def test_to_dict(self):
# Arrange
bar = Bar(
AUDUSD_1_MIN_BID,
Price.from_str("1.00001"),
Price.from_str("1.00004"),
Price.from_str("1.00002"),
Price.from_str("1.00003"),
Quantity.from_int(100000),
0,
0,
)
# Act
values = Bar.to_dict(bar)
# Assert
assert values == {
"type": "Bar",
"bar_type": "AUD/USD.SIM-1-MINUTE-BID",
"open": "1.00001",
"high": "1.00004",
"low": "1.00002",
"close": "1.00003",
"volume": "100000",
"ts_event_ns": 0,
"ts_recv_ns": 0,
}
def test_bar_with_two_bars_returns_expected_bar(self):
# Arrange
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
bar1 = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
UNIX_EPOCH,
)
bar2 = Bar(
Price("1.00002"),
Price("1.00003"),
Price("1.00004"),
Price("1.00005"),
Quantity(200000),
UNIX_EPOCH,
)
self.cache.add_bar(bar_type, bar1)
self.cache.add_bar(bar_type, bar2)
# Act
result = self.cache.bar(bar_type, index=0)
# Assert
self.assertEqual(2, self.cache.bar_count(bar_type))
self.assertEqual(bar2, result)
def test_equality(self):
# Arrange
bar1 = Bar(
AUDUSD_1_MIN_BID,
Price.from_str("1.00001"),
Price.from_str("1.00004"),
Price.from_str("1.00002"),
Price.from_str("1.00003"),
Quantity.from_int(100000),
0,
0,
)
bar2 = Bar(
AUDUSD_1_MIN_BID,
Price.from_str("1.00000"),
Price.from_str("1.00004"),
Price.from_str("1.00002"),
Price.from_str("1.00003"),
Quantity.from_int(100000),
0,
0,
)
# Act
# Assert
assert bar1 == bar1
assert bar1 != bar2
def test_from_dict_returns_expected_bar(self):
# Arrange
bar = TestStubs.bar_5decimal()
# Act
result = Bar.from_dict(Bar.to_dict(bar))
# Assert
assert result == bar
def test_from_serializable_string_given_malformed_string_raises_value_error(self):
# Arrange
bar = Bar(
AUDUSD_1_MIN_BID,
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
0,
)
# Act
# Assert
with pytest.raises(ValueError):
bar.from_serializable_str(AUDUSD_1_MIN_BID, "NOT_BAR_VALUES!")
def test_process_bar_when_subscriber_then_sends_to_registered_handler(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
bar_spec = BarSpecification(1000, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec, internal_aggregation=True)
handler = ObjectStorer()
subscribe = Subscribe(
provider=BINANCE.value,
data_type=DataType(Bar, metadata={"BarType": bar_type}),
handler=handler.store_2,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
self.data_engine.execute(subscribe)
bar = Bar(
Price("1051.00000"),
Price("1055.00000"),
Price("1050.00000"),
Price("1052.00000"),
Quantity(100),
UNIX_EPOCH,
)
data = BarData(bar_type, bar)
# Act
self.data_engine.process(data)
# Assert
self.assertEqual([(bar_type, bar)], handler.get_store())
def test_reset_strategy(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
bar = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
datetime(1970, 1, 1, 00, 00, 0, 0, pytz.utc),
)
strategy.handle_bar(bar_type, bar)
# Act
strategy.reset()
# Assert
self.assertEqual(ComponentState.INITIALIZED, strategy.state())
self.assertEqual(0, strategy.ema1.count)
self.assertEqual(0, strategy.ema2.count)
self.assertTrue("custom reset logic" in strategy.object_storer.get_store())
def test_update_indicators(self):
# Arrange
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
bar = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
datetime(1970, 1, 1, 00, 00, 0, 0, pytz.utc),
)
# Act
strategy.handle_bar(bar_type, bar)
# Assert
self.assertEqual(1, strategy.ema1.count)
self.assertEqual(1, strategy.ema2.count)
def test_set_partial_updates_bar_to_expected_properties(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE,
bar_type,
use_previous_close=True)
partial_bar = Bar(
bar_type=bar_type,
open_price=Price.from_str("1.00001"),
