def test_to_dict_returns_expected_dict(self):
# Arrange
tick = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00000"),
size=Quantity.from_int(10000),
aggressor_side=AggressorSide.BUY,
trade_id=TradeId("123456789"),
ts_event=0,
ts_init=0,
)
# Act
result = TradeTick.to_dict(tick)
# Assert
assert result == {
"type": "TradeTick",
"instrument_id": "AUD/USD.SIM",
"price": "1.00000",
"size": "10000",
"aggressor_side": "BUY",
"trade_id": "123456789",
"ts_event": 0,
"ts_init": 0,
}
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_passive_fill_on_trade_tick(self):
# Arrange: Prepare market
# Market is 10 @ 15
snapshot = TestDataStubs.order_book_snapshot(
instrument_id=USDJPY_SIM.id, bid_volume=1000, ask_volume=1000)
self.data_engine.process(snapshot)
self.exchange.process_order_book(snapshot)
order = self.strategy.order_factory.limit(
instrument_id=USDJPY_SIM.id,
order_side=OrderSide.SELL,
quantity=Quantity.from_int(2000),
price=Price.from_str("14"),
post_only=False,
)
self.strategy.submit_order(order)
# Act
tick1 = TradeTick(
instrument_id=USDJPY_SIM.id,
price=Price.from_str("14.0"),
size=Quantity.from_int(1000),
aggressor_side=AggressorSide.SELL,
trade_id=TradeId("123456789"),
ts_event=0,
ts_init=0,
)
self.exchange.process_tick(tick1)
# Assert
assert order.status == OrderStatus.PARTIALLY_FILLED
assert order.filled_qty == Quantity.from_int(1000.0) # No slippage
assert order.avg_px == Decimal("14.0")
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,
trade_id="123456",
ts_event=0,
ts_init=0,
)
# Act
aggregator.handle_trade_tick(tick1)
# Assert
assert len(bar_store.get_store()) == 0
assert aggregator.get_cumulative_value() == Decimal("52500.000")
async def test_subscribe_trade_ticks(self, monkeypatch):
handler = []
self.msgbus.subscribe(
topic="data.trades.BINANCE.ETHUSDT",
handler=handler.append,
)
# Act
self.data_client.subscribe_trade_ticks(ETHUSDT_BINANCE.id)
raw_trade = pkgutil.get_data(
package="tests.integration_tests.adapters.binance.resources.ws_messages",
resource="ws_spot_trade.json",
)
# Assert
self.data_client._handle_ws_message(raw_trade)
await asyncio.sleep(1)
assert self.data_engine.data_count == 1
assert len(handler) == 1 # <-- handler received tick
assert handler[0] == TradeTick(
instrument_id=ETHUSDT_BINANCE.id,
price=Price.from_str("4149.74000000"),
size=Quantity.from_str("0.43870000"),
aggressor_side=AggressorSide.SELL,
trade_id=TradeId("705291099"),
ts_event=1639351062243000064,
ts_init=handler[0].ts_init,
)
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,
trade_id="123456",
ts_event=0,
ts_init=0,
)
# Act
aggregator.handle_trade_tick(tick1)
# Assert
assert len(bar_store.get_store()) == 0
def test_data_catalog_instrument_ids_correctly_unmapped(self):
# Arrange
catalog = DataCatalog.from_env()
instrument = TestInstrumentProvider.default_fx_ccy("AUD/USD",
venue=Venue("SIM"))
trade_tick = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("2.0"),
size=Quantity.from_int(10),
aggressor_side=AggressorSide.UNKNOWN,
trade_id=TradeId("1"),
ts_event=0,
ts_init=0,
)
write_objects(catalog=catalog, chunk=[instrument, trade_tick])
# Act
instrument = catalog.instruments(instrument_ids=["AUD/USD.SIM"],
as_nautilus=True)[0]
trade_tick = catalog.trade_ticks(instrument_ids=["AUD/USD.SIM"],
as_nautilus=True)[0]
