def test_run_quote_ticks_through_aggregator_results_in_expected_bars(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(1000, BarAggregation.VALUE, PriceType.MID) bar_type = BarType(instrument_id, bar_spec) aggregator = ValueBarAggregator(bar_type, handler, TestLogger(TestClock())) wrangler = QuoteTickDataWrangler( instrument=AUDUSD_SIM, data_quotes=TestDataProvider.audusd_ticks(), ) wrangler.pre_process(instrument_indexer=0) ticks = wrangler.build_ticks() # Act for tick in ticks: aggregator.handle_quote_tick(tick) # Assert last_bar = bar_store.get_store()[-1].bar self.assertEqual(67, len(bar_store.get_store())) self.assertEqual(Price("0.66921"), last_bar.open) self.assertEqual(Price("0.669485"), last_bar.high) self.assertEqual(Price("0.669205"), last_bar.low) self.assertEqual(Price("0.669475"), last_bar.close) self.assertEqual(Quantity(1494), last_bar.volume)
def test_handle_quote_tick_when_value_below_threshold_updates(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(100000, BarAggregation.VALUE, PriceType.BID) bar_type = BarType(instrument_id, bar_spec) aggregator = ValueBarAggregator(bar_type, handler, TestLogger(TestClock())) tick1 = QuoteTick( instrument_id=AUDUSD_SIM.id, bid=Price("1.00001"), ask=Price("1.00004"), bid_size=Quantity(3000), ask_size=Quantity(2000), timestamp=UNIX_EPOCH, ) # Act aggregator.handle_quote_tick(tick1) # Assert self.assertEqual(0, len(bar_store.get_store())) self.assertEqual(Decimal("3000.03000"), aggregator.cum_value)
def test_handle_trade_tick_when_value_below_threshold_updates(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(100000, BarAggregation.VALUE, PriceType.LAST) bar_type = BarType(instrument_id, bar_spec) aggregator = ValueBarAggregator(bar_type, handler, TestLogger(TestClock())) tick1 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price("15000.00"), size=Quantity("3.5"), side=OrderSide.BUY, match_id=TradeMatchId("123456"), timestamp=UNIX_EPOCH, ) # Act aggregator.handle_trade_tick(tick1) # Assert self.assertEqual(0, len(bar_store.get_store())) self.assertEqual(Decimal("52500.000"), aggregator.cum_value)
def test_handle_trade_tick_when_value_below_threshold_updates(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(100000, BarAggregation.VALUE, PriceType.LAST) bar_type = BarType(instrument_id, bar_spec) aggregator = ValueBarAggregator( AUDUSD_SIM, bar_type, handler, Logger(TestClock()), ) tick1 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price.from_str("15000.00"), size=Quantity.from_str("3.5"), aggressor_side=AggressorSide.BUY, match_id="123456", ts_event_ns=0, ts_recv_ns=0, ) # Act aggregator.handle_trade_tick(tick1) # Assert self.assertEqual(0, len(bar_store.get_store())) self.assertEqual(Decimal("52500.000"), aggregator.get_cumulative_value())
def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store bar_spec = BarSpecification(10000, BarAggregation.VALUE, PriceType.LAST) bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec) aggregator = ValueBarAggregator(bar_type, handler, TestLogger(TestClock())) wrangler = TradeTickDataWrangler( instrument=ETHUSDT_BINANCE, data=TestDataProvider.ethusdt_trades(), ) wrangler.pre_process(0) ticks = wrangler.build_ticks() # Act for tick in ticks: aggregator.handle_trade_tick(tick) # Assert last_bar = bar_store.get_store()[-1].bar self.assertEqual(7962, len(bar_store.get_store())) self.assertEqual(Price("426.86"), last_bar.open) self.assertEqual(Price("426.94"), last_bar.high) self.assertEqual(Price("426.83"), last_bar.low) self.assertEqual(Price("426.94"), last_bar.close) self.assertEqual(Quantity(23), last_bar.volume)
