def testTimestampRounding(self):
t = 1437832541.348046
result = PriceConflator.round_datetime_to_period(t, 5.0)
self.assertEqual(1437832540, result)
result = PriceConflator.round_datetime_to_period(t, 300.0) # 5 mins
self.assertEqual(1437832500, result)
result = PriceConflator.round_datetime_to_period(t, 14400.0) # 4 hours
self.assertEqual(1437825600, result)
def testQuoteGap(self):
s = Symbol.get("TEST")
conflator = PriceConflator("TEST", MarketDataPeriod.MIN_5, self.callback)
start_time = datetime.datetime(2015, 7, 7, 14, 10, 0)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 9.0, 9.2) # 14:11
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 8.7, 8.9) # 14:12
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 11.0, 11.2) # 14:13
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 10.5, 10.7) # 14:14
conflator.add_tick(tick)
self.assertEqual(0, len(self.callbackQuote)) # (All in 14:10:00)
start_time = start_time + MarketDataPeriod.MIN_15
tick = Tick(start_time.timestamp(), 9.0, 9.2) # 14:29
conflator.add_tick(tick)
self.assertEqual(3, len(self.callbackQuote)) # 14:15:00, 14:20:00, 14:25:00
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 10.5, 10.7) # 14:30
conflator.add_tick(tick)
self.assertEqual(4, len(self.callbackQuote))
quote = self.callbackQuote[0]
self.assertEqual(9.1, quote.open)
self.assertEqual(11.1, quote.high)
self.assertEqual(8.8, quote.low)
self.assertEqual(10.6, quote.close)
quote = self.callbackQuote[1]
self.assertEqual(10.6, quote.open)
self.assertEqual(10.6, quote.high)
self.assertEqual(10.6, quote.low)
self.assertEqual(10.6, quote.close)
def testQuoteConstructionOnInterval(self):
s = Symbol.get("TEST")
conflator = PriceConflator("TEST", MarketDataPeriod.MIN_5, self.callback)
start_time = datetime.datetime(2015, 7, 7, 14, 0, 0)
tick = Tick(start_time.timestamp(), 9.0, 9.2)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=60)).timestamp(), 9.0, 9.2)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=120)).timestamp(), 8.7, 8.9)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=180)).timestamp(), 11.0, 11.2)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=240)).timestamp(), 10.5, 10.7)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=300)).timestamp(), 9.0, 9.2)
conflator.add_tick(tick)
tick = Tick((start_time + datetime.timedelta(seconds=360)).timestamp(), 9.0, 9.2)
conflator.add_tick(tick)
self.assertEqual(1, len(self.callbackQuote))
quote = self.callbackQuote[0]
self.assertEqual(5, quote.ticks)
self.assertEqual(9.1, quote.open)
self.assertEqual(11.1, quote.high)
self.assertEqual(8.8, quote.low)
self.assertEqual(10.6, quote.close)
def testQuoteConstruction(self):
s = Symbol.get("TEST")
conflator = PriceConflator("TEST", MarketDataPeriod.MIN_5, self.callback)
start_time = datetime.datetime(2015, 7, 7, 14, 10, 0)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 9.0, 9.2) # 14:11:00
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 8.7, 8.9) # 14:12:00
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 11.0, 11.2) # 14:13:00
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 10.5, 10.7) # 14:14:00
conflator.add_tick(tick)
start_time = start_time + MarketDataPeriod.MIN_1
tick = Tick(start_time.timestamp(), 9.0, 9.2) # 14:15:00
conflator.add_tick(tick)
self.assertEqual(1, len(self.callbackQuote))
quote = self.callbackQuote[0]
self.assertEqual(9.1, quote.open)
self.assertEqual(11.1, quote.high)
self.assertEqual(8.8, quote.low)
self.assertEqual(10.6, quote.close)
