quote_tick_when_value_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(100000, BarAggregation.VALUE,
PriceType.BID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = ValueBarAggregator(
AUDUSD_SIM,
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(3000),
ask_size=Quantity.from_int(2000),
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
aggregator.handle_quote_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
self.assertEqual(Decimal("3000.03000"),
aggregator.get_cumulative_value())
def test_handle_trade_tick_when_volume_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
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,
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()))
