def test_pre_process_with_tick_data(self):
# Arrange
tick_data = TestDataProvider.tardis_quotes()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.btcusdt_binance(),
data_quotes=tick_data,
data_bars_bid=None,
data_bars_ask=None,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.processed_data
# Assert
self.assertEqual(BarAggregation.TICK, self.tick_builder.resolution)
self.assertEqual(9999, len(ticks))
self.assertEqual(
Timestamp('2020-02-22 00:00:03.522418+0000', tz='UTC'),
ticks.iloc[1].name)
self.assertEqual('0.670000', ticks.bid_size[0])
self.assertEqual('0.840000', ticks.ask_size[0])
self.assertEqual('9681.92', ticks.bid[0])
self.assertEqual('9682.00', ticks.ask[0])
self.assertEqual(
sorted(ticks.columns),
sorted(['symbol', 'ask_size', 'ask', 'bid_size', 'bid']))
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_build_ticks_with_bar_data(self):
# Arrange
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm()),
data_quotes=None,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data},
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(115044, len(ticks))
self.assertEqual(Price("91.715"), ticks[0].bid)
self.assertEqual(Price("91.717"), ticks[0].ask)
self.assertEqual(Quantity("1"), ticks[0].bid_size)
self.assertEqual(Quantity("1"), ticks[0].ask_size)
self.assertEqual(
Timestamp("2013-01-31 23:59:59.700000+0000", tz="UTC"),
ticks[0].timestamp)
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()),
)
wrangler = QuoteTickDataWrangler(
instrument=instrument,
data_quotes=TestDataProvider.audusd_ticks(),
)
wrangler.pre_process(instrument_indexer=0, default_volume=1)
ticks = wrangler.build_ticks()
# Act
for tick in ticks:
aggregator.handle_quote_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1]
self.assertEqual(99, len(bar_store.get_store()))
self.assertEqual(Price.from_str("0.669325"), last_bar.open)
self.assertEqual(Price.from_str("0.669485"), last_bar.high)
self.assertEqual(Price.from_str("0.66917"), last_bar.low)
self.assertEqual(Price.from_str("0.66935"), last_bar.close)
self.assertEqual(Quantity.from_int(1000), last_bar.volume)
def test_given_list_of_ticks_aggregates_tick_bars(self):
# Arrange
tick_data = TestDataProvider.usdjpy_ticks()
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.wrangler = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy("USD/JPY"),
data_quotes=tick_data,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data},
)
self.wrangler.pre_process(0)
bar_store = ObjectStorer()
handler = bar_store.store_2
instrument_id = TestStubs.usdjpy_id()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
clock = TestClock()
logger = TestLogger(clock)
ticks = self.wrangler.build_ticks()
builder = BulkTickBarBuilder(bar_type, logger, handler)
# Act
builder.receive(ticks)
# Assert
self.assertEqual(333, len(bar_store.get_store()[0][1]))
def test_pre_process_with_bar_data(self):
# Arrange
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy(TestStubs.symbol_usdjpy()),
data_quotes=None,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data},
)
# Act
self.tick_builder.pre_process(0)
tick_data = self.tick_builder.processed_data
# Assert
self.assertEqual(BarAggregation.MINUTE, self.tick_builder.resolution)
self.assertEqual(115044, len(tick_data))
self.assertEqual(Timestamp("2013-01-31 23:59:59.700000+0000", tz="UTC"), tick_data.iloc[0].name)
self.assertEqual(Timestamp("2013-01-31 23:59:59.800000+0000", tz="UTC"), tick_data.iloc[1].name)
