class BitfinexExchangeTests(TestCase):
# the level is required to receive logs from the data source logger
level = 0
@classmethod
def setUpClass(cls) -> None:
super().setUpClass()
cls.base_asset = "COINALPHA"
cls.quote_asset = "HBOT"
cls.trading_pair = f"{cls.base_asset}-{cls.quote_asset}"
cls.symbol = f"{cls.base_asset}{cls.quote_asset}"
cls.listen_key = "TEST_LISTEN_KEY"
def setUp(self) -> None:
super().setUp()
self.log_records = []
self.test_task: Optional[asyncio.Task] = None
self.resume_test_event = asyncio.Event()
self.exchange = CoinbaseProExchange(
coinbase_pro_api_key="testAPIKey",
coinbase_pro_secret_key="testSecret",
coinbase_pro_passphrase="testPassphrase",
trading_pairs=[self.trading_pair])
self.exchange.logger().setLevel(1)
self.exchange.logger().addHandler(self)
self._initialize_event_loggers()
def tearDown(self) -> None:
self.test_task and self.test_task.cancel()
super().tearDown()
def _initialize_event_loggers(self):
self.buy_order_completed_logger = EventLogger()
self.sell_order_completed_logger = EventLogger()
self.order_filled_logger = EventLogger()
events_and_loggers = [
(MarketEvent.BuyOrderCompleted, self.buy_order_completed_logger),
(MarketEvent.SellOrderCompleted, self.sell_order_completed_logger),
(MarketEvent.OrderFilled, self.order_filled_logger)
]
for event, logger in events_and_loggers:
self.exchange.add_listener(event, logger)
def handle(self, record):
self.log_records.append(record)
def _is_logged(self, log_level: str, message: str) -> bool:
return any(
record.levelname == log_level and record.getMessage() == message
for record in self.log_records)
def async_run_with_timeout(self, coroutine: Awaitable, timeout: float = 1):
ret = asyncio.get_event_loop().run_until_complete(
asyncio.wait_for(coroutine, timeout))
return ret
def _return_calculation_and_set_done_event(self, calculation: Callable,
*args, **kwargs):
if self.resume_test_event.is_set():
raise asyncio.CancelledError
self.resume_test_event.set()
return calculation(*args, **kwargs)
def test_order_fill_event_takes_fee_from_update_event(self):
self.exchange.start_tracking_order(
order_id="OID1",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
price=Decimal("10000"),
amount=Decimal("1"),
)
order = self.exchange.in_flight_orders.get("OID1")
order.update_exchange_order_id("EOID1")
partial_fill = {
"type": "match",
"trade_id": 1,
"sequence": 50,
"maker_order_id": "EOID1",
"taker_order_id": "132fb6ae-456b-4654-b4e0-d681ac05cea1",
"time": "2014-11-07T08:19:27.028459Z",
"product_id": "BTC-USDT",
"size": "0.1",
"price": "10050.0",
"side": "buy",
"taker_user_id": "5844eceecf7e803e259d0365",
"user_id": "5844eceecf7e803e259d0365",
"taker_profile_id": "765d1549-9660-4be2-97d4-fa2d65fa3352",
"profile_id": "765d1549-9660-4be2-97d4-fa2d65fa3352",
"taker_fee_rate": "0.005"
}
mock_user_stream = AsyncMock()
mock_user_stream.get.side_effect = functools.partial(
self._return_calculation_and_set_done_event, lambda: partial_fill)
self.exchange.user_stream_tracker._user_stream = mock_user_stream
self.test_task = asyncio.get_event_loop().create_task(
self.exchange._user_stream_event_listener())
self.async_run_with_timeout(self.resume_test_event.wait())
expected_executed_quote_amount = Decimal(str(
partial_fill["size"])) * Decimal(str(partial_fill["price"]))
expected_partial_event_fee = (Decimal(partial_fill["taker_fee_rate"]) *
expected_executed_quote_amount)
self.assertEqual(expected_partial_event_fee, order.fee_paid)
self.assertEqual(1, len(self.order_filled_logger.event_log))
fill_event: OrderFilledEvent = self.order_filled_logger.event_log[0]
self.assertEqual(Decimal("0.005"), fill_event.trade_fee.percent)
self.assertEqual([], fill_event.trade_fee.flat_fees)
self.assertTrue(
self._is_logged(
"INFO",
f"Filled {Decimal(partial_fill['size'])} out of {order.amount} of the "
f"{order.order_type_description} order {order.client_order_id}"
