def test_reset_sets_amount_to_start_amount(rates):
rates.add_record(entry("BTC_ETH", 2), entry("ETH_BTC", 0.5)) \
.add_record(entry("BTC_ETH", 3), entry("ETH_BTC", 0.33)).finish()
env = make_env(rates, start_amount=2)
env.step("ETH")
env.reset()
assert env.amount == 2
def test_calculate_correct_statistics_of_multiple_entries(rates):
rates.add_record(entry("BTC_ETH", "10"), entry("LIC_GAME", "2")) \
.add_record(entry("BTC_ETH", "6"), entry("LIC_GAME", "1")).finish()
assert str(analyze(rates)) == " EXCHANGE | MEAN | SD | MEDIAN | MIN | MAX | DIF \n" \
"-------------------------------------------------------------------------\n" \
" BTC_ETH | 8.0| 2.0| 10.0| 6.0| 10.0| -4.0\n" \
" LIC_GAME | 1.5| 0.5| 2.0| 1.0| 2.0| -1.0\n"
def test_long_and_short(rates):
rates.add_record(entry("BTC_ETH",
"1")).add_record(entry("BTC_ETH", "2")).add_record(
entry("BTC_ETH", "3")).finish()
vis, plotter = make_visualizer(rates)
vis.record_exchange(0, "ETH")
vis.record_exchange(2, "BTC")
vis.render("BTC_ETH")
assert plotter.plots[0] == ((
0,
Decimal('1'),
'o',
), {
'markerfacecolor': 'r',
'markeredgecolor': 'k',
'markersize': 10
})
assert plotter.plots[1] == ((
2,
Decimal('3'),
'^',
), {
'markerfacecolor': 'g',
'markeredgecolor': 'k',
'markersize': 10
})
assert plotter.plots[2] == (([Decimal('1'),
Decimal('2'),
Decimal('3')], ), {
'color': 'blue',
'label': 'Rate'
})
def test_current_balance(rates):
rates.add_record(entry("BTC_ETH", "2")).add_record(entry("BTC_ETH",
"3")).finish()
env = make_env(rates, start_coin="BTC", start_amount=2)
env.step(None)
assert env.balance_in("BTC") == 2
assert env.balance_in("ETH") == 6
def test_data_too_small_for_window(rates):
rates.add_record(entry("BTC_ETH", 1)).add_record(entry("BTC_ETH",
2)).finish()
with pytest.raises(WindowError) as e:
make_env(rates, window=3)
assert str(
e.value) == "There is not enough data to fill the window of size 3"
def test_agent_step_received_all_but_last_reward(env, agent_spy):
env.add_record(entry("BTC_ETH", 1), None) \
.add_record(entry("BTC_ETH", 2), 3) \
.add_record(entry("BTC_ETH", 3), -10) \
.add_record(entry("BTC_ETH", 4), 9).finish()
make_session(env, agent_spy).run()
assert agent_spy.received_rewards == [3, -10]
def test_calculates_rate_if_calculator_is_provided(rates):
rates.add_record(entry("BTC_ETH", 1.1)) \
.add_record(entry("BTC_ETH", 1.2)).finish()
env = make_env(rates, reward_calculator=lambda e: 2.0)
_, r, _, _ = env.step(None)
assert r == 2.0
def test_multiple_exchange_rates(rates):
rates.add_record(entry("BTC_ETH", "1.267"), entry("LIC_GAME",
"10.9")).finish()
assert str(analyze(rates)) == " EXCHANGE | MEAN | SD | MEDIAN | MIN | MAX | DIF \n" \
"-------------------------------------------------------------------------\n" \
" BTC_ETH | 1.267| 0.0| 1.267| 1.267| 1.267| 0.0\n" \
" LIC_GAME | 10.9| 0.0| 10.9| 10.9| 10.9| 0.0\n"
def test_calculate_correct_statistics(rates):
rates.add_record(entry("BTC_ETH", "10")) \
.add_record(entry("BTC_ETH", "5")) \
.add_record(entry("BTC_ETH", "12")).finish()
assert str(analyze(rates)) == " EXCHANGE | MEAN | SD | MEDIAN | MIN | MAX | DIF \n" \
"-------------------------------------------------------------------------\n" \
" BTC_ETH | 9.0|2.94392028| 10.0| 5.0| 12.0| 2.0\n"
def test_exchanging_to_itself(rates):
rates.add_record(entry("BTC_ETH", "12", "0.002")) \
.add_record(entry("BTC_ETH", "14")).finish()
env = make_env(rates, "BTC", 2)
env.step("BTC")
assert env.amount == 2
assert env.token == "BTC"