self.assertEqual(Timestamp("2013-01-31 23:59:59.900000+0000", tz="UTC"), tick_data.iloc[2].name)
self.assertEqual(Timestamp("2013-02-01 00:00:00+0000", tz="UTC"), tick_data.iloc[3].name)
self.assertEqual(0, tick_data.iloc[0]["symbol"])
self.assertEqual("1", tick_data.iloc[0]["bid_size"])
self.assertEqual("1", tick_data.iloc[0]["ask_size"])
self.assertEqual("1", tick_data.iloc[1]["bid_size"])
self.assertEqual("1", tick_data.iloc[1]["ask_size"])
self.assertEqual("1", tick_data.iloc[2]["bid_size"])
self.assertEqual("1", tick_data.iloc[2]["ask_size"])
self.assertEqual("1", tick_data.iloc[3]["bid_size"])
self.assertEqual("1", tick_data.iloc[3]["ask_size"])
def test_pre_process_with_tick_data(self):
# Arrange
tick_data = TestDataProvider.usdjpy_ticks()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy(TestStubs.symbol_usdjpy()),
data_quotes=tick_data,
data_bars_bid=None,
data_bars_ask=None,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.processed_data
# Assert
self.assertEqual(BarAggregation.TICK, self.tick_builder.resolution)
self.assertEqual(1000, len(ticks))
self.assertEqual(Timestamp("2013-01-01 22:02:35.907000", tz="UTC"), ticks.iloc[1].name)
class TardisQuoteDataWranglerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
def test_tick_data(self):
# Arrange
# Act
ticks = TestDataProvider.tardis_quotes()
# Assert
self.assertEqual(9999, len(ticks))
def test_pre_process_with_tick_data(self):
# Arrange
tick_data = TestDataProvider.tardis_quotes()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.btcusdt_binance(),
data_quotes=tick_data,
data_bars_bid=None,
data_bars_ask=None,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.processed_data
# Assert
self.assertEqual(BarAggregation.TICK, self.tick_builder.resolution)
self.assertEqual(9999, len(ticks))
self.assertEqual(
Timestamp("2020-02-22 00:00:03.522418+0000", tz="UTC"),
ticks.iloc[1].name)
self.assertEqual("0.670000", ticks.bid_size[0])
self.assertEqual("0.840000", ticks.ask_size[0])
self.assertEqual("9681.92", ticks.bid[0])
self.assertEqual("9682.00", ticks.ask[0])
self.assertEqual(
sorted([
"ask", "ask_size", "bid", "bid_size", "instrument_id", "symbol"
]),
sorted(ticks.columns),
)
def test_build_ticks_with_tick_data(self):
# Arrange
tick_data = TestDataProvider.audusd_ticks()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy(TestStubs.symbol_audusd()),
data_quotes=tick_data,
data_bars_bid=None,
data_bars_ask=None,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(100000, len(ticks))
self.assertEqual(Price("0.67067"), ticks[0].bid)
self.assertEqual(Price("0.67070"), ticks[0].ask)
self.assertEqual(Quantity("1"), ticks[0].bid_size)
self.assertEqual(Quantity("1"), ticks[0].ask_size)
self.assertEqual(Timestamp("2020-01-30 15:28:09.820000+0000", tz="UTC"), ticks[0].timestamp)
def test_build_ticks_with_bar_data(self):
# Arrange
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy("USD/JPY"),
data_quotes=None,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data},
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(115044, len(ticks))
self.assertEqual(Price("91.715"), ticks[0].bid)
self.assertEqual(Price("91.717"), ticks[0].ask)
self.assertEqual(Quantity("1"), ticks[0].bid_size)
self.assertEqual(Quantity("1"), ticks[0].ask_size)
self.assertEqual(1359676799700000000, ticks[0].timestamp_ns)
def test_build_ticks_with_tick_data(self):
# Arrange
tick_data = TestDataProvider.audusd_ticks()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy("AUD/USD"),
data_quotes=tick_data,
data_bars_bid=None,