))
self.assertEqual(0, len(self.buy_order_completed_logger.event_log))
complete_fill = {
"type": "match",
"trade_id": 2,
"sequence": 50,
"maker_order_id": "EOID1",
"taker_order_id": "132fb6ae-456b-4654-b4e0-d681ac05cea1",
"time": "2014-11-07T08:19:27.028459Z",
"product_id": "BTC-USDT",
"size": "0.9",
"price": "10050.0",
"side": "buy",
"taker_user_id": "5844eceecf7e803e259d0365",
"user_id": "5844eceecf7e803e259d0365",
"taker_profile_id": "765d1549-9660-4be2-97d4-fa2d65fa3352",
"profile_id": "765d1549-9660-4be2-97d4-fa2d65fa3352",
"taker_fee_rate": "0.001"
}
self.resume_test_event = asyncio.Event()
mock_user_stream = AsyncMock()
mock_user_stream.get.side_effect = functools.partial(
self._return_calculation_and_set_done_event, lambda: complete_fill)
self.exchange.user_stream_tracker._user_stream = mock_user_stream
self.test_task = asyncio.get_event_loop().create_task(
self.exchange._user_stream_event_listener())
self.async_run_with_timeout(self.resume_test_event.wait())
expected_executed_quote_amount = Decimal(str(
complete_fill["size"])) * Decimal(str(complete_fill["price"]))
expected_partial_event_fee += Decimal(
complete_fill["taker_fee_rate"]) * expected_executed_quote_amount
self.assertEqual(expected_partial_event_fee, order.fee_paid)
self.assertEqual(2, len(self.order_filled_logger.event_log))
fill_event: OrderFilledEvent = self.order_filled_logger.event_log[1]
self.assertEqual(Decimal("0.001"), fill_event.trade_fee.percent)
self.assertEqual([], fill_event.trade_fee.flat_fees)
# The order should be marked as complete only when the "done" event arrives, not with the fill event
self.assertFalse(
self._is_logged(
"INFO",
f"The market buy order {order.client_order_id} has completed according to Coinbase Pro user stream."
))
self.assertEqual(0, len(self.buy_order_completed_logger.event_log))
class TestCoinbaseProExchange(unittest.TestCase):
# logging.Level required to receive logs from the exchange
level = 0
@classmethod
def setUpClass(cls) -> None:
super().setUpClass()
cls.ev_loop = asyncio.get_event_loop()
cls.base_asset = "COINALPHA"
cls.quote_asset = "HBOT"
cls.trading_pair = f"{cls.base_asset}-{cls.quote_asset}"
cls.ex_trading_pair = f"{cls.base_asset}_{cls.quote_asset}"
cls.api_key = "someKey"
cls.api_secret = "shht"
cls.api_passphrase = "somePhrase"
def setUp(self) -> None:
super().setUp()
self.log_records = []
self.mocking_assistant = NetworkMockingAssistant()
self.async_tasks: List[asyncio.Task] = []
self.client_config_map = ClientConfigAdapter(ClientConfigMap())
self.exchange = CoinbaseProExchange(
client_config_map=self.client_config_map,
coinbase_pro_api_key=self.api_key,
coinbase_pro_secret_key=self.api_secret,
coinbase_pro_passphrase=self.api_passphrase,
trading_pairs=[self.trading_pair])
self.event_listener = EventLogger()
self.exchange.logger().setLevel(1)
self.exchange.logger().addHandler(self)
def tearDown(self) -> None:
for task in self.async_tasks:
task.cancel()
super().tearDown()
def handle(self, record):
self.log_records.append(record)
def _is_logged(self, log_level: str, message: str) -> bool:
return any(
record.levelname == log_level and record.getMessage() == message
for record in self.log_records)
def async_run_with_timeout(self, coroutine: Awaitable, timeout: int = 1):
ret = self.ev_loop.run_until_complete(
asyncio.wait_for(coroutine, timeout))
return ret
def simulate_trading_rules_initialization(self, mock_api):
url = f"{CONSTANTS.REST_URL}{CONSTANTS.PRODUCTS_PATH_URL}"
alt_pair = "BTC-USDT"
resp = self.get_products_response_mock(alt_pair)
mock_api.get(url, body=json.dumps(resp))
self.async_run_with_timeout(self.exchange._update_trading_rules())
def simulate_execute_buy_order(self, mock_api, order_id):
url = f"{CONSTANTS.REST_URL}{CONSTANTS.ORDERS_PATH_URL}"
regex_url = re.compile(f"^{url}".replace(".",
r"\.").replace("?", r"\?"))
