def test_instantiate(self):
# Arrange
indicator = BidAskMinMax(self.instrument_id, timedelta(minutes=5))
# Act, Assert
assert indicator.bids.min_price is None
assert indicator.bids.max_price is None
assert indicator.asks.min_price is None
assert indicator.asks.max_price is None
assert indicator.initialized is False
def test_instantiate(self):
# Arrange
indicator = BidAskMinMax(self.instrument_id, timedelta(minutes=5))
# Act
# Assert
self.assertEqual(None, indicator.bids.min_price)
self.assertEqual(None, indicator.bids.max_price)
self.assertEqual(None, indicator.asks.min_price)
self.assertEqual(None, indicator.asks.max_price)
self.assertEqual(False, indicator.initialized)
def test_handle_quote_tick(self):
# Arrange
indicator = BidAskMinMax(self.instrument_id, timedelta(minutes=5))
# Act
indicator.handle_quote_tick(
QuoteTick(
self.instrument_id,
Price("1.0"),
Price("2.0"),
Quantity(1),
Quantity(1),
0,
))
# 5 min later (still in the window)
indicator.handle_quote_tick(
QuoteTick(
self.instrument_id,
Price("0.9"),
Price("2.1"),
Quantity(1),
Quantity(1),
3e11,
))
# Assert
self.assertEqual(Price("0.9"), indicator.bids.min_price)
self.assertEqual(Price("1.0"), indicator.bids.max_price)
self.assertEqual(Price("2.1"), indicator.asks.min_price)
self.assertEqual(Price("2.1"), indicator.asks.max_price)
def test_handle_quote_tick(self):
# Arrange
indicator = BidAskMinMax(self.symbol, timedelta(minutes=5))
# Act
indicator.handle_quote_tick(
QuoteTick(
self.symbol,
Price("1.0"),
Price("2.0"),
Quantity(1),
Quantity(1),
datetime(2020, 1, 1, 0, 0, 0, tzinfo=pytz.utc),
)
)
# 5 min later (still in the window)
indicator.handle_quote_tick(
QuoteTick(
self.symbol,
Price("0.9"),
Price("2.1"),
Quantity(1),
Quantity(1),
datetime(2020, 1, 1, 0, 5, 0, tzinfo=pytz.utc),
)
)
# Assert
self.assertEqual(Price("0.9"), indicator.bids.min_price)
self.assertEqual(Price("1.0"), indicator.bids.max_price)
self.assertEqual(Price("2.1"), indicator.asks.min_price)
self.assertEqual(Price("2.1"), indicator.asks.max_price)
def test_handle_quote_tick(self):
# Arrange
indicator = BidAskMinMax(self.instrument_id, timedelta(minutes=5))
# Act
indicator.handle_quote_tick(
QuoteTick(
instrument_id=self.instrument_id,
bid=Price.from_str("1.0"),
ask=Price.from_str("2.0"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
))
# 5 min later (still in the window)
indicator.handle_quote_tick(
QuoteTick(
instrument_id=self.instrument_id,
bid=Price.from_str("0.9"),
ask=Price.from_str("2.1"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=3e11,
ts_init=3e11,
))
# Assert
assert indicator.bids.min_price == Price.from_str("0.9")
assert indicator.bids.max_price == Price.from_str("1.0")
assert indicator.asks.min_price == Price.from_str("2.1")
assert indicator.asks.max_price == Price.from_str("2.1")
def test_reset(self):
# Arrange
indicator = BidAskMinMax(self.instrument_id, timedelta(minutes=5))
indicator.handle_quote_tick(
QuoteTick(
self.instrument_id,
Price("0.9"),
Price("2.1"),
Quantity(1),
Quantity(1),
0,
))
# Act
indicator.reset()
# Assert
self.assertIsNone(indicator.bids.min_price)
self.assertIsNone(indicator.asks.min_price)
def test_reset(self):
# Arrange
indicator = BidAskMinMax(self.instrument_id, timedelta(minutes=5))
indicator.handle_quote_tick(
QuoteTick(
instrument_id=self.instrument_id,
bid=Price.from_str("0.9"),
ask=Price.from_str("2.1"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
))
# Act
indicator.reset()
# Assert
assert indicator.bids.min_price is None
assert indicator.asks.min_price is None
def test_reset(self):
# Arrange
indicator = BidAskMinMax(self.symbol, timedelta(minutes=5))
indicator.handle_quote_tick(
QuoteTick(
self.symbol,
Price("0.9"),
Price("2.1"),
Quantity(1),
Quantity(1),
datetime(2020, 1, 1, 0, 5, 0, tzinfo=pytz.utc),
)
)
# Act
indicator.reset()
# Assert
self.assertIsNone(indicator.bids.min_price)
self.assertIsNone(indicator.asks.min_price)