def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store bar_spec = BarSpecification(10000, BarAggregation.VALUE, PriceType.LAST) bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec) aggregator = ValueBarAggregator( ETHUSDT_BINANCE, bar_type, handler, Logger(TestClock()), ) wrangler = TradeTickDataWrangler(instrument=ETHUSDT_BINANCE) provider = TestDataProvider() ticks = wrangler.process( provider.read_csv_ticks("binance-ethusdt-trades.csv")[:1000]) # Act for tick in ticks: aggregator.handle_trade_tick(tick) # Assert last_bar = bar_store.get_store()[-1] assert len(bar_store.get_store()) == 109 assert last_bar.open == Price.from_str("423.19") assert last_bar.high == Price.from_str("423.25") assert last_bar.low == Price.from_str("423.19") assert last_bar.close == Price.from_str("423.25") assert last_bar.volume == Quantity.from_int(24)
def test_handle_quote_tick_when_value_below_threshold_updates(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(100000, BarAggregation.VALUE, PriceType.BID) bar_type = BarType(instrument_id, bar_spec) aggregator = ValueBarAggregator( AUDUSD_SIM, bar_type, handler, Logger(TestClock()), ) tick1 = QuoteTick( instrument_id=AUDUSD_SIM.id, bid=Price.from_str("1.00001"), ask=Price.from_str("1.00004"), bid_size=Quantity.from_int(3000), ask_size=Quantity.from_int(2000), ts_event_ns=0, ts_recv_ns=0, ) # Act aggregator.handle_quote_tick(tick1) # Assert self.assertEqual(0, len(bar_store.get_store())) self.assertEqual(Decimal("3000.03000"), aggregator.get_cumulative_value())
def test_run_quote_ticks_through_aggregator_results_in_expected_bars(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(1000, BarAggregation.VALUE, PriceType.MID) bar_type = BarType(instrument_id, bar_spec) aggregator = ValueBarAggregator( AUDUSD_SIM, bar_type, handler, Logger(TestClock()), ) # Setup data wrangler = QuoteTickDataWrangler(AUDUSD_SIM) provider = TestDataProvider() ticks = wrangler.process( data=provider.read_csv_ticks("truefx-audusd-ticks.csv")[:10000], default_volume=1, ) # Act for tick in ticks: aggregator.handle_quote_tick(tick) # Assert last_bar = bar_store.get_store()[-1] assert len(bar_store.get_store()) == 6 assert last_bar.open == Price.from_str("0.671230") assert last_bar.high == Price.from_str("0.671330") assert last_bar.low == Price.from_str("0.670370") assert last_bar.close == Price.from_str("0.670630") assert last_bar.volume == Quantity.from_int(1490)
def test_handle_quote_tick_when_value_beyond_threshold_sends_bar_to_handler( self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(100000, BarAggregation.VALUE, PriceType.BID) bar_type = BarType(instrument_id, bar_spec) aggregator = ValueBarAggregator(bar_type, handler, Logger(TestClock())) tick1 = QuoteTick( instrument_id=AUDUSD_SIM.id, bid=Price.from_str("1.00001"), ask=Price.from_str("1.00004"), bid_size=Quantity.from_int(20000), ask_size=Quantity.from_int(20000), timestamp_origin_ns=0, timestamp_ns=0, ) tick2 = QuoteTick( instrument_id=AUDUSD_SIM.id, bid=Price.from_str("1.00002"), ask=Price.from_str("1.00005"), bid_size=Quantity.from_int(60000), ask_size=Quantity.from_int(20000), timestamp_origin_ns=0, timestamp_ns=0, ) tick3 = QuoteTick( instrument_id=AUDUSD_SIM.id, bid=Price.from_str("1.00000"), ask=Price.from_str("1.00003"), bid_size=Quantity.from_int(30500), ask_size=Quantity.from_int(20000), timestamp_origin_ns=0, timestamp_ns=0, ) # Act aggregator.handle_quote_tick(tick1) aggregator.handle_quote_tick(tick2) aggregator.handle_quote_tick(tick3) # Assert self.assertEqual(1, len(bar_store.get_store())) self.assertEqual(Price.from_str("1.00001"), bar_store.get_store()[0].open) self.assertEqual(Price.from_str("1.00002"), bar_store.get_store()[0].high) self.assertEqual(Price.from_str("1.00000"), bar_store.get_store()[0].low) self.assertEqual(Price.from_str("1.00000"), bar_store.get_store()[0].close) self.assertEqual(Quantity.from_str("99999"), bar_store.get_store()[0].volume) self.assertEqual(Decimal("10501.400"), aggregator.get_cumulative_value())
