def test_set_partial_updates_bar_to_expected_properties(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
partial_bar = Bar(
bar_type=bar_type,
open=Price.from_str("1.00001"),
high=Price.from_str("1.00010"),
low=Price.from_str("1.00000"),
close=Price.from_str("1.00002"),
volume=Quantity.from_str("1"),
ts_event=1_000_000_000,
ts_init=1_000_000_000,
)
# Act
builder.set_partial(partial_bar)
bar = builder.build_now()
# Assert
assert bar.open == Price.from_str("1.00001")
assert bar.high == Price.from_str("1.00010")
assert bar.low == Price.from_str("1.00000")
assert bar.close == Price.from_str("1.00002")
assert bar.volume == Quantity.from_str("1")
assert bar.ts_init == 1_000_000_000
assert builder.ts_last == 1_000_000_000
def test_build_when_received_updates_returns_expected_bar(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE,
bar_type,
use_previous_close=True)
builder.update(Price.from_str("1.00001"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00002"), Quantity.from_str("1.5"), 0)
builder.update(
Price.from_str("1.00000"),
Quantity.from_str("1.5"),
1_000_000_000,
)
# Act
bar = builder.build_now() # Also resets builder
# Assert
self.assertEqual(Price.from_str("1.00001"), bar.open)
self.assertEqual(Price.from_str("1.00002"), bar.high)
self.assertEqual(Price.from_str("1.00000"), bar.low)
self.assertEqual(Price.from_str("1.00000"), bar.close)
self.assertEqual(Quantity.from_str("4.0"), bar.volume)
self.assertEqual(1_000_000_000, bar.ts_recv_ns)
self.assertEqual(1_000_000_000, builder.last_timestamp_ns)
self.assertEqual(0, builder.count)
def test_build_when_received_updates_returns_expected_bar(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
builder.update(Price.from_str("1.00001"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00002"), Quantity.from_str("1.5"), 0)
builder.update(
Price.from_str("1.00000"),
Quantity.from_str("1.5"),
1_000_000_000,
)
# Act
bar = builder.build_now() # Also resets builder
# Assert
assert bar.open == Price.from_str("1.00001")
assert bar.high == Price.from_str("1.00002")
assert bar.low == Price.from_str("1.00000")
assert bar.close == Price.from_str("1.00000")
assert bar.volume == Quantity.from_str("4.0")
assert bar.ts_init == 1_000_000_000
assert builder.ts_last == 1_000_000_000
assert builder.count == 0
def test_set_partial_updates_bar_to_expected_properties(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE,
bar_type,
use_previous_close=True)
partial_bar = Bar(
bar_type=bar_type,
open_price=Price.from_str("1.00001"),
high_price=Price.from_str("1.00010"),
low_price=Price.from_str("1.00000"),
close_price=Price.from_str("1.00002"),
volume=Quantity.from_str("1"),
ts_event_ns=1_000_000_000,
ts_recv_ns=1_000_000_000,
)
# Act
builder.set_partial(partial_bar)
bar = builder.build_now()
# Assert
self.assertEqual(Price.from_str("1.00001"), bar.open)
self.assertEqual(Price.from_str("1.00010"), bar.high)
self.assertEqual(Price.from_str("1.00000"), bar.low)
self.assertEqual(Price.from_str("1.00002"), bar.close)
self.assertEqual(Quantity.from_str("1"), bar.volume)
self.assertEqual(1_000_000_000, bar.ts_recv_ns)
self.assertEqual(1_000_000_000, builder.last_timestamp_ns)
def test_set_partial_updates_bar_to_expected_properties(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
partial_bar = Bar(
open_price=Price("1.00001"),
high_price=Price("1.00010"),
low_price=Price("1.00000"),
close_price=Price("1.00002"),
volume=Quantity("1"),
timestamp=UNIX_EPOCH + timedelta(seconds=1),
)
# Act
builder.set_partial(partial_bar)
bar = builder.build()
# Assert
self.assertEqual(Price("1.00001"), bar.open)
self.assertEqual(Price("1.00010"), bar.high)
self.assertEqual(Price("1.00000"), bar.low)
self.assertEqual(Price("1.00002"), bar.close)
self.assertEqual(Quantity("1"), bar.volume)