# Assert
assert instrument.id.value == "AUD/USD.SIM"
assert trade_tick.instrument_id.value == "AUD/USD.SIM"
def test_from_dict_returns_expected_tick(self):
# Arrange
tick = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00000"),
size=Quantity.from_int(10000),
aggressor_side=AggressorSide.BUY,
trade_id=TradeId("123456789"),
ts_event=0,
ts_init=0,
)
# Act
result = TradeTick.from_dict(TradeTick.to_dict(tick))
# Assert
assert tick == result
def parse_trade_tick_ws(instrument_id: InstrumentId, msg: Dict,
ts_init: int) -> TradeTick:
return TradeTick(
instrument_id=instrument_id,
price=Price.from_str(msg["p"]),
size=Quantity.from_str(msg["q"]),
aggressor_side=AggressorSide.SELL if msg["m"] else AggressorSide.BUY,
trade_id=str(msg["t"]),
ts_event=millis_to_nanos(msg["T"]),
ts_init=ts_init,
)
def parse_trade_tick_http(instrument_id: InstrumentId, msg: Dict,
ts_init: int) -> TradeTick:
return TradeTick(
instrument_id=instrument_id,
price=Price.from_str(msg["price"]),
size=Quantity.from_str(msg["qty"]),
aggressor_side=AggressorSide.SELL
if msg["isBuyerMaker"] else AggressorSide.BUY,
trade_id=TradeId(str(msg["id"])),
ts_event=millis_to_nanos(msg["time"]),
ts_init=ts_init,
)
def parse_trade_tick_ws(
instrument_id: InstrumentId,
data: BinanceTradeData,
ts_init: int,
) -> TradeTick:
return TradeTick(
instrument_id=instrument_id,
price=Price.from_str(data.p),
size=Quantity.from_str(data.q),
aggressor_side=AggressorSide.SELL if data.m else AggressorSide.BUY,
trade_id=TradeId(str(data.t)),
ts_event=millis_to_nanos(data.T),
ts_init=ts_init,
)
def parse_line(d):
if "status" in d:
return {}
elif "close_price" in d:
# return {'timestamp': d['remote_timestamp'], "close_price": d['close_price']}
return {}
if "trade" in d:
ts = millis_to_nanos(
pd.Timestamp(d["remote_timestamp"]).timestamp())
return {
"timestamp":
d["remote_timestamp"],
"op":
"trade",
"trade":
TradeTick(
instrument_id=InstrumentId(Symbol("TEST"),
Venue("BETFAIR")),
price=Price(d["trade"]["price"], 4),
size=Quantity(d["trade"]["volume"], 4),
aggressor_side=d["trade"]["side"],
trade_id=TradeId(d["trade"]["trade_id"]),
ts_event=ts,
ts_init=ts,
),
}
elif "level" in d and d["level"]["orders"][0]["volume"] == 0:
op = "delete"
else:
op = "update"
order_like = d["level"]["orders"][0] if op != "trade" else d[
"trade"]
return {
"timestamp":
d["remote_timestamp"],
"op":
op,
"order":
Order(
price=Price(order_like["price"], precision=6),
size=Quantity(abs(order_like["volume"]), precision=4),
# Betting sides are reversed
side={
2: OrderSide.BUY,
1: OrderSide.SELL
}[order_like["side"]],
id=str(order_like["order_id"]),
),
}
def trade_tick_3decimal(
instrument_id=None,
price=None,
aggressor_side=None,
quantity=None,
) -> TradeTick:
return TradeTick(
instrument_id=instrument_id or TestIdStubs.usdjpy_id(),
price=price or Price.from_str("1.001"),
size=quantity or Quantity.from_int(100000),
aggressor_side=aggressor_side or AggressorSide.BUY,
trade_id=TradeId("123456"),
ts_event=0,
ts_init=0,
)
def test_hash_str_and_repr(self):
# Arrange
tick = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00000"),
size=Quantity.from_int(50000),
aggressor_side=AggressorSide.BUY,
trade_id=TradeId("123456789"),
ts_event=0,
ts_init=0,
)
# Act, Assert
assert isinstance(hash(tick), int)