data_bars_ask=None,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(100000, len(ticks))
self.assertEqual(Price("0.67067"), ticks[0].bid)
self.assertEqual(Price("0.67070"), ticks[0].ask)
self.assertEqual(Quantity("1"), ticks[0].bid_size)
self.assertEqual(Quantity("1"), ticks[0].ask_size)
self.assertEqual(1580398089820000000, ticks[0].timestamp_ns)
self.assertEqual(1580504394500999936, ticks[99999].timestamp_ns)
class QuoteTickDataWranglerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
def test_tick_data(self):
# Arrange
# Act
ticks = TestDataProvider.usdjpy_ticks()
# Assert
self.assertEqual(1000, len(ticks))
def test_pre_process_with_tick_data(self):
# Arrange
tick_data = TestDataProvider.usdjpy_ticks()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm()),
data_quotes=tick_data,
data_bars_bid=None,
data_bars_ask=None,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.processed_data
# Assert
self.assertEqual(BarAggregation.TICK, self.tick_builder.resolution)
self.assertEqual(1000, len(ticks))
self.assertEqual(Timestamp("2013-01-01 22:02:35.907000", tz="UTC"),
ticks.iloc[1].name)
def test_pre_process_with_bar_data(self):
# Arrange
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm()),
data_quotes=None,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data},
)
# Act
self.tick_builder.pre_process(0)
tick_data = self.tick_builder.processed_data
# Assert
self.assertEqual(BarAggregation.MINUTE, self.tick_builder.resolution)
self.assertEqual(115044, len(tick_data))
self.assertEqual(
Timestamp("2013-01-31 23:59:59.700000+0000", tz="UTC"),
tick_data.iloc[0].name)
self.assertEqual(
Timestamp("2013-01-31 23:59:59.800000+0000", tz="UTC"),
tick_data.iloc[1].name)
self.assertEqual(
Timestamp("2013-01-31 23:59:59.900000+0000", tz="UTC"),
tick_data.iloc[2].name)
self.assertEqual(Timestamp("2013-02-01 00:00:00+0000", tz="UTC"),
tick_data.iloc[3].name)
self.assertEqual(0, tick_data.iloc[0]["symbol"])
self.assertEqual("1", tick_data.iloc[0]["bid_size"])
self.assertEqual("1", tick_data.iloc[0]["ask_size"])
self.assertEqual("1", tick_data.iloc[1]["bid_size"])
self.assertEqual("1", tick_data.iloc[1]["ask_size"])
self.assertEqual("1", tick_data.iloc[2]["bid_size"])
self.assertEqual("1", tick_data.iloc[2]["ask_size"])
self.assertEqual("1", tick_data.iloc[3]["bid_size"])
self.assertEqual("1", tick_data.iloc[3]["ask_size"])
def test_build_ticks_with_tick_data(self):
# Arrange
tick_data = TestDataProvider.audusd_ticks()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy(
TestStubs.symbol_audusd_fxcm()),
data_quotes=tick_data,
data_bars_bid=None,
data_bars_ask=None,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(100000, len(ticks))
self.assertEqual(Price("0.67067"), ticks[0].bid)
self.assertEqual(Price("0.67070"), ticks[0].ask)
self.assertEqual(Quantity("1"), ticks[0].bid_size)
self.assertEqual(Quantity("1"), ticks[0].ask_size)
self.assertEqual(
Timestamp("2020-01-30 15:28:09.820000+0000", tz="UTC"),
ticks[0].timestamp)
def test_build_ticks_with_bar_data(self):
# Arrange
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm()),
data_quotes=None,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data},
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(115044, len(ticks))
self.assertEqual(Price("91.715"), ticks[0].bid)
self.assertEqual(Price("91.717"), ticks[0].ask)
self.assertEqual(Quantity("1"), ticks[0].bid_size)
self.assertEqual(Quantity("1"), ticks[0].ask_size)
self.assertEqual(
Timestamp("2013-01-31 23:59:59.700000+0000", tz="UTC"),
