class BitfinexOrderBookTrackerUnitTest(unittest.TestCase):
order_book_tracker: Optional[BitfinexOrderBookTracker] = None
events: List[OrderBookEvent] = [OrderBookEvent.TradeEvent]
trading_pairs: List[str] = [
"BTC-USD",
]
integrity_test_max_volume = 5 # Max volume in asks and bids for the book to be ready for tests
daily_volume = 2500 # Approximate total daily volume in BTC for this exchange for sanity test
book_enties = 5 # Number of asks and bids (each) for the book to be ready for tests
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.order_book_tracker: BitfinexOrderBookTracker = BitfinexOrderBookTracker(
trading_pairs=cls.trading_pairs)
cls.order_book_tracker_task: asyncio.Task = safe_ensure_future(
cls.order_book_tracker.start())
cls.ev_loop.run_until_complete(cls.wait_til_tracker_ready())
@classmethod
async def wait_til_tracker_ready(cls):
'''
Wait until the order book under test fills as needed
'''
print("Waiting for order book to fill...")
while True:
book_present = cls.trading_pairs[
0] in cls.order_book_tracker.order_books
enough_asks = False
enough_bids = False
enough_ask_rows = False
enough_bid_rows = False
if book_present:
ask_volume = sum(i.amount
for i in cls.order_book_tracker.order_books[
cls.trading_pairs[0]].ask_entries())
ask_count = sum(1 for i in cls.order_book_tracker.order_books[
cls.trading_pairs[0]].ask_entries())
bid_volume = sum(i.amount
for i in cls.order_book_tracker.order_books[
cls.trading_pairs[0]].bid_entries())
bid_count = sum(1 for i in cls.order_book_tracker.order_books[
cls.trading_pairs[0]].bid_entries())
enough_asks = ask_volume >= cls.integrity_test_max_volume
enough_bids = bid_volume >= cls.integrity_test_max_volume
enough_ask_rows = ask_count >= cls.book_enties
enough_bid_rows = bid_count >= cls.book_enties
print(
"Bid volume in book: %f (in %d bids), ask volume in book: %f (in %d asks)"
% (bid_volume, bid_count, ask_volume, ask_count))
if book_present and enough_asks and enough_bids and enough_ask_rows and enough_bid_rows:
print("Initialized real-time order books.")
return
await asyncio.sleep(1)
async def run_parallel_async(self, *tasks, timeout=None):
future: asyncio.Future = asyncio.ensure_future(asyncio.gather(*tasks))
timer = 0
while not future.done():
if timeout and timer > timeout:
raise Exception(
"Timeout running parallel async tasks in tests")
timer += 1
now = time.time()
_next_iteration = now // 1.0 + 1 # noqa: F841
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def setUp(self):
self.event_logger = EventLogger()
for event_tag in self.events:
for trading_pair, order_book in self.order_book_tracker.order_books.items(
):
order_book.add_listener(event_tag, self.event_logger)
def test_order_book_trade_event_emission(self):
"""2
Tests if the order book tracker is able to retrieve order book trade message from exchange
and emit order book trade events after correctly parsing the trade messages
"""
self.run_parallel(self.event_logger.wait_for(OrderBookTradeEvent))
for ob_trade_event in self.event_logger.event_log:
self.assertTrue(type(ob_trade_event) == OrderBookTradeEvent)
self.assertTrue(ob_trade_event.trading_pair in self.trading_pairs)
self.assertTrue(type(ob_trade_event.timestamp) in [float, int])
self.assertTrue(type(ob_trade_event.amount) == float)
self.assertTrue(type(ob_trade_event.price) == float)
self.assertTrue(type(ob_trade_event.type) == TradeType)
# Bittrex datetime is in epoch milliseconds
self.assertTrue(
math.ceil(math.log10(ob_trade_event.timestamp)) == 10)
self.assertTrue(ob_trade_event.amount > 0)
self.assertTrue(ob_trade_event.price > 0)
def test_tracker_integrity(self):
order_books: Dict[str, OrderBook] = self.order_book_tracker.order_books
sut_book: OrderBook = order_books[self.trading_pairs[0]]
# # 1 - test that best bid is less than best ask
# self.assertGreater(sut_book.get_price(False), sut_book.get_price(True))
# 2 - test that price to buy integrity_test_max_volume BTC is is greater than or equal to best ask
self.assertGreaterEqual(
sut_book.get_price_for_volume(
True, self.integrity_test_max_volume).result_price,
sut_book.get_price(True))
# 3 - test that price to sell integrity_test_max_volume BTC is is less than or equal to best bid
self.assertLessEqual(
sut_book.get_price_for_volume(
False, self.integrity_test_max_volume).result_price,
sut_book.get_price(False))
# 4 - test that all bids in order book are sorted by price in descending order
previous_price = sys.float_info.max
for bid_row in sut_book.bid_entries():
self.assertTrue(previous_price >= bid_row.price)
previous_price = bid_row.price
# 5 - test that all asks in order book are sorted by price in ascending order
previous_price = 0
for ask_row in sut_book.ask_entries():
self.assertTrue(previous_price <= ask_row.price)
previous_price = ask_row.price
# 6 - test that total volume in first orders in book is less than 10 times
# daily traded volumes for this exchange
total_volume = 0
count = 0
for bid_row in sut_book.bid_entries():
total_volume += bid_row.amount
