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.VOLUME, PriceType.MID) bar_type = BarType(instrument_id, bar_spec) aggregator = VolumeBarAggregator(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(99, len(bar_store.get_store())) self.assertEqual(Price("0.669325"), last_bar.open) self.assertEqual(Price("0.669485"), last_bar.high) self.assertEqual(Price("0.66917"), last_bar.low) self.assertEqual(Price("0.66935"), last_bar.close) self.assertEqual(Quantity(1000), 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(1000, BarAggregation.VOLUME, PriceType.LAST) bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec) aggregator = VolumeBarAggregator(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(187, len(bar_store.get_store())) self.assertEqual(Price("426.44"), last_bar.open) self.assertEqual(Price("426.84"), last_bar.high) self.assertEqual(Price("426.00"), last_bar.low) self.assertEqual(Price("426.82"), last_bar.close) self.assertEqual(Quantity(1000), last_bar.volume)
def test_handle_quote_tick_when_volume_below_threshold_updates(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.BID) bar_type = BarType(instrument_id, bar_spec) aggregator = VolumeBarAggregator(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()))
def test_handle_trade_tick_when_volume_below_threshold_updates(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.LAST) bar_type = BarType(instrument_id, bar_spec) aggregator = VolumeBarAggregator(bar_type, handler, TestLogger(TestClock())) tick1 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price("1.00001"), size=Quantity(1), 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()))
def test_handle_trade_tick_when_volume_below_threshold_updates(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument = AUDUSD_SIM bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.LAST) bar_type = BarType(instrument.id, bar_spec) aggregator = VolumeBarAggregator( instrument, bar_type, handler, Logger(TestClock()), ) tick1 = TradeTick( instrument_id=instrument.id, price=Price.from_str("1.00001"), size=Quantity.from_int(1), 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()))
def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument = ETHUSDT_BINANCE bar_spec = BarSpecification(1000, BarAggregation.VOLUME, PriceType.LAST) bar_type = BarType(instrument.id, bar_spec) aggregator = VolumeBarAggregator( instrument, bar_type, handler, Logger(TestClock()), ) wrangler = TradeTickDataWrangler(instrument=ETHUSDT_BINANCE) provider = TestDataProvider() ticks = wrangler.process( provider.read_csv_ticks("binance-ethusdt-trades.csv")[:10000]) # Act for tick in ticks: aggregator.handle_trade_tick(tick) # Assert last_bar = bar_store.get_store()[-1] assert len(bar_store.get_store()) == 26 assert last_bar.open == Price.from_str("425.17") assert last_bar.high == Price.from_str("425.24") assert last_bar.low == Price.from_str("424.69") assert last_bar.close == Price.from_str("425.14") assert last_bar.volume == Quantity.from_int(1000)
def test_handle_quote_tick_when_volume_below_threshold_updates(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument = AUDUSD_SIM bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.BID) bar_type = BarType(instrument.id, bar_spec) aggregator = VolumeBarAggregator( instrument, bar_type, handler, Logger(TestClock()), ) tick1 = QuoteTick( instrument_id=instrument.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()))
def test_run_quote_ticks_through_aggregator_results_in_expected_bars(self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument = AUDUSD_SIM bar_spec = BarSpecification(1000, BarAggregation.VOLUME, PriceType.MID) bar_type = BarType(instrument.id, bar_spec) aggregator = VolumeBarAggregator( instrument, bar_type, handler, Logger(TestClock()), ) # Setup data wrangler = QuoteTickDataWrangler(instrument) 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()) == 10 assert last_bar.open == Price.from_str("0.670635") assert last_bar.high == Price.from_str("0.670705") assert last_bar.low == Price.from_str("0.670370") assert last_bar.close == Price.from_str("0.670655") assert last_bar.volume == Quantity.from_int(1000)
