def test_bar_append_new_low():
trade_1 = Trade(123456, price=3.0, amount=1.0)
trade_2 = Trade(123456, price=2.9, amount=1.0)
trade_3 = Trade(123456, price=3.1, amount=1.0)
bar = Bar(trade_1)
bar.append(trade_2)
bar.append(trade_3)
assert bar.low == trade_2.price
def test_tib_bar_generation_tb_sequence(publisher, tib_generator):
for i in range(5):
trade = Trade(12345, price=10.0 - i, amount=1.0)
publisher.publish(['test-BTCUSD', 'new-trade'], trade)
assert len(tib_generator.b_ts) == 5
assert tib_generator.b_ts == [0.0, -1.0, -1.0, -1.0, -1.0]
assert tib_generator.theta == -4
def test_bar_initial_attrs_from_trade():
trade = Trade(123456, 3.0, 1.5)
bar = Bar(trade)
assert bar.dollar_value == trade.dollar_value
assert bar.time == trade.timestamp
assert bar.open == trade.price
assert bar.high == trade.price
assert bar.low == trade.price
assert bar.close == trade.price
assert bar.count == 1
def test_tib_bar_generation_generates(publisher, subscriber, hub):
bars = []
def new_bar_handler(key, bar):
bars.append(bar)
subscriber.add_sync_listener(events.AnyNewBar, new_bar_handler)
tib_generator = TickImbalanceBarGenerator(hub, initial_theta=10)
n = 100
for p in np.random.normal(scale=0.1,size=n) + np.linspace(1, 20, n):
trade = Trade(12345, price=p, amount=1.0)
publisher.publish(['test-BTCUSD', 'new-trade'], trade)
assert len(bars) > 1
def test_mullti_strategy_on_new_bar_is_called():
hub = Hub()
publisher = Publisher(hub, 'test-publisher')
trade = Trade(12345, price=1.0, amount=1.0)
bar = Bar(trade)
exchange = 'test'
market = Markets.BTCEUR
broker = BacktestBroker(hub)
strat = NewBarTestMultiStrategy(hub, broker)
publisher.publish([f'{exchange}-{market}', 'new-bar'], bar)
assert strat.on_new_bar_called
def test_tick_bar_generation_after_threshold():
hub = Hub()
publisher = Publisher(hub, 'test-publisher')
generator = TickBarGenerator(hub, threshold=3)
subscriber = Subscriber(hub, 'test-subscriber')
bars = []
def new_bar_handler(key, bar):
bars.append(bar)
subscriber.add_sync_listener(events.AnyNewBar, new_bar_handler)
assert len(bars) == 0
for i in range(5):
trade = Trade(12345, price=1.0, amount=1.0)
publisher.publish(['test-BTCUSD', 'new-trade'], trade)
assert len(bars) == 1
def test_bar_append_increases_dollar_value():
trade_1 = Trade(123456, price=3.0, amount=1.0)
trade_2 = Trade(123456, price=2.9, amount=1.0)
bar = Bar(trade_1)
bar.append(trade_2)
assert bar.dollar_value == (trade_1.dollar_value + trade_2.dollar_value)
def test_bar_append_increases_volume():
trade_1 = Trade(123456, price=3.0, amount=1.0)
trade_2 = Trade(123456, price=2.9, amount=1.0)
bar = Bar(trade_1)
bar.append(trade_2)
assert bar.volume == (trade_1.amount + trade_2.amount)
def test_bar_append_increases_count():
trade_1 = Trade(123456, price=3.0, amount=1.0)
trade_2 = Trade(123456, price=2.9, amount=1.0)
bar = Bar(trade_1)
bar.append(trade_2)
assert bar.count == 2
def test_bar_append_changes_close():
trade_1 = Trade(123456, price=3.0, amount=1.0)
trade_2 = Trade(123456, price=2.9, amount=1.0)
bar = Bar(trade_1)
bar.append(trade_2)
assert bar.close == trade_2.price
def test_bar_append_does_not_change_open():
trade_1 = Trade(123456, price=3.0, amount=1.0)
trade_2 = Trade(123456, price=2.9, amount=1.0)
bar = Bar(trade_1)
bar.append(trade_2)
assert bar.open == trade_1.price