def test_exchanging(rates):
rates.add_record(entry("BTC_ETH", "12", "0.002"), entry("ETH_BTC", "0.12")) \
.add_record(entry("BTC_ETH", "14"), entry("ETH_BTC", "0.14")).finish()
env = make_env(rates, "BTC", 2)
env.step("ETH")
assert env.amount == 23.998
assert env.token == "ETH"
def test_visualize_meta_data(rates):
rates.add_record(entry("BTC_ETH", "1")).add_record(entry("BTC_ETH",
"2")).finish()
vis, plotter = make_visualizer(rates)
vis.render("BTC_ETH")
assert plotter.title_str == "BTC_ETH"
assert plotter.x_axis == "Time"
assert plotter.y_axis == "Rate"
def test_calculating_loss(env, agent):
env.add_record(entry("BTC_ETH", 1)) \
.add_record(entry("BTC_ETH", 2, miner_fee=0)) \
.add_record(entry("ETH_BTC", "0.5")).finish()
agent.set_actions(None, "ETH")
sess = make_session(env, agent)
sess.run()
assert sess.difference() == Decimal(0)
def test_balance_after_exchange(rates):
rates.add_record(entry("BTC_ETH", "2",
miner_fee="0.1")).add_record(entry("ETH_BTC",
"1")).finish()
env = make_env(rates, start_coin="BTC", start_amount=2)
env.step("ETH")
assert env.balance_in("BTC") == 3.9
assert env.balance_in("ETH") == 3.9
def test_step_yields_next_state(rates):
rates.add_record(entry("BTC_ETH", 1.1)) \
.add_record(entry("BTC_ETH", 1.2)).finish()
env = make_env(rates)
s, _, _, _ = env.step(None)
assert s["token"] == "BTC"
assert s["balance"] == 1
assert s["rates"][0]["BTC_ETH"] == entry("BTC_ETH", 1.2)
def test_action_not_in_mapping_counts_as_none(rates):
rates.add_record(entry("BTC_ETH", "2", "0"), entry("ETH_BTC", "0.5", "0")) \
.add_record(entry("BTC_ETH", "1", "0"), entry("ETH_BTC", "1", "0")).finish()
s, _, _, _ = make_env(rates,
start_coin="BTC",
index_to_coin={
1: "BTC",
2: "ETH"
}).step(0)
assert s[1] == 0.0
def test_normalized_balance(rates):
rates.add_record(entry("BTC_ETH", "2", "0"), entry("ETH_BTC", "0.5", "0")) \
.add_record(entry("BTC_ETH", "1", "0"), entry("ETH_BTC", "1", "0")).finish()
s, _, _, _ = make_env(rates,
start_coin="BTC",
index_to_coin={
0: "BTC",
1: "ETH"
}).step(1)
assert s[1] == 1.0
def test_visualize_rates(rates):
rates.add_record(entry("BTC_ETH", "1")).add_record(entry("BTC_ETH",
"2")).finish()
vis, plotter = make_visualizer(rates)
vis.render("BTC_ETH")
assert plotter.is_shown is True
assert plotter.plots[0] == (([Decimal('1'), Decimal('2')], ), {
'color': 'blue',
'label': 'Rate'
})
def test_transform_rates_if_specified(rates):
rates.add_record(entry("BTC_ETH", 1.1)) \
.add_record(entry("BTC_ETH", 1.2)).finish()
env = make_env(rates,
transform=lambda s: float(s["rates"][0]["BTC_ETH"].rate))
s = env.reset()
assert s == 1.1
s, _, _, _ = env.step(None)
assert s == 1.2
def test_environment_with_window(rates):
rates.add_record(entry("BTC_ETH", 1.1)) \
.add_record(entry("BTC_ETH", 1.2)) \
.add_record(entry("BTC_ETH", 1.3)).finish()
s = make_env(rates, window=2).reset()
assert s["rates"] == [{
"BTC_ETH": entry("BTC_ETH", 1.1)
}, {
"BTC_ETH": entry("BTC_ETH", 1.2)
}]
def test_reset_returns_environment_to_start(rates):
rates.add_record(entry("BTC_ETH", 1.1)) \
.add_record(entry("BTC_ETH", 1.2)).finish()
env = make_env(rates)
env.step(None)
env.reset()
s, _, _, _ = env.step(None)
assert s["token"] == "BTC"
assert s["balance"] == 1
assert s["rates"][0]["BTC_ETH"] == entry("BTC_ETH", 1.2)
def test_calculated_differences_are_normalized(q_function, policy_spy):
env = CryptoEnvironmentStub(action_to_token={
1: "BTC",
2: "ETH"
},
active_token="BTC")
env.add_record(entry("BTC_ETH", "10")). \
