def test__place_order_sell_signal(self):
"""
Test :meth:`ArbitrageStrategy._place_order`
Assert a sell order is placed and `True` is returned.
"""
arbitrage = ArbitrageStrategy()
TEST_PRICE = 1.0
arbitrage._get_market_price = MagicMock(return_value=TEST_PRICE)
arbitrage.get_currency_balance = MagicMock()
trader = MagicMock()
arbitrage.trader = trader
TEST_SIGNAL = CurrencyGraph.SELL_ORDER
TEST_PRODUCT = 'BTC-USD'
TEST_DISTANCE = 2.0
success = arbitrage._place_order(TEST_SIGNAL, TEST_PRODUCT,
TEST_DISTANCE)
self.assertEqual(trader.buy.called, 0)
self.assertEqual(trader.sell.called, 1)
self.assertTrue(success)
def test__place_order_invalid_signal(self):
"""
Test :meth:`ArbitrageStrategy._place_order`
Assert that no orders are placed and `False` is returned.
"""
arbitrage = ArbitrageStrategy()
TEST_PRICE = 1.0
arbitrage._get_market_price = MagicMock(return_value=TEST_PRICE)
arbitrage.get_currency_balance = MagicMock()
trader = MagicMock()
arbitrage.trader = trader
INVALID_SIGNAL = 3
TEST_PRODUCT = 'BTC-USD'
TEST_DISTANCE = 2.0
success = arbitrage._place_order(INVALID_SIGNAL, TEST_PRODUCT,
TEST_DISTANCE)
self.assertEqual(trader.buy.called, 0)
self.assertEqual(trader.sell.called, 0)
self.assertFalse(success)
def test__update_pending_order_with_change(self):
"""
Test :meth:`ArbitrageStrategy._update_pending_order`
Assert :meth:`ArbitrageStrategy._cancel_order` is called and `True`
is returned.
"""
arbitrage = ArbitrageStrategy()
TEST_PRODUCT = 'BTC-USD'
TEST_PRICE = 1.0
arbitrage.order = {
'product_id': TEST_PRODUCT,
'price': TEST_PRICE,
}
NEW_PRICE = 2.0
arbitrage._get_market_price = MagicMock(return_value=NEW_PRICE)
cancel_order = MagicMock()
arbitrage._cancel_order = cancel_order
success = arbitrage._update_pending_order(CurrencyGraph.BUY_ORDER,
TEST_PRODUCT)
self.assertEqual(cancel_order.called, 1)
self.assertTrue(success)
def test__place_order_below_threshold(self):
"""
Test :meth:`ArbitrageStrategy._place_order`
Assert that no orders are placed and `False` is returned.
"""
arbitrage = ArbitrageStrategy()
TEST_PRICE = 1.0
arbitrage._get_market_price = MagicMock(return_value=TEST_PRICE)
arbitrage.get_currency_balance = MagicMock()
trader = MagicMock()
arbitrage.trader = trader
TEST_SIGNAL = CurrencyGraph.BUY_ORDER
TEST_PRODUCT = 'BTC-USD'
TEST_DISTANCE = 1.0
success = arbitrage._place_order(TEST_SIGNAL, TEST_PRODUCT,
TEST_DISTANCE)
self.assertEqual(trader.buy.called, 0)
self.assertEqual(trader.sell.called, 0)
self.assertFalse(success)
def test__get_market_price_with_invalid_ticker_data(self):
"""
Test :meth:`ArbitrageStrategy._get_market_price`
Assert the returned market price is the same as the current order
price.
"""
arbitrage = ArbitrageStrategy()
TEST_PRICE = 1.0
arbitrage.order = {
'price': TEST_PRICE,
}
TEST_PRODUCT = 'USD'
TEST_BID = 2.0
TEST_ASK = 3.0
arbitrage.ticker = {
TEST_PRODUCT: {
'error': 'Invalid ticker data.',
},
}
market_price = arbitrage._get_market_price(CurrencyGraph.BUY_ORDER, TEST_PRODUCT)
self.assertEqual(market_price, TEST_PRICE)
def test__get_market_price_with_sell_signal(self):
"""
Test :meth:`ArbitrageStrategy._get_market_price`
Assert the returned market price is the ticker ask price.
"""
arbitrage = ArbitrageStrategy()
TEST_PRICE = 1.0
arbitrage.order = {
'price': TEST_PRICE,
}
TEST_PRODUCT = 'USD'
TEST_BID = 2.0
TEST_ASK = 3.0
arbitrage.ticker = {
TEST_PRODUCT: {
'bid': TEST_BID,
'ask': TEST_ASK,
},
}
market_price = arbitrage._get_market_price(CurrencyGraph.SELL_ORDER, TEST_PRODUCT)
self.assertEqual(market_price, TEST_ASK)
def test__get_market_price_with_no_order_and_no_signal(self):
"""
Test :meth:`ArbitrageStrategy._get_market_price`
Assert the returned market price is `None`.
"""
arbitrage = ArbitrageStrategy()
arbitrage.order = None
TEST_PRODUCT = 'USD'
TEST_BID = 2.0
TEST_ASK = 3.0
arbitrage.ticker = {
TEST_PRODUCT: {
'bid': TEST_BID,
'ask': TEST_ASK,
},
}
INVALID_SIGNAL = 3
market_price = arbitrage._get_market_price(INVALID_SIGNAL, TEST_PRODUCT)
self.assertEqual(market_price, None)
def test__get_market_price_with_no_signal(self):
"""
Test :meth:`ArbitrageStrategy._get_market_price`
Assert the returned market price is the same as the current order
price.
"""
arbitrage = ArbitrageStrategy()
TEST_PRICE = 1.0
arbitrage.order = {
'price': TEST_PRICE,
}
TEST_PRODUCT = 'USD'
TEST_BID = 2.0
TEST_ASK = 3.0
arbitrage.ticker = {
TEST_PRODUCT: {
'bid': TEST_BID,
'ask': TEST_ASK,
},
}
INVALID_SIGNAL = 3
market_price = arbitrage._get_market_price(INVALID_SIGNAL, TEST_PRODUCT)
self.assertEqual(market_price, TEST_PRICE)
def test__update_pending_order_without_order(self):
"""
Test :meth:`ArbitrageStrategy._update_pending_order`
Assert :meth:`ArbitrageStrategy._cancel_order` is not called and
`False` is returned.
"""
arbitrage = ArbitrageStrategy()
TEST_PRODUCT = 'BTC-USD'
TEST_PRICE = 1.0
arbitrage.order = None
arbitrage._get_market_price = MagicMock(return_value=TEST_PRICE)
cancel_order = MagicMock()
arbitrage._cancel_order = cancel_order
success = arbitrage._update_pending_order(CurrencyGraph.BUY_ORDER,
TEST_PRODUCT)
self.assertEqual(cancel_order.called, 0)
self.assertFalse(success)