self.assertEqual(UNIX_EPOCH + timedelta(seconds=1), bar.timestamp)
self.assertEqual(UNIX_EPOCH + timedelta(seconds=1),
builder.last_timestamp)
def test_build_when_no_updates_raises_exception(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
builder = BarBuilder(AUDUSD_SIM, bar_type)
# Act, Assert
with pytest.raises(TypeError):
builder.build()
def test_single_update_results_in_expected_properties(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
# Act
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
# Assert
self.assertTrue(builder.initialized)
self.assertEqual(UNIX_EPOCH, builder.last_timestamp)
self.assertEqual(1, builder.count)
def test_single_update_results_in_expected_properties(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
# Act
builder.update(Price.from_str("1.00000"), Quantity.from_str("1"), 0)
# Assert
assert builder.initialized
assert builder.ts_last == 0
assert builder.count == 1
def test_single_update_results_in_expected_properties(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=True)
# Act
builder.update(Price("1.00000"), Quantity("1"), 0)
# Assert
self.assertTrue(builder.initialized)
self.assertEqual(0, builder.last_timestamp_ns)
self.assertEqual(1, builder.count)
def test_single_update_when_timestamp_less_than_last_update_ignores(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=True)
builder.update(Price("1.00000"), Quantity("1"), 0)
# Act
builder.update(Price("1.00001"), Quantity("1"), -1_000_000_000)
# Assert
self.assertTrue(builder.initialized)
self.assertEqual(0, builder.last_timestamp_ns)
self.assertEqual(1, builder.count)
def test_single_update_when_timestamp_less_than_last_update_ignores(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
builder.update(Price.from_str("1.00000"), Quantity.from_str("1"),
1_000)
# Act
builder.update(Price.from_str("1.00001"), Quantity.from_str("1"), 500)
# Assert
assert builder.initialized
assert builder.ts_last == 1_000
assert builder.count == 1
def test_build_when_no_updates_raises_exception(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
builder = BarBuilder(AUDUSD_SIM, bar_type, use_previous_close=False)
# Act
# Assert
self.assertRaises(TypeError, builder.build)
def test_build_when_no_updates_raises_exception(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=False)
# Act
# Assert
self.assertRaises(TypeError, builder.build)
def test_str_repr(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=False)
# Act
# Assert
self.assertEqual("BarBuilder(bar_spec=1-MINUTE-MID,None,None,None,None,0)", str(builder))
self.assertEqual("BarBuilder(bar_spec=1-MINUTE-MID,None,None,None,None,0)", repr(builder))
def test_instantiate(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
# Act, Assert
assert not builder.initialized
assert builder.ts_last == 0
assert builder.count == 0
def test_instantiate(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=False)
# Act
# Assert
self.assertFalse(builder.use_previous_close)
self.assertFalse(builder.initialized)
self.assertEqual(0, builder.last_timestamp_ns)
self.assertEqual(0, builder.count)
def test_set_partial_when_already_set_does_not_update(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
partial_bar1 = Bar(
bar_type=bar_type,
open=Price.from_str("1.00001"),
high=Price.from_str("1.00010"),
low=Price.from_str("1.00000"),
close=Price.from_str("1.00002"),
volume=Quantity.from_str("1"),
ts_event=1_000_000_000,
ts_init=1_000_000_000,
)
partial_bar2 = Bar(
bar_type=bar_type,
open=Price.from_str("2.00001"),
high=Price.from_str("2.00010"),
low=Price.from_str("2.00000"),
close=Price.from_str("2.00002"),
volume=Quantity.from_str("2"),
ts_event=1_000_000_000,
ts_init=3_000_000_000,
)
# Act
builder.set_partial(partial_bar1)
builder.set_partial(partial_bar2)
bar = builder.build(4_000_000_000)
# Assert
assert bar.open == Price.from_str("1.00001")
