def test_get_request_return_turn_over_when_last_data_is_None(self):
bnh = StrategyBuyAndHold()
bnh.initialize(50000, 100)
dummy_info = {}
dummy_info["closing_price"] = 20000000
bnh.update_trading_info(dummy_info)
requests = bnh.get_request()
self.assertEqual(requests[0]["price"], 20000000)
self.assertEqual(requests[0]["amount"], 0.0005)
self.assertEqual(requests[0]["type"], "buy")
bnh.update_trading_info(None)
requests = bnh.get_request()
self.assertEqual(requests, None)
def test_get_request_return_None_when_balance_is_smaller_than_min_price(
self):
bnh = StrategyBuyAndHold()
bnh.initialize(900, 10)
bnh.is_simulation = False
dummy_info = {}
dummy_info["closing_price"] = 20000
bnh.update_trading_info(dummy_info)
bnh.balance = 9.5
requests = bnh.get_request()
self.assertEqual(requests, None)
def test_get_request_return_turn_over_when_balance_is_smaller_than_min_price_at_simulation(
self, ):
bnh = StrategyBuyAndHold()
bnh.initialize(900, 10)
bnh.is_simulation = True
dummy_info = {}
dummy_info["date_time"] = "2020-02-25T15:41:09"
dummy_info["closing_price"] = 20000
bnh.update_trading_info(dummy_info)
bnh.balance = 9.5
requests = bnh.get_request()
self.assertEqual(requests[0]["price"], 0)
self.assertEqual(requests[0]["amount"], 0)
def test_get_request_return_None_when_balance_is_smaller_than_total_value(
self):
bnh = StrategyBuyAndHold()
bnh.initialize(5000, 10)
dummy_info = {}
dummy_info["closing_price"] = 62000000
bnh.update_trading_info(dummy_info)
bnh.balance = 10000
requests = bnh.get_request()
self.assertEqual(requests, None)
def test_update_result_remove_from_waiting_requests(self):
bnh = StrategyBuyAndHold()
bnh.initialize(100000, 10)
self.assertEqual(bnh.balance, 100000)
bnh.waiting_requests["orange"] = "orage_request"
dummy_result = {
"type": "sell",
"request": {
"id": "orange"
},
"price": 10000,
"amount": 5,
"msg": "melon",
"balance": 9500,
"state": "done",
}
bnh.update_result(dummy_result)
self.assertEqual(bnh.balance, 149975)
self.assertEqual(bnh.result[-1]["type"], "sell")
self.assertEqual(bnh.result[-1]["request"]["id"], "orange")
self.assertEqual(bnh.result[-1]["price"], 10000)
self.assertEqual(bnh.result[-1]["amount"], 5)
self.assertEqual(bnh.result[-1]["msg"], "melon")
self.assertEqual(bnh.result[-1]["balance"], 9500)
self.assertFalse("orange" in bnh.waiting_requests)
def test_get_request_return_None_when_data_is_invaild(self):
bnh = StrategyBuyAndHold()
bnh.initialize(100, 10)
dummy_info = {}
bnh.update_trading_info(dummy_info)
request = bnh.get_request()
self.assertEqual(request, None)
def test_get_request_use_balance_when_balance_is_smaller_than_target_budget(
self):
bnh = StrategyBuyAndHold()
bnh.initialize(1000, 10)
dummy_info = {}
dummy_info["closing_price"] = 20000
bnh.update_trading_info(dummy_info)
bnh.balance = 100
requests = bnh.get_request()
self.assertEqual(requests[0]["price"], 20000)
self.assertEqual(requests[0]["amount"], 0.005)
def test_get_request_return_turn_over_when_target_budget_is_too_small_at_simulation(
self):
bnh = StrategyBuyAndHold()
bnh.initialize(100, 100)
bnh.is_simulation = True
dummy_info = {}
dummy_info["date_time"] = "2020-02-25T15:41:09"
