def test_handle_quote_tick(self):
# Arrange
indicator = BidAskMinMax(self.instrument_id, timedelta(minutes=5))
# Act
indicator.handle_quote_tick(
QuoteTick(
self.instrument_id,
Price("1.0"),
Price("2.0"),
Quantity(1),
Quantity(1),
0,
))
# 5 min later (still in the window)
indicator.handle_quote_tick(
QuoteTick(
self.instrument_id,
Price("0.9"),
Price("2.1"),
Quantity(1),
Quantity(1),
3e11,
))
# Assert
self.assertEqual(Price("0.9"), indicator.bids.min_price)
self.assertEqual(Price("1.0"), indicator.bids.max_price)
self.assertEqual(Price("2.1"), indicator.asks.min_price)
self.assertEqual(Price("2.1"), indicator.asks.max_price)
def test_update_correctly_updates_analyzer(self):
# Arrange
analyzer = SpreadAnalyzer(AUDUSD_SIM.id, 1000)
tick1 = QuoteTick(
AUDUSD_SIM.id,
Price("0.80000"),
Price("0.80010"),
Quantity(1),
Quantity(1),
0,
)
tick2 = QuoteTick(
AUDUSD_SIM.id,
Price("0.80002"),
Price("0.80008"),
Quantity(1),
Quantity(1),
0,
)
# Act
analyzer.handle_quote_tick(tick1)
analyzer.handle_quote_tick(tick2)
# Assert
self.assertAlmostEqual(6e-05, analyzer.current)
self.assertAlmostEqual(8e-05, analyzer.average)
def test_to_dict_returns_expected_dict(self):
# Arrange
tick = QuoteTick(
AUDUSD_SIM.id,
Price.from_str("1.00000"),
Price.from_str("1.00001"),
Quantity.from_int(1),
Quantity.from_int(1),
0,
0,
)
# Act
result = QuoteTick.to_dict(tick)
print(result)
# Assert
assert result == {
"type": "QuoteTick",
"instrument_id": "AUD/USD.SIM",
"bid": "1.00000",
"ask": "1.00001",
"bid_size": "1",
"ask_size": "1",
"ts_event_ns": 0,
"ts_recv_ns": 0,
}
def test_quote_tick_with_two_ticks_returns_expected_tick(self):
# Arrange
tick1 = QuoteTick(
AUDUSD_SIM.id,
Price("1.00000"),
Price("1.00001"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
tick2 = QuoteTick(
AUDUSD_SIM.id,
Price("1.00001"),
Price("1.00003"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
self.cache.add_quote_tick(tick1)
self.cache.add_quote_tick(tick2)
# Act
result = self.cache.quote_tick(AUDUSD_SIM.id, index=0)
# Assert
self.assertEqual(2, self.cache.quote_tick_count(AUDUSD_SIM.id))
self.assertEqual(tick2, result)
def test_handle_quote_tick(self):
# Arrange
indicator = BidAskMinMax(self.symbol, timedelta(minutes=5))
# Act
indicator.handle_quote_tick(
QuoteTick(
self.symbol,
Price("1.0"),
Price("2.0"),
Quantity(1),
Quantity(1),
datetime(2020, 1, 1, 0, 0, 0, tzinfo=pytz.utc),
)
)
# 5 min later (still in the window)
indicator.handle_quote_tick(
QuoteTick(
self.symbol,
Price("0.9"),
Price("2.1"),
Quantity(1),
Quantity(1),
datetime(2020, 1, 1, 0, 5, 0, tzinfo=pytz.utc),
)
)
# Assert
self.assertEqual(Price("0.9"), indicator.bids.min_price)
self.assertEqual(Price("1.0"), indicator.bids.max_price)
self.assertEqual(Price("2.1"), indicator.asks.min_price)
self.assertEqual(Price("2.1"), indicator.asks.max_price)
def test_update(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
tick1 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
tick2 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
tick3 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
# Act
builder.handle_quote_tick(tick1)
builder.handle_quote_tick(tick2)
builder.handle_quote_tick(tick3)
# Assert
self.assertEqual(bar_spec, builder.bar_spec)
self.assertEqual(3, builder.count)
self.assertEqual(UNIX_EPOCH, builder.last_update)
def test_update_timed_with_test_clock_sends_single_bar_to_handler(self):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TimeBarAggregator(
AUDUSD_SIM,
bar_type,
handler,
True,
TestClock(),
Logger(clock),
)
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("1.00001"),
ask=Price.from_str("1.00004"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event_ns=0,
ts_recv_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(1),
ask_size=Quantity.from_int(1),
ts_event_ns=0,
ts_recv_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(1),
ask_size=Quantity.from_int(1),
ts_event_ns=2 * 60 * 1_000_000_000, # 2 minutes in nanoseconds
ts_recv_ns=2 * 60 * 1_000_000_000, # 2 minutes in nanoseconds
)