ticks[0].timestamp)
class QuoteTickDataWranglerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
def test_tick_data(self):
# Arrange
# Act
ticks = TestDataProvider.usdjpy_ticks()
# Assert
self.assertEqual(1000, len(ticks))
def test_pre_process_with_tick_data(self):
# Arrange
tick_data = TestDataProvider.usdjpy_ticks()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy("USD/JPY"),
data_quotes=tick_data,
data_bars_bid=None,
data_bars_ask=None,
)
# Act
self.tick_builder.pre_process(0, 42)
ticks = self.tick_builder.processed_data
# Assert
self.assertEqual(BarAggregation.TICK, self.tick_builder.resolution)
self.assertEqual(1000, len(ticks))
self.assertEqual(Timestamp("2013-01-01 22:02:35.907000", tz="UTC"),
ticks.iloc[1].name)
def test_pre_process_with_bar_data(self):
# Arrange
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy("USD/JPY"),
data_quotes=None,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data},
)
# Act
self.tick_builder.pre_process(0, 42)
tick_data = self.tick_builder.processed_data
# Assert
self.assertEqual(BarAggregation.MINUTE, self.tick_builder.resolution)
self.assertEqual(115044, len(tick_data))
self.assertEqual(
Timestamp("2013-01-31 23:59:59.700000+0000", tz="UTC"),
tick_data.iloc[0].name,
)
self.assertEqual(
Timestamp("2013-01-31 23:59:59.800000+0000", tz="UTC"),
tick_data.iloc[1].name,
)
self.assertEqual(
Timestamp("2013-01-31 23:59:59.900000+0000", tz="UTC"),
tick_data.iloc[2].name,
)
self.assertEqual(Timestamp("2013-02-01 00:00:00+0000", tz="UTC"),
tick_data.iloc[3].name)
self.assertEqual(0, tick_data.iloc[0]["instrument_id"])
self.assertEqual("1000000", tick_data.iloc[0]["bid_size"])
self.assertEqual("1000000", tick_data.iloc[0]["ask_size"])
self.assertEqual("1000000", tick_data.iloc[1]["bid_size"])
self.assertEqual("1000000", tick_data.iloc[1]["ask_size"])
self.assertEqual("1000000", tick_data.iloc[2]["bid_size"])
self.assertEqual("1000000", tick_data.iloc[2]["ask_size"])
self.assertEqual("1000000", tick_data.iloc[3]["bid_size"])
self.assertEqual("1000000", tick_data.iloc[3]["ask_size"])
def test_build_ticks_with_tick_data(self):
# Arrange
tick_data = TestDataProvider.audusd_ticks()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy("AUD/USD"),
data_quotes=tick_data,
data_bars_bid=None,
data_bars_ask=None,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(100000, len(ticks))
self.assertEqual(Price.from_str("0.67067"), ticks[0].bid)
self.assertEqual(Price.from_str("0.67070"), ticks[0].ask)
self.assertEqual(Quantity.from_str("1000000"), ticks[0].bid_size)
self.assertEqual(Quantity.from_str("1000000"), ticks[0].ask_size)
self.assertEqual(1580398089820000000, ticks[0].ts_recv_ns)
self.assertEqual(1580504394500999936, ticks[99999].ts_recv_ns)
def test_build_ticks_with_bar_data(self):
# Arrange
bid_data = TestDataProvider.usdjpy_1min_bid()
ask_data = TestDataProvider.usdjpy_1min_ask()
self.tick_builder = QuoteTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy("USD/JPY"),
data_quotes=None,
data_bars_bid={BarAggregation.MINUTE: bid_data},
data_bars_ask={BarAggregation.MINUTE: ask_data},
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(115044, len(ticks))
self.assertEqual(Price.from_str("91.715"), ticks[0].bid)
self.assertEqual(Price.from_str("91.717"), ticks[0].ask)
self.assertEqual(Quantity.from_str("1000000"), ticks[0].bid_size)
self.assertEqual(Quantity.from_str("1000000"), ticks[0].ask_size)
self.assertEqual(1359676799700000000, ticks[0].ts_recv_ns)
