def setUp(self):
self.time = 9000000000
self.simluation_clock = SimulationClock()
self.simluation_clock.reset()
self.simluation_clock.update_time(self.time)
self.input = DataSeries()
self.event_bus = BarAggregatorTest.DummyEventBus()
def setUp(self):
self.simluation_clock = SimulationClock()
self.realtime_clock = RealTimeClock()
self.simluation_clock.reset()
self.endtime = []
self.simluation_clock.update_time(ClockTest.ts)
class ClockTest(TestCase):
ts = 1467870720000
def sim_action(self, *arg):
self.endtime.append(self.simluation_clock.now())
def realtime_action(self, *arg):
self.endtime.append(self.realtime_clock.now())
def setUp(self):
self.simluation_clock = SimulationClock()
self.realtime_clock = RealTimeClock()
self.simluation_clock.reset()
self.endtime = []
self.simluation_clock.update_time(ClockTest.ts)
def test_simulation_clock_current_date_time_with_bar(self):
timestamp = ClockTest.ts + 10
bar = Bar(timestamp=timestamp)
self.simluation_clock.on_bar(bar)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_current_date_time_with_quote(self):
timestamp = ClockTest.ts + 10
quote = Quote(timestamp=timestamp)
self.simluation_clock.on_quote(quote)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_current_date_time_with_trade(self):
timestamp = ClockTest.ts + 10
trade = Trade(timestamp=timestamp)
self.simluation_clock.on_trade(trade)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_now(self):
self.assertEquals(ClockTest.ts, self.simluation_clock.now())
def test_simulation_clock_reset(self):
self.simluation_clock.reset()
self.assertEquals(0, self.simluation_clock.now())
def test_simulation_clock_schedule_absolute(self):
self.simluation_clock.schedule_absolute(ClockTest.ts + 1000, self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 999)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1000)
self.assertEquals([ClockTest.ts + 1000], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1001)
self.assertEquals([ClockTest.ts + 1000], self.endtime)
def test_simulation_schedule_absolute_beyond_trigger_time(self):
self.simluation_clock.schedule_absolute(ClockTest.ts + 1000, self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 5000)
self.assertEquals([ClockTest.ts + 5000], self.endtime)
def test_simulation_schedule_relative(self):
self.simluation_clock.schedule_relative(datetime.timedelta(seconds=3), self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1000)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 3000)
self.assertEquals([ClockTest.ts + 3000], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 4000)
self.assertEquals([ClockTest.ts + 3000], self.endtime)
def test_simulation_schedule_relative_beyond_trigger_time(self):
self.simluation_clock.schedule_relative(3000, self.sim_action, )
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 5000)
self.assertEquals([ClockTest.ts + 5000], self.endtime)
@nottest
def test_timestamp_conversion(self):
dt = datetime.datetime(year=2000, month=1, day=1, hour=7, minute=30, second=30)
ts = DateUtils.datetime_to_unixtimemillis(dt)
self.assertEqual(946683030000, ts)
dt2 = DateUtils.unixtimemillis_to_datetime(ts)
self.assertEquals(dt, dt2)
dt3 = datetime.datetime.fromtimestamp(0)
ts2 = DateUtils.datetime_to_unixtimemillis(dt3)
dt4 = DateUtils.unixtimemillis_to_datetime(ts2)
self.assertEquals(0, ts2)
self.assertEquals(dt3, dt4)
def test_real_time_clock_now(self):
ts = DateUtils.datetime_to_unixtimemillis(datetime.datetime.now())
ts2 = self.realtime_clock.now()
self.assertTrue(abs(ts - ts2) <= 10)
time.sleep(2)
ts3 = self.realtime_clock.now()
self.assertAlmostEqual(ts3 - ts2, 2000, -2)
def test_real_time_clock_schedule_absolute(self):
start = self.realtime_clock.now()
dt = DateUtils.unixtimemillis_to_datetime(start)
abs_time = dt + datetime.timedelta(seconds=1)
self.realtime_clock.schedule_absolute(abs_time, self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_schedule_relative(self):
start = self.realtime_clock.now()
print start
print DateUtils.unixtimemillis_to_datetime(start)
self.realtime_clock.schedule_relative(datetime.timedelta(seconds=1), self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_now(self):
s1 = gevent.core.time()
s2 = datetime.datetime.fromtimestamp(s1)
print s1, s2
s3 = self.realtime_clock.now()
s4 = DateUtils.unixtimemillis_to_datetime(s3)
print s3, s4
self.assertAlmostEqual(s1 * 1000, s3, -2)
def setUp(self):
self.simluation_clock = SimulationClock()
self.realtime_clock = RealTimeClock()
self.simluation_clock.reset()
self.endtime = []
self.simluation_clock.update_time(ClockTest.ts)
class ClockTest(TestCase):
ts = 1467870720000
def sim_action(self, *arg):
self.endtime.append(self.simluation_clock.now())
def realtime_action(self, *arg):
self.endtime.append(self.realtime_clock.now())
def setUp(self):
self.simluation_clock = SimulationClock()
self.realtime_clock = RealTimeClock()
self.simluation_clock.reset()
self.endtime = []
self.simluation_clock.update_time(ClockTest.ts)
def test_simulation_clock_current_date_time_with_bar(self):
timestamp = ClockTest.ts + 10