def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store bar_spec = BarSpecification(10000, BarAggregation.VALUE, PriceType.LAST) bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec) aggregator = ValueBarAggregator(bar_type, handler, Logger(TestClock())) wrangler = TradeTickDataWrangler( instrument=ETHUSDT_BINANCE, data=TestDataProvider.ethusdt_trades(), ) wrangler.pre_process(0) ticks = wrangler.build_ticks() # Act for tick in ticks: aggregator.handle_trade_tick(tick)
def test_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler( self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(100000, BarAggregation.VALUE, PriceType.LAST) bar_type = BarType(instrument_id, bar_spec) aggregator = ValueBarAggregator(bar_type, handler, Logger(TestClock())) tick1 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price("20.00001"), size=Quantity("3000.00"), aggressor_side=AggressorSide.BUY, match_id=TradeMatchId("123456"), timestamp_ns=0, ) tick2 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price("20.00002"), size=Quantity("4000.00"), aggressor_side=AggressorSide.BUY, match_id=TradeMatchId("123457"), timestamp_ns=0, ) tick3 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price("20.00000"), size=Quantity("5000.00"), aggressor_side=AggressorSide.BUY, match_id=TradeMatchId("123458"), timestamp_ns=0, ) # Act aggregator.handle_trade_tick(tick1) aggregator.handle_trade_tick(tick2) aggregator.handle_trade_tick(tick3) # Assert self.assertEqual(2, len(bar_store.get_store())) self.assertEqual(Price("20.00001"), bar_store.get_store()[0].open) self.assertEqual(Price("20.00002"), bar_store.get_store()[0].high) self.assertEqual(Price("20.00001"), bar_store.get_store()[0].low) self.assertEqual(Price("20.00002"), bar_store.get_store()[0].close) # self.assertEqual(Quantity("5000.00"), bar_store.get_store()[0].volume) # TODO: WIP - intermittent? self.assertEqual(Price("20.00002"), bar_store.get_store()[1].open) self.assertEqual(Price("20.00002"), bar_store.get_store()[1].high) self.assertEqual(Price("20.00000"), bar_store.get_store()[1].low) self.assertEqual(Price("20.00000"), bar_store.get_store()[1].close) # self.assertEqual(Quantity("5000.00"), bar_store.get_store()[1].volume) # TODO: WIP - intermittent? self.assertEqual( Decimal("40000.11000"), aggregator.get_cumulative_value()) # TODO: WIP - Should be 40000
def test_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler( self): # Arrange bar_store = ObjectStorer() handler = bar_store.store symbol = TestStubs.symbol_audusd() bar_spec = BarSpecification(100000, BarAggregation.VALUE, PriceType.LAST) bar_type = BarType(symbol, bar_spec) aggregator = ValueBarAggregator(bar_type, handler, TestLogger(TestClock())) tick1 = TradeTick( symbol=AUDUSD_SIM.symbol, price=Price("20.00001"), size=Quantity("3000.00"), side=OrderSide.BUY, match_id=TradeMatchId("123456"), timestamp=UNIX_EPOCH, ) tick2 = TradeTick( symbol=AUDUSD_SIM.symbol, price=Price("20.00002"), size=Quantity("4000.00"), side=OrderSide.BUY, match_id=TradeMatchId("123457"), timestamp=UNIX_EPOCH, ) tick3 = TradeTick( symbol=AUDUSD_SIM.symbol, price=Price("20.00000"), size=Quantity("5000.00"), side=OrderSide.BUY, match_id=TradeMatchId("123458"), timestamp=UNIX_EPOCH, ) # Act aggregator.handle_trade_tick(tick1) aggregator.handle_trade_tick(tick2) aggregator.handle_trade_tick(tick3) # Assert self.assertEqual(2, len(bar_store.get_store())) self.assertEqual(Price("20.00001"), bar_store.get_store()[0].bar.open) self.assertEqual(Price("20.00002"), bar_store.get_store()[0].bar.high) self.assertEqual(Price("20.00001"), bar_store.get_store()[0].bar.low) self.assertEqual(Price('20.00002'), bar_store.get_store()[0].bar.close) self.assertEqual(Quantity("5000"), bar_store.get_store()[0].bar.volume) self.assertEqual(Price("20.00002"), bar_store.get_store()[1].bar.open) self.assertEqual(Price("20.00002"), bar_store.get_store()[1].bar.high) self.assertEqual(Price("20.00000"), bar_store.get_store()[1].bar.low) self.assertEqual(Price('20.00000'), bar_store.get_store()[1].bar.close) self.assertEqual(Quantity("5000.00"), bar_store.get_store()[1].bar.volume) self.assertEqual(Decimal("40000.00000"), aggregator.cum_value)
