def test_exchange_with_wallets_feed():
ex1 = Exchange("coinbase",
service=execute_order)(Array("USD-BTC", [7000, 7500, 8300]),
Array("USD-ETH", [200, 212, 400]))
ex2 = Exchange("binance",
service=execute_order)(Array("USD-BTC", [7005, 7600, 8200]),
Array("USD-ETH", [201, 208, 402]),
Array("USD-LTC", [56, 52, 60]))
wallet_btc = Wallet(ex1, 10 * BTC)
wallet_btc_ds = create_wallet_source(wallet_btc)
wallet_usd = Wallet(ex2, 1000 * USD)
wallet_usd -= 400 * USD
wallet_usd += Quantity(USD, 400, path_id="fake_id")
wallet_usd_ds = create_wallet_source(wallet_usd, include_worth=False)
feed = DataFeed([ex1, ex2, wallet_btc_ds, wallet_usd_ds])
assert feed.next() == {
"coinbase:/USD-BTC": 7000,
"coinbase:/USD-ETH": 200,
"coinbase:/BTC:/free": 10,
"coinbase:/BTC:/locked": 0,
"coinbase:/BTC:/total": 10,
"coinbase:/BTC:/worth": 70000,
"binance:/USD-BTC": 7005,
"binance:/USD-ETH": 201,
"binance:/USD-LTC": 56,
"binance:/USD:/free": 600,
"binance:/USD:/locked": 400,
"binance:/USD:/total": 1000
}
def test_array_next():
array_ds = Array('a', [1, 2, 3])
next_value = array_ds.next()
assert next_value == {'a': 1}
def portfolio():
df1 = pd.read_csv("tests/data/input/coinbase_(BTC,ETH)USD_d.csv").tail(100)
df1 = df1.rename({"Unnamed: 0": "date"}, axis=1)
df1 = df1.set_index("date")
df2 = pd.read_csv("tests/data/input/bitstamp_(BTC,ETH,LTC)USD_d.csv").tail(
100)
df2 = df2.rename({"Unnamed: 0": "date"}, axis=1)
df2 = df2.set_index("date")
ex1 = Exchange("coinbase",
service=execute_order)(Array("USD-BTC",
list(df1['BTC:close'])),
Array("USD-ETH",
list(df1['ETH:close'])))
ex2 = Exchange("binance",
service=execute_order)(Array("USD-BTC",
list(df2['BTC:close'])),
Array("USD-ETH",
list(df2['ETH:close'])),
Array("USD-LTC",
list(df2['LTC:close'])))
p = Portfolio(USD, [
Wallet(ex1, 10000 * USD),
Wallet(ex1, 10 * BTC),
Wallet(ex1, 5 * ETH),
Wallet(ex2, 1000 * USD),
Wallet(ex2, 5 * BTC),
Wallet(ex2, 20 * ETH),
Wallet(ex2, 3 * LTC),
])
return p
def test_init():
sources = [
Array('a1', [1, 2, 3]),
Array('a2', [4, 5, 6]),
Array('a3', [7, 8, 9])
]
feed = DataFeed(sources)
assert feed
def test_stream_adding():
a1 = Array('a1', [1, 2, 3])
a2 = Array('a2', [4, 5, 6])
t1 = BinOp("a1+a2", operator.add)(a1, a2)
feed = DataFeed([a1, a2, t1])
output = feed.next()
assert output == {'a1': 1, 'a2': 4, 'a1+a2': 5}
def test_namespace():
a1 = Array("a1", [7, 8, 9])
a2 = Array("a2", [3, 2, 1])
t1 = BinOp("t1", operator.mul)(a1, a2)
a = Namespace("world")(a1, a2)
feed = DataFeed([t1, a])
assert feed.next() == {"world:/a1": 7, "world:/a2": 3, "t1": 21}
feed.reset()
assert feed.next() == {"world:/a1": 7, "world:/a2": 3, "t1": 21}
def test_runs_with__external_feed_only(portfolio):
df = pd.read_csv("tests/data/input/coinbase_(BTC,ETH)USD_d.csv").tail(100)
df = df.rename({"Unnamed: 0": "date"}, axis=1)
df = df.set_index("date")
coinbase_btc = df.loc[:, [name.startswith("BTC") for name in df.columns]]
coinbase_eth = df.loc[:, [name.startswith("ETH") for name in df.columns]]
ta.add_all_ta_features(
coinbase_btc,
colprefix="BTC:",
**{k: "BTC:" + k
for k in ['open', 'high', 'low', 'close', 'volume']})
ta.add_all_ta_features(
coinbase_eth,
colprefix="ETH:",
**{k: "ETH:" + k
for k in ['open', 'high', 'low', 'close', 'volume']})
nodes = []
for name in coinbase_btc.columns:
nodes += [Array(name, list(coinbase_btc[name]))]
for name in coinbase_eth.columns:
nodes += [Array(name, list(coinbase_eth[name]))]
coinbase = Namespace("coinbase")(*nodes)
