def test_5minute(self):
asset = Asset('FX:EURUSD')
bar = DownSampledBar(const.Freq.MINUTE5, const.Freq.SECOND5, offset=1)
# test start
out = bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:04:55'), 1, 3, 0, 2))
self.assertTupleEqual(
out, (pd.Timestamp('2019-01-01 12:05:00'), 1, 3, 0, 2))
# test update
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:05:00'), 1, 3, 0, 2)))
out = bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:09:55'), 6, 9, 4, 5))
self.assertTupleEqual(
out, (pd.Timestamp('2019-01-01 12:10:00'), 1, 9, 0, 5))
self.assertEqual(bar.check, pd.Timestamp.min)
self.assertIsNone(bar.open)
# test skip
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:10:00'), 6, 9, 4, 5)))
out = bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:15:00'), 1, 3, 0, 2))
self.assertEqual(out,
(pd.Timestamp('2019-01-01 12:15:00'), 6, 9, 4, 5))
self.assertEqual(bar.timestamp, pd.Timestamp('2019-01-01 12:20:00'))
self.assertEqual(bar.open, 1)
self.assertEqual(bar.close, 2)
def test_skipped(self):
a1 = Asset('FX:EURUSD')
a2 = Asset('STK:AAPL')
bars = BarCoordinator([a1, a2], const.Freq.MINUTE5, const.Freq.SECOND5)
self.assertIsNone(
bars.update(
Datum(a1, pd.Timestamp('2019-01-01 12:00:05'), 2, 3, 0, 1)))
self.assertIsNone(
bars.update(
Datum(a2, pd.Timestamp('2019-01-01 12:00:05'), 1, 4, -1, 1)))
self.assertIsNone(
bars.update(
Datum(a1, pd.Timestamp('2019-01-01 12:00:10'), 1, 4, 1, 2)))
self.assertIsNone(
bars.update(
Datum(a2, pd.Timestamp('2019-01-01 12:05:00'), 1, 3, -2, 0)))
self.assertIn(a2, bars.ready)
out = bars.update(
Datum(a1, pd.Timestamp('2019-01-01 12:05:10'), 2, 3, 0, 1))
self.assertEqual(out[0], pd.Timestamp('2019-01-01 12:05:00'))
assert_array_equal(out[1], [2, 1]) # open
assert_array_equal(out[2], [4, 4]) # high
assert_array_equal(out[3], [0, -2]) # low
assert_array_equal(out[4], [2, 0]) # close
self.assertEqual(bars.check, pd.Timestamp('2019-01-01 12:10:00'))
self.assertEqual(bars.timestamp, pd.Timestamp('2019-01-01 12:10:00'))
self.assertEqual(bars.data[a1].open, 2)
self.assertEqual(bars.data[a2].open, None)
def test_offset(self):
asset = Asset('FX:EURUSD')
now = pd.Timestamp('2019-01-01 12:00:55') # start from the last bar
bar = DownSampledBar(const.Freq.MINUTE, const.Freq.SECOND5, offset=1)
# test start
out = bar.update(Datum(asset, now, 1, 3, 0, 2))
self.assertTupleEqual(
out, (pd.Timestamp('2019-01-01 12:01:00'), 1, 3, 0, 2))
# test update
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:01:00'), 1, 3, 0, 2)))
out = bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:01:55'), 6, 9, 4, 5))
self.assertTupleEqual(
out, (pd.Timestamp('2019-01-01 12:02:00'), 1, 9, 0, 5))
self.assertEqual(bar.check, pd.Timestamp.min)
self.assertIsNone(bar.open)
# test skip
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:03:00'), 6, 9, 4, 5)))
out = bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:04:00'), 1, 3, 0, 2))
self.assertEqual(out,
(pd.Timestamp('2019-01-01 12:04:00'), 6, 9, 4, 5))
self.assertEqual(bar.timestamp, pd.Timestamp('2019-01-01 12:05:00'))
self.assertEqual(bar.open, 1)
self.assertEqual(bar.close, 2)
def test_start(self):
now = pd.Timestamp.now()
print(now)
data = Datum(Asset('FX:EURUSD'), now, 1, 2, 3, 4)
bar = DownSampledBar(const.Freq.MINUTE, const.Freq.SECOND5)
out = bar.update(data)
self.assertIsNone(out)
self.assertEqual(bar.timestamp, now.ceil('1min'),
