def test_injects_instruments_into_discrete_scheme():
with TradingContext(**c1):
action_scheme = DiscreteActions(n_actions=25)
assert action_scheme._instrument == 'BTC'
with TradingContext(**c2):
action_scheme = DiscreteActions(n_actions=25)
assert action_scheme._instrument == 'ETH'
def test_injects_instruments_into_continuous_scheme():
with TradingContext(**c1):
action_scheme = ContinuousActions()
assert action_scheme._instrument == 'BTC'
with TradingContext(**c2):
action_scheme = ContinuousActions()
assert action_scheme._instrument == 'ETH'
def test_injects_products_into_continuous_strategy():
with TradingContext(**c1):
action_strategy = ContinuousActionStrategy()
assert action_strategy._product == 'BTC'
with TradingContext(**c2):
action_strategy = ContinuousActionStrategy()
assert action_strategy._product == 'ETH'
def test_injects_products_into_discrete_strategy():
with TradingContext(**c1):
action_strategy = DiscreteActionStrategy(n_actions=25)
assert action_strategy._product == 'BTC'
with TradingContext(**c2):
action_strategy = DiscreteActionStrategy(n_actions=25)
assert action_strategy._product == 'ETH'
def test_simulated_from_config():
class NoSlippage(SlippageModel):
def adjust_trade(self, trade: Trade, **kwargs) -> Trade:
pass
config = {
'base_instrument': 'EURO',
'instruments': ['BTC', 'ETH'],
'exchanges': {
'commission': 0.5,
'base_precision': 0.3,
'instrument_precision': 10,
'min_trade_price': 1e-7,
'max_trade_price': 1e7,
'min_trade_size': 1e-4,
'max_trade_size': 1e4,
'initial_balance': 1e5,
'window_size': 5,
'should_pretransform_obs': True,
'max_allowed_slippage_percent': 3.0,
'slippage_model': NoSlippage
}
}
with TradingContext(**config):
df = pd.Source([[900, 849, 9023, 94039, 943]],
columns=["open", "high", "low", "close", "volume"])
exchange_ds = DataFrameSource('prices', df)
data_feed = DataFeed([exchange_ds])
exchange = Exchange('Exchange', lambda x: {EUR / ETH: x['close']})
assert exchange._base_instrument == 'EURO'
assert exchange._commission == 0.5
def test_simlulated_from_config():
class NoSlippage(SlippageModel):
def fill_order(self, trade: Trade, **kwargs) -> Trade:
return trade
config = {
'base_instrument': 'EURO',
'instruments': ['BTC', 'ETH'],
'exchanges': {
'commission_percent': 0.5,
'base_precision': 0.3,
'instrument_precision': 10,
'min_trade_price': 1e-7,
'max_trade_price': 1e7,
'min_trade_amount': 1e-4,
'max_trade_amount': 1e4,
'initial_balance': 1e5,
'window_size': 5,
'should_pretransform_obs': True,
'max_allowed_slippage_percent': 3.0,
'slippage_model': NoSlippage
}
}
with TradingContext(**config):
exchange = SimulatedExchange()
exchange.base_instrument == 'EURO'
exchange._commission_percent == 0.5
def test_injects_simulated_discrete_simple_environment():
env = make_env('simulated', 'dynamic', 'simple')
assert env.action_scheme.pairs == [USD/BTC]
with TradingContext(**config):
env = make_env('simulated', 'dynamic', 'simple')
assert env.action_scheme.pairs == [USD/BTC, USD/ETH]
def test_injects_strategy():
with TradingContext(**config):
action_scheme = ConcreteActionScheme()
assert hasattr(action_scheme.context, 'n_actions')
assert action_scheme.context.n_actions == 50
assert action_scheme.context['n_actions'] == 50
def test_injects_simulated_discrete_simple_environment():
env = make_env('simulated', 'discrete', 'simple')
assert env.action_strategy.n_actions == 20
with TradingContext(**config):
env = make_env('simulated', 'discrete', 'simple')
assert env.action_strategy.n_actions == 50
def test_injects_products_into_multi_discrete_strategy():
with TradingContext(**config) as tc:
action_strategy = MultiDiscreteActionStrategy(
actions_per_instrument=25)
assert action_strategy._products == tc.shared['products']
def test_injects_base_instrument():
with TradingContext(**config):
df = pd.Source([[900, 849, 9023, 94039, 943]],
columns=["open", "high", "low", "close", "volume"])
exchange = SimulatedExchange(data_frame=df)
assert exchange._base_instrument == EUR
def test_injects_string_initialized_action_scheme():
with TradingContext(**config):
action_scheme = get('discrete')
assert hasattr(action_scheme.context, 'n_actions')
assert action_scheme.context.n_actions == 50
assert action_scheme.context['n_actions'] == 50
def test_injects_reward_scheme_with_context():
with TradingContext(**config):
reward_scheme = ConcreteRewardScheme()
assert hasattr(reward_scheme.context, 'size')
assert reward_scheme.context.size == 0
assert reward_scheme.context['size'] == 0
def test_injects_reward_strategy_with_context():
with TradingContext(**config) as tc:
reward_strategy = ConcreteRewardStrategy()
assert hasattr(reward_strategy.context, 'amount')
assert reward_strategy.context.amount == 0
assert reward_strategy.context['amount'] == 0