def test_handle_trade_tick_when_volume_at_threshold_sends_bar_to_handler( self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument_id = TestStubs.audusd_id() bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.LAST) bar_type = BarType(instrument_id, bar_spec) aggregator = VolumeBarAggregator(bar_type, handler, Logger(TestClock())) tick1 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price.from_str("1.00001"), size=Quantity.from_int(3000), aggressor_side=AggressorSide.BUY, match_id=TradeMatchId("123456"), timestamp_origin_ns=0, timestamp_ns=0, ) tick2 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price.from_str("1.00002"), size=Quantity.from_int(4000), aggressor_side=AggressorSide.BUY, match_id=TradeMatchId("123457"), timestamp_origin_ns=0, timestamp_ns=0, ) tick3 = TradeTick( instrument_id=AUDUSD_SIM.id, price=Price.from_str("1.00000"), size=Quantity.from_int(3000), aggressor_side=AggressorSide.BUY, match_id=TradeMatchId("123458"), timestamp_origin_ns=0, timestamp_ns=0, ) # Act aggregator.handle_trade_tick(tick1) aggregator.handle_trade_tick(tick2) aggregator.handle_trade_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_int(10000), bar_store.get_store()[0].volume)
def test_handle_trade_tick_when_volume_at_threshold_sends_bar_to_handler( self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument = AUDUSD_SIM bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.LAST) bar_type = BarType(instrument.id, bar_spec) aggregator = VolumeBarAggregator( instrument, bar_type, handler, Logger(TestClock()), ) tick1 = TradeTick( instrument_id=instrument.id, price=Price.from_str("1.00001"), size=Quantity.from_int(3000), aggressor_side=AggressorSide.BUY, trade_id="123456", ts_event=0, ts_init=0, ) tick2 = TradeTick( instrument_id=instrument.id, price=Price.from_str("1.00002"), size=Quantity.from_int(4000), aggressor_side=AggressorSide.BUY, trade_id="123457", ts_event=0, ts_init=0, ) tick3 = TradeTick( instrument_id=instrument.id, price=Price.from_str("1.00000"), size=Quantity.from_int(3000), 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()) == 1 assert bar_store.get_store()[0].open == Price.from_str("1.00001") assert bar_store.get_store()[0].high == Price.from_str("1.00002") assert bar_store.get_store()[0].low == Price.from_str("1.00000") assert bar_store.get_store()[0].close == Price.from_str("1.00000") assert bar_store.get_store()[0].volume == Quantity.from_int(10000)
def test_handle_quote_tick_when_volume_at_threshold_sends_bar_to_handler( self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument = AUDUSD_SIM bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.BID) bar_type = BarType(instrument.id, bar_spec) aggregator = VolumeBarAggregator( instrument, bar_type, handler, Logger(TestClock()), ) tick1 = QuoteTick( instrument_id=instrument.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=0, ts_init=0, ) tick2 = QuoteTick( instrument_id=instrument.id, bid=Price.from_str("1.00002"), ask=Price.from_str("1.00005"), bid_size=Quantity.from_int(4000), ask_size=Quantity.from_int(2000), ts_event=0, ts_init=0, ) tick3 = QuoteTick( instrument_id=instrument.id, bid=Price.from_str("1.00000"), ask=Price.from_str("1.00003"), bid_size=Quantity.from_int(3000), ask_size=Quantity.from_int(2000), ts_event=0, ts_init=0, ) # Act aggregator.handle_quote_tick(tick1) aggregator.handle_quote_tick(tick2) aggregator.handle_quote_tick(tick3) # Assert assert len(bar_store.get_store()) == 1 assert bar_store.get_store()[0].open == Price.from_str("1.00001") assert bar_store.get_store()[0].high == Price.from_str("1.00002") assert bar_store.get_store()[0].low == Price.from_str("1.00000") assert bar_store.get_store()[0].close == Price.from_str("1.00000") assert bar_store.get_store()[0].volume == Quantity.from_int(10000)
def test_handle_quote_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(10000, BarAggregation.VOLUME, PriceType.BID) bar_type = BarType(instrument_id, bar_spec) aggregator = VolumeBarAggregator(bar_type, handler, Logger(TestClock())) tick1 = QuoteTick( instrument_id=AUDUSD_SIM.id, bid=Price("1.00001"), ask=Price("1.00004"), bid_size=Quantity(2000), ask_size=Quantity(2000), timestamp_ns=0, ) tick2 = QuoteTick( instrument_id=AUDUSD_SIM.id, bid=Price("1.00002"), ask=Price("1.00005"), bid_size=Quantity(3000), ask_size=Quantity(3000), timestamp_ns=0, ) tick3 = QuoteTick( instrument_id=AUDUSD_SIM.id, bid=Price("1.00000"), ask=Price("1.00003"), bid_size=Quantity(25000), ask_size=Quantity(25000), timestamp_ns=0, ) # Act aggregator.handle_quote_tick(tick1) aggregator.handle_quote_tick(tick2) aggregator.handle_quote_tick(tick3) # Assert self.assertEqual(3, len(bar_store.get_store())) self.assertEqual(Price("1.00001"), bar_store.get_store()[0].open) self.assertEqual(Price("1.00002"), bar_store.get_store()[0].high) self.assertEqual(Price("1.00000"), bar_store.get_store()[0].low) self.assertEqual(Price("1.00000"), bar_store.get_store()[0].close) self.assertEqual(Quantity(10000), bar_store.get_store()[0].volume) self.assertEqual(Price("1.00000"), bar_store.get_store()[1].open) self.assertEqual(Price("1.00000"), bar_store.get_store()[1].high) self.assertEqual(Price("1.00000"), bar_store.get_store()[1].low) self.assertEqual(Price("1.00000"), bar_store.get_store()[1].close) self.assertEqual(Quantity(10000), bar_store.get_store()[1].volume) self.assertEqual(Price("1.00000"), bar_store.get_store()[2].open) self.assertEqual(Price("1.00000"), bar_store.get_store()[2].high) self.assertEqual(Price("1.00000"), bar_store.get_store()[2].low) self.assertEqual(Price("1.00000"), bar_store.get_store()[2].close) self.assertEqual(Quantity(10000), bar_store.get_store()[2].volume)