feed = DataFeed([coinbase])
action_scheme = ManagedRiskOrders()
reward_scheme = SimpleProfit()
env = TradingEnvironment(portfolio=portfolio,
action_scheme=action_scheme,
reward_scheme=reward_scheme,
feed=feed,
window_size=50,
use_internal=False,
enable_logger=False)
done = False
obs = env.reset()
while not done:
action = env.action_space.sample()
obs, reward, done, info = env.step(action)
n_features = coinbase_btc.shape[1] + coinbase_eth.shape[1]
assert obs.shape == (50, n_features)
def test_array_init():
array_ds = Array('a', [1, 2, 3])
assert array_ds
assert array_ds._array == [1, 2, 3]
assert array_ds._cursor == 0
def test_multi_step_adding():
a1 = Array('a1', [1, 2, 3])
a2 = Array('a2', [4, 5, 6])
t1 = BinOp('t1', operator.add)(a1, a2)
t2 = BinOp('t2', operator.add)(t1, a2)
feed = DataFeed([a1, a2, t1, t2])
output = feed.next()
assert output == {'a1': 1, 'a2': 4, 't1': 5, 't2': 9}
feed = DataFeed([a1, a2, t2])
output = feed.next()
assert output == {'a1': 1, 'a2': 4, 't2': 9}
def test_array_reset():
array_ds = Array('a', [1, 2, 3])
assert array_ds.next() == {'a': 1}
assert array_ds.next() == {'a': 2}
assert array_ds.next() == {'a': 3}
array_ds.reset()
assert array_ds.next() == {'a': 1}
assert array_ds.next() == {'a': 2}
assert array_ds.next() == {'a': 3}
def test_select():
a1 = Array("a1", [7, 8, 9])
a2 = Array("a2", [3, 2, 1])
t1 = BinOp("t1", operator.mul)(a1, a2)
a = Namespace("world")(a1, a2)
s = Select("world:/a1")(t1, a)
feed = DataFeed([s])
print(a1.name, a1.inbound, a1.outbound)
print(a2.name, a2.inbound, a2.outbound)
print(t1.name, t1.inbound, t1.outbound)
print(a.name, a.inbound, a.outbound)
print(s.name, s.inbound, s.outbound)
print(feed.inputs)
assert feed.next() == {"world:/a1": 7}
def test_create_internal_data_feed():
ex1 = Exchange("coinbase",
service=execute_order)(Array("USD-BTC", [7000, 7500, 8300]),
Array("USD-ETH", [200, 212, 400]))
ex2 = Exchange("binance",
service=execute_order)(Array("USD-BTC", [7005, 7600, 8200]),
Array("USD-ETH", [201, 208, 402]),
Array("USD-LTC", [56, 52, 60]))
portfolio = Portfolio(USD, [
Wallet(ex1, 10000 * USD),
Wallet(ex1, 10 * BTC),
Wallet(ex1, 5 * ETH),
Wallet(ex2, 1000 * USD),
Wallet(ex2, 5 * BTC),
Wallet(ex2, 20 * ETH),
Wallet(ex2, 3 * LTC),
])
feed = create_internal_feed(portfolio)
data = {
"coinbase:/USD-BTC": 7000,
"coinbase:/USD-ETH": 200,
"coinbase:/USD:/free": 10000,
"coinbase:/USD:/locked": 0,
"coinbase:/USD:/total": 10000,
"coinbase:/BTC:/free": 10,
"coinbase:/BTC:/locked": 0,
"coinbase:/BTC:/total": 10,
"coinbase:/BTC:/worth": 7000 * 10,
"coinbase:/ETH:/free": 5,
"coinbase:/ETH:/locked": 0,
"coinbase:/ETH:/total": 5,
"coinbase:/ETH:/worth": 200 * 5,
"binance:/USD-BTC": 7005,
"binance:/USD-ETH": 201,
"binance:/USD-LTC": 56,
"binance:/USD:/free": 1000,
"binance:/USD:/locked": 0,
"binance:/USD:/total": 1000,
"binance:/BTC:/free": 5,
"binance:/BTC:/locked": 0,
"binance:/BTC:/total": 5,
"binance:/BTC:/worth": 7005 * 5,
"binance:/ETH:/free": 20,
"binance:/ETH:/locked": 0,
"binance:/ETH:/total": 20,
"binance:/ETH:/worth": 201 * 20,
"binance:/LTC:/free": 3,
"binance:/LTC:/locked": 0,
"binance:/LTC:/total": 3,
"binance:/LTC:/worth": 56 * 3,
}
coinbase_net_worth = 10000 + (10 * 7000) + (5 * 200)
binance_net_worth = 1000 + (5 * 7005) + (20 * 201) + (3 * 56)
print(coinbase_net_worth + binance_net_worth)
data['net_worth'] = sum(
data[k] if k.endswith("worth") or k.endswith("USD:/total") else 0
for k in data.keys())
assert feed.next() == data