def test_equal_messages_have_equal_hash(self):
message = NdaxOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content={"data": []},
timestamp=10000000)
equal_message = NdaxOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content={"data": []},
timestamp=10000000)
self.assertEqual(hash(message), hash(equal_message))
def trade_message_from_exchange(cls,
msg: Dict[str, Any],
timestamp: Optional[float] = None,
metadata: Optional[Dict] = None):
"""
Convert a trade data into standard OrderBookMessage format
:param msg: json trade data from live web socket stream
:param timestamp: timestamp attached to incoming data
:return: NdaxOrderBookMessage
"""
if metadata:
msg.update(metadata)
# Data fields are obtained from OrderTradeEvents
msg.update({
"exchange_order_id": msg.get("TradeId"),
"trade_type": msg.get("Side"),
"price": msg.get("Price"),
"amount": msg.get("Quantity"),
})
return NdaxOrderBookMessage(message_type=OrderBookMessageType.TRADE,
content=msg,
timestamp=timestamp)
def diff_message_from_db(cls,
record: RowProxy,
metadata: Optional[Dict] = None):
"""
*used for backtesting
Convert a row of diff data into standard OrderBookMessage format
:param record: a row of diff data from the database
:return: NdaxOrderBookMessage
"""
return NdaxOrderBookMessage(message_type=OrderBookMessageType.DIFF,
content=record.json,
timestamp=record.timestamp)
def test_equality_based_on_type_and_timestamp(self):
message = NdaxOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content={"data": []},
timestamp=10000000)
equal_message = NdaxOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content={"data": []},
timestamp=10000000)
message_with_different_type = NdaxOrderBookMessage(
message_type=OrderBookMessageType.DIFF,
content={"data": []},
timestamp=10000000)
message_with_different_timestamp = NdaxOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content={"data": []},
timestamp=90000000)
self.assertEqual(message, message)
self.assertEqual(message, equal_message)
self.assertNotEqual(message, message_with_different_type)
self.assertNotEqual(message, message_with_different_timestamp)
def diff_message_from_exchange(cls,
msg: Dict[str, any],
timestamp: Optional[float] = None,
metadata: Optional[Dict] = None):
"""
Convert json diff data into standard OrderBookMessage format
:param msg: json diff data from live web socket stream
:param timestamp: timestamp attached to incoming data
:return: NdaxOrderBookMessage
"""
if metadata:
msg.update(metadata)
return NdaxOrderBookMessage(message_type=OrderBookMessageType.DIFF,
content=msg,
timestamp=timestamp)
def test_delete_sell_order_book_entry_always_has_zero_amount(self):
entries = [
NdaxOrderBookEntry(mdUpdateId=1,
accountId=1,
actionDateTime=1627935956059,
actionType=2,
lastTradePrice=42211.51,
orderId=1,
price=41508.19,
productPairCode=5,
quantity=1.5,
side=1)
]
content = {"data": entries}
message = NdaxOrderBookMessage(message_type=OrderBookMessageType.DIFF,
content=content,
timestamp=time.time())
asks = message.asks
self.assertEqual(1, len(asks))
self.assertEqual(41508.19, asks[0].price)
self.assertEqual(0.0, asks[0].amount)
self.assertEqual(1, asks[0].update_id)