def test_handle_quote_tick_when_value_beyond_threshold_sends_bar_to_handler( self): # Arrange bar_store = ObjectStorer() handler = bar_store.store symbol = TestStubs.symbol_audusd() bar_spec = BarSpecification(100000, BarAggregation.VALUE, PriceType.BID) bar_type = BarType(symbol, bar_spec) aggregator = ValueBarAggregator(bar_type, handler, TestLogger(TestClock())) tick1 = QuoteTick( symbol=AUDUSD_SIM.symbol, bid=Price("1.00001"), ask=Price("1.00004"), bid_size=Quantity(20000), ask_size=Quantity(20000), timestamp=UNIX_EPOCH, ) tick2 = QuoteTick( symbol=AUDUSD_SIM.symbol, bid=Price("1.00002"), ask=Price("1.00005"), bid_size=Quantity(60000), ask_size=Quantity(20000), timestamp=UNIX_EPOCH, ) tick3 = QuoteTick( symbol=AUDUSD_SIM.symbol, bid=Price("1.00000"), ask=Price("1.00003"), bid_size=Quantity(30500), ask_size=Quantity(20000), timestamp=UNIX_EPOCH, ) # Act aggregator.handle_quote_tick(tick1) aggregator.handle_quote_tick(tick2) aggregator.handle_quote_tick(tick3) # Assert self.assertEqual(1, len(bar_store.get_store())) self.assertEqual(Price("1.00001"), bar_store.get_store()[0].bar.open) self.assertEqual(Price("1.00002"), bar_store.get_store()[0].bar.high) self.assertEqual(Price("1.00000"), bar_store.get_store()[0].bar.low) self.assertEqual(Price('1.00000'), bar_store.get_store()[0].bar.close) self.assertEqual(Quantity("99999"), bar_store.get_store()[0].bar.volume) self.assertEqual(Decimal("10501.00000"), aggregator.cum_value)
def test_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler( self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(100000, BarAggregation.VALUE, PriceType.LAST) bar_type = BarType(instrument_id, bar_spec) aggregator = ValueBarAggregator( AUDUSD_SIM, bar_type, handler, Logger(TestClock()), ) tick1 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price.from_str("20.00001"), size=Quantity.from_str("3000.00"), aggressor_side=AggressorSide.BUY, trade_id="123456", ts_event=0, ts_init=0, ) tick2 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price.from_str("20.00002"), size=Quantity.from_str("4000.00"), aggressor_side=AggressorSide.BUY, trade_id="123457", ts_event=0, ts_init=0, ) tick3 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price.from_str("20.00000"), size=Quantity.from_str("5000.00"), aggressor_side=AggressorSide.BUY, trade_id="123458", ts_event=0, ts_init=0, ) # Act aggregator.handle_trade_tick(tick1) aggregator.handle_trade_tick(tick2) aggregator.handle_trade_tick(tick3) # Assert assert len(bar_store.get_store()) == 2 assert bar_store.get_store()[0].open == Price.from_str("20.00001") assert bar_store.get_store()[0].high == Price.from_str("20.00002") assert bar_store.get_store()[0].low == Price.from_str("20.00001") assert bar_store.get_store()[0].close == Price.from_str("20.00002") assert bar_store.get_store()[0].volume == Quantity.from_str("5000.00") assert bar_store.get_store()[1].open == Price.from_str("20.00002") assert bar_store.get_store()[1].high == Price.from_str("20.00002") assert bar_store.get_store()[1].low == Price.from_str("20.00000") assert bar_store.get_store()[1].close == Price.from_str("20.00000") assert bar_store.get_store()[1].volume == Quantity.from_str("5000.00") assert aggregator.get_cumulative_value() == Decimal("40000.11000")