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_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_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_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_run_trade_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
bar_spec = BarSpecification(10000, BarAggregation.VALUE,
PriceType.LAST)
bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec)
aggregator = ValueBarAggregator(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(7962, len(bar_store.get_store()))
self.assertEqual(Price("426.86"), last_bar.open)
self.assertEqual(Price("426.94"), last_bar.high)
self.assertEqual(Price("426.83"), last_bar.low)
self.assertEqual(Price("426.94"), last_bar.close)
self.assertEqual(Quantity(23), last_bar.volume)
def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
bar_spec = BarSpecification(10000, BarAggregation.VALUE,
PriceType.LAST)
bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec)
aggregator = ValueBarAggregator(
ETHUSDT_BINANCE,
bar_type,
handler,
Logger(TestClock()),
)
wrangler = TradeTickDataWrangler(instrument=ETHUSDT_BINANCE)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("binance-ethusdt-trades.csv")[:1000])
# Act
for tick in ticks:
aggregator.handle_trade_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1]
assert len(bar_store.get_store()) == 109
assert last_bar.open == Price.from_str("423.19")
assert last_bar.high == Price.from_str("423.25")
assert last_bar.low == Price.from_str("423.19")
assert last_bar.close == Price.from_str("423.25")
assert last_bar.volume == Quantity.from_int(24)
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_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(
AUDUSD_SIM,
bar_type,
handler,
Logger(TestClock()),
)
# Setup data
wrangler = QuoteTickDataWrangler(AUDUSD_SIM)
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()) == 6
assert last_bar.open == Price.from_str("0.671230")
assert last_bar.high == Price.from_str("0.671330")
assert last_bar.low == Price.from_str("0.670370")
assert last_bar.close == Price.from_str("0.670630")
assert last_bar.volume == Quantity.from_int(1490)
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, 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),
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(60000),
ask_size=Quantity.from_int(20000),
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(30500),
ask_size=Quantity.from_int(20000),
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("1.00001"),
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_str("99999"),
bar_store.get_store()[0].volume)
self.assertEqual(Decimal("10501.400"),
aggregator.get_cumulative_value())
def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
bar_spec = BarSpecification(10000, BarAggregation.VALUE, PriceType.LAST)
bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec)
aggregator = ValueBarAggregator(bar_type, handler, Logger(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)
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_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd()
bar_spec = BarSpecification(100000, BarAggregation.VALUE,
PriceType.LAST)
bar_type = BarType(symbol, bar_spec)
aggregator = ValueBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("20.00001"),
size=Quantity("3000.00"),
side=OrderSide.BUY,
match_id=TradeMatchId("123456"),
timestamp=UNIX_EPOCH,
)
tick2 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("20.00002"),
size=Quantity("4000.00"),
side=OrderSide.BUY,
match_id=TradeMatchId("123457"),
timestamp=UNIX_EPOCH,
)
tick3 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("20.00000"),
size=Quantity("5000.00"),
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(2, len(bar_store.get_store()))
self.assertEqual(Price("20.00001"), bar_store.get_store()[0].bar.open)
self.assertEqual(Price("20.00002"), bar_store.get_store()[0].bar.high)
self.assertEqual(Price("20.00001"), bar_store.get_store()[0].bar.low)
self.assertEqual(Price('20.00002'), bar_store.get_store()[0].bar.close)
self.assertEqual(Quantity("5000"), bar_store.get_store()[0].bar.volume)
self.assertEqual(Price("20.00002"), bar_store.get_store()[1].bar.open)
self.assertEqual(Price("20.00002"), bar_store.get_store()[1].bar.high)
self.assertEqual(Price("20.00000"), bar_store.get_store()[1].bar.low)
self.assertEqual(Price('20.00000'), bar_store.get_store()[1].bar.close)
self.assertEqual(Quantity("5000.00"),
bar_store.get_store()[1].bar.volume)
self.assertEqual(Decimal("40000.00000"), aggregator.cum_value)
def test_handle_quote_tick_when_value_beyond_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd()
bar_spec = BarSpecification(100000, BarAggregation.VALUE,
PriceType.BID)
bar_type = BarType(symbol, bar_spec)
aggregator = ValueBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(20000),
ask_size=Quantity(20000),
timestamp=UNIX_EPOCH,
)
tick2 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(60000),
ask_size=Quantity(20000),
timestamp=UNIX_EPOCH,
)
tick3 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
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_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(
AUDUSD_SIM,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("20.00001"),
size=Quantity.from_str("3000.00"),
aggressor_side=AggressorSide.BUY,
trade_id="123456",
ts_event=0,
ts_init=0,
)
tick2 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("20.00002"),
size=Quantity.from_str("4000.00"),
aggressor_side=AggressorSide.BUY,
trade_id="123457",
ts_event=0,
ts_init=0,
)
tick3 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("20.00000"),
size=Quantity.from_str("5000.00"),
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()) == 2
assert bar_store.get_store()[0].open == Price.from_str("20.00001")
assert bar_store.get_store()[0].high == Price.from_str("20.00002")
assert bar_store.get_store()[0].low == Price.from_str("20.00001")
assert bar_store.get_store()[0].close == Price.from_str("20.00002")
assert bar_store.get_store()[0].volume == Quantity.from_str("5000.00")
assert bar_store.get_store()[1].open == Price.from_str("20.00002")
assert bar_store.get_store()[1].high == Price.from_str("20.00002")
assert bar_store.get_store()[1].low == Price.from_str("20.00000")
assert bar_store.get_store()[1].close == Price.from_str("20.00000")
assert bar_store.get_store()[1].volume == Quantity.from_str("5000.00")
assert aggregator.get_cumulative_value() == Decimal("40000.11000")
