def test_coordinates_data(mocker):
start = dt.datetime(2019, 1, 2, 1, 0)
end = dt.datetime(2019, 1, 2, 1, 10)
# mock GsSession and data response
mocker.patch.object(GsSession.__class__, 'default_value',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_post', side_effect=[{'responses': [{'data': bond_data}]},
{'responses': [{'data': swap_data}]},
{'responses': [{'data': bond_data},
{'data': swap_data}]},
{'responses': [{'data': bond_data},
{'data': swap_data}]}
])
coord_data_result = GsDataApi.coordinates_data(coordinates=test_coordinates[0], start=start, end=end)
assert_frame_equal(coord_data_result, bond_expected_frame)
str_coord_data_result = GsDataApi.coordinates_data(coordinates=test_str_coordinates[1], start=start, end=end)
assert_frame_equal(str_coord_data_result, swap_expected_frame)
coords_data_result = GsDataApi.coordinates_data(coordinates=test_coordinates, start=start, end=end,
as_multiple_dataframes=True)
assert len(coords_data_result) == 2
assert_frame_equal(coords_data_result[0], bond_expected_frame)
assert_frame_equal(coords_data_result[1], swap_expected_frame)
GsSession.current._post.reset_mock()
str_coords_data_result = GsDataApi.coordinates_data(coordinates=test_str_coordinates, start=start, end=end,
as_multiple_dataframes=True)
assert len(str_coords_data_result) == 2
assert_frame_equal(str_coords_data_result[0], bond_expected_frame)
assert_frame_equal(str_coords_data_result[1], swap_expected_frame)
GsSession.current._post.assert_called_once_with('/data/coordinates/query',
payload=MDAPIDataQuery(market_data_coordinates=test_coordinates,
start_time=start,
end_time=end,
vendor=MarketDataVendor.Goldman_Sachs,
format="MessagePack"),
request_headers={'Accept': 'application/msgpack'}
)
def test_coordinates_data(mocker):
# mock GsSession and data response
mocker.patch.object(GsSession.__class__, 'current',
return_value=GsSession.get(Environment.QA, 'client_id', 'secret'))
mocker.patch.object(GsSession.current, '_post', side_effect=[{'responses': [{'data': bond_data}]},
{'responses': [{'data': swap_data}]},
{'responses': [{'data': bond_data},
{'data': swap_data}]},
{'responses': [{'data': bond_data},
{'data': swap_data}]}
])
coord_data_result = GsDataApi.coordinates_data(coordinates=test_coordinates[0], start=dt.datetime(2019, 1, 2, 1, 0),
end=dt.datetime(2019, 1, 2, 1, 10))
assert_frame_equal(coord_data_result, bond_expected_frame)
str_coord_data_result = GsDataApi.coordinates_data(coordinates=test_str_coordinates[1],
start=dt.datetime(2019, 1, 2, 1, 0),
end=dt.datetime(2019, 1, 2, 1, 10))
assert_frame_equal(str_coord_data_result, swap_expected_frame)
coords_data_result = GsDataApi.coordinates_data(coordinates=test_coordinates, start=dt.datetime(2019, 1, 2, 1, 0),
end=dt.datetime(2019, 1, 2, 1, 10), as_multiple_dataframes=True)
assert len(coords_data_result) == 2
assert_frame_equal(coords_data_result[0], bond_expected_frame)
assert_frame_equal(coords_data_result[1], swap_expected_frame)
str_coords_data_result = GsDataApi.coordinates_data(coordinates=test_str_coordinates,
start=dt.datetime(2019, 1, 2, 1, 0),
end=dt.datetime(2019, 1, 2, 1, 10), as_multiple_dataframes=True)
assert len(str_coords_data_result) == 2
assert_frame_equal(str_coords_data_result[0], bond_expected_frame)
assert_frame_equal(str_coords_data_result[1], swap_expected_frame)
GsSession.current._post.assert_called_with('/data/coordinates/query', payload=mocker.ANY)
assert GsSession.current._post.call_count == 4
def test_coordinates_data(mocker):
bond_data = [{
'mktType': 'Prime',
'mktAsset': '335320934',
'mktQuotingStyle': 'price',
'price': 1.0139,
'time': pd.to_datetime('2019-01-20T01:03:00Z')
}, {
'mktType': 'Prime',
'mktAsset': '335320934',
'mktQuotingStyle': 'price',
'price': 1.0141,
'time': pd.to_datetime('2019-01-20T01:08:00Z')
}]
swap_data = [{
'mktType': 'IR',
'mktAsset': 'USD',
'mktClass': 'Swap',
'mktPoint': ('2Y', ),
'mktQuotingStyle': 'ATMRate',
'ATMRate': 0.02592,
'time': pd.to_datetime('2019-01-20T01:09:45Z')
}]
bond_expected_result = pd.DataFrame(
data={
'time': [
pd.to_datetime('2019-01-20T01:03:00Z'),
pd.to_datetime('2019-01-20T01:08:00Z')
],
'mktType': ['Prime', 'Prime'],
'mktAsset': ['335320934', '335320934'],