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_fxcm() bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.LAST) bar_type = BarType(symbol, bar_spec) aggregator = VolumeBarAggregator(bar_type, handler, TestLogger(TestClock())) tick1 = TradeTick( symbol=AUDUSD_SIM.symbol, price=Price("1.00001"), size=Quantity(2000), side=OrderSide.BUY, match_id=TradeMatchId("123456"), timestamp=UNIX_EPOCH, ) tick2 = TradeTick( symbol=AUDUSD_SIM.symbol, price=Price("1.00002"), size=Quantity(3000), side=OrderSide.BUY, match_id=TradeMatchId("123457"), timestamp=UNIX_EPOCH, ) tick3 = TradeTick( symbol=AUDUSD_SIM.symbol, price=Price("1.00000"), size=Quantity(25000), 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(3, 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(10000), bar_store.get_store()[0].bar.volume) self.assertEqual(Price("1.00000"), bar_store.get_store()[1].bar.open) self.assertEqual(Price("1.00000"), bar_store.get_store()[1].bar.high) self.assertEqual(Price("1.00000"), bar_store.get_store()[1].bar.low) self.assertEqual(Price('1.00000'), bar_store.get_store()[1].bar.close) self.assertEqual(Quantity(10000), bar_store.get_store()[1].bar.volume) self.assertEqual(Price("1.00000"), bar_store.get_store()[2].bar.open) self.assertEqual(Price("1.00000"), bar_store.get_store()[2].bar.high) self.assertEqual(Price("1.00000"), bar_store.get_store()[2].bar.low) self.assertEqual(Price('1.00000'), bar_store.get_store()[2].bar.close) self.assertEqual(Quantity(10000), bar_store.get_store()[2].bar.volume)
def test_handle_quote_tick_when_volume_at_threshold_sends_bar_to_handler( self): # Arrange bar_store = ObjectStorer() handler = bar_store.store symbol = TestStubs.symbol_audusd() bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.BID) bar_type = BarType(symbol, bar_spec) aggregator = VolumeBarAggregator(bar_type, handler, TestLogger(TestClock())) tick1 = QuoteTick( symbol=AUDUSD_SIM.symbol, bid=Price("1.00001"), ask=Price("1.00004"), bid_size=Quantity(3000), ask_size=Quantity(2000), timestamp=UNIX_EPOCH, ) tick2 = QuoteTick( symbol=AUDUSD_SIM.symbol, bid=Price("1.00002"), ask=Price("1.00005"), bid_size=Quantity(4000), ask_size=Quantity(2000), timestamp=UNIX_EPOCH, ) tick3 = QuoteTick( symbol=AUDUSD_SIM.symbol, bid=Price("1.00000"), ask=Price("1.00003"), bid_size=Quantity(3000), ask_size=Quantity(2000), 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(10000), bar_store.get_store()[0].bar.volume)
def test_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler( self): # Arrange bar_store = ObjectStorer() handler = bar_store.store instrument = AUDUSD_SIM bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.LAST) bar_type = BarType(instrument.id, bar_spec) aggregator = VolumeBarAggregator( instrument, bar_type, handler, Logger(TestClock()), ) tick1 = TradeTick( instrument_id=instrument.id, price=Price.from_str("1.00001"), size=Quantity.from_int(2000), aggressor_side=AggressorSide.BUY, match_id="123456", ts_event_ns=0, ts_recv_ns=0, ) tick2 = TradeTick( instrument_id=instrument.id, price=Price.from_str("1.00002"), size=Quantity.from_int(3000), aggressor_side=AggressorSide.BUY, match_id="123457", ts_event_ns=0, ts_recv_ns=0, ) tick3 = TradeTick( instrument_id=instrument.id, price=Price.from_str("1.00000"), size=Quantity.from_int(25000), aggressor_side=AggressorSide.BUY, match_id="123458", ts_event_ns=0, ts_recv_ns=0, ) # Act aggregator.handle_trade_tick(tick1) aggregator.handle_trade_tick(tick2) aggregator.handle_trade_tick(tick3) # Assert self.assertEqual(3, 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_int(10000), bar_store.get_store()[0].volume) self.assertEqual(Price.from_str("1.00000"), bar_store.get_store()[1].open) self.assertEqual(Price.from_str("1.00000"), bar_store.get_store()[1].high) self.assertEqual(Price.from_str("1.00000"), bar_store.get_store()[1].low) self.assertEqual(Price.from_str("1.00000"), bar_store.get_store()[1].close) self.assertEqual(Quantity.from_int(10000), bar_store.get_store()[1].volume) self.assertEqual(Price.from_str("1.00000"), bar_store.get_store()[2].open) self.assertEqual(Price.from_str("1.00000"), bar_store.get_store()[2].high) self.assertEqual(Price.from_str("1.00000"), bar_store.get_store()[2].low) self.assertEqual(Price.from_str("1.00000"), bar_store.get_store()[2].close) self.assertEqual(Quantity.from_int(10000), bar_store.get_store()[2].volume)