assert str(tick) == "AUD/USD.SIM,1.00000,50000,BUY,123456789,0"
assert repr(tick) == "TradeTick(AUD/USD.SIM,1.00000,50000,BUY,123456789,0)"
def _on_trade_ticker_update(self, ticker: Ticker):
instrument_id = self._instrument_provider.contract_id_to_instrument_id[
ticker.contract.conId]
for tick in ticker.ticks:
price = str(tick.price)
size = str(tick.size)
ts_event = dt_to_unix_nanos(tick.time)
update = TradeTick(
instrument_id=instrument_id,
price=Price.from_str(price),
size=Quantity.from_str(size),
aggressor_side=AggressorSide.UNKNOWN,
trade_id=generate_trade_id(symbol=instrument_id.value,
ts_event=ts_event,
price=price,
size=size),
ts_event=ts_event,
ts_init=self._clock.timestamp_ns(),
)
self._handle_data(update)
def parse_trade_ticks_ws(
instrument: Instrument,
data: List[Dict[str, Any]],
ts_init: int,
) -> List[TradeTick]:
ticks: List[TradeTick] = []
for trade in data:
tick: TradeTick = TradeTick(
instrument_id=instrument.id,
price=Price(trade["price"], instrument.price_precision),
size=Quantity(trade["size"], instrument.size_precision),
aggressor_side=AggressorSide.BUY
if trade["side"] == "buy" else AggressorSide.SELL,
trade_id=TradeId(str(trade["id"])),
ts_event=pd.to_datetime(trade["time"], utc=True).to_datetime64(),
ts_init=ts_init,
)
ticks.append(tick)
return ticks
def parse_historic_trade_ticks(historic_ticks: List[HistoricalTickLast],
instrument_id: InstrumentId) -> List[TradeTick]:
trades = []
for tick in historic_ticks:
ts_init = dt_to_unix_nanos(tick.time)
trade_tick = TradeTick(
instrument_id=instrument_id,
price=Price.from_str(str(tick.price)),
size=Quantity.from_str(str(tick.size)),
aggressor_side=AggressorSide.UNKNOWN,
trade_id=generate_trade_id(
symbol=instrument_id.symbol.value,
ts_event=ts_init,
price=tick.price,
size=tick.size,
),
ts_init=ts_init,
ts_event=ts_init,
)
trades.append(trade_tick)
return trades
def test_parse_historic_trade_ticks(self):
# Arrange
raw = IBTestStubs.historic_trades()
instrument_id = IBTestStubs.instrument(symbol="AAPL").id
# Act
ticks = parse_historic_trade_ticks(historic_ticks=raw,
instrument_id=instrument_id)
# Assert
assert all([isinstance(t, TradeTick) for t in ticks])
expected = TradeTick.from_dict({
"type": "TradeTick",
"instrument_id": "AAPL.NASDAQ",
"price": "6.2",
"size": "30.0",
"aggressor_side": "UNKNOWN",
"trade_id":
"2a62fd894bf039d1907675dcaa8d2a64a9022fe3fa4bdd0ef9972c4b40e041d5",
"ts_event": 1646185673000000000,
"ts_init": 1646185673000000000,
})
assert ticks[0] == expected
def _handle_market_trades(
runner,
instrument,
ts_event,
ts_init,
):
trade_ticks = []
for price, volume in runner.get("trd", []):
if volume == 0:
continue
# Betfair doesn't publish trade ids, so we make our own
# TODO - should we use clk here for ID instead of the hash?
trade_id = hash_json(data=(ts_event, price, volume))
tick = TradeTick(
instrument_id=instrument.id,
price=price_to_probability(str(price)),
size=Quantity(volume, precision=4),
aggressor_side=AggressorSide.UNKNOWN,
trade_id=TradeId(trade_id),
ts_event=ts_event,
ts_init=ts_init,
)
trade_ticks.append(tick)
return trade_ticks
def test_fully_qualified_name(self):
# Arrange, Act, Assert
assert TradeTick.fully_qualified_name() == "nautilus_trader.model.data.tick.TradeTick"
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")
