def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.cache = TestStubs.cache()
self.portfolio = Portfolio(
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.data_engine = DataEngine(
portfolio=self.portfolio,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.client = DataClient(
client_id=ClientId("TEST_PROVIDER"),
engine=self.data_engine,
clock=self.clock,
logger=self.logger,
)
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.data_engine = DataEngine(
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.client = DataClient(
venue=self.venue,
engine=self.data_engine,
clock=self.clock,
logger=self.logger,
)
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.trader_id = TestIdStubs.trader_id()
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestComponentStubs.cache()
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.data_engine = DataEngine(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.client = DataClient(
client_id=ClientId("TEST_PROVIDER"),
venue=self.venue,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
class DataClientTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.data_engine = DataEngine(
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.client = DataClient(
venue=self.venue,
engine=self.data_engine,
clock=self.clock,
logger=self.logger,
)
def test_connect_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.connect)
def test_disconnect_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.disconnect)
def test_reset_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.reset)
def test_dispose_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.dispose)
def test_subscribe_instrument_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.subscribe_instrument, AUDUSD_SIM.symbol)
def test_subscribe_quote_ticks_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.subscribe_quote_ticks, AUDUSD_SIM.symbol)
def test_subscribe_trade_ticks_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.subscribe_trade_ticks, AUDUSD_SIM.symbol)
def test_subscribe_bars_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.subscribe_bars, TestStubs.bartype_gbpusd_1sec_mid())
def test_unsubscribe_instrument_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.unsubscribe_instrument, AUDUSD_SIM.symbol)
def test_unsubscribe_quote_ticks_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.unsubscribe_quote_ticks, AUDUSD_SIM.symbol)
def test_unsubscribe_trade_ticks_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.unsubscribe_trade_ticks, AUDUSD_SIM.symbol)
def test_unsubscribe_bars_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.unsubscribe_bars, TestStubs.bartype_gbpusd_1sec_mid())
def test_request_instrument_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.request_instrument, None, None)
def test_request_instruments_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.request_instruments, None)
def test_request_quote_ticks_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.request_quote_ticks, None, None, None, 0, None)
def test_request_trade_ticks_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.request_trade_ticks, None, None, None, 0, None)
def test_request_bars_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.request_bars, None, None, None, 0, None)
def test_handle_instrument_sends_to_data_engine(self):
# Arrange
# Act
self.client._handle_instrument_py(AUDUSD_SIM)
# Assert
self.assertEqual(1, self.data_engine.data_count)
def test_handle_quote_tick_sends_to_data_engine(self):
# Arrange
tick = QuoteTick(
AUDUSD_SIM.symbol,
Price("1.00050"),
Price("1.00048"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
self.client._handle_quote_tick_py(tick)
# Assert
self.assertEqual(1, self.data_engine.data_count)
def test_handle_trade_tick_sends_to_data_engine(self):
# Arrange
tick = TradeTick(
AUDUSD_SIM.symbol,
Price("1.00050"),
Quantity(1),
OrderSide.BUY,
TradeMatchId("123456"),
UNIX_EPOCH,
)
# Act
self.client._handle_trade_tick_py(tick)
# Assert
self.assertEqual(1, self.data_engine.data_count)
def test_handle_bar_sends_to_data_engine(self):
# Arrange
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
bar = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
UNIX_EPOCH,
)
# Act
self.client._handle_bar_py(bar_type, bar)
# Assert
self.assertEqual(1, self.data_engine.data_count)
def test_handle_instruments_sends_to_data_engine(self):
# Arrange
# Act
self.client._handle_instruments_py([], self.uuid_factory.generate())
# Assert
self.assertEqual(1, self.data_engine.response_count)
def test_handle_quote_ticks_sends_to_data_engine(self):
# Arrange
# Act
self.client._handle_quote_ticks_py(AUDUSD_SIM.symbol, [], self.uuid_factory.generate())
# Assert
self.assertEqual(1, self.data_engine.response_count)
def test_handle_trade_ticks_sends_to_data_engine(self):
# Arrange
# Act
self.client._handle_trade_ticks_py(AUDUSD_SIM.symbol, [], self.uuid_factory.generate())