resp = self.get_orders_response_mock(order_id)
mock_api.post(regex_url, body=json.dumps(resp))
self.async_run_with_timeout(
self.exchange.execute_sell(
order_id=order_id,
trading_pair=self.trading_pair,
amount=Decimal("1"),
order_type=OrderType.LIMIT,
price=Decimal("2"),
))
def get_account_mock(self, base_balance: float, base_available: float,
quote_balance: float, quote_available: float) -> List:
account_mock = [{
"id": "7fd0abc0-e5ad-4cbb-8d54-f2b3f43364da",
"currency": self.base_asset,
"balance": str(base_balance),
"available": str(base_available),
"hold": "0.0000000000000000",
"profile_id": "8058d771-2d88-4f0f-ab6e-299c153d4308",
"trading_enabled": True
}, {
"id": "7fd0abc0-e5ad-4cbb-8d54-f2b3f43364da",
"currency": self.quote_asset,
"balance": str(quote_balance),
"available": str(quote_available),
"hold": "0.0000000000000000",
"profile_id": "8058d771-2d88-4f0f-ab6e-299c153d4308",
"trading_enabled": True
}]
return account_mock
def get_products_response_mock(self, other_pair: str) -> List:
products_mock = [{
"id": self.trading_pair,
"base_currency": self.base_asset,
"quote_currency": self.quote_asset,
"base_min_size": "0.00100000",
"base_max_size": "280.00000000",
"quote_increment": "0.01000000",
"base_increment": "0.00000001",
"display_name": f"{self.base_asset}/{self.quote_asset}",
"min_market_funds": "10",
"max_market_funds": "1000000",
"margin_enabled": False,
"post_only": False,
"limit_only": False,
"cancel_only": False,
"status": "online",
"status_message": "",
"auction_mode": True,
}, {
"id": other_pair,
"base_currency": other_pair.split("-")[0],
"quote_currency": other_pair.split("-")[1],
"base_min_size": "0.00100000",
"base_max_size": "280.00000000",
"quote_increment": "0.01000000",
"base_increment": "0.00000001",
"display_name": other_pair.replace("-", "/"),
"min_market_funds": "10",
"max_market_funds": "1000000",
"margin_enabled": False,
"post_only": False,
"limit_only": False,
"cancel_only": False,
"status": "online",
"status_message": "",
"auction_mode": True,
}]
return products_mock
def get_orders_response_mock(self, order_id: str) -> Dict:
orders_mock = {
"id": order_id,
"price": "10.00000000",
"size": "1.00000000",
"product_id": self.trading_pair,
"profile_id": "8058d771-2d88-4f0f-ab6e-299c153d4308",
"side": "buy",
"type": "limit",
"time_in_force": "GTC",
"post_only": True,
"created_at": "2020-03-11T20:48:46.622052Z",
"fill_fees": "0.0000000000000000",
"filled_size": "0.00000000",
"executed_value": "0.0000000000000000",
"status": "open",
"settled": False
}
return orders_mock
@aioresponses()
def test_check_network_not_connected(self, mock_api):
url = f"{CONSTANTS.REST_URL}{CONSTANTS.TIME_PATH_URL}"
resp = ""
mock_api.get(url, status=500, body=json.dumps(resp))
ret = self.async_run_with_timeout(
coroutine=self.exchange.check_network())
self.assertEqual(ret, NetworkStatus.NOT_CONNECTED)
@aioresponses()
def test_check_network(self, mock_api):
url = f"{CONSTANTS.REST_URL}{CONSTANTS.TIME_PATH_URL}"
resp = {}
mock_api.get(url, body=json.dumps(resp))
ret = self.async_run_with_timeout(
coroutine=self.exchange.check_network())
self.assertEqual(ret, NetworkStatus.CONNECTED)
@aioresponses()
def test_update_fee_percentage(self, mock_api):
url = f"{CONSTANTS.REST_URL}{CONSTANTS.FEES_PATH_URL}"
resp = {
"maker_fee_rate": "0.0050",
"taker_fee_rate": "0.0050",
"usd_volume": "43806.92"
}
mock_api.get(url, body=json.dumps(resp))
self.async_run_with_timeout(self.exchange._update_fee_percentage())
self.assertEqual(Decimal(resp["maker_fee_rate"]),
