def test__track_order_success(self):
"""
Test :meth:`OBIStrategy._track_order`
Assert the current order data is updated and `True` is returned.
"""
obi = OBIStrategy()
test_order = {
'id': 1,
}
obi.order = test_order
trader = MagicMock()
test_order_update = {
'id': 2,
}
trader.get_order.return_value = test_order_update
obi.trader = trader
success = obi._track_order()
self.assertTrue(success)
self.assertEqual(obi.order, test_order_update)
def test__track_order__that_has_been_filled(self):
"""
Test :meth:`OBIStrategy._track_order`
Assert the current order data is cleared and `False` is returned.
"""
obi = OBIStrategy()
test_order = {
'id': 1,
}
obi.order = test_order
trader = MagicMock()
test_order_update = {
'id': 2,
'status': 'done',
'settled': True,
}
trader.get_order.return_value = test_order_update
obi.trader = trader
success = obi._track_order()
self.assertFalse(success)
self.assertEqual(obi.order, None)
def test_next_update_pending_order(self):
"""
Test :meth:`OBIStrategy.next`
Assert :meth:`OBIStrategy._update_pending_order` is called.
"""
obi = OBIStrategy()
TEST_CURRENCY = 'USD'
obi.accounts = [{
'currency': TEST_CURRENCY,
'balance': Decimal(1),
}]
trade_signal = OBIStrategy.BUY_SIGNAL
obi._get_trade_signal = MagicMock(return_value=trade_signal)
obi._track_order = MagicMock(return_value=True)
obi._update_pending_order = MagicMock()
obi._place_order = MagicMock()
obi.next()
self.assertEqual(obi._update_pending_order.called, 1)
self.assertEqual(obi._place_order.called, 0)
def test__cancel_order_without_order(self):
"""
Test :meth:`OBIStrategy._cancel_order`
Assert `False` is returned.
"""
obi = OBIStrategy()
obi.order = None
trader = MagicMock()
obi.trader = trader
success = obi._cancel_order()
self.assertFalse(success)
def test__place_order_with_current_order(self):
"""
Test :meth:`OBIStrategy._place_order`
Assert that no orders are placed and `False` is returned.
"""
obi = OBIStrategy()
obi.order = {
'id': 1,
}
TEST_PRICE = 1.0
obi._get_market_price = MagicMock(return_value=TEST_PRICE)
obi.get_currency_balance = MagicMock()
trader = MagicMock()
obi.trader = trader
TEST_SIGNAL = OBIStrategy.BUY_SIGNAL
success = obi._place_order(TEST_SIGNAL)
self.assertEqual(trader.buy.called, 0)
self.assertEqual(trader.sell.called, 0)
self.assertFalse(success)
def test__update_pending_order_with_change(self, datetime):
"""
Test :meth:`OBIStrategy._update_pending_order`
Assert :meth:`OBIStrategy._cancel_order` is called and `True`
is returned.
"""
TEST_NOW = '2017-01-01T01:00:00.000000Z'
now = datetime.strptime(TEST_NOW)
timeframe = timedelta(seconds=OBIStrategy.MINIMUM_HOLD_TIME + 1)
now.__sub__ = MagicMock(return_value=timeframe)
datetime.now.return_value = now
obi = OBIStrategy()
test_created = now + timeframe
TEST_PRICE = 1.0
obi.order = {
'price': TEST_PRICE,
'created_at': test_created,
}
NEW_PRICE = 2.0
obi._get_market_price = MagicMock(return_value=NEW_PRICE)
cancel_order = MagicMock()
obi._cancel_order = cancel_order
success = obi._update_pending_order(OBIStrategy.BUY_SIGNAL)
self.assertEqual(cancel_order.called, 1)
self.assertTrue(success)
def test__update_pending_order_with_no_change(self):
"""
Test :meth:`OBIStrategy._update_pending_order`
Assert :meth:`OBIStrategy._cancel_order` is not called and
`True` is returned.
"""
obi = OBIStrategy()
TEST_PRICE = 1.0
TEST_CREATED = '2017-01-01T01:00:00.000000Z'
obi.order = {
'price': TEST_PRICE,
'created_at': TEST_CREATED,
}
TEST_MARKET_PRICE = TEST_PRICE - OBIStrategy.LIMIT_PADDING
obi._get_market_price = MagicMock(return_value=TEST_MARKET_PRICE)
cancel_order = MagicMock()
obi._cancel_order = cancel_order
success = obi._update_pending_order(OBIStrategy.BUY_SIGNAL)
self.assertEqual(cancel_order.called, 0)
self.assertTrue(success)
def test__get_market_price_with_sell_signal(self):
"""
Test :meth:`OBIStrategy._get_market_price`
Assert the returned market price is the ticker ask price.