dummy_info["closing_price"] = 20000
bnh.update_trading_info(dummy_info)
requests = bnh.get_request()
self.assertEqual(requests[0]["price"], 0)
self.assertEqual(requests[0]["amount"], 0)
def test_get_request_return_correct_request_with_cancel_requests(self):
bnh = StrategyBuyAndHold()
bnh.initialize(50000, 100)
bnh.waiting_requests["mango_id"] = {"request": {"id": "mango_id"}}
bnh.waiting_requests["orange_id"] = {"request": {"id": "orange_id"}}
dummy_info = {}
dummy_info["closing_price"] = 20000000
bnh.update_trading_info(dummy_info)
requests = bnh.get_request()
self.assertEqual(requests[0]["id"], "mango_id")
self.assertEqual(requests[0]["type"], "cancel")
self.assertEqual(requests[1]["id"], "orange_id")
self.assertEqual(requests[1]["type"], "cancel")
self.assertEqual(requests[2]["price"], 20000000)
self.assertEqual(requests[2]["amount"], 0.0005)
self.assertEqual(requests[2]["type"], "buy")
def test_initialize_update_initial_balance(self):
bnh = StrategyBuyAndHold()
self.assertEqual(bnh.is_intialized, False)
bnh.initialize(50000, 50)
self.assertEqual(bnh.budget, 50000)
self.assertEqual(bnh.balance, 50000)
self.assertEqual(bnh.min_price, 50)
self.assertEqual(bnh.is_intialized, True)
bnh.initialize(100, 10)
self.assertEqual(bnh.budget, 50000)
self.assertEqual(bnh.balance, 50000)
self.assertEqual(bnh.min_price, 50)
def test_update_result_insert_into_waiting_requests(self):
bnh = StrategyBuyAndHold()
bnh.initialize(100000, 10)
self.assertEqual(bnh.balance, 100000)
dummy_result = {
"type": "sell",
"request": {
"id": "orange"
},
"price": 10000,
"amount": 5,
"msg": "melon",
"balance": 9500,
"state": "requested",
}
bnh.update_result(dummy_result)
self.assertEqual(bnh.balance, 100000)
self.assertEqual(len(bnh.result), 0)
self.assertTrue("orange" in bnh.waiting_requests)
def test_update_result_append_result(self):
bnh = StrategyBuyAndHold()
bnh.initialize(100, 10)
dummy_result = {
"type": "orange",
"request": {
"id": "banana"
},
"price": 500,
"amount": 0.001,
"msg": "melon",
"balance": 500,
"state": "done",
}
bnh.update_result(dummy_result)
self.assertEqual(bnh.result[-1]["type"], "orange")
self.assertEqual(bnh.result[-1]["request"]["id"], "banana")
self.assertEqual(bnh.result[-1]["price"], 500)
self.assertEqual(bnh.result[-1]["amount"], 0.001)
self.assertEqual(bnh.result[-1]["msg"], "melon")
self.assertEqual(bnh.result[-1]["balance"], 500)
def test_update_result_update_balance_at_sell(self):
bnh = StrategyBuyAndHold()
bnh.initialize(100000, 10)
self.assertEqual(bnh.balance, 100000)
dummy_result = {
"type": "sell",
"request": {
"id": "orange"
},
"price": 10000,
"amount": 5,
"msg": "melon",
"balance": 9500,
"state": "done",
}
bnh.update_result(dummy_result)
self.assertEqual(bnh.balance, 149975)
self.assertEqual(bnh.result[-1]["type"], "sell")
self.assertEqual(bnh.result[-1]["request"]["id"], "orange")
self.assertEqual(bnh.result[-1]["price"], 10000)
self.assertEqual(bnh.result[-1]["amount"], 5)
self.assertEqual(bnh.result[-1]["msg"], "melon")
self.assertEqual(bnh.result[-1]["balance"], 9500)
def test_ITG_run_simulation_with_bnh_strategy(self):
