def test_direct_volume_in_base(self, mocked_market):
"""
l = [('USDT-BTC', 1000, 1), ('USDT-ETH', 1000, 1), ('BTC-ETH', 1, 1)]
"""
market = volume.Market(json_blob=market1())
computed = market._direct_volume_in_base('BTC', 'BTC')
self.assertEqual(computed, 0)
computed = market._direct_volume_in_base('BTC', 'XXX')
self.assertEqual(computed, 0)
computed = market._direct_volume_in_base('BTC', 'USDT')
self.assertEqual(computed, 1)
computed = market._direct_volume_in_base('USDT', 'BTC')
self.assertEqual(computed, 1000)
computed = market._direct_volume_in_base('ETH', 'BTC')
self.assertEqual(computed, 1)
computed = market._direct_volume_in_base('BTC', 'ETH')
self.assertEqual(computed, 1)
computed = market._direct_volume_in_base('ETH', 'USDT')
self.assertEqual(computed, 1)
computed = market._direct_volume_in_base('USDT', 'ETH')
self.assertEqual(computed, 1000)
def test_caching(self, mocked_get_summaries):
"""
Test that caching works, and volume.get_summaries() gets called
only once
"""
mocked_get_summaries.return_value = market1()
market = volume.Market()
for i in range(10):
market.summaries()
mocked_get_summaries.assert_called_once()
def test_from_empty_balance(self, mocked_market):
""" start_new_portfolio will call get_currencies, we could mock it but there is not need for it as long
as we use currencies that do exist for real (unlike 'AAA')
"""
mocked_market.return_value = market1()
market = volume.Market()
state = volume.define_state(market, 2, include_usd=False)
portfolio = volume.Portfolio()
portfolio.ideal_rebalance(market, state)
"""
def test_uniform(self):
"""
[('USDT-BTC', 2000, 10), ('USDT-ETH', 500, 10), ('BTC-ETH', 0.25, 10), ('BTC-AAA', 1E-5, 1000),
('BTC-BBB', 1E-3, 1E6)]
:return:
"""
market = volume.Market(json_blob=market3())
state = volume.define_state(market, 4)
self.assertEqual(state.shape, (4, 1))
self.assertItemsEqual(state['Weight'], [0.25] * 4)
def test_caching_2(self, mocked_get_summaries):
"""
Test that caching works, and volume.get_summaries() gets called
twice if 'cache_timeout_sec' elapses in between calls
"""
mocked_get_summaries.return_value = market1()
market = volume.Market(0.1)
market.summaries()
time.sleep(.2)
market.summaries()
mocked_get_summaries.assert_called_once()
def test_start_portfolio(self):
market = volume.Market(json_blob=market1())
state = volume.define_state(market, 2, include_usd=False)
portfolio = volume.Portfolio()
portfolio.start_portfolio(market, state, 'USDT', 1000)
# we are overestimating the cost of the transaction because we are counting 4 transactions instead of 2
# to establish the portfolio (selling USDT to buy BTC pays only once and I'm counting it twice, same for
# ETH)
self.assertEqual(portfolio.total_value(market, ['USDT']), 995)
# 0.5 * (1 - 0.25%/100) = 0.49875
# buy selling all 1000 dollars, due to a fake commission I end up with a -2.5 balance
self.assertItemsEqual(portfolio.portfolio['Balance'],
[.49875, .49875, -2.5])
def test_value_per_currency(self, mocked_get_balances):
"""
balance1 is: [('BTC', 2), ('ETH', 3), ('USDT', 4)]
market2 is: [('USDT-BTC', 2000, 10), ('USDT-ETH', 500, 10), ('BTC-ETH', 0.25, 10)]
:param mocked_get_balances:
:return:
"""
mocked_get_balances.return_value = balance1()
market = volume.Market(json_blob=market2())
portfolio = volume.Portfolio()
