async def test_handle_price(price_events_manager):
random_price_1 = decimal_random_price()
random_timestamp_1 = random_timestamp(min_value=2, max_value=1000)
price_event_1 = price_events_manager.add_event(
decimal.Decimal(str(random_price_1)), random_timestamp_1, True)
with patch.object(price_event_1, 'set', new=Mock()) as price_event_1_set:
price_events_manager.handle_price(trading_constants.ZERO,
random_timestamp())
with pytest.raises(AssertionError):
price_event_1_set.assert_called_once()
price_events_manager.handle_price(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE),
timestamp=random_timestamp())
with pytest.raises(AssertionError):
price_event_1_set.assert_called_once()
price_events_manager.handle_price(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE),
timestamp=random_timestamp())
price_events_manager.handle_price(
price=decimal_random_price(min_value=random_price_1),
timestamp=random_timestamp_1 - 1)
with pytest.raises(AssertionError):
price_event_1_set.assert_called_once()
price_events_manager.handle_price(
price=decimal_random_price(min_value=random_price_1),
timestamp=random_timestamp_1 + 1)
price_event_1_set.assert_called_once()
async def test_handle_recent_trades(price_events_manager):
random_price_1 = random_price(min_value=2)
random_timestamp_1 = random_timestamp(min_value=2, max_value=1000)
price_event_1 = price_events_manager.add_event(random_price_1,
random_timestamp_1, True)
with patch.object(price_event_1, 'set', new=Mock()) as price_event_1_set:
price_events_manager.handle_recent_trades([])
with pytest.raises(AssertionError):
price_event_1_set.assert_called_once()
price_events_manager.handle_recent_trades([
random_recent_trade(
price=random_price(max_value=random_price_1 - 1),
timestamp=random_timestamp(max_value=random_timestamp_1 - 1)),
random_recent_trade(
price=random_price(max_value=random_price_1 - 1),
timestamp=random_timestamp(max_value=random_timestamp_1 - 1)),
random_recent_trade(
price=random_price(max_value=random_price_1 - 1),
timestamp=random_timestamp(max_value=random_timestamp_1 - 1))
])
with pytest.raises(AssertionError):
price_event_1_set.assert_called_once()
price_events_manager.handle_recent_trades([
random_recent_trade(price=random_price(max_value=random_price_1 -
1)),
random_recent_trade(price=random_price_1,
timestamp=random_timestamp_1),
random_recent_trade(price=random_price(max_value=random_price_1 -
1)),
random_recent_trade(price=random_price(max_value=random_price_1 -
1))
])
price_event_1_set.assert_called_once()
async def test_add_event(price_events_manager):
price_events_manager.add_event(decimal_random_price(), random_timestamp(),
True)
price_events_manager.add_event(decimal_random_price(), random_timestamp(),
False)
if not os.getenv('CYTHON_IGNORE'):
assert price_events_manager.events
assert len(price_events_manager.events) == 2
async def test_reset_funding(funding_manager):
funding_manager.next_update = random_timestamp()
funding_manager.last_updated = random_timestamp()
funding_manager.funding_rate = random_funding_rate()
funding_manager.predicted_funding_rate = random_funding_rate()
funding_manager.reset_funding()
assert funding_manager.next_update == 0
assert funding_manager.last_updated == 0
assert funding_manager.funding_rate == constants.ZERO
assert funding_manager.predicted_funding_rate == constants.ZERO
async def test_funding_update(funding_manager):
last_updated = random_timestamp()
next_updated = random_timestamp(last_updated)
funding_rate = random_funding_rate()
predicted_funding_rate = random_funding_rate()
funding_manager.funding_update(funding_rate, predicted_funding_rate,
next_updated, last_updated)
assert funding_manager.next_update == next_updated
assert funding_manager.last_updated == last_updated
assert funding_manager.funding_rate == funding_rate
assert funding_manager.predicted_funding_rate == predicted_funding_rate
async def test_remove_event(price_events_manager):
event_1 = price_events_manager.add_event(decimal_random_price(),
random_timestamp(), True)
event_2 = price_events_manager.add_event(decimal_random_price(),
random_timestamp(), False)
if not os.getenv('CYTHON_IGNORE'):
assert price_events_manager.events
price_events_manager.remove_event(event_1)
assert event_1 not in price_events_manager.events
assert len(price_events_manager.events) == 1
price_events_manager.remove_event(Event())
assert len(price_events_manager.events) == 1
price_events_manager.remove_event(event_2)
assert event_2 not in price_events_manager.events
assert len(price_events_manager.events) == 0
async def test_handle_new_book(order_book_manager):
"""
Handle ccxt request
{
'bids': [
[ price, amount ], // [ float, float ]
[ price, amount ],
...