trading_snapshot = simulation_data.get_data("bnh_snapshot")
operator = SimulationOperator()
strategy = StrategyBuyAndHold()
strategy.is_simulation = True
count = 100
budget = 100000
interval = 0.001
time_limit = 15
end_str = "2020-04-30T16:30:00"
data_provider = SimulationDataProvider()
data_provider.initialize_simulation(end=end_str, count=count)
trader = SimulationTrader()
trader.initialize_simulation(end=end_str, count=count, budget=budget)
analyzer = Analyzer()
analyzer.is_simulation = True
operator.initialize(
data_provider,
strategy,
trader,
analyzer,
budget=budget,
)
operator.set_interval(interval)
operator.start()
start_time = time.time()
while operator.state == "running":
time.sleep(0.5)
if time.time() - start_time > time_limit:
self.assertTrue(False, "Time out")
break
trading_results = operator.get_trading_results()
self.check_equal_results_list(trading_results, trading_snapshot)
waiting = True
start_time = time.time()
report = None
def callback(return_report):
nonlocal report
nonlocal waiting
report = return_report
waiting = False
self.assertFalse(waiting)
operator.get_score(callback)
while waiting:
time.sleep(0.5)
if time.time() - start_time > time_limit:
self.assertTrue(False, "Time out")
break
self.assertIsNotNone(report)
self.assertEqual(report[0], 100000)
self.assertEqual(report[1], 97220)
self.assertEqual(report[2], -2.78)
self.assertEqual(report[3]["KRW-BTC"], -2.693)
def test_ITG_strategy_buy_and_hold_full(self):
strategy = StrategyBuyAndHold()
self.assertEqual(strategy.get_request(), None)
strategy.initialize(50000, 5000)
# 거래 정보 입력 - 1
strategy.update_trading_info({
"market": "KRW-BTC",
"date_time": "2020-04-30T14:51:00",
"opening_price": 11288000.0,
"high_price": 11304000.0,
"low_price": 11282000.0,
"closing_price": 11304000.0,
"acc_price": 587101574.8949,
"acc_volume": 51.97606868,
})
# 거래 요청 정보 생성
request = strategy.get_request()
expected_request = {
"type": "buy",
"price": 11304000.0,
"amount": 0.0008,
}
self.assertEqual(request[0]["type"], expected_request["type"])
self.assertEqual(request[0]["price"], expected_request["price"])
self.assertEqual(request[0]["amount"], expected_request["amount"])
# 거래 결과 입력 - 정상 체결 됨
strategy.update_result({
"request": {
"id": request[0]["id"],
"type": "buy",
"price": 11304000.0,
"amount": 0.0009,
"date_time": "2020-04-30T14:51:00",
},
"type": "buy",
"price": 11304000.0,
"amount": 0.0009,
"msg": "success",
"balance": 0,
"state": "done",
"date_time": "2020-04-30T14:51:00",
})
self.assertEqual(strategy.balance, 39821)
# 거래 정보 입력 - 2
strategy.update_trading_info({
"market": "KRW-BTC",
"date_time": "2020-04-30T14:52:00",
"opening_price": 11304000.0,
"high_price": 21304000.0,
"low_price": 11304000.0,
"closing_price": 21304000.0,
"acc_price": 587101574.8949,
"acc_volume": 51.97606868,
})
# 거래 요청 정보 생성
request = strategy.get_request()
expected_request = {
"type": "buy",
"price": 21304000.0,
"amount": 0.0004,
}
self.assertEqual(request[0]["type"], expected_request["type"])
self.assertEqual(request[0]["price"], expected_request["price"])
self.assertEqual(request[0]["amount"], expected_request["amount"])
# 거래 결과 입력 - 요청되었으나 체결 안됨
self.assertEqual(strategy.balance, 39821)