def test_injects_string_intialized_reward_strategy():
with TradingContext(**config) as tc:
reward_strategy = get('simple')
assert reward_strategy.registered_name == "rewards"
assert hasattr(reward_strategy.context, 'amount')
assert reward_strategy.context.amount == 0
assert reward_strategy.context['amount'] == 0
def test_injects_feature_pipeline_with_context():
config = {'features': {'shape': (90, 70)}}
with TradingContext(**config):
steps = list(repeat(Identity(), 5))
pipeline = FeaturePipeline(steps)
assert hasattr(pipeline.context, 'shape')
assert pipeline.context.shape == (90, 70)
def test_injects_feature_transformation_with_context():
config = {'features': {'shape': (90, 70)}}
with TradingContext(**config):
transformer = Identity()
assert hasattr(transformer.context, 'shape')
assert transformer.context.shape == (90, 70)
def test_injects_string_intialized_reward_scheme():
with TradingContext(**config):
reward_scheme = get('simple')
assert reward_scheme.registered_name == "rewards"
assert hasattr(reward_scheme.context, 'size')
assert reward_scheme.context.size == 0
assert reward_scheme.context['size'] == 0
def test_injects_context_into_slippage_model():
with TradingContext(**config) as tc:
model = ConcreteSlippageModel()
assert hasattr(model.context, 'minimum')
assert hasattr(model.context, 'maximum')
assert model.context.minimum == 0
assert model.context.maximum == 100
assert model.context['minimum'] == 0
assert model.context['maximum'] == 100
def test_injects_string_initialized_action_scheme():
with TradingContext(**config):
exchange = get('simulated')
assert hasattr(exchange.context, 'credentials')
assert exchange.context.credentials == config['exchanges'][
'credentials']
assert exchange.context['credentials'] == config['exchanges'][
'credentials']
def test_injects_exchange_with_credentials():
with TradingContext(**config):
exchange = ConcreteExchange()
assert hasattr(exchange.context, 'credentials')
assert exchange.context.credentials == {
'api_key': '48hg34wydghi7ef',
'api_secret_key': '0984hgoe8d7htg'
}
assert exchange.context['credentials'] == {
'api_key': '48hg34wydghi7ef',
'api_secret_key': '0984hgoe8d7htg'
}
def test_injects_continuous_initialization():
c = {
'base_instrument': 'USD',
'instruments': ['BTC', 'ETH'],
'actions': {
'max_allowed_slippage_percent': 2.0
}
}
with TradingContext(**c):
action_scheme = ContinuousActions()
assert action_scheme.max_allowed_slippage_percent == 2.0
def test_injects_multi_discrete_initialization():
c = {
'base_instrument': 'USD',
'instruments': ['BTC', 'ETH'],
'actions': {
'actions_per_instrument': 50,
'max_allowed_slippage_percent': 2.0,
}
}
with TradingContext(**c):
action_scheme = MultiDiscreteActions()
assert action_scheme._actions_per_instrument == 50
assert action_scheme._max_allowed_slippage_percent == 2.0
def test_injects_discrete_initialization():
c = {
'base_instrument': 'USD',
'instruments': ['BTC', 'ETH'],
'actions': {
'n_actions': 25,
'max_allowed_slippage_percent': 2.0
}
}
with TradingContext(**c):
action_scheme = DiscreteActions()
assert action_scheme.n_actions == 25
assert action_scheme.max_allowed_slippage_percent == 2.0
def test_initialize_ccxt_from_config():
config = {
'base_instrument': 'USD',
'exchanges': {
'exchange': 'binance',
'credentials': {
'api_key': '48hg34wydghi7ef',
'api_secret_key': '0984hgoe8d7htg'
}
}
}
with TradingContext(**config):
exchange = CCXTExchange()
assert str(exchange._exchange) == 'Binance'
assert exchange._credentials == config['exchanges']['credentials']
def test_injects_trading_strategy_with_context():
with TradingContext(**config):
env = TradingEnvironment(exchange='simulated',
action_scheme='discrete',
reward_scheme='simple')
strategy = ConcreteTradingStrategy(environment=env)
assert hasattr(strategy.environment.exchange.context, 'credentials')
assert strategy.environment.exchange.context.credentials == config[
'exchanges']['credentials']
assert hasattr(strategy.environment.action_scheme.context, 'n_actions')
assert strategy.environment.action_scheme.context.n_actions == 24
print(strategy.environment.reward_scheme.context.data)
assert hasattr(strategy.environment.reward_scheme.context, 'amount')
assert strategy.environment.reward_scheme.context.amount == 100
def context():
return TradingContext.get_context()
def test_injects_instruments_into_multi_discrete_scheme():
with TradingContext(**config) as tc:
action_scheme = MultiDiscreteActions(actions_per_instrument=25)
assert action_scheme._instruments == tc.shared['instruments']
def test_injects_base_instrument():
with TradingContext(**config):
exchange = SimulatedExchange()
assert exchange.base_instrument == 'EURO'
def trade_context():
return TradingContext(**config)
