class TestMarketStream(TestCase):
def setUp(self):
exchange = Exchange(market_stream_fixtures.public_key_str, 'apiurl')
self.listener = TestListener()
self.market_stream = MarketStream(exchange)
self.market_stream.add_listener(self.listener)
def test_receiving_order_book(self):
self.market_stream.on_message(market_stream_fixtures.order_book_str)
self.assertEqual(self.listener.error, None)
expected_order_book = {
'type': u'order_book',
'instrument_id': u'71',
'bids': [[u'0.00041667', 10]],
'asks': [[u'0.00042016', 10]]
}
self.assertEqual(self.listener.order_book, expected_order_book)
self.assertEqual(self.listener.message, expected_order_book)
def test_receiving_quotes(self):
self.market_stream.on_message(market_stream_fixtures.quotes_str)
self.assertEqual(self.listener.error, None)
expected_quotes = {
u'ask': None,
u'ask_quantity': None,
u'bid': None,
u'bid_quantity': None,
u'instrument_id': u'93',
u'last': u'0.00035088',
u'last_quantity': 0,
u'open_interest': 0,
u'type': u'quotes',
u'volume': 0
}
self.assertEqual(self.listener.quotes, expected_quotes)
self.assertEqual(self.listener.message, expected_quotes)
def test_receiving_instrument_data(self):
self.market_stream.on_message(
market_stream_fixtures.instrument_data_str)
self.assertEqual(self.listener.error, None)
expected_instrument = {
u'expiration_date': 1499990400000,
u'fee': u'0.00025000',
u'first_notice_date': 1499990400000,
u'initial_margin': u'0.05000000',
u'instrument_id': u'24',
u'inverse_symbol': u'F.BTCUSD.JUL17W2',
u'issue_date': 1498780800000,
u'maintenance_margin': u'0.04000000',
u'notional_amount': 1,
u'settlement_method': u'financial',
u'symbol': u'F.USD.JUL17W2',
u'taker_to_maker': u'0.00075000',
u'tick_size': u'0.00000001',
u'type': u'futures',
u'underlying_symbol': u'USD'
}
self.assertEqual(self.listener.instrument_data['data']['24'],
expected_instrument)
self.assertEqual(self.listener.message['data']['24'],
expected_instrument)
def test_receiving_trade(self):
self.market_stream.on_message(market_stream_fixtures.trade_str)
self.assertEqual(self.listener.error, None)
expected_trade = {
u'instrument_id': u'24',
u'liquidity_provider': u'buyer',
u'price': u'0.00041667',
u'quantity': 1,
u'timestamp': 1499867675414,
u'trade_id': u'138',
u'type': u'trade'
}
self.assertEqual(self.listener.trade, expected_trade)
self.assertEqual(self.listener.message, expected_trade)
def test_receiving_session_state(self):
self.market_stream.on_message(market_stream_fixtures.session_state_str)
self.assertEqual(self.listener.error, None)
expected_session_state = {
u'state': u'continuous',
u'type': u'session_state'
}
self.assertEqual(self.listener.session_state, expected_session_state)
self.assertEqual(self.listener.message, expected_session_state)
def test_receives_error_on_data_parsing_error(self):
self.market_stream.on_message(market_stream_fixtures.corrupt_data_str)
# cannot test message equality because python 2 and 3 give different message
self.assertNotEqual(self.listener.error, None)
def test_receives_error_from_outside(self):
self.market_stream.on_error(Exception('bomba'))
self.assertEqual(str(self.listener.error), 'bomba')
def test_maintenance_error_code_is_ignored(self):
self.market_stream.on_message(
market_stream_fixtures.error_maintenance_data_str)
self.assertEqual(self.listener.error, None)
def test_receives_error_on_non_maintenance_error_code(self):
self.market_stream.on_message(market_stream_fixtures.error_data_str)
self.assertEqual(str(self.listener.error), 'WebSocket error: ERROR')
def test_does_not_call_removed_listener(self):
self.market_stream.remove_listener(self.listener)
self.market_stream.on_message(market_stream_fixtures.order_book_str)
self.assertEqual(self.listener.order_book, None)
def test_keepalive_is_ignored(self):
self.market_stream.on_message(
json.dumps({
'type': 'keepalive',
'timestamp': 1506958410894
}))
self.assertEqual(self.listener.message, None)
self.assertEqual(self.listener.error, None)
def test_unknown_is_ignored(self):
self.market_stream.on_message(json.dumps({'type': 'unknown'}))
self.assertEqual(self.listener.message, None)
self.assertEqual(self.listener.error, None)
def test_calls_multiple_added_listeners(self):
listener2 = TestListener()
self.market_stream.add_listener(listener2)
self.market_stream.on_message(market_stream_fixtures.order_book_str)
self.assertNotEquals(self.listener.order_book, None)
self.assertNotEquals(listener2.order_book, None)
def test_listener_without_all_methods_implemented(self):
# listener that does not inherit from MarketStreamListener
class Listener(object):
def __init__(self):
self.order_book = None
def on_order_book(self, order_book):
self.order_book = order_book
listener = Listener()
self.market_stream.add_listener(listener)
self.market_stream.on_message(market_stream_fixtures.order_book_str)
# does not crash when receiving something it does not have a listener method for
self.market_stream.on_message(market_stream_fixtures.trade_str)
self.assertNotEquals(listener.order_book, None)
def test_disconnect(self):
self.market_stream.on_disconnect('maintenance')
self.assertEqual(self.listener.disconnect_message, 'maintenance')
def test_ready(self):
self.market_stream.on_ready()
self.assertTrue(self.listener.ready)
def setUp(self):
exchange = Exchange(market_stream_fixtures.public_key_str, 'apiurl')
self.listener = TestListener()
self.market_stream = MarketStream(exchange)
self.market_stream.add_listener(self.listener)
MarketStreamClientFactory,
Trader,
UserStream,
UserStreamListener,
UserStreamClientFactory,
)
from twisted.internet import reactor, ssl
from autobahn.twisted.websocket import connectWS
quedex_public_key = open("keys/quedex-public-key.asc", "r").read()
exchange = Exchange(quedex_public_key, 'wss://api.quedex.net')
trader_private_key = open("keys/trader-private-key.asc", "r").read()
trader = Trader('83745263748', trader_private_key)
user_stream = UserStream(exchange, trader)
market_stream = MarketStream(exchange)
selected_futures_id = None
sell_threshold = 0.001
order_id = 0
def get_order_id():
global order_id
order_id += 1
return order_id
class SimpleMarketListener(MarketStreamListener):
def on_instrument_data(self, instrument_data):
global selected_futures_id
futures = [