def test_coordinate_last(mocker):
as_of = dt.datetime(2019, 1, 2, 1, 10)
data = {
'responses': [{
'data': [{
'mktType': 'Prime',
'mktAsset': '335320934',
'mktQuotingStyle': 'price',
'price': 1.0141,
'time': '2019-01-20T01:08:00Z'
}]
}, {
'data': [{
'mktType': 'IR',
'mktAsset': 'USD',
'mktClass': 'Swap',
'mktPoint': ('2Y', ),
'mktQuotingStyle': 'ATMRate',
'ATMRate': 0.02592,
'time': '2019-01-20T01:09:45Z'
}]
}]
}
expected_result = pd.DataFrame(
data={
'time': ['2019-01-20T01:08:00Z', '2019-01-20T01:09:45Z'],
'mktType': ['Prime', 'IR'],
'mktAsset': ['335320934', 'USD'],
'mktClass': [None, 'Swap'],
'mktPoint': [None, ('2Y', )],
'mktQuotingStyle': ['price', None],
'value': [1.0141, 0.02592]
})
# mock GsSession and data response
mocker.patch.object(GsSession.__class__,
'default_value',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
GsSession.current._post = mocker.Mock(return_value=data)
result = GsDataApi.coordinates_last(coordinates=test_coordinates,
as_of=as_of,
as_dataframe=True)
assert result.equals(expected_result)
GsSession.current._post.reset_mock()
result_from_str = GsDataApi.coordinates_last(
coordinates=test_str_coordinates, as_of=as_of, as_dataframe=True)
assert result_from_str.equals(expected_result)
GsSession.current._post.assert_called_once_with(
'/data/coordinates/query/last',
payload=MDAPIDataQuery(market_data_coordinates=test_coordinates,
end_time=as_of,
vendor=MarketDataVendor.Goldman_Sachs,
format="MessagePack"))
def test_coordinate_last(mocker):
data = {
'responses': [{
'data': [{
'mktType': 'Prime',
'mktAsset': '335320934',
'mktQuotingStyle': 'price',
'price': 1.0141,
'time': '2019-01-20T01:08:00Z'
}]
}, {
'data': [{
'mktType': 'IR',
'mktAsset': 'USD',
'mktClass': 'Swap',
'mktPoint': ('2Y', ),
'mktQuotingStyle': 'ATMRate',
'ATMRate': 0.02592,
'time': '2019-01-20T01:09:45Z'
}]
}]
}
expected_result = pd.DataFrame(
data={
'mktType': ['Prime', 'IR'],
'mktAsset': ['335320934', 'USD'],
'mktClass': [None, 'Swap'],
'mktPoint': [None, ('2Y', )],
'mktQuotingStyle': ['price', None],
'value': [1.0141, 0.02592]
})
# mock GsSession and data response
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
GsSession.current._post = mocker.Mock(return_value=data)
result = GsDataApi.coordinates_last(coordinates=test_coordinates,
as_of=dt.datetime(2019, 1, 2, 1, 10),
as_dataframe=True)
assert result.equals(expected_result)
result_from_str = GsDataApi.coordinates_last(
coordinates=test_str_coordinates,
as_of=dt.datetime(2019, 1, 2, 1, 10),
as_dataframe=True)
assert result_from_str.equals(expected_result)
GsSession.current._post.assert_called_with('/data/coordinates/query/last',
payload=mocker.ANY)
assert GsSession.current._post.call_count == 2
def test_coordinate_last(mocker):
data = {
'responses': [{
'data': [{
'marketDataType': 'Prime',
'marketDataAsset': '335320934',
'field': 'price',
'price': 1.0141,
'time': '2019-01-20T01:08:00Z'
}]
}, {
'data': [{
'marketDataType': 'IR',
'marketDataAsset': 'USD',
'pointClass': 'Swap',
'marketDataPoint': ('2Y', ),
'quotingStyle': 'ATMRate',
'ATMRate': 0.02592,
'time': '2019-01-20T01:09:45Z'
}]
}]
}
expected_result = sort_risk(
pd.DataFrame([{
'field': 'price',
'marketDataAsset': '335320934',
'marketDataType': 'Prime',
'value': 1.0141
}, {
'quotingStyle': 'ATMRate',
'marketDataAsset': 'USD',
'marketDataType': 'IR',
'marketDataPoint': ('2Y', ),
'pointClass': 'Swap',
'value': 0.02592
}]))
# mock GsSession
mocker.patch.object(GsSession.__class__,
'current',
return_value=GsSession.get(Environment.QA, 'client_id',
'secret'))
mocker.patch.object(GsSession.current, '_post', return_value=data)
result = GsDataApi.coordinates_last(coordinates=test_coordinates,
as_of=dt.datetime(2019, 1, 2, 1, 10),
as_dataframe=True)
result.sort_index(axis=1, inplace=True)
expected_result.sort_index(axis=1, inplace=True)
assert result.equals(expected_result)