# 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 Price.from_str("1.000025") == bar_store.get_store()[0].open
assert Price.from_str("1.000035") == bar_store.get_store()[0].high
assert Price.from_str("1.000025") == bar_store.get_store()[0].low
assert Price.from_str("1.000035") == bar_store.get_store()[0].close
assert Quantity.from_int(2) == bar_store.get_store()[0].volume
assert 60_000_000_000 == bar_store.get_store()[0].ts_recv_ns
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_equality_and_comparisons(self):
# Arrange
# These are based on timestamp for tick sorting
tick1 = QuoteTick(
AUDUSD_SIM.id,
Price("1.00000"),
Price("1.00001"),
Quantity(1),
Quantity(1),
UNIX_EPOCH + timedelta(seconds=1),
)
tick2 = QuoteTick(
AUDUSD_SIM.id,
Price("1.00000"),
Price("1.00001"),
Quantity(1),
Quantity(1),
UNIX_EPOCH + timedelta(seconds=2),
)
tick3 = QuoteTick(
AUDUSD_SIM.id,
Price("1.00000"),
Price("1.00001"),
Quantity(1),
Quantity(1),
UNIX_EPOCH + timedelta(seconds=3),
)
self.assertTrue(tick1 == tick1)
self.assertTrue(tick1 != tick2)
self.assertEqual([tick1, tick2, tick3], sorted([tick2, tick3, tick1], key=lambda x: x.timestamp))
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_position_flipped_when_reduce_order_exceeds_original_quantity(
self):
# Arrange
# Prepare market
open_quote = QuoteTick(
USDJPY_SIM.symbol,
Price("90.002"),
Price("90.003"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
self.data_engine.process(open_quote)
self.exchange.process_tick(open_quote)
order_open = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
# Act 1
self.strategy.submit_order(order_open)
reduce_quote = QuoteTick(
USDJPY_SIM.symbol,
Price("100.003"),
Price("100.003"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
self.exchange.process_tick(reduce_quote)
self.portfolio.update_tick(reduce_quote)
order_reduce = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.SELL,
Quantity(150000),
)
# Act 2
self.strategy.submit_order(
order_reduce,
PositionId("P-19700101-000000-000-001-1")) # Generated by platform
# Assert
print(self.exec_engine.cache.positions())
position_open = self.exec_engine.cache.positions_open()[0]
position_closed = self.exec_engine.cache.positions_closed()[0]
self.assertEqual(PositionSide.SHORT, position_open.side)
self.assertEqual(Quantity(50000), position_open.quantity)
self.assertEqual(Money(999619.98, JPY), position_closed.realized_pnl)
self.assertEqual([Money(380.02, JPY)], position_closed.commissions())
def test_handle_quote_tick_when_count_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TickBarAggregator(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(1),
ask_size=Quantity.from_int(1),
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(1),
ask_size=Quantity.from_int(1),
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(1),
ask_size=Quantity.from_int(1),
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("1.000025"),
bar_store.get_store()[0].open)
self.assertEqual(Price.from_str("1.000035"),
bar_store.get_store()[0].high)
self.assertEqual(Price.from_str("1.000015"),
bar_store.get_store()[0].low)
self.assertEqual(Price.from_str("1.000015"),
bar_store.get_store()[0].close)
self.assertEqual(Quantity.from_int(3), bar_store.get_store()[0].volume)
def test_commission_maker_taker_order(self):
# Arrange
# Prepare market
quote1 = QuoteTick(
XBTUSD_BITMEX.symbol,
Price("11493.70"),
Price("11493.75"),
Quantity(1500000),
Quantity(1500000),
UNIX_EPOCH,
)
self.data_engine.process(quote1)
self.exchange.process_tick(quote1)
order_market = self.strategy.order_factory.market(
XBTUSD_BITMEX.symbol,
OrderSide.BUY,
Quantity(100000),
)
order_limit = self.strategy.order_factory.limit(
XBTUSD_BITMEX.symbol,
OrderSide.BUY,
Quantity(100000),
Price("11493.65"),
)
# Act
self.strategy.submit_order(order_market)
self.strategy.submit_order(order_limit)
quote2 = QuoteTick(
XBTUSD_BITMEX.symbol,
Price("11493.60"),
Price("11493.64"),
Quantity(1500000),
Quantity(1500000),
UNIX_EPOCH,
)
self.exchange.process_tick(quote2) # Fill the limit order
self.portfolio.update_tick(quote2)
# Assert
self.assertEqual(
LiquiditySide.TAKER,