'mktQuotingStyle': ['price', 'price'],
'value': [1.0139, 1.0141]
},
index=pd.DatetimeIndex(['2019-01-20T01:03:00', '2019-01-20T01:08:00']),
)
swap_expected_result = pd.DataFrame(
data={
'time': [pd.to_datetime('2019-01-20T01:09:45Z')],
'mktType': ['IR'],
'mktAsset': ['USD'],
'mktClass': ['Swap'],
'mktPoint': [('2Y', )],
'mktQuotingStyle': ['ATMRate'],
'value': [0.02592]
},
index=pd.DatetimeIndex(['2019-01-20T01:09:45']),
)
# mock GsSession
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current,
'_post',
side_effect=[{
'responses': [{
'data': bond_data
}]
}, {
'responses': [{
'data': swap_data
}]
}, {
'responses': [{
'data': bond_data
}, {
'data': swap_data
}]
}, {
'responses': [{
'data': bond_data
}, {
'data': swap_data
}]
}])
coord_data_result = GsDataApi.coordinates_data(
coordinates=test_coordinates[0],
start=dt.datetime(2019, 1, 2, 1, 0),
end=dt.datetime(2019, 1, 2, 1, 10))
assert_frame_equal(coord_data_result, bond_expected_result)
str_coord_data_result = GsDataApi.coordinates_data(
coordinates=test_str_coordinates[1],
start=dt.datetime(2019, 1, 2, 1, 0),
end=dt.datetime(2019, 1, 2, 1, 10))
assert_frame_equal(str_coord_data_result, swap_expected_result)
coords_data_result = GsDataApi.coordinates_data(
coordinates=test_coordinates,
start=dt.datetime(2019, 1, 2, 1, 0),
end=dt.datetime(2019, 1, 2, 1, 10),
as_multiple_dataframes=True)
assert len(coords_data_result) == 2
assert_frame_equal(coords_data_result[0], bond_expected_result)
assert_frame_equal(coords_data_result[1], swap_expected_result)
str_coords_data_result = GsDataApi.coordinates_data(
coordinates=test_str_coordinates,
start=dt.datetime(2019, 1, 2, 1, 0),
end=dt.datetime(2019, 1, 2, 1, 10),
as_multiple_dataframes=True)
assert len(str_coords_data_result) == 2
assert_frame_equal(str_coords_data_result[0], bond_expected_result)
assert_frame_equal(str_coords_data_result[1], swap_expected_result)
GsSession.current._post.assert_called_with('/data/coordinates/query',
payload=mocker.ANY)
assert GsSession.current._post.call_count == 4
def test_coordinates_data(mocker):
bond_data = [{
'marketDataType': 'Prime',
'marketDataAsset': '335320934',
'field': 'price',
'price': 1.0139,
'time': pd.to_datetime('2019-01-20T01:03:00Z')
}, {
'marketDataType': 'Prime',
'marketDataAsset': '335320934',
'field': 'price',
'price': 1.0141,
'time': pd.to_datetime('2019-01-20T01:08:00Z')
}]
swap_data = [{
'marketDataType': 'IR',
'marketDataAsset': 'USD',
'pointClass': 'Swap',
'marketDataPoint': ('2Y', ),
'quotingStyle': 'ATMRate',
'ATMRate': 0.02592,
'time': pd.to_datetime('2019-01-20T01:09:45Z')
}]
bond_expected_result = [{
'marketDataType': 'Prime',
'marketDataAsset': '335320934',
'field': 'price',
'value': 1.0139,
'time': pd.to_datetime('2019-01-20T01:03:00Z')
}, {
'marketDataType': 'Prime',
'marketDataAsset': '335320934',
'field': 'price',
'value': 1.0141,
'time': pd.to_datetime('2019-01-20T01:08:00Z')
}]
swap_expected_result = [{
'marketDataType': 'IR',
'marketDataAsset': 'USD',
'pointClass': 'Swap',
'marketDataPoint': ('2Y', ),
'quotingStyle': 'ATMRate',
'value': 0.02592,
'time': pd.to_datetime('2019-01-20T01:09:45Z')
}]
bond_expected_df = sort_risk(pd.DataFrame(bond_expected_result))
bond_expected_df = bond_expected_df.set_index(
pd.DatetimeIndex(bond_expected_df.time.values))
swap_expected_df = sort_risk(pd.DataFrame(swap_expected_result))
swap_expected_df = swap_expected_df.set_index(
pd.DatetimeIndex(swap_expected_df.time.values))
# mock GsSession
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current,
'_post',
side_effect=[{
'responses': [{
'data': bond_data
}]
}, {
'responses': [{
'data': bond_data
}, {
'data': swap_data
}]
}])
coord_data_result = GsDataApi.coordinates_data(
coordinates=test_coordinates[0],
start=dt.datetime(2019, 1, 2, 1, 0),
end=dt.datetime(2019, 1, 2, 1, 10))
assert_frame_equal(coord_data_result, bond_expected_df)
coords_data_result = GsDataApi.coordinates_data(
coordinates=test_coordinates,
start=dt.datetime(2019, 1, 2, 1, 0),
end=dt.datetime(2019, 1, 2, 1, 10),
as_multiple_dataframes=True)
assert len(coords_data_result) == 2
assert_frame_equal(coords_data_result[0], bond_expected_df)
assert_frame_equal(coords_data_result[1], swap_expected_df)