strategy.update_result({
"request": {
"id": request[0]["id"],
"type": "buy",
"price": 11304000.0,
"amount": 0.0009,
"date_time": "2020-04-30T14:52:00",
},
"type": "buy",
"price": 11304000.0,
"amount": 0.0009,
"msg": "success",
"balance": 0,
"state": "requested",
"date_time": "2020-04-30T14:52:00",
})
self.assertEqual(strategy.balance, 39821)
last_id = request[0]["id"]
# 거래 정보 입력 - 3
strategy.update_trading_info({
"market": "KRW-BTC",
"date_time": "2020-04-30T14:52:00",
"opening_price": 21304000.0,
"high_price": 21304000.0,
"low_price": 21304000.0,
"closing_price": 21304000.0,
"acc_price": 587101574.8949,
"acc_volume": 51.97606868,
})
# 거래 요청 정보 생성
request = strategy.get_request()
expected_request = {
"type": "buy",
"price": 21304000.0,
"amount": 0.0004,
}
self.assertEqual(request[0]["type"], "cancel")
self.assertEqual(request[0]["id"], last_id)
self.assertEqual(request[1]["type"], expected_request["type"])
self.assertEqual(request[1]["price"], expected_request["price"])
self.assertEqual(request[1]["amount"], expected_request["amount"])
# 거래 결과 입력 - 일부 체결됨
self.assertEqual(strategy.balance, 39821)
strategy.update_result({
"request": {
"id": request[0]["id"],
"type": "buy",
"price": 21304000.0,
"amount": 0.0009,
"date_time": "2020-04-30T14:52:00",
},
"type": "buy",
"price": 21304000.0,
"amount": 0.0002,
"msg": "success",
"balance": 0,
"state": "done",
"date_time": "2020-04-30T14:52:00",
})
self.assertEqual(strategy.balance, 35558)
# 거래 정보 입력 - 4
strategy.update_trading_info({
"market": "KRW-BTC",
"date_time": "2020-04-30T14:52:00",
"opening_price": 21304000.0,
"high_price": 41304000.0,
"low_price": 21304000.0,
"closing_price": 41304000.0,
"acc_price": 587101574.8949,
"acc_volume": 51.97606868,
})
# 거래 요청 정보 생성
request = strategy.get_request()
expected_request = {
"type": "buy",
"price": 41304000.0,
"amount": 0.0002,
}
self.assertEqual(request[0]["type"], expected_request["type"])
self.assertEqual(request[0]["price"], expected_request["price"])
self.assertEqual(request[0]["amount"], expected_request["amount"])
# 거래 결과 입력 - 정상 체결됨
self.assertEqual(strategy.balance, 35558)
strategy.update_result({
"request": {
"id": request[0]["id"],
"type": "buy",
"price": 41304000.0,
"amount": 0.0009,
"date_time": "2020-04-30T14:52:00",
},
"type": "buy",
"price": 41304000.0,
"amount": 0.0002,
"msg": "success",
"balance": 0,
"state": "done",
"date_time": "2020-04-30T14:52:00",
})
self.assertEqual(strategy.balance, 27293)
# 거래 정보 입력 - 5
strategy.update_trading_info({
"market": "KRW-BTC",
"date_time": "2020-04-30T14:52:00",
"opening_price": 41304000.0,
"high_price": 61304000.0,
"low_price": 41304000.0,
"closing_price": 61304000.0,
"acc_price": 587101574.8949,
"acc_volume": 51.97606868,
})
# 거래 요청 정보 생성
request = strategy.get_request()
expected_request = {
"type": "buy",
"price": 61304000.0,
"amount": 0.0001,
}
self.assertEqual(request[0]["type"], expected_request["type"])
self.assertEqual(request[0]["price"], expected_request["price"])
self.assertEqual(request[0]["amount"], expected_request["amount"])
# 거래 결과 입력 - 정상 체결됨
self.assertEqual(strategy.balance, 27293)
strategy.update_result({
