def test_time_bar_from_mid(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input,
input_type=BarInputType.Middle)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 59999
t = Quote(timestamp=self.time, inst_id=1, ask=30, ask_size=100, bid=18, bid_size=200)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000000000, timestamp=9000059999, type=1, size=60, open=24, high=24, low=24,
close=24, vol=150, adj_close=0), items[0])
def test_time_bar_from_ask(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input,
input_type=BarInputType.Ask)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = Quote(timestamp=self.time, inst_id=1, ask=30, ask_size=100)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = Quote(timestamp=self.time, inst_id=1, ask=70, ask_size=300)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(1, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000000000, timestamp=9000059999, type=1, size=60, open=30, high=30, low=30,
close=30, vol=100, adj_close=0), items[0])
self.event_bus.reset()
self.time += 49999
t = Quote(timestamp=self.time, inst_id=1, ask=20, ask_size=100)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000060000, timestamp=9000119999, type=1, size=60, open=70, high=70, low=20,
close=20, vol=400, adj_close=0), items[0])
def test_tick_bar_from_trade(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input,
output_bar_type=BarType.Tick, output_size=3)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=20, size=200)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=80, size=100)
self.update(self.input, t)
self.assertEqual(2, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = Trade(timestamp=self.time, inst_id=1, price=10, size=200)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000060000, timestamp=9000180000, type=BarType.Tick, size=3, open=20, high=80,
low=10,
close=10, vol=500, adj_close=0), items[0])
def test_time_bar_from_bidask(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id="1", input=self.input,
input_type=BarAggregationRequest.BidAsk)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", ask=30, ask_size=100, bid=0, bid_size=200)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 10000
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", ask=20, ask_size=150, bid=10, bid_size=0)
self.update(self.input, t)
self.assertEqual(2, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 39999
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", ask=70, ask_size=300, bid=80, bid_size=10)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000000000, timestamp=9000059999, type=Bar.Time, size=60, open=30, high=80, low=20,
close=80, vol=260, adj_close=0), items[0])
def test_time_bar_from_bid(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input,
input_type=BarInputType.Bid)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = Quote(timestamp=self.time, inst_id=1, bid=30, bid_size=100)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 10000
t = Quote(timestamp=self.time, inst_id=1, bid=10, bid_size=200)
self.update(self.input, t)
self.assertEqual(2, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 10000
t = Quote(timestamp=self.time, inst_id=1, bid=70, bid_size=300)
self.update(self.input, t)
self.assertEqual(3, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 29998
t = Quote(timestamp=self.time, inst_id=1, bid=50, bid_size=400)
self.update(self.input, t)
self.assertEqual(4, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 3
self.simluation_clock.update_time(self.time)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000000000, timestamp=9000059999, type=1, size=60, open=30, high=70, low=10,
close=50, vol=1000, adj_close=0), items[0])
def test_time_bar_from_trade(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id=1, input=self.input)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = Trade(timestamp=self.time, inst_id=1, price=20, size=200)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
# expect get a aggregated bar at 9000059999
self.time += 49999
t = Trade(timestamp=self.time, inst_id=1, price=10, size=200)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
Bar(inst_id=1, begin_time=9000000000, timestamp=9000059999, type=1, size=60, open=20, high=20, low=10,
close=10, vol=400, adj_close=0), items[0])
def test_vol_bar_from_trade(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id="1", input=self.input,
output_bar_type=Bar.Volume, output_size=1000)
agg.start(None)
self.assertEqual(0, len(self.event_bus.items))
self.time += 60000
t = ModelFactory.build_trade(timestamp=self.time, inst_id="1", price=20, size=200)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = ModelFactory.build_trade(timestamp=self.time, inst_id="1", price=80, size=100)
self.update(self.input, t)
self.assertEqual(2, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = ModelFactory.build_trade(timestamp=self.time, inst_id="1", price=10, size=1000)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(1, agg.count())
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000060000, timestamp=9000180000, type=Bar.Volume, size=1000, open=20,
high=80, low=10,
close=10, vol=1000, adj_close=0), items[0])
self.event_bus.reset()
self.time += 60000
t = ModelFactory.build_trade(timestamp=self.time, inst_id="1", price=50, size=2800)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(3, len(items))
self.assertEqual(1, agg.count())
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000180000, timestamp=9000240000, type=Bar.Volume, size=1000, open=10,
high=50, low=10,
close=50, vol=1000, adj_close=0), items[0])
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000240000, timestamp=9000240000, type=Bar.Volume, size=1000, open=50,
high=50, low=50,
close=50, vol=1000, adj_close=0), items[1])
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000240000, timestamp=9000240000, type=Bar.Volume, size=1000, open=50,
high=50, low=50,
close=50, vol=1000, adj_close=0), items[2])
self.event_bus.reset()
self.time += 60000
t = ModelFactory.build_trade(timestamp=self.time, inst_id="1", price=20, size=900)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000240000, timestamp=9000300000, type=Bar.Volume, size=1000, open=50,
high=50, low=20,
close=20, vol=1000, adj_close=0), items[0])