'Internal timestamp should be the ceiling value')
self.assertEqual(bar.check, now.ceil('1min'),
'"Check" timestamp should be the ceiling value')
self.assertEqual(bar.open, 1)
self.assertEqual(bar.close, 4)
bar = DownSampledBar(const.Freq.MINUTE, const.Freq.SECOND5, 2)
bar.update(data)
if now.second > 50:
self.assertEqual(bar.timestamp,
(now + pd.Timedelta(seconds=10)).ceil('1min'),
'Offset test wrapped')
self.assertEqual(bar.check,
(now + pd.Timedelta(seconds=10)).ceil('1min') -
pd.Timedelta(seconds=10))
else:
self.assertEqual(bar.timestamp, now.ceil('1min'), 'Offset test')
self.assertEqual(bar.check,
now.ceil('1min') - pd.Timedelta(seconds=10))
self.assertEqual(bar.high, 2)
def test_update(self):
asset = Asset('FX:EURUSD')
now = pd.Timestamp('2019-01-01 12:01:00')
data = Datum(asset, now, 1, 2, 3, 4)
bar = DownSampledBar(const.Freq.MINUTE, const.Freq.SECOND5)
# test immediate return
out = bar.update(data)
self.assertIsNotNone(out)
self.assertTupleEqual(out, (now, 1, 2, 3, 4))
# test regular update
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:01:05'), 1, 3, 0, 2)))
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:01:55'), 1, 6, 0, 2)))
out = bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:02:00'), 2, 5, 1, 1))
self.assertEqual(out,
(pd.Timestamp('2019-01-01 12:02:00'), 1, 6, 0, 1))
self.assertEqual(bar.check, pd.Timestamp.min)
self.assertEqual(bar.open, None)
# test consecutive update
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:02:05'), 1, 3, 0, 2)))
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:02:10'), 4, 5, -1,
3)))
out = bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:03:00'), 2, 4, 1, 1))
self.assertEqual(out,
(pd.Timestamp('2019-01-01 12:03:00'), 1, 5, -1, 1))
# test skip update
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:04:05'), 1, 3, 0, 2)))
out = bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:05:05'), 2, 4, 1,
1)) # skip from the 4th minute
self.assertTupleEqual(
out, (pd.Timestamp('2019-01-01 12:05:00'), 1, 3, 0, 2))
self.assertEqual(bar.timestamp, pd.Timestamp('2019-01-01 12:06:00'))
self.assertEqual(bar.open, 2)
self.assertEqual(bar.high, 4)
self.assertEqual(bar.close, 1)
def test_high_water_mark(self):
asset = Asset('FX:EURUSD')
bar = DownSampledBar(const.Freq.MINUTE, const.Freq.SECOND5)
# test corner case where the starting point is the last bar
out = bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:01:00'), 1, 2, 3, 4))
self.assertTupleEqual(
out, (pd.Timestamp('2019-01-01 12:01:00'), 1, 2, 3, 4))
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:01:00'), 1, 2, 3, 4)))
self.assertEqual(bar.high_water_mark,
pd.Timestamp('2019-01-01 12:01:00'))
# test consecutive update
bar = DownSampledBar(const.Freq.MINUTE, const.Freq.SECOND5)
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:01:50'), 1, 2, 3, 4)))
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:01:55'), 1, 2, 3, 4)))
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:01:55'), 1, 10, 0,
2)))
self.assertEqual(bar.high, 2)
self.assertEqual(bar.low, 3)
self.assertEqual(bar.close, 4)
self.assertIsNotNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:02:00'), 1, 2, 3, 4)))
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:02:00'), 1, 2, 3, 4)))
self.assertIsNone(
bar.update(
Datum(asset, pd.Timestamp('2019-01-01 12:02:05'), 1, 2, 3, 4)))