self.strategy.object_storer.get_store()[2].liquidity_side)
self.assertEqual(
LiquiditySide.MAKER,
self.strategy.object_storer.get_store()[7].liquidity_side)
self.assertEqual(Money("0.00652529", BTC),
self.strategy.object_storer.get_store()[2].commission)
self.assertEqual(Money("-0.00217511", BTC),
self.strategy.object_storer.get_store()[7].commission)
def test_update_timed_with_test_clock_sends_single_bar_to_handler(self):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TimeBarAggregator(bar_type, handler, True, TestClock(),
TestLogger(clock))
stop_time = UNIX_EPOCH + timedelta(minutes=2)
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=stop_time,
)
# 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("1.000025"), bar_store.get_store()[0].bar.open)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].bar.high)
self.assertEqual(Price("1.000025"), bar_store.get_store()[0].bar.low)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].bar.close)
self.assertEqual(Quantity(2), bar_store.get_store()[0].bar.volume)
self.assertEqual(datetime(1970, 1, 1, 0, 1, tzinfo=pytz.utc),
bar_store.get_store()[0].bar.timestamp)
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_update_timed_with_test_clock_sends_single_bar_to_handler(self):
# Arrange
clock = TestClock()
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(1, BarAggregation.MINUTE, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = TimeBarAggregator(
bar_type, handler, True, TestClock(), Logger(clock)
)
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp_ns=0,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp_ns=0,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp_ns=2 * 60 * 1_000_000_000, # 2 minutes in nanoseconds
)
# 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("1.000025"), bar_store.get_store()[0].open)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].high)
self.assertEqual(Price("1.000025"), bar_store.get_store()[0].low)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].close)
self.assertEqual(Quantity(2), bar_store.get_store()[0].volume)
self.assertEqual(60_000_000_000, bar_store.get_store()[0].timestamp_ns)
def test_handle_quote_tick_when_count_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd()
bar_spec = BarSpecification(3, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(symbol, bar_spec)
aggregator = TickBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick2 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH,
)
tick3 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
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("1.000025"), bar_store.get_store()[0].bar.open)
self.assertEqual(Price("1.000035"), bar_store.get_store()[0].bar.high)
self.assertEqual(Price("1.000015"), bar_store.get_store()[0].bar.low)
self.assertEqual(Price("1.000015"), bar_store.get_store()[0].bar.close)
self.assertEqual(Quantity(3), bar_store.get_store()[0].bar.volume)
def test_extract_volume_with_invalid_price_raises_value_error(self):
# Arrange
tick = QuoteTick(
AUDUSD_SIM.id,
Price.from_str("1.00000"),
Price.from_str("1.00001"),
Quantity.from_int(1),
Quantity.from_int(1),
0,
0,
)
# Act, Assert
with pytest.raises(ValueError):
tick.extract_volume(0)
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_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_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_process_quote_tick_when_subscriber_then_sends_to_registered_handler(
self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
handler = []
subscribe = Subscribe(
client_id=ClientId(BINANCE.value),
data_type=DataType(QuoteTick,
metadata={"instrument_id": ETHUSDT_BINANCE.id}),
handler=handler.append,
command_id=self.uuid_factory.generate(),
timestamp_ns=self.clock.timestamp_ns(),
)
self.data_engine.execute(subscribe)
tick = QuoteTick(
ETHUSDT_BINANCE.id,
Price.from_str("100.003"),
Price.from_str("100.003"),
Quantity.from_int(1),
Quantity.from_int(1),
0,
0,
)
# Act
self.data_engine.process(tick)
# Assert
self.assertEqual([ETHUSDT_BINANCE.id],
self.data_engine.subscribed_quote_ticks)