],
'asks': [
[ price, amount ],
[ price, amount ],
...
],
'timestamp': 1499280391811, // Unix Timestamp in milliseconds (seconds * 1000)
'datetime': '2017-07-05T18:47:14.692Z', // ISO8601 datetime string with milliseconds
'nonce': 1499280391811, // an increasing unique identifier of the orderbook snapshot
}
"""
ts = random_timestamp()
asks = random_order_book_side(count=100)
bids = random_order_book_side(count=100)
order_book_manager.handle_new_book({
ECOBIC.ASKS.value: asks,
ECOBIC.BIDS.value: bids,
ECOBIC.TIMESTAMP.value: ts
})
assert order_book_manager.timestamp == ts
assert order_book_manager.get_ask()
assert order_book_manager.get_bid()
async def test_update_and_reset_mini_ticker(ticker_manager):
vol = random_quantity()
open_p = random_price()
ticker_manager.mini_ticker_update({
ExchangeConstantsMiniTickerColumns.HIGH_PRICE.value:
random_price(),
ExchangeConstantsMiniTickerColumns.LOW_PRICE.value:
random_price(),
ExchangeConstantsMiniTickerColumns.OPEN_PRICE.value:
open_p,
ExchangeConstantsMiniTickerColumns.CLOSE_PRICE.value:
random_price(),
ExchangeConstantsMiniTickerColumns.VOLUME.value:
vol,
ExchangeConstantsMiniTickerColumns.TIMESTAMP.value:
random_timestamp()
})
assert ticker_manager.mini_ticker[
ExchangeConstantsMiniTickerColumns.VOLUME.value] == vol
assert ticker_manager.mini_ticker[
ExchangeConstantsMiniTickerColumns.OPEN_PRICE.value] == open_p
if not os.getenv('CYTHON_IGNORE'):
ticker_manager.reset_mini_ticker()
assert ticker_manager.mini_ticker == {
ExchangeConstantsMiniTickerColumns.HIGH_PRICE.value: nan,
ExchangeConstantsMiniTickerColumns.LOW_PRICE.value: nan,
ExchangeConstantsMiniTickerColumns.OPEN_PRICE.value: nan,
ExchangeConstantsMiniTickerColumns.CLOSE_PRICE.value: nan,
ExchangeConstantsMiniTickerColumns.VOLUME.value: nan,
ExchangeConstantsMiniTickerColumns.TIMESTAMP.value: 0
}
async def test_handle_new_books(order_book_manager):
ts = random_timestamp()
asks = random_order_book_side(count=100)
bids = random_order_book_side(count=100)
order_book_manager.handle_new_books(asks, bids, timestamp=ts)
assert order_book_manager.order_book_initialized
assert order_book_manager.timestamp == ts
assert order_book_manager.get_ask()
assert order_book_manager.get_bid()
async def test_update_and_reset_ticker(ticker_manager):
price = random_price()
tm = random_timestamp()
vlm = random_quantity()
ticker_manager.ticker_update({
ExchangeConstantsTickersColumns.ASK.value:
price,
ExchangeConstantsTickersColumns.ASK_VOLUME.value:
vlm,
ExchangeConstantsTickersColumns.TIMESTAMP.value:
tm
})
assert ticker_manager.ticker[
ExchangeConstantsTickersColumns.ASK.value] == price
assert ticker_manager.ticker[
ExchangeConstantsTickersColumns.ASK_VOLUME.value] == vlm
assert ticker_manager.ticker[
ExchangeConstantsTickersColumns.TIMESTAMP.value] == tm
if not os.getenv('CYTHON_IGNORE'):
ticker_manager.reset_ticker()
assert ticker_manager.ticker == {
ExchangeConstantsTickersColumns.ASK.value: nan,
ExchangeConstantsTickersColumns.ASK_VOLUME.value: nan,
ExchangeConstantsTickersColumns.BID.value: nan,
ExchangeConstantsTickersColumns.BID_VOLUME.value: nan,
ExchangeConstantsTickersColumns.OPEN.value: nan,