def test_offset(self):
a1 = Asset('FX:EURUSD')
a2 = Asset('STK:AAPL')
bars = BarCoordinator([a1, a2], const.Freq.MINUTE5, const.Freq.SECOND5,
1)
self.assertIsNone(
bars.update(
Datum(a1, pd.Timestamp('2019-01-01 12:00:00'), 2, 3, 0, 1)))
self.assertIsNone(
bars.update(
Datum(a2, pd.Timestamp('2019-01-01 12:00:00'), 1, 4, -1, 1)))
self.assertIsNone(
bars.update(
Datum(a1, pd.Timestamp('2019-01-01 12:00:05'), 1, 4, 1, 2)))
self.assertIsNone(
bars.update(
Datum(a2, pd.Timestamp('2019-01-01 12:04:55'), 1, 3, -2, 0)))
self.assertIn(a2, bars.ready)
out = bars.update(
Datum(a1, pd.Timestamp('2019-01-01 12:04:55'), 2, 3, 0, 1))
self.assertEqual(out[0], pd.Timestamp('2019-01-01 12:05:00'))
assert_array_equal(out[1], [2, 1]) # open
assert_array_equal(out[2], [4, 4]) # high
assert_array_equal(out[3], [0, -2]) # low
assert_array_equal(out[4], [1, 0]) # close
self.assertIsNone(bars.check)
assert_array_equal(bars.opens, [np.nan, np.nan])
# test consecutive bars
self.assertIsNone(
bars.update(
Datum(a1, pd.Timestamp('2019-01-01 12:09:55'), 2, 3, 0, 1)))
out = bars.update(
Datum(a2, pd.Timestamp('2019-01-01 12:09:55'), 3, 4, 0, 2))
self.assertEqual(out[0], pd.Timestamp('2019-01-01 12:10:00'))
assert_array_equal(out[1], [2, 3]) # open
assert_array_equal(out[2], [3, 4]) # high
assert_array_equal(out[3], [0, 0]) # low
assert_array_equal(out[4], [1, 2]) # close
def test_update(self):
a1 = Asset('FX:EURUSD')
a2 = Asset('STK:AAPL')
panel = BarPanel([a1, a2], const.Freq.MINUTE5, const.Freq.SECOND5, 2)
self.assertIsNone(
panel.update(
Datum(a1, pd.Timestamp('2019-01-01 12:05:00'), 1, 2, -1, 0)))
out = panel.update(
Datum(a2, pd.Timestamp('2019-01-01 12:05:00'), 1, 2, 0, 1))
self.assertEqual(out[0], pd.Timestamp('2019-01-01 12:05:00'))
assert_array_equal(out[1]['open'], [[1, 1]])
assert_array_equal(out[1]['high'], [[2, 2]])
assert_array_equal(out[1]['low'], [[-1, 0]])
assert_array_equal(out[1]['close'], [[0, 1]])
self.assertIsNone(
panel.update(
Datum(a1, pd.Timestamp('2019-01-01 12:10:00'), 2, 3, 0, 1)))
out = panel.update(
Datum(a2, pd.Timestamp('2019-01-01 12:10:00'), 1, 2, 0, 1))
self.assertEqual(out[0], pd.Timestamp('2019-01-01 12:10:00'))
assert_array_equal(out[1]['open'], [[1, 1], [2, 1]])
assert_array_equal(out[1]['high'], [[2, 2], [3, 2]])
assert_array_equal(out[1]['low'], [[-1, 0], [0, 0]])
assert_array_equal(out[1]['close'], [[0, 1], [1, 1]])
self.assertIsNone(
panel.update(
Datum(a1, pd.Timestamp('2019-01-01 12:15:00'), 2, 3, 0, 1)))
out = panel.update(
Datum(a2, pd.Timestamp('2019-01-01 12:15:00'), 1, 2, 0, 1))
self.assertEqual(out[0], pd.Timestamp('2019-01-01 12:15:00'))
assert_array_equal(out[1]['open'], [[2, 1], [2, 1]])
assert_array_equal(out[1]['high'], [[3, 2], [3, 2]])
assert_array_equal(out[1]['low'], [[0, 0], [0, 0]])
assert_array_equal(out[1]['close'], [[1, 1], [1, 1]])
async def main():
await store.connect()
for i in range(5):
data = Datum(asset, now + pd.Timedelta(minutes=i), 1, 2, 3, 4)
await store.append(data)
await store.disconnect()
def convert_ib_bar_to_dict(asset: Asset, bar: ibs.BarData):
# noinspection PyUnresolvedReferences
return Datum(asset, bar.time, bar.open_, bar.high, bar.low, bar.close)
async def emit_data(self):
for asset in self.subscribed:
await self.data_queue.put(
Datum(asset, pd.Timestamp.utcnow(), 2, 3, 0, 1))
await asyncio.sleep(0.5)