"request": {
"id": request[0]["id"],
"type": "buy",
"price": 61304000.0,
"amount": 0.0009,
"date_time": "2020-04-30T14:52:00",
},
"type": "buy",
"price": 61304000.0,
"amount": 0.0002,
"msg": "success",
"balance": 0,
"state": "done",
"date_time": "2020-04-30T14:52:00",
})
self.assertEqual(strategy.balance, 15026)
# 거래 정보 입력 - 6
strategy.update_trading_info({
"market": "KRW-BTC",
"date_time": "2020-04-30T14:52:00",
"opening_price": 61304000.0,
"high_price": 61304000.0,
"low_price": 61304000.0,
"closing_price": 61304000.0,
"acc_price": 587101574.8949,
"acc_volume": 51.97606868,
})
# 거래 요청 정보 생성
request = strategy.get_request()
expected_request = {
"type": "buy",
"price": 61304000.0,
"amount": 0.0001,
}
self.assertEqual(request[0]["type"], expected_request["type"])
self.assertEqual(request[0]["price"], expected_request["price"])
self.assertEqual(request[0]["amount"], expected_request["amount"])
# 거래 결과 입력 - 정상 체결됨
self.assertEqual(strategy.balance, 15026)
strategy.update_result({
"request": {
"id": request[0]["id"],
"type": "buy",
"price": 61304000.0,
"amount": 0.0002,
"date_time": "2020-04-30T14:52:00",
},
"type": "buy",
"price": 61304000.0,
"amount": 0.0002,
"msg": "success",
"balance": 0,
"state": "done",
"date_time": "2020-04-30T14:52:00",
})
self.assertEqual(strategy.balance, 2759)
# 거래 정보 입력 - 7
strategy.update_trading_info({
"market": "KRW-BTC",
"date_time": "2020-04-30T14:52:00",
"opening_price": 61304000.0,
"high_price": 61304000.0,
"low_price": 61304000.0,
"closing_price": 61304000.0,
"acc_price": 587101574.8949,
"acc_volume": 51.97606868,
})
# 거래 요청 정보 생성
request = strategy.get_request()
self.assertEqual(request, None)
self.assertEqual(strategy.balance, 2759)
def test_update_trading_info_ignore_info_when_not_yet_initialzed(self):
bnh = StrategyBuyAndHold()
bnh.update_trading_info("mango")
self.assertEqual(len(bnh.data), 0)
def test_get_request_return_same_datetime_at_simulation(self):
bnh = StrategyBuyAndHold()
bnh.initialize(1000, 100)
bnh.is_simulation = True
dummy_info = {}
dummy_info["date_time"] = "2020-02-25T15:41:09"
dummy_info["closing_price"] = 20000000
bnh.update_trading_info(dummy_info)
requests = bnh.get_request()
self.assertEqual(requests[0]["date_time"], "2020-02-25T15:41:09")
dummy_info["date_time"] = "2020-02-25T23:59:59"
dummy_info["closing_price"] = 20000000
bnh.update_trading_info(dummy_info)
requests = bnh.get_request()
self.assertEqual(requests[0]["date_time"], "2020-02-25T23:59:59")
def test_update_trading_info_append_info_to_data(self):
bnh = StrategyBuyAndHold()
bnh.initialize(100, 10)
bnh.update_trading_info("mango")
self.assertEqual(bnh.data.pop(), "mango")
def test_update_result_ignore_result_when_not_yet_initialized(self):
bnh = StrategyBuyAndHold()
bnh.update_result("orange")
self.assertEqual(len(bnh.result), 0)
def test_get_request_return_None_when_not_yet_initialized(self):
bnh = StrategyBuyAndHold()
request = bnh.get_request()
self.assertEqual(request, None)
def test_get_request_return_None_when_data_is_empty(self):
bnh = StrategyBuyAndHold()
bnh.initialize(100, 10)
request = bnh.get_request()
self.assertEqual(request, None)