ExchangeConstantsTickersColumns.LOW.value: nan,
ExchangeConstantsTickersColumns.HIGH.value: nan,
ExchangeConstantsTickersColumns.CLOSE.value: nan,
ExchangeConstantsTickersColumns.LAST.value: nan,
ExchangeConstantsTickersColumns.AVERAGE.value: nan,
ExchangeConstantsTickersColumns.SYMBOL.value: nan,
ExchangeConstantsTickersColumns.QUOTE_VOLUME.value: nan,
ExchangeConstantsTickersColumns.TIMESTAMP.value: 0,
ExchangeConstantsTickersColumns.VWAP.value: nan
}
async def test_kline_update(kline_manager):
rc_1 = random_kline()
kline_manager.kline_update(rc_1)
assert kline_manager.kline[PriceIndexes.IND_PRICE_CLOSE.value] == rc_1[
PriceIndexes.IND_PRICE_CLOSE.value]
# trigger a new candle
rc_2 = [0] * len(PriceIndexes)
rc_2[PriceIndexes.IND_PRICE_CLOSE.value] = 0
rc_2[PriceIndexes.IND_PRICE_OPEN.value] = 0
rc_2[PriceIndexes.IND_PRICE_HIGH.value] = 0
rc_2[PriceIndexes.IND_PRICE_LOW.value] = 0
rc_2[PriceIndexes.IND_PRICE_VOL.value] = 0
rc_2[PriceIndexes.IND_PRICE_TIME.value] = random_timestamp()
kline_manager.kline_update(rc_2)
assert kline_manager.kline != rc_1
# don't trigger a new candle
first_kline = [0] * len(PriceIndexes)
first_kline[PriceIndexes.IND_PRICE_CLOSE.value] = 0
first_kline[PriceIndexes.IND_PRICE_OPEN.value] = 0
first_kline[PriceIndexes.IND_PRICE_HIGH.value] = 0
first_kline[PriceIndexes.IND_PRICE_LOW.value] = 0
first_kline[PriceIndexes.IND_PRICE_VOL.value] = 0
first_kline[PriceIndexes.IND_PRICE_TIME.value] = rc_2[
PriceIndexes.IND_PRICE_TIME.value]
assert kline_manager.kline == first_kline
# shouldn't use new low
rc_3 = rc_2
rc_3[PriceIndexes.IND_PRICE_LOW.value] = random_price(1)
kline_manager.kline_update(rc_3)
assert kline_manager.kline == first_kline
# should use new low
rc_4 = rc_3
new_high = random_price(10)
rc_4[PriceIndexes.IND_PRICE_HIGH.value] = new_high
kline_manager.kline_update(rc_4)
second_kline = first_kline
second_kline[PriceIndexes.IND_PRICE_HIGH.value] = new_high
assert kline_manager.kline == second_kline
# shouldn't use new low
rc_5 = rc_4
rc_5[PriceIndexes.IND_PRICE_HIGH.value] = new_high - 1
kline_manager.kline_update(rc_5)
assert kline_manager.kline == second_kline
# should use new low
rc_6 = rc_5
rc_6[PriceIndexes.IND_PRICE_HIGH.value] = new_high + 1
third_kline = second_kline
third_kline[PriceIndexes.IND_PRICE_HIGH.value] = new_high + 1
kline_manager.kline_update(rc_6)
assert kline_manager.kline == third_kline
# should use new vol
rc_7 = rc_6
new_vol = random_quantity()
rc_7[PriceIndexes.IND_PRICE_VOL.value] = new_vol
kline_4 = third_kline
kline_4[PriceIndexes.IND_PRICE_VOL.value] = new_vol
kline_manager.kline_update(rc_7)
assert kline_manager.kline == kline_4
# should use new close
rc_8 = rc_7
new_price = random_price()
rc_8[PriceIndexes.IND_PRICE_CLOSE.value] = new_price
kline_5 = kline_4
kline_5[PriceIndexes.IND_PRICE_CLOSE.value] = new_price
kline_manager.kline_update(rc_8)
assert kline_manager.kline == kline_5
# shouldn't use new open
rc_9 = rc_8
new_open = random_price()
rc_9[PriceIndexes.IND_PRICE_OPEN.value] = new_open
kline_manager.kline_update(rc_9)
assert kline_manager.kline == kline_5
async def test_handle_recent_trades_multiple_events(price_events_manager):