high_price=Price.from_str("1.00010"),
low_price=Price.from_str("1.00000"),
close_price=Price.from_str("1.00002"),
volume=Quantity.from_str("1"),
ts_event_ns=1_000_000_000,
ts_recv_ns=1_000_000_000,
)
# Act
builder.set_partial(partial_bar)
bar = builder.build_now()
# Assert
self.assertEqual(Price.from_str("1.00001"), bar.open)
self.assertEqual(Price.from_str("1.00010"), bar.high)
self.assertEqual(Price.from_str("1.00000"), bar.low)
self.assertEqual(Price.from_str("1.00002"), bar.close)
self.assertEqual(Quantity.from_str("1"), bar.volume)
self.assertEqual(1_000_000_000, bar.ts_recv_ns)
self.assertEqual(1_000_000_000, builder.last_timestamp_ns)
def test_process_bar_when_subscriber_then_sends_to_registered_handler(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
bar_spec = BarSpecification(1000, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec, internal_aggregation=True)
handler = ObjectStorer()
subscribe = Subscribe(
client_id=ClientId(BINANCE.value),
data_type=DataType(Bar, metadata={"BarType": bar_type}),
handler=handler.store,
command_id=self.uuid_factory.generate(),
timestamp_ns=self.clock.timestamp_ns(),
)
self.data_engine.execute(subscribe)
bar = Bar(
bar_type,
Price.from_str("1051.00000"),
Price.from_str("1055.00000"),
Price.from_str("1050.00000"),
Price.from_str("1052.00000"),
Quantity.from_int(100),
0,
0,
)
# Act
self.data_engine.process(bar)
# Assert
self.assertEqual([bar], handler.get_store())
def test_to_serializable_string(self):
# Arrange
bar = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
UNIX_EPOCH,
)
# Act
serializable = bar.to_serializable_str()
# Assert
assert "1.00001,1.00004,1.00002,1.00003,100000,0" == serializable
def test_from_serializable_string_given_malformed_string_raises_value_error(
self):
# Arrange
bar = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
UNIX_EPOCH,
)
# Act
# Assert
with pytest.raises(ValueError):
bar.from_serializable_str("NOT_A_BAR")
def test_set_partial_updates_bar_to_expected_properties(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
partial_bar = Bar(
open_price=Price("1.00001"),
high_price=Price("1.00010"),
low_price=Price("1.00000"),
close_price=Price("1.00002"),
volume=Quantity("1"),
timestamp=UNIX_EPOCH + timedelta(seconds=1),
)
# Act
builder.set_partial(partial_bar)
bar = builder.build()
# Assert
self.assertEqual(Price("1.00001"), bar.open)
self.assertEqual(Price("1.00010"), bar.high)
self.assertEqual(Price("1.00000"), bar.low)
self.assertEqual(Price("1.00002"), bar.close)
self.assertEqual(Quantity("1"), bar.volume)
self.assertEqual(UNIX_EPOCH + timedelta(seconds=1), bar.timestamp)
self.assertEqual(UNIX_EPOCH + timedelta(seconds=1),
builder.last_timestamp)
def test_to_serializable_string(self):
# Arrange
bar = Bar(
AUDUSD_1_MIN_BID,
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
0,
)
# Act
serializable = bar.to_serializable_str()
# Assert
assert serializable == "1.00001,1.00004,1.00002,1.00003,100000,0"
def bar_3decimal() -> Bar:
return Bar(
Price("90.002"),
Price("90.004"),
Price("90.001"),
Price("90.003"),
Quantity(100000),
UNIX_EPOCH,
)
def test_from_serializable_string_given_valid_string_returns_expected_bar(self):
# Arrange
bar = TestStubs.bar_5decimal()
# Act
result = Bar.from_serializable_str(bar.type, bar.to_serializable_str())
# Assert
assert result == bar
def test_parse_bar_from_string(self):
# Arrange
bar = TestStubs.bar_5decimal()
# Act
result = Bar.from_serializable_string(bar.to_serializable_string())
# Assert
self.assertEqual(bar, result)
def build_bar_with_checking():
Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity("100000"),
UNIX_EPOCH,
check=True,
)
def build_bar_no_checking():
Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity("100000"),
UNIX_EPOCH,
check=False,
)
def bar_3decimal() -> Bar:
return Bar(
TestStubs.bartype_usdjpy_1min_bid(),
Price("90.002"),
Price("90.004"),
Price("90.001"),
Price("90.003"),
Quantity(100000),
0,
)
def bar_5decimal() -> Bar:
return Bar(
TestStubs.bartype_audusd_1min_bid(),
Price("1.00002"),
Price("1.00004"),
Price("1.00001"),
Price("1.00003"),
Quantity(100000),
0,
)
def build_bar_with_checking():
Bar(
AUDUSD_1MIN_BID,
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity("100000"),
0,
check=True,
)
def bar_5decimal() -> Bar:
return Bar(
bar_type=TestStubs.bartype_audusd_1min_bid(),
open_price=Price.from_str("1.00002"),
high_price=Price.from_str("1.00004"),
low_price=Price.from_str("1.00001"),
close_price=Price.from_str("1.00003"),
volume=Quantity.from_int(1_000_000),
timestamp_origin_ns=0,
timestamp_ns=0,
)
def bar_3decimal() -> Bar:
return Bar(
bar_type=TestStubs.bartype_usdjpy_1min_bid(),
open_price=Price.from_str("90.002"),
high_price=Price.from_str("90.004"),
low_price=Price.from_str("90.001"),
close_price=Price.from_str("90.003"),
volume=Quantity.from_int(1_000_000),
ts_event_ns=0,
ts_recv_ns=0,
)
def test_set_partial_when_already_set_does_not_update(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=True)
partial_bar1 = Bar(
bar_type=bar_type,
open_price=Price.from_str("1.00001"),
high_price=Price.from_str("1.00010"),
low_price=Price.from_str("1.00000"),
close_price=Price.from_str("1.00002"),
volume=Quantity.from_str("1"),
timestamp_origin_ns=1_000_000_000,
timestamp_ns=1_000_000_000,
)
partial_bar2 = Bar(
bar_type=bar_type,
open_price=Price.from_str("2.00001"),
high_price=Price.from_str("2.00010"),
low_price=Price.from_str("2.00000"),
close_price=Price.from_str("2.00002"),
volume=Quantity.from_str("2"),
timestamp_origin_ns=1_000_000_000,
timestamp_ns=3_000_000_000,
)
# Act
builder.set_partial(partial_bar1)
builder.set_partial(partial_bar2)
bar = builder.build(4_000_000_000)
# Assert
self.assertEqual(Price.from_str("1.00001"), bar.open)
self.assertEqual(Price.from_str("1.00010"), bar.high)
self.assertEqual(Price.from_str("1.00000"), bar.low)
self.assertEqual(Price.from_str("1.00002"), bar.close)
self.assertEqual(Quantity.from_str("1"), bar.volume)
self.assertEqual(4_000_000_000, bar.timestamp_ns)
self.assertEqual(1_000_000_000, builder.last_timestamp_ns)
def test_check_when_high_below_close_raises_value_error(self):
# Arrange
# Act
# Assert
with pytest.raises(ValueError):
Bar(
Price("1.00000"),
Price("1.00000"), # High below close
Price("1.00000"),
Price("1.00005"),
Quantity(100000),
UNIX_EPOCH,
True,
)
def test_check_when_low_above_close_raises_value_error(self):
# Arrange
# Act
# Assert
with pytest.raises(ValueError):
Bar(
Price("1.00000"),
Price("1.00005"),
Price("1.00000"),
Price("0.99999"), # Close below low
Quantity(100000),
UNIX_EPOCH,
True,
)
def test_equality(self):
# Arrange
bar1 = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
UNIX_EPOCH,
)
bar2 = Bar(
Price("1.00000"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
UNIX_EPOCH,
)
# Act
# Assert
assert bar1 == bar1
assert bar1 != bar2
def test_check_when_high_below_low_raises_value_error(self):
# Arrange
# Act
# Assert
with pytest.raises(ValueError):
Bar(
AUDUSD_1_MIN_BID,
Price("1.00001"),
Price("1.00000"), # High below low
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
0,
True,
)
def test_equality(self):
# Arrange
bar1 = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
UNIX_EPOCH,
)
bar2 = Bar(
Price("1.00000"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
UNIX_EPOCH,
)
# Act
# Assert
self.assertEqual(bar1, bar1)
self.assertNotEqual(bar1, bar2)