assert bar.high == Price.from_str("1.00010")
assert bar.low == Price.from_str("1.00000")
assert bar.close == Price.from_str("1.00002")
assert bar.volume == Quantity.from_str("1")
assert bar.ts_init == 4_000_000_000
assert builder.ts_last == 1_000_000_000
def test_set_partial_when_already_set_does_not_update(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=True)
partial_bar1 = Bar(
bar_type=bar_type,
open_price=Price.from_str("1.00001"),
high_price=Price.from_str("1.00010"),
low_price=Price.from_str("1.00000"),
close_price=Price.from_str("1.00002"),
volume=Quantity.from_str("1"),
timestamp_origin_ns=1_000_000_000,
timestamp_ns=1_000_000_000,
)
partial_bar2 = Bar(
bar_type=bar_type,
open_price=Price.from_str("2.00001"),
high_price=Price.from_str("2.00010"),
low_price=Price.from_str("2.00000"),
close_price=Price.from_str("2.00002"),
volume=Quantity.from_str("2"),
timestamp_origin_ns=1_000_000_000,
timestamp_ns=3_000_000_000,
)
# Act
builder.set_partial(partial_bar1)
builder.set_partial(partial_bar2)
bar = builder.build(4_000_000_000)
# Assert
self.assertEqual(Price.from_str("1.00001"), bar.open)
self.assertEqual(Price.from_str("1.00010"), bar.high)
self.assertEqual(Price.from_str("1.00000"), bar.low)
self.assertEqual(Price.from_str("1.00002"), bar.close)
self.assertEqual(Quantity.from_str("1"), bar.volume)
self.assertEqual(4_000_000_000, bar.timestamp_ns)
self.assertEqual(1_000_000_000, builder.last_timestamp_ns)
def test_instantiate(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=False)
# Act
# Assert
self.assertEqual(bar_spec, builder.bar_spec)
self.assertFalse(builder.use_previous_close)
self.assertFalse(builder.initialized)
self.assertIsNone(builder.last_timestamp)
self.assertEqual(0, builder.count)
def test_multiple_updates_correctly_increments_count(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
# Act
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
# Assert
self.assertEqual(5, builder.count)
def test_multiple_updates_correctly_increments_count(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=True)
# Act
builder.update(Price("1.00000"), Quantity("1"), 0)
builder.update(Price("1.00000"), Quantity("1"), 0)
builder.update(Price("1.00000"), Quantity("1"), 0)
builder.update(Price("1.00000"), Quantity("1"), 0)
builder.update(Price("1.00000"), Quantity("1"), 0)
# Assert
self.assertEqual(5, builder.count)
def test_update(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
tick1 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
tick2 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
tick3 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
# Act
builder.handle_quote_tick(tick1)
builder.handle_quote_tick(tick2)
builder.handle_quote_tick(tick3)
# Assert
self.assertEqual(bar_spec, builder.bar_spec)
self.assertEqual(3, builder.count)
self.assertEqual(UNIX_EPOCH, builder.last_update)
def test_build_with_previous_close(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
tick1 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
tick2 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
tick3 = QuoteTick(symbol=AUDUSD_FXCM,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(1),
ask_size=Quantity(1),
timestamp=UNIX_EPOCH)
builder.handle_quote_tick(tick1)
builder.handle_quote_tick(tick2)
builder.handle_quote_tick(tick3)
builder.build()
# Act
bar = builder.build() # Also resets builder
# Assert
self.assertEqual(Price("1.000015"), bar.open)
self.assertEqual(Price("1.000015"), bar.high)
self.assertEqual(Price("1.000015"), bar.low)
self.assertEqual(Price("1.000015"), bar.close)
self.assertEqual(Quantity(), bar.volume)
self.assertEqual(UNIX_EPOCH, bar.timestamp)
self.assertEqual(UNIX_EPOCH, builder.last_update)
self.assertEqual(0, builder.count)
def test_str_repr(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