self.assertEqual([tick], handler)
def test_parse_quote_tick_from_string(self):
# Arrange
tick = QuoteTick(
AUDUSD_FXCM,
Price("1.00000"),
Price("1.00001"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
result = QuoteTick.from_serializable_string(AUDUSD_FXCM, tick.to_serializable_string())
# Assert
self.assertEqual(tick, result)
def test_process_quote_tick_fills_sell_limit_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order = self.strategy.order_factory.limit(
USDJPY_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("90.100"),
)
self.strategy.submit_order(order)
# Act
tick2 = QuoteTick(
USDJPY_SIM.symbol,
Price("90.101"),
Price("90.102"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
self.exchange.process_tick(tick2)
# Assert
self.assertEqual(0, len(self.exchange.get_working_orders()))
self.assertEqual(OrderState.FILLED, order.state)
self.assertEqual(Price("90.100"), order.avg_price)
def test_expire_order(self):
# Arrange
# Prepare market
tick1 = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick1)
self.exchange.process_tick(tick1)
order = self.strategy.order_factory.stop_market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("96.711"),
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH + timedelta(minutes=1),
)
self.strategy.submit_order(order)
tick2 = QuoteTick(
USDJPY_SIM.symbol,
Price("96.709"),
Price("96.710"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH + timedelta(minutes=1),
)
# Act
self.exchange.process_tick(tick2)
# Assert
self.assertEqual(0, len(self.exchange.get_working_orders()))
def test_to_serializable_returns_expected_string(self):
# Arrange
tick = QuoteTick(
AUDUSD_SIM.symbol,
Price("1.00000"),
Price("1.00001"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
result = tick.to_serializable_string()
# Assert
self.assertEqual("1.00000,1.00001,1,1,0", result)
def test_process_quote_tick_when_subscriber_then_sends_to_registered_handler(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
handler = []
subscribe = Subscribe(
provider=BINANCE.value,
data_type=DataType(QuoteTick, metadata={"InstrumentId": ETHUSDT_BINANCE.id}),
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
self.data_engine.execute(subscribe)
tick = QuoteTick(
ETHUSDT_BINANCE.id,
Price("100.003"),
Price("100.003"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
self.data_engine.process(tick)
# Assert
self.assertEqual([ETHUSDT_BINANCE.id], self.data_engine.subscribed_quote_ticks)
self.assertEqual([tick], handler)
def test_handle_quote_tick_when_volume_below_threshold_updates(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,
)
# Act
aggregator.handle_quote_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
def test_from_serializable_string_given_valid_string_returns_expected_tick(self):
# Arrange
tick = QuoteTick(
AUDUSD_SIM.id,
Price("1.00000"),
Price("1.00001"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
result = QuoteTick.from_serializable_str(AUDUSD_SIM.id, tick.to_serializable_str())
# Assert
self.assertEqual(tick, result)
def test_market_value_when_insufficient_data_for_xrate_returns_none(self):
# Arrange
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
balances=[Money("10.00000000", BTC),
Money("10.00000000", ETH)],
balances_free=[
Money("10.00000000", BTC),
Money("10.00000000", ETH)
],
balances_locked=[
Money("0.00000000", BTC),
Money("0.00000000", ETH)
],
info={},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
order = self.order_factory.market(
ETHUSD_BITMEX.symbol,
OrderSide.BUY,
Quantity(100),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("376.05"),
)
last_ethusd = QuoteTick(
ETHUSD_BITMEX.symbol,
Price("376.05"),
Price("377.10"),
Quantity("16"),
Quantity("25"),
UNIX_EPOCH,
)
position = Position(fill)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
self.data_cache.add_quote_tick(last_ethusd)
self.portfolio.update_tick(last_ethusd)
# Act
result = self.portfolio.market_values(BITMEX)
# Assert
# TODO: Currently no Quanto thus no xrate required
self.assertEqual({ETH: Money('0.02659221', ETH)}, result)