computed = portfolio.value_per_currency(market, ['BTC', 'USDT'])
self.assertEqual(type(computed), pd.Series)
self.assertItemsEqual(computed.tolist(), [4000, 1500, 4])
computed = portfolio.value_per_currency(market, ['ETH', 'USDT'])
self.assertItemsEqual(computed.tolist(), [4000, 1500, 4])
def main():
# 'state' is the desired composition of our portfolio. When we 'rebalance' positions we do it
# to keep rations between different currencies matching those of 'state'
while True:
timestamp = int(time.time())
fid, filename = tempfile.mkstemp(suffix='{}.csv'.format(timestamp))
market = volume.Market()
last = market.summaries()['Last']
last['time'] = timestamp
last.to_csv(filename)
dest_key = hashlib.md5(
last.to_string()).hexdigest() + "_" + str(timestamp)
s3_client.upload_file(filename, bucket_name, dest_key)
break
time.sleep(600)
def test_direct_volume_in_base2(self, mocked_market):
# Market is: [('USDT-BTC', 2000, 10), ('USDT-ETH', 500, 10), ('BTC-ETH', 0.25, 10)]
market = volume.Market(json_blob=market2())
computed = market._direct_volume_in_base('BTC', 'USDT')
self.assertEqual(computed, 10)
computed = market._direct_volume_in_base('USDT', 'BTC')
self.assertEqual(computed, 20000)
computed = market._direct_volume_in_base('ETH', 'BTC')
self.assertEqual(computed, 10)
computed = market._direct_volume_in_base('BTC', 'ETH')
self.assertEqual(computed, 2.5)
computed = market._direct_volume_in_base('ETH', 'USDT')
self.assertEqual(computed, 10)
computed = market._direct_volume_in_base('USDT', 'ETH')
self.assertEqual(computed, 5000)
def main():
# 'state' is the desired composition of our portfolio. When we 'rebalance' positions we do it
# to keep rations between different currencies matching those of 'state'
value = 10
market = volume.Market()
state = volume.define_state(market, 20, include_usd=True)
base_currency = 'BTC'
value = 10000
portfolio = volume.Portfolio.from_csv()
if portfolio is None:
portfolio = volume.Portfolio()
portfolio.start_portfolio(market, state, 'USDT', value)
header = True
else:
header = False
portfolio.ideal_rebalance(market, state)
market.to_csv(header=header)
portfolio.to_csv()
print "Market value:", portfolio.total_value(market, ['BTC', 'USDT'])
def setUp(self, mocked_get_balances):
mocked_get_balances.return_value = fake_get_balances()
self.market = volume.Market(json_blob=market0())
self.portfolio = volume.Portfolio()
def test_usd_volumes(self):
# Market is: [('USDT-BTC', 1000, 1), ('USDT-ETH', 1000, 1), ('BTC-ETH', 1, 1)]
market = volume.Market(json_blob=market1())
def test_currency_volume_in_base_1(self):
# Market is: [('USDT-BTC', 2000, 10), ('USDT-ETH', 500, 10), ('BTC-ETH', 0.25, 10)]
market = volume.Market(json_blob=market2())
computed = market.currency_volume_in_base('USDT', 'BTC')
expected = 10 * 2000 + 10 * .25 * 2000
self.assertEqual(computed, expected)
def setUp(self):
self.market = volume.Market(json_blob=market0())
def test_currency_volume_in_base_raises(self):
market = volume.Market(json_blob=market2())
self.assertRaises(AssertionError, market.currency_volume_in_base,
'XXX', 'BTC')
def test__volume_in_eth_1(self):
# Market is: [('USDT-BTC', 2000, 10), ('USDT-ETH', 500, 10), ('BTC-ETH', 0.25, 10)]
market = volume.Market(json_blob=market2())
computed = market._volume_in_eth('USDT')
expected = 10 + 10 * 2000 / 500.0
self.assertEqual(computed, expected)