# Assert
self.assertEqual(1, self.data_engine.response_count)
def test_handle_bars_sends_to_data_engine(self):
# Arrange
# Act
self.client._handle_bars_py(
TestStubs.bartype_gbpusd_1sec_mid(),
[],
None,
self.uuid_factory.generate(),
)
# Assert
self.assertEqual(1, self.data_engine.response_count)
class TestDataClient:
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.trader_id = TestStubs.trader_id()
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestStubs.cache()
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.data_engine = DataEngine(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.client = DataClient(
client_id=ClientId("TEST_PROVIDER"),
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
def test_handle_data_sends_to_data_engine(self):
# Arrange
data_type = DataType(NewsEvent, {"Type": "NEWS_WIRE"})
data = NewsEvent(
impact=NewsImpact.HIGH,
name="Unemployment Rate",
currency=USD,
ts_event=0,
ts_init=0,
)
generic_data = GenericData(data_type, data)
# Act
self.client._handle_data_py(generic_data)
# Assert
assert self.data_engine.data_count == 1
def test_handle_data_response_sends_to_data_engine(self):
# Arrange
data_type = DataType(NewsEvent, {"Type": "NEWS_WIRE"})
data = NewsEvent(
impact=NewsImpact.HIGH,
name="Unemployment Rate",
currency=USD,
ts_event=0,
ts_init=0,
)
# Act
self.client._handle_data_response_py(data_type, data,
self.uuid_factory.generate())
# Assert
assert self.data_engine.response_count == 1
class DataClientTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.data_engine = DataEngine(
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.client = DataClient(
name="TEST_PROVIDER",
engine=self.data_engine,
clock=self.clock,
logger=self.logger,
)
def test_connect_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.connect)
def test_disconnect_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.disconnect)
def test_reset_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.reset)
def test_dispose_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.dispose)
def test_subscribe_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.subscribe,
DataType(str))
def test_unsubscribe_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.unsubscribe,
DataType(str))
def test_request_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.request,
DataType(str), self.uuid_factory.generate())
def test_handle_data_sends_to_data_engine(self):
# Arrange
data_type = DataType(str, {"Type": "NEWS_WIRE"})
data = GenericData(data_type, "Some news headline", UNIX_EPOCH)
# Act
self.client._handle_data_py(data)
# Assert
self.assertEqual(1, self.data_engine.data_count)
def test_handle_data_response_sends_to_data_engine(self):
# Arrange
data_type = DataType(str, {
"Type": "ECONOMIC_DATA",
"topic": "unemployment"
})
data = GenericData(data_type, "may 2020, 6.9%", UNIX_EPOCH)
# Act
self.client._handle_data_response_py(data,
self.uuid_factory.generate())
# Assert
self.assertEqual(1, self.data_engine.response_count)
class DataClientTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.cache = TestStubs.cache()
self.portfolio = Portfolio(
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.data_engine = DataEngine(
portfolio=self.portfolio,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.client = DataClient(
client_id=ClientId("TEST_PROVIDER"),
engine=self.data_engine,
clock=self.clock,
logger=self.logger,
)
def test_connect_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.connect)
def test_disconnect_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.disconnect)
def test_reset_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.reset)
def test_dispose_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.dispose)
def test_subscribe_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.subscribe, DataType(str))
def test_unsubscribe_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(NotImplementedError, self.client.unsubscribe, DataType(str))
def test_request_when_not_implemented_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(
NotImplementedError,
self.client.request,
DataType(str),
self.uuid_factory.generate(),
)
def test_handle_data_sends_to_data_engine(self):
# Arrange
data_type = DataType(NewsEvent, {"Type": "NEWS_WIRE"})
data = NewsEvent(
impact=NewsImpact.HIGH,
name="Unemployment Rate",
currency=USD,
ts_event_ns=0,
ts_recv_ns=0,
)
generic_data = GenericData(data_type, data)
# Act
self.client._handle_data_py(generic_data)
# Assert
self.assertEqual(1, self.data_engine.data_count)
def test_handle_data_response_sends_to_data_engine(self):
# Arrange
data_type = DataType(NewsEvent, {"Type": "NEWS_WIRE"})
data = NewsEvent(
impact=NewsImpact.HIGH,
name="Unemployment Rate",
currency=USD,
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
self.client._handle_data_response_py(
data_type, data, self.uuid_factory.generate()
)
# Assert
self.assertEqual(1, self.data_engine.response_count)