random_price_1 = decimal_random_price(min_value=decimal.Decimal(2))
random_price_2 = decimal_random_price(min_value=random_price_1)
random_timestamp_1 = random_timestamp(min_value=2, max_value=1000)
random_timestamp_2 = random_timestamp(min_value=random_timestamp_1 + 2,
max_value=5000)
price_event_1 = price_events_manager.add_event(random_price_1,
random_timestamp_1, True)
price_event_2 = price_events_manager.add_event(random_price_2,
random_timestamp_2, True)
with patch.object(price_event_1, 'set', new=Mock()) as price_event_1_set, \
patch.object(price_event_2, 'set', new=Mock()) as price_event_2_set:
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE)),
decimal_random_recent_trade(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE)),
decimal_random_recent_trade(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE))
])
with pytest.raises(AssertionError):
price_event_1_set.assert_called_once()
with pytest.raises(AssertionError):
price_event_2_set.assert_called_once()
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(
price=decimal_random_price(max_value=random_price_1 -
trading_constants.ONE),
timestamp=random_timestamp(max_value=random_timestamp_1 - 1)),
decimal_random_recent_trade(
price=random_price_2 - trading_constants.ONE,
timestamp=random_timestamp(min_value=random_timestamp_1,
max_value=random_timestamp_2))
])
price_event_1_set.assert_called_once()
with pytest.raises(AssertionError):
price_event_2_set.assert_called_once()
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE)),
decimal_random_recent_trade(price=random_price_2,
timestamp=random_timestamp_2)
])
price_event_2_set.assert_called_once()
price_event_1 = price_events_manager.add_event(random_price_1,
random_timestamp_1, True)
price_event_2 = price_events_manager.add_event(random_price_2,
random_timestamp_2, True)
with patch.object(price_event_1, 'set', new=Mock()) as price_event_1_set, \
patch.object(price_event_2, 'set', new=Mock()) as price_event_2_set:
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(
price=decimal_random_price(max_value=random_price_1 -
trading_constants.ONE),
timestamp=random_timestamp(max_value=random_timestamp_1 - 1)),
decimal_random_recent_trade(
price=random_price_2 + decimal.Decimal(10),
timestamp=random_timestamp(min_value=random_timestamp_2 + 1))
])
price_event_1_set.assert_called_once()
price_event_2_set.assert_called_once()
price_event_1 = price_events_manager.add_event(random_price_1,
random_timestamp_1, True)
price_event_2 = price_events_manager.add_event(random_price_2,
random_timestamp_2, True)
with patch.object(price_event_1, 'set', new=Mock()) as price_event_1_set, \
patch.object(price_event_2, 'set', new=Mock()) as price_event_2_set:
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(
price=decimal_random_price(min_value=random_price_1,
max_value=random_price_2 -
trading_constants.ONE),
timestamp=random_timestamp(min_value=random_timestamp_1 - 1)),
decimal_random_recent_trade(
price=random_price_2,
timestamp=random_timestamp(max_value=random_timestamp_2 - 1))
])
price_event_1_set.assert_called_once()
with pytest.raises(AssertionError):
price_event_2_set.assert_called_once()