self.exchange.maker_fee_percentage)
self.assertEqual(Decimal(resp["taker_fee_rate"]),
self.exchange.taker_fee_percentage)
@aioresponses()
def test_update_balances(self, mock_api):
url = f"{CONSTANTS.REST_URL}{CONSTANTS.ACCOUNTS_PATH_URL}"
resp = self.get_account_mock(
base_balance=2,
base_available=1,
quote_balance=4,
quote_available=3,
)
mock_api.get(url, body=json.dumps(resp))
self.async_run_with_timeout(self.exchange._update_balances())
expected_available_balances = {
self.base_asset: Decimal("1"),
self.quote_asset: Decimal("3")
}
self.assertEqual(expected_available_balances,
self.exchange.available_balances)
expected_balances = {
self.base_asset: Decimal("2"),
self.quote_asset: Decimal("4")
}
self.assertEqual(expected_balances, self.exchange.get_all_balances())
@aioresponses()
def test_update_trading_rules(self, mock_api):
url = f"{CONSTANTS.REST_URL}{CONSTANTS.PRODUCTS_PATH_URL}"
alt_pair = "BTC-USDT"
resp = self.get_products_response_mock(alt_pair)
mock_api.get(url, body=json.dumps(resp))
self.async_run_with_timeout(self.exchange._update_trading_rules())
trading_rules = self.exchange.trading_rules
self.assertEqual(2, len(trading_rules))
self.assertIn(self.trading_pair, trading_rules)
self.assertIn(alt_pair, trading_rules)
self.assertIsInstance(trading_rules[self.trading_pair], TradingRule)
self.assertIsInstance(trading_rules[alt_pair], TradingRule)
@aioresponses()
def test_execute_buy(self, mock_api):
self.simulate_trading_rules_initialization(mock_api)
some_order_id = "someID"
url = f"{CONSTANTS.REST_URL}{CONSTANTS.ORDERS_PATH_URL}"
regex_url = re.compile(f"^{url}".replace(".",
r"\.").replace("?", r"\?"))
resp = self.get_orders_response_mock(some_order_id)
mock_api.post(regex_url, body=json.dumps(resp))
self.exchange.add_listener(MarketEvent.BuyOrderCreated,
self.event_listener)
self.exchange.add_listener(MarketEvent.OrderFilled,
self.event_listener)
self.async_run_with_timeout(
self.exchange.execute_buy(
order_id=some_order_id,
trading_pair=self.trading_pair,
amount=Decimal("1"),
order_type=OrderType.LIMIT,
price=Decimal("2"),
))
self.assertEqual(1, len(self.event_listener.event_log))
event = self.event_listener.event_log[0]
self.assertIsInstance(event, BuyOrderCreatedEvent)
self.assertEqual(some_order_id, event.order_id)
self.assertIn(some_order_id, self.exchange.in_flight_orders)
@aioresponses()
def test_execute_buy_handles_errors(self, mock_api):
self.simulate_trading_rules_initialization(mock_api)
url = f"{CONSTANTS.REST_URL}{CONSTANTS.ORDERS_PATH_URL}"
regex_url = re.compile(f"^{url}".replace(".",
r"\.").replace("?", r"\?"))
mock_api.post(regex_url, exception=RuntimeError)
self.exchange.add_listener(MarketEvent.BuyOrderCreated,
self.event_listener)
self.exchange.add_listener(MarketEvent.OrderFailure,
self.event_listener)
some_order_id = "someID"
self.async_run_with_timeout(
self.exchange.execute_buy(
order_id=some_order_id,
trading_pair=self.trading_pair,
amount=Decimal("1"),
order_type=OrderType.LIMIT,
price=Decimal("2"),
))
self.assertEqual(1, len(self.event_listener.event_log))
event = self.event_listener.event_log[0]
self.assertIsInstance(event, MarketOrderFailureEvent)
self.assertEqual(some_order_id, event.order_id)
self.assertNotIn(some_order_id, self.exchange.in_flight_orders)
@aioresponses()
def test_execute_sell(self, mock_api):
self.simulate_trading_rules_initialization(mock_api)
some_order_id = "someID"
url = f"{CONSTANTS.REST_URL}{CONSTANTS.ORDERS_PATH_URL}"
regex_url = re.compile(f"^{url}".replace(".",
r"\.").replace("?", r"\?"))