# Act, Assert
assert (
str(builder) ==
"BarBuilder(BTC/USDT.BINANCE-100-TICK-LAST-EXTERNAL,None,None,None,None,0)"
)
assert (
repr(builder) ==
"BarBuilder(BTC/USDT.BINANCE-100-TICK-LAST-EXTERNAL,None,None,None,None,0)"
)
def test_multiple_updates_correctly_increments_count(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
# Act
builder.update(Price.from_str("1.00000"), Quantity.from_int(1), 1_000)
builder.update(Price.from_str("1.00000"), Quantity.from_int(1), 1_000)
builder.update(Price.from_str("1.00000"), Quantity.from_int(1), 1_000)
builder.update(Price.from_str("1.00000"), Quantity.from_int(1), 1_000)
builder.update(Price.from_str("1.00000"), Quantity.from_int(1), 1_000)
# Assert
assert builder.count == 5
def test_str_repr(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(bar_type, use_previous_close=False)
# Act
# Assert
self.assertEqual(
"BarBuilder(BTC/USDT.BINANCE-100-TICK-LAST,None,None,None,None,0)",
str(builder),
)
self.assertEqual(
"BarBuilder(BTC/USDT.BINANCE-100-TICK-LAST,None,None,None,None,0)",
repr(builder),
)
def test_single_update_when_timestamp_less_than_last_update_ignores(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
builder.update(Price("1.00000"), Quantity("1"), UNIX_EPOCH)
# Act
builder.update(Price("1.00001"), Quantity("1"), UNIX_EPOCH - timedelta(seconds=1))
# Assert
self.assertTrue(builder.initialized)
self.assertEqual(UNIX_EPOCH, builder.last_timestamp)
self.assertEqual(1, builder.count)
def test_build_when_received_updates_returns_expected_bar(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_bid()
builder = BarBuilder(bar_spec, use_previous_close=True)
builder.update(Price("1.00001"), Quantity("1.0"), UNIX_EPOCH)
builder.update(Price("1.00002"), Quantity("1.5"), UNIX_EPOCH)
builder.update(Price("1.00000"), Quantity("1.5"), UNIX_EPOCH + timedelta(seconds=1))
# Act
bar = builder.build() # Also resets builder
# Assert
self.assertEqual(Price("1.00001"), bar.open)
self.assertEqual(Price("1.00002"), bar.high)
self.assertEqual(Price("1.00000"), bar.low)
self.assertEqual(Price("1.00000"), bar.close)
self.assertEqual(Quantity("4.0"), bar.volume)
self.assertEqual(UNIX_EPOCH + timedelta(seconds=1), bar.timestamp)
self.assertEqual(UNIX_EPOCH + timedelta(seconds=1), builder.last_timestamp)
self.assertEqual(0, builder.count)
def test_build_with_previous_close(self):
# Arrange
bar_spec = TestStubs.bar_spec_1min_mid()
builder = BarBuilder(bar_spec, use_previous_close=True)
builder.update(Price("1.00001"), Quantity("1.0"), UNIX_EPOCH)
builder.build() # This close should become the next open
builder.update(Price("1.00000"), Quantity("1.0"), UNIX_EPOCH)
builder.update(Price("1.00003"), Quantity("1.0"), UNIX_EPOCH)
builder.update(Price("1.00002"), Quantity("1.0"), UNIX_EPOCH)
bar2 = builder.build()
# Assert
self.assertEqual(Price("1.00001"), bar2.open)
self.assertEqual(Price("1.00003"), bar2.high)
self.assertEqual(Price("1.00000"), bar2.low)
self.assertEqual(Price("1.00002"), bar2.close)
self.assertEqual(Quantity("3.0"), bar2.volume)
def test_build_with_previous_close(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE,
bar_type,
use_previous_close=True)
builder.update(Price.from_str("1.00001"), Quantity.from_str("1.0"), 0)
builder.build_now() # This close should become the next open
builder.update(Price.from_str("1.00000"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00003"), Quantity.from_str("1.0"), 0)
builder.update(Price.from_str("1.00002"), Quantity.from_str("1.0"), 0)
bar2 = builder.build_now()
# Assert
self.assertEqual(Price.from_str("1.00001"), bar2.open)
self.assertEqual(Price.from_str("1.00003"), bar2.high)
self.assertEqual(Price.from_str("1.00000"), bar2.low)
self.assertEqual(Price.from_str("1.00002"), bar2.close)
self.assertEqual(Quantity.from_str("3.0"), bar2.volume)