bar = Bar(timestamp=timestamp)
self.simluation_clock.on_bar(bar)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_current_date_time_with_quote(self):
timestamp = ClockTest.ts + 10
quote = Quote(timestamp=timestamp)
self.simluation_clock.on_quote(quote)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_current_date_time_with_trade(self):
timestamp = ClockTest.ts + 10
trade = Trade(timestamp=timestamp)
self.simluation_clock.on_trade(trade)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_simulation_clock_now(self):
self.assertEquals(ClockTest.ts, self.simluation_clock.now())
def test_simulation_clock_reset(self):
self.simluation_clock.reset()
self.assertEquals(0, self.simluation_clock.now())
def test_simulation_clock_schedule_absolute(self):
self.simluation_clock.schedule_absolute(ClockTest.ts + 1000,
self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 999)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1000)
self.assertEquals([ClockTest.ts + 1000], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1001)
self.assertEquals([ClockTest.ts + 1000], self.endtime)
def test_simulation_schedule_absolute_beyond_trigger_time(self):
self.simluation_clock.schedule_absolute(ClockTest.ts + 1000,
self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 5000)
self.assertEquals([ClockTest.ts + 5000], self.endtime)
def test_simulation_schedule_relative(self):
self.simluation_clock.schedule_relative(datetime.timedelta(seconds=3),
self.sim_action)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 1000)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 3000)
self.assertEquals([ClockTest.ts + 3000], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 4000)
self.assertEquals([ClockTest.ts + 3000], self.endtime)
def test_simulation_schedule_relative_beyond_trigger_time(self):
self.simluation_clock.schedule_relative(
3000,
self.sim_action,
)
self.assertEquals([], self.endtime)
self.simluation_clock.update_time(ClockTest.ts + 5000)
self.assertEquals([ClockTest.ts + 5000], self.endtime)
@nottest
def test_timestamp_conversion(self):
dt = datetime.datetime(year=2000,
month=1,
day=1,
hour=7,
minute=30,
second=30)
ts = DateUtils.datetime_to_unixtimemillis(dt)
self.assertEqual(946683030000, ts)
dt2 = DateUtils.unixtimemillis_to_datetime(ts)
self.assertEquals(dt, dt2)
dt3 = datetime.datetime.fromtimestamp(0)
ts2 = DateUtils.datetime_to_unixtimemillis(dt3)
dt4 = DateUtils.unixtimemillis_to_datetime(ts2)
self.assertEquals(0, ts2)
self.assertEquals(dt3, dt4)
def test_real_time_clock_now(self):
ts = DateUtils.datetime_to_unixtimemillis(datetime.datetime.now())
ts2 = self.realtime_clock.now()
self.assertTrue(abs(ts - ts2) <= 10)
time.sleep(2)
ts3 = self.realtime_clock.now()
self.assertAlmostEqual(ts3 - ts2, 2000, -2)
def test_real_time_clock_schedule_absolute(self):
start = self.realtime_clock.now()
dt = DateUtils.unixtimemillis_to_datetime(start)
abs_time = dt + datetime.timedelta(seconds=1)
self.realtime_clock.schedule_absolute(abs_time, self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_schedule_relative(self):
start = self.realtime_clock.now()
print start
print DateUtils.unixtimemillis_to_datetime(start)
self.realtime_clock.schedule_relative(datetime.timedelta(seconds=1),
self.realtime_action)
self.assertEquals([], self.endtime)
time.sleep(1.1)
self.assertEquals(1, len(self.endtime))
self.assertAlmostEqual(1000, self.endtime[0] - start, -2)
def test_real_time_clock_now(self):
s1 = gevent.core.time()
s2 = datetime.datetime.fromtimestamp(s1)
print s1, s2
s3 = self.realtime_clock.now()
s4 = DateUtils.unixtimemillis_to_datetime(s3)
print s3, s4
self.assertAlmostEqual(s1 * 1000, s3, -2)
class BarAggregatorTest(TestCase):
class DummyEventBus:
def __init__(self):
self.items = []
def reset(self):
self.items = []
def on_next(self, item):
print item
self.items.append(item)
def setUp(self):
self.time = 9000000000
self.simluation_clock = SimulationClock()
self.simluation_clock.reset()
self.simluation_clock.update_time(self.time)
self.input = DataSeries()
self.event_bus = BarAggregatorTest.DummyEventBus()
def update(self, input, data):
self.simluation_clock.update_time(data.timestamp)
self.input.add(data.to_dict())
def test_time_bar_from_trade(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = Trade(timestamp=self.time, inst_id=1, price=20, size=200)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
# expect get a aggregated bar at 9000059999
self.time += 49999
t = Trade(timestamp=self.time, inst_id=1, price=10, size=200)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000000000, timestamp=9000059999, type=1, size=60, open=20, high=20, low=10,
close=10, vol=400, adj_close=0), items[0])
def test_time_bar_from_bid(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input,
input_type=BarInputType.Bid)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = Quote(timestamp=self.time, inst_id=1, bid=30, bid_size=100)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 10000
t = Quote(timestamp=self.time, inst_id=1, bid=10, bid_size=200)