"""
obi = OBIStrategy()
TEST_PRICE = 1.0
obi.order = {
'price': TEST_PRICE,
}
TEST_BID = 2.0
TEST_ASK = 3.0
columns = ['price', 'size', 'num-orders']
bid_orders = [
['{}'.format(TEST_BID), '1.0', 1],
]
obi.bid_orders = pd.DataFrame(bid_orders, columns=columns)
ask_orders = [
['{}'.format(TEST_ASK), '1.0', 1],
]
obi.ask_orders = pd.DataFrame(ask_orders, columns=columns)
market_price = obi._get_market_price(OBIStrategy.SELL_SIGNAL)
self.assertEqual(market_price, TEST_ASK)
def test__get_market_price_with_no_order_and_no_signal(self):
"""
Test :meth:`OBIStrategy._get_market_price`
Assert the returned market price is `None`.
"""
obi = OBIStrategy()
obi.order = None
TEST_BID = 2.0
TEST_ASK = 3.0
columns = ['price', 'size', 'num-orders']
bid_orders = [
['{}'.format(TEST_BID), '1.0', 1],
]
obi.bid_orders = pd.DataFrame(bid_orders, columns=columns)
ask_orders = [
['{}'.format(TEST_ASK), '1.0', 1],
]
obi.ask_orders = pd.DataFrame(ask_orders, columns=columns)
TEST_SIGNAL = None
market_price = obi._get_market_price(TEST_SIGNAL)
self.assertEqual(market_price, None)
def test__cancel_order_with_valid_order(self):
"""
Test :meth:`OBIStrategy._cancel_order`
Assert :meth:`GDAXTrader.cancel_order` is called with current order ID
and `True` is returned.
"""
obi = OBIStrategy()
TEST_ID = 1
obi.order = {
'id': TEST_ID,
}
trader = MagicMock()
obi.trader = trader
success = obi._cancel_order()
trader.cancel_order.assert_called_with(TEST_ID)
self.assertTrue(success)
def test__track_order_with_connection_error(self):
"""
Test :meth:`OBIStrategy._track_order`
Assert the current order data is cleared and `False` is returned.
"""
obi = OBIStrategy()
test_order = {
'id': 1,
}
obi.order = test_order
trader = MagicMock()
trader.get_order.side_effect = ConnectionError
obi.trader = trader
success = obi._track_order()
self.assertFalse(success)
self.assertEqual(obi.order, test_order)
def test__track_order_with_no_current_order(self):
"""
Test :meth:`OBIStrategy._track_order`
Assert `False` is returned.
"""
obi = OBIStrategy()
obi.order = None
trader = MagicMock()
test_order_update = {
'id': 2,
}
trader.get_order.return_value = test_order_update
obi.trader = trader
success = obi._track_order()
self.assertFalse(success)
self.assertEqual(obi.order, None)
def test__update_pending_order_without_order(self):
"""
Test :meth:`OBIStrategy._update_pending_order`
Assert :meth:`OBIStrategy._cancel_order` is not called and
`False` is returned.
"""
obi = OBIStrategy()
obi.order = None
TEST_PRICE = 1.0
obi._get_market_price = MagicMock(return_value=TEST_PRICE)
cancel_order = MagicMock()
obi._cancel_order = cancel_order
success = obi._update_pending_order(OBIStrategy.BUY_SIGNAL)
self.assertEqual(cancel_order.called, 0)
self.assertFalse(success)
def test__place_order_sell_signal(self):
"""
Test :meth:`OBIStrategy._place_order`
Assert a sell order is placed and `True` is returned.
"""
obi = OBIStrategy()
TEST_PRICE = 1.0
obi._get_market_price = MagicMock(return_value=TEST_PRICE)
TEST_BALANCE = 1.0
obi.get_currency_balance = MagicMock(return_value=TEST_BALANCE)
trader = MagicMock()
obi.trader = trader
TEST_SIGNAL = OBIStrategy.SELL_SIGNAL
success = obi._place_order(TEST_SIGNAL)
self.assertEqual(trader.buy.called, 0)
self.assertEqual(trader.sell.called, 1)
self.assertTrue(success)