add_record(entry("BTC_ETH", "8.1")).finish()
policy = make_policy(env, policy_spy, 1.0, threshold=0.2)
policy.select(A_STATE, q_function)
assert policy_spy.received_select_args == (A_STATE, q_function)
def test_agent_received_initial_state_as_start(env, agent_spy):
env.add_record(entry("BTC_ETH", 1)).add_record(entry("BTC_ETH",
2)).finish()
make_session(env, agent_spy).run()
assert agent_spy.received_start_state == {
"token": "BTC",
"balance": Decimal("2"),
"rates": [{
"BTC_ETH": entry("BTC_ETH", 1)
}]
}
def test_coin_not_part_of_render_exchange(rates):
rates.add_record(entry("BTC_ETH",
"1")).add_record(entry("BTC_ETH", "2")).add_record(
entry("BTC_ETH", "3")).finish()
vis, plotter = make_visualizer(rates)
vis.record_exchange(1, "RPL")
vis.render("BTC_ETH")
assert plotter.plots[0] == (([Decimal('1'),
Decimal('2'),
Decimal('3')], ), {
'color': 'blue',
'label': 'Rate'
})
def test_rigging_leaves_rates_unaffected(q_function):
env = CryptoEnvironmentStub(action_to_token={
1: "BTC",
2: "ETH"
},
active_token="BTC")
env.add_record(entry("BTC_ETH", "2")). \
add_record(entry("BTC_ETH", "4")). \
add_record(entry("BTC_ETH", "1")). \
add_record(entry("BTC_ETH", "3")).finish()
policy = make_policy(env, policy_spy, 1.0)
policy.select(A_STATE, q_function)
assert next(env.rates_stream)["BTC_ETH"] == entry("BTC_ETH", "2")
def test_rigging_happens_by_specified_change(q_function):
random.seed(7)
env = CryptoEnvironmentStub(action_to_token={
1: "BTC",
2: "ETH"
},
active_token="BTC")
env.add_record(entry("BTC_ETH", "2")). \
add_record(entry("BTC_ETH", "4")). \
add_record(entry("BTC_ETH", "1")). \
add_record(entry("BTC_ETH", "2")).finish()
policy = make_policy(env, PolicyDummy(), 0.5)
assert policy.select(A_STATE, q_function) == 0
def test_window_moves_when_stepping(rates):
rates.add_record(entry("BTC_ETH", 1.1)) \
.add_record(entry("BTC_ETH", 1.2)) \
.add_record(entry("BTC_ETH", 1.3)).finish()
e = make_env(rates, window=2)
e.reset()
s, _, done, _ = e.step(None)
assert done
assert s["rates"] == [{
"BTC_ETH": entry("BTC_ETH", 1.2)
}, {
"BTC_ETH": entry("BTC_ETH", 1.3)
}]
def test_rigging_starts_at_current_rate_position(q_function):
env = CryptoEnvironmentStub(action_to_token={
1: "BTC",
2: "ETH"
},
active_token="BTC")
env.add_record(entry("BTC_ETH", "1")). \
add_record(entry("BTC_ETH", "4")). \
add_record(entry("BTC_ETH", "1")). \
add_record(entry("BTC_ETH", "2")).finish()
env.step(0)
policy = make_policy(env, policy_spy, 1.0)
assert policy.select(A_STATE, q_function) == 2
assert policy.select(A_STATE, q_function) == 1
def test_rigging_looks_ahead_for_profitable_exchange_and_selects_actions_accordingly(
q_function):
env = CryptoEnvironmentStub(action_to_token={
1: "BTC",
2: "ETH"
},
active_token="BTC")
env.add_record(entry("BTC_ETH", "2")). \
add_record(entry("BTC_ETH", "4")). \
add_record(entry("BTC_ETH", "1")). \
add_record(entry("BTC_ETH", "2")).finish()
policy = make_policy(env, PolicyDummy(), 1.0)
assert policy.select(A_STATE, q_function) == 0
assert policy.select(A_STATE, q_function) == 2
assert policy.select(A_STATE, q_function) == 1
def test_reward_calculator_is_called_with_the_current_state(rates):
rates.add_record(entry("BTC_ETH", 1.1)) \
.add_record(entry("BTC_ETH", 1.2)).finish()
class RCalc:
def __init__(self):
self.received_state = None
def __call__(self, state):
self.received_state = state
return 0
calc = RCalc()
env = make_env(rates, reward_calculator=calc)
s, _, _, _ = env.step(None)
assert calc.received_state == s
