def test_round_by_step(self):
self.assertEqual(
Decimal("1.75"),
ScriptBase.round_by_step(Decimal("1.8"), Decimal("0.25")))
self.assertEqual(
Decimal("1.75"),
ScriptBase.round_by_step(Decimal("1.75"), Decimal("0.25")))
self.assertEqual(
Decimal("1.75"),
ScriptBase.round_by_step(Decimal("1.7567"), Decimal("0.01")))
self.assertEqual(
Decimal("1"),
ScriptBase.round_by_step(Decimal("1.7567"), Decimal("1")))
self.assertEqual(
Decimal("-1.75"),
ScriptBase.round_by_step(Decimal("-1.8"), Decimal("0.25")))
def test_avg_and_median_mid_price_chg(self):
script_base = ScriptBase()
script_base.mid_prices = [
1, 2, 3, 4, 5, 6, 7, 8, 9, 10, 11, 12, 13, 14, 15
]
avg_chg = script_base.avg_price_volatility(3, 10)
# since there is not enough sample size, it should return None
self.assertTrue(avg_chg is None)
avg_chg = script_base.avg_price_volatility(3, 5)
# at 5 sample size, as we need 5 +1, so this should also return None
self.assertTrue(avg_chg is None)
# At interval of 4 and length of 3, these belows are counted as the samples
# The samples are 15, 11, 7, 3
expected_chg = [(15 - 11) / 11, (11 - 7) / 7, (7 - 3) / 3]
self.assertEqual(mean(expected_chg),
script_base.avg_price_volatility(4, 3))
# The median change is (11 - 7) / 7
self.assertEqual((11 - 7) / 7,
script_base.median_price_volatility(4, 3))
# At 10 interval and length of 1.
expected_chg = (15 - 5) / 5
self.assertEqual(expected_chg, script_base.avg_price_volatility(10, 1))
def test_take_samples(self):
script_base = ScriptBase()
a_list = [1, 2, 3, 4, 5, 6, 7]
samples = script_base.take_samples(a_list, 3, 10)
# since there is not enough sample size, it should return None
self.assertTrue(samples is None)
# At interval of 3 and length of 2, these belows are counted as the samples
expected = [4, 7]
samples = script_base.take_samples(a_list, 3, 2)
self.assertEqual(expected, samples)
# At interval of 2 and length of 4, these belows are counted as the samples
expected = [1, 3, 5, 7]
samples = script_base.take_samples(a_list, 2, 4)
self.assertEqual(expected, samples)
# At interval of 2 and length of 1, these belows are counted as the samples
expected = [7]
samples = script_base.take_samples(a_list, 2, 1)
self.assertEqual(expected, samples)
def test_avg_mid_price(self):
script_base = ScriptBase()
script_base.mid_prices = [
Decimal("10.1"),
Decimal("10.2"),
Decimal("10.1"),
Decimal("10.2"),
Decimal("10.4"),
Decimal("10.5"),
Decimal("10.3"),
Decimal("10.6"),
Decimal("10.7"),
Decimal("10.8"),
Decimal("10.0"),
Decimal("10.1"),
Decimal("10.1"),
Decimal("10.1"),
Decimal("10.1")
]
avg_price = script_base.avg_mid_price(3, 10)
# since there is not enough sample size, it should return None
self.assertTrue(avg_price is None)
# At interval of 3 and length of 5, these belows are counted as the samples
samples = [
Decimal("10.1"),
Decimal("10.5"),
Decimal("10.7"),
Decimal("10.1"),
Decimal("10.1")
]
self.assertEqual(mean(samples), script_base.avg_mid_price(3, 5))
# At length of 2, only the last two should be used for the avg
samples = [Decimal("10.1"), Decimal("10.1")]
self.assertEqual(mean(samples), script_base.avg_mid_price(3, 2))
# At 100 interval and length of 1, only the last item is counted.
avg_price = script_base.avg_mid_price(100, 1)
self.assertEqual(Decimal("10.1"), avg_price)