def setUp(self):
self.__testTWS = TestEClientSocket(self)
self.__conn = Connection(eClientSocket=self.__testTWS)
self.__feed = LiveFeed(self.__conn)
class IBLiveFeedTestCase(unittest.TestCase):
TestInstrument = "spy"
def setUp(self):
self.__testTWS = TestEClientSocket(self)
self.__conn = Connection(eClientSocket=self.__testTWS)
self.__feed = LiveFeed(self.__conn)
def testSubscription(self):
instrument1 = 'XXX'
instrument2 = 'YYY'
instrument3 = 'ZZZ'
for useRTH in (0, 1):
# Check if multiple instruments are supported
self.__feed.subscribeRealtimeBars(instrument1, useRTH)
self.assertIn(instrument1, self.__feed.getRegisteredInstruments())
self.__feed.subscribeRealtimeBars(instrument2, useRTH)
self.assertIn(instrument1, self.__feed.getRegisteredInstruments())
self.assertIn(instrument2, self.__feed.getRegisteredInstruments())
# XXX: There is no way to unsubscribe from a BarFeed yet
# self.__feed.unsubscribeRealtimeBars(instrument1)
# self.assertNotIn(instrument1, self.__feed.getRegisteredInstruments())
# self.assertIn(instrument2, self.__feed.getRegisteredInstruments())
# self.__feed.unsubscribeRealtimeBars(instrument2)
# self.assertNotIn(instrument1, self.__feed.getRegisteredInstruments())
# self.assertNotIn(instrument2, self.__feed.getRegisteredInstruments())
self.__feed.subscribeRealtimeBars(instrument3, useRTH)
# Test if the realtime bar request reached tws
self.assertEqual(instrument3, self.__testTWS.realtimeContract.m_symbol)
self.assertEqual("STK", self.__testTWS.realtimeContract.m_secType)
self.assertEqual("SMART", self.__testTWS.realtimeContract.m_exchange)
self.assertEqual("USD", self.__testTWS.realtimeContract.m_currency)
self.assertEqual(5, self.__testTWS.realtimeBarSize)
self.assertEqual("TRADES", self.__testTWS.realtimeWhatToShow)
self.assertEqual(useRTH, self.__testTWS.realtimeUseRTH)
self.__feed.unsubscribeRealtimeBars(instrument3)
@pytest.mark.xfail(strict=True)
def testRealtimeBars(self):
# Call onRealtimeBar with the instrument & bar tuple.
# The result should appear in the consecutive fetchNextBars call
instrument1 = 'XXX'
instrument2 = 'YYY'
instrument3 = 'ZZZ'
instrument4 = 'QQQ'
bar1 = Bar(datetime.datetime(2012, 8, 9, 12, 20, 00), open_=1.31, high=2.51, low=0.91, close=2.11,
volume=11, vwap=14.11, tradeCount=51)
bar2 = Bar(datetime.datetime(2012, 8, 9, 12, 20, 00), open_=1.32, high=2.52, low=0.92, close=2.12,
volume=12, vwap=14.12, tradeCount=52)
bar3 = Bar(datetime.datetime(2012, 8, 9, 12, 20, 05), open_=1.43, high=2.53, low=0.93, close=2.13,
volume=13, vwap=14.13, tradeCount=53)
bar4 = Bar(datetime.datetime(2012, 8, 9, 12, 20, 10), open_=1.44, high=2.54, low=0.94, close=2.14,
volume=11, vwap=14.14, tradeCount=54)
# Add bar1 and test the presence using fetchNextBars
# Bar1 should not be present until the timestamp is increased
# on the nex onRealtimeBar call
self.__feed.onIBBar((instrument1, bar1))
# Add bar2 with the same timestamp. No bars should be present
self.__feed.onIBBar((instrument2, bar2))
# Add bar3 with the next timestamp to trigger transfer between onRealtimeBar and fetchNextBars
self.__feed.onIBBar((instrument3, bar3))
bars = self.__feed.fetchNextBars()
self.assertIn(instrument1, bars.keys())
self.assertIn(instrument2, bars.keys())
self.assertNotIn(instrument3, bars.keys())
self.assertNotIn(instrument4, bars.keys())
self.assertEqual(bars[instrument1], bar1)
self.assertEqual(bars[instrument2], bar2)
# Add bar4, only bar3 should return
self.__feed.onIBBar((instrument4, bar4))
bars = self.__feed.fetchNextBars()
self.assertNotIn(instrument1, bars.keys())
self.assertNotIn(instrument2, bars.keys())
self.assertIn(instrument3, bars.keys())
self.assertNotIn(instrument4, bars.keys())
self.assertEqual(bars[instrument3], bar3)