self.update(self.input, t)
self.assertEqual(2, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 10000
t = Quote(timestamp=self.time, inst_id=1, bid=70, bid_size=300)
self.update(self.input, t)
self.assertEqual(3, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 29998
t = Quote(timestamp=self.time, inst_id=1, bid=50, bid_size=400)
self.update(self.input, t)
self.assertEqual(4, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 3
self.simluation_clock.update_time(self.time)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000000000, timestamp=9000059999, type=1, size=60, open=30, high=70, low=10,
close=50, vol=1000, adj_close=0), items[0])
def test_time_bar_from_ask(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input,
input_type=BarInputType.Ask)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = Quote(timestamp=self.time, inst_id=1, ask=30, ask_size=100)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = Quote(timestamp=self.time, inst_id=1, ask=70, ask_size=300)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(1, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000000000, timestamp=9000059999, type=1, size=60, open=30, high=30, low=30,
close=30, vol=100, adj_close=0), items[0])
self.event_bus.reset()
self.time += 49999
t = Quote(timestamp=self.time, inst_id=1, ask=20, ask_size=100)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000060000, timestamp=9000119999, type=1, size=60, open=70, high=70, low=20,
close=20, vol=400, adj_close=0), items[0])
def test_time_bar_from_bidask(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input,
input_type=BarInputType.BidAsk)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = Quote(timestamp=self.time, inst_id=1, ask=30, ask_size=100, bid=0, bid_size=200)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 10000
t = Quote(timestamp=self.time, inst_id=1, ask=20, ask_size=150, bid=10, bid_size=0)
self.update(self.input, t)
self.assertEqual(2, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 39999
t = Quote(timestamp=self.time, inst_id=1, ask=70, ask_size=300, bid=80, bid_size=10)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000000000, timestamp=9000059999, type=1, size=60, open=30, high=80, low=20,
close=80, vol=260, adj_close=0), items[0])
def test_time_bar_from_mid(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input,
input_type=BarInputType.Middle)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 59999
t = Quote(timestamp=self.time, inst_id=1, ask=30, ask_size=100, bid=18, bid_size=200)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000000000, timestamp=9000059999, type=1, size=60, open=24, high=24, low=24,
close=24, vol=150, adj_close=0), items[0])
def test_tick_bar_from_trade(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input,
output_bar_type=BarType.Tick, output_size=3)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=20, size=200)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=80, size=100)
self.update(self.input, t)
self.assertEqual(2, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=10, size=200)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000060000, timestamp=9000180000, type=BarType.Tick, size=3, open=20, high=80,
low=10,
close=10, vol=500, adj_close=0), items[0])
def test_vol_bar_from_trade(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input,
output_bar_type=BarType.Volume, output_size=1000)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=20, size=200)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=80, size=100)
self.update(self.input, t)
self.assertEqual(2, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=10, size=1000)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(1, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000060000, timestamp=9000180000, type=BarType.Volume, size=1000, open=20,
high=80, low=10,
close=10, vol=1000, adj_close=0), items[0])
self.event_bus.reset()
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=50, size=2800)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(3, len(items))
self.assertEqual(1, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000180000, timestamp=9000240000, type=BarType.Volume, size=1000, open=10,
high=50, low=10,
close=50, vol=1000, adj_close=0), items[0])
self.assertEqual(
Bar(inst_id=1, begin_time=9000240000, timestamp=9000240000, type=BarType.Volume, size=1000, open=50,
high=50, low=50,
close=50, vol=1000, adj_close=0), items[1])
self.assertEqual(
Bar(inst_id=1, begin_time=9000240000, timestamp=9000240000, type=BarType.Volume, size=1000, open=50,
high=50, low=50,
close=50, vol=1000, adj_close=0), items[2])
self.event_bus.reset()
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=20, size=900)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000240000, timestamp=9000300000, type=BarType.Volume, size=1000, open=50,
high=50, low=20,
close=20, vol=1000, adj_close=0), items[0])
def __get_clock(self):
if self.app_config.clock_type == Clock.RealTime:
return RealTimeClock()
return SimulationClock()