resp = self.get_orders_response_mock(some_order_id)
mock_api.post(regex_url, body=json.dumps(resp))
self.exchange.add_listener(MarketEvent.SellOrderCreated,
self.event_listener)
self.exchange.add_listener(MarketEvent.OrderFilled,
self.event_listener)
self.async_run_with_timeout(
self.exchange.execute_sell(
order_id=some_order_id,
trading_pair=self.trading_pair,
amount=Decimal("1"),
order_type=OrderType.LIMIT,
price=Decimal("2"),
))
self.assertEqual(1, len(self.event_listener.event_log))
event = self.event_listener.event_log[0]
self.assertIsInstance(event, SellOrderCreatedEvent)
self.assertEqual(some_order_id, event.order_id)
self.assertIn(some_order_id, self.exchange.in_flight_orders)
@aioresponses()
def test_execute_sell_handles_errors(self, mock_api):
self.simulate_trading_rules_initialization(mock_api)
url = f"{CONSTANTS.REST_URL}{CONSTANTS.ORDERS_PATH_URL}"
regex_url = re.compile(f"^{url}".replace(".",
r"\.").replace("?", r"\?"))
mock_api.post(regex_url, exception=RuntimeError)
self.exchange.add_listener(MarketEvent.SellOrderCreated,
self.event_listener)
self.exchange.add_listener(MarketEvent.OrderFailure,
self.event_listener)
some_order_id = "someID"
self.async_run_with_timeout(
self.exchange.execute_sell(
order_id=some_order_id,
trading_pair=self.trading_pair,
amount=Decimal("1"),
order_type=OrderType.LIMIT,
price=Decimal("2"),
))
self.assertEqual(1, len(self.event_listener.event_log))
event = self.event_listener.event_log[0]
self.assertIsInstance(event, MarketOrderFailureEvent)
self.assertEqual(some_order_id, event.order_id)
self.assertNotIn(some_order_id, self.exchange.in_flight_orders)
@aioresponses()
def test_execute_cancel(self, mock_api):
self.simulate_trading_rules_initialization(mock_api)
some_order_id = "someID"
self.simulate_execute_buy_order(mock_api, some_order_id)
url = f"{CONSTANTS.REST_URL}{CONSTANTS.ORDERS_PATH_URL}/{some_order_id}"
resp = some_order_id
mock_api.delete(url, body=json.dumps(resp))
self.exchange.add_listener(MarketEvent.OrderCancelled,
self.event_listener)
self.async_run_with_timeout(
self.exchange.execute_cancel(self.trading_pair, some_order_id))
self.assertEqual(1, len(self.event_listener.event_log))
event = self.event_listener.event_log[0]
self.assertIsInstance(event, OrderCancelledEvent)
self.assertEqual(some_order_id, event.order_id)
self.assertNotIn(some_order_id, self.exchange.in_flight_orders)
@aioresponses()
def test_execute_cancel_order_does_not_exist(self, mock_api):
self.simulate_trading_rules_initialization(mock_api)
some_order_id = "someID"
self.simulate_execute_buy_order(mock_api, some_order_id)
url = f"{CONSTANTS.REST_URL}{CONSTANTS.ORDERS_PATH_URL}/{some_order_id}"
mock_api.delete(url, exception=IOError("order not found"))
self.exchange.add_listener(MarketEvent.OrderCancelled,
self.event_listener)
self.async_run_with_timeout(
self.exchange.execute_cancel(self.trading_pair, some_order_id))
self.assertEqual(1, len(self.event_listener.event_log))
event = self.event_listener.event_log[0]
self.assertIsInstance(event, OrderCancelledEvent)
self.assertEqual(some_order_id, event.order_id)
self.assertNotIn(some_order_id, self.exchange.in_flight_orders)
@aioresponses()
def test_get_order(self, mock_api):
self.simulate_trading_rules_initialization(mock_api)
some_order_id = "someID"
self.simulate_execute_buy_order(mock_api, some_order_id)
url = f"{CONSTANTS.REST_URL}{CONSTANTS.ORDERS_PATH_URL}/{some_order_id}"
resp = self.get_orders_response_mock(some_order_id)
mock_api.get(url, body=json.dumps(resp))