def test_equal_messages_have_equal_hash(self):
content = self._snapshot_example()
message = AltmarketsOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content=content,
timestamp=10000000)
equal_message = AltmarketsOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content=content,
timestamp=10000000)
self.assertEqual(hash(message), hash(equal_message))
def trade_message_from_exchange(cls,
msg: Dict[str, Any],
timestamp: Optional[float] = None,
metadata: Optional[Dict] = None):
"""
Convert a trade data into standard OrderBookMessage format
:param record: a trade data from the database
:return: AltmarketsOrderBookMessage
"""
if metadata:
msg.update(metadata)
msg.update({
"trade_id":
str(msg.get("tid")),
"trade_type":
1.0 if msg.get("taker_type") == "buy" else
2.0 if msg.get("taker_type") == "sell" else None,
"price":
msg.get("price"),
"amount":
msg.get("amount"),
})
return AltmarketsOrderBookMessage(
message_type=OrderBookMessageType.TRADE,
content=msg,
timestamp=timestamp)
def diff_message_from_db(cls,
record: RowProxy,
metadata: Optional[Dict] = None):
"""
*used for backtesting
Convert a row of diff data into standard OrderBookMessage format
:param record: a row of diff data from the database
:return: AltmarketsOrderBookMessage
"""
return AltmarketsOrderBookMessage(
message_type=OrderBookMessageType.DIFF,
content=record.json,
timestamp=record.timestamp)
def test_equality_based_on_type_and_timestamp(self):
message = AltmarketsOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content={},
timestamp=10000000)
equal_message = AltmarketsOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content={},
timestamp=10000000)
message_with_different_type = AltmarketsOrderBookMessage(
message_type=OrderBookMessageType.DIFF,
content={},
timestamp=10000000)
message_with_different_timestamp = AltmarketsOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content={},
timestamp=90000000)
self.assertEqual(message, message)
self.assertEqual(message, equal_message)
self.assertNotEqual(message, message_with_different_type)
self.assertNotEqual(message, message_with_different_timestamp)
self.assertTrue(message < message_with_different_type)
self.assertTrue(message < message_with_different_timestamp)
def diff_message_from_exchange(cls,
msg: Dict[str, any],
timestamp: Optional[float] = None,
metadata: Optional[Dict] = None):
"""
Convert json diff data into standard OrderBookMessage format
:param msg: json diff data from live web socket stream
:param timestamp: timestamp attached to incoming data
:return: AltmarketsOrderBookMessage
"""
if metadata:
msg.update(metadata)
return AltmarketsOrderBookMessage(
message_type=OrderBookMessageType.DIFF,
content=msg,
timestamp=timestamp)
def test_instance_creation(self):
content = self._snapshot_example()
message = AltmarketsOrderBookMessage(
message_type=OrderBookMessageType.SNAPSHOT,
content=content,
timestamp=content["timestamp"])
bids = message.bids
self.assertEqual(2, len(bids))
self.assertEqual(0.000767, bids[0].price)
self.assertEqual(4800.00, bids[0].amount)
self.assertEqual(1542337219120 * 1e3, bids[0].update_id)
asks = message.asks
self.assertEqual(2, len(asks))
self.assertEqual(0.007, asks[0].price)
self.assertEqual(100, asks[0].amount)
self.assertEqual(1542337219120 * 1e3, asks[0].update_id)
self.assertEqual(message.trading_pair, "ETH-USDT")
def test_init_error(self):
with self.assertRaises(ValueError) as context:
_ = AltmarketsOrderBookMessage(OrderBookMessageType.SNAPSHOT, {})
self.assertEqual(
'timestamp must not be None when initializing snapshot messages.',
str(context.exception))