count += 1
if count > self.book_enties:
break
count = 0
for ask_row in sut_book.ask_entries():
total_volume += ask_row.amount
count += 1
if count > self.book_enties:
break
self.assertLessEqual(total_volume, 10 * self.daily_volume)
class RadarRelayMarketUnitTest(unittest.TestCase):
market_events: List[MarketEvent] = [
MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted,
MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled,
MarketEvent.OrderExpired,
MarketEvent.OrderFilled,
]
wallet_events: List[WalletEvent] = [
WalletEvent.WrappedEth, WalletEvent.UnwrappedEth
]
wallet: Web3Wallet
market: RadarRelayMarket
market_logger: EventLogger
wallet_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.wallet = Web3Wallet(private_key=conf.web3_private_key_radar,
backend_urls=conf.test_web3_provider_list,
erc20_token_addresses=[
conf.mn_zerox_token_address,
conf.mn_weth_token_address
],
chain=EthereumChain.MAIN_NET)
cls.market = RadarRelayMarket(
wallet=cls.wallet,
ethereum_rpc_url=conf.test_web3_provider_list[0],
trading_pairs=["ZRX-WETH"])
print("Initializing Radar Relay market... ")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.wallet)
cls.clock.add_iterator(cls.market)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(
join(__file__, "../radar_relay_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
self.wallet_logger = EventLogger()
for event_tag in self.market_events:
self.market.add_listener(event_tag, self.market_logger)
for event_tag in self.wallet_events:
self.wallet.add_listener(event_tag, self.wallet_logger)
def tearDown(self):
for event_tag in self.market_events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
for event_tag in self.wallet_events:
self.wallet.remove_listener(event_tag, self.wallet_logger)
self.wallet_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
maker_buy_trade_fee: TradeFee = self.market.get_fee(
"ZRX", "WETH", OrderType.LIMIT, TradeType.BUY, Decimal(20),
Decimal(0.01))
self.assertEqual(maker_buy_trade_fee.percent, 0)
self.assertEqual(len(maker_buy_trade_fee.flat_fees), 0)
taker_buy_trade_fee: TradeFee = self.market.get_fee(
"ZRX", "WETH", OrderType.MARKET, TradeType.BUY, Decimal(20))
self.assertEqual(taker_buy_trade_fee.percent, 0)
self.assertEqual(len(taker_buy_trade_fee.flat_fees), 1)
self.assertEqual(taker_buy_trade_fee.flat_fees[0][0], "ETH")
def test_get_wallet_balances(self):
balances = self.market.get_all_balances()
self.assertGreaterEqual((balances["ETH"]), s_decimal_0)
self.assertGreaterEqual((balances["WETH"]), s_decimal_0)
def test_single_limit_order_cancel(self):
trading_pair: str = "ZRX-WETH"
current_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal(10)
expires = int(time.time() + 60 * 5)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
buy_order_id = self.market.buy(trading_pair=trading_pair,
amount=amount,
order_type=OrderType.LIMIT,
price=current_price * Decimal("0.8"),
expiration_ts=expires)
[buy_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual("ZRX-WETH", buy_order_opened_event.trading_pair)
self.assertEqual(OrderType.LIMIT, buy_order_opened_event.type)
self.assertEqual(quantized_amount,
Decimal(buy_order_opened_event.amount))
self.run_parallel(self.market.cancel_order(buy_order_id))
[buy_order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
self.assertEqual(buy_order_opened_event.order_id,
buy_order_cancelled_event.order_id)
# Reset the logs
self.market_logger.clear()
def test_limit_buy_and_sell_and_cancel_all(self):
trading_pair: str = "ZRX-WETH"
current_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal(10)
expires = int(time.time() + 60 * 5)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
buy_order_id = self.market.buy(trading_pair=trading_pair,
amount=amount,
order_type=OrderType.LIMIT,
price=current_price * Decimal("0.8"),
expiration_ts=expires)
[buy_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(buy_order_id, buy_order_opened_event.order_id)
self.assertEqual(quantized_amount,
Decimal(buy_order_opened_event.amount))
self.assertEqual("ZRX-WETH", buy_order_opened_event.trading_pair)
self.assertEqual(OrderType.LIMIT, buy_order_opened_event.type)
# Reset the logs
self.market_logger.clear()
sell_order_id = self.market.sell(trading_pair=trading_pair,
amount=amount,
order_type=OrderType.LIMIT,
price=current_price * Decimal("1.2"),
expiration_ts=expires)
[sell_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
self.assertEqual(sell_order_id, sell_order_opened_event.order_id)
self.assertEqual(quantized_amount,
Decimal(sell_order_opened_event.amount))
self.assertEqual("ZRX-WETH", sell_order_opened_event.trading_pair)
self.assertEqual(OrderType.LIMIT, sell_order_opened_event.type)
[cancellation_results
] = self.run_parallel(self.market.cancel_all(60 * 5))
self.assertEqual(cancellation_results[0],
CancellationResult(buy_order_id, True))
self.assertEqual(cancellation_results[1],
CancellationResult(sell_order_id, True))
# Reset the logs
self.market_logger.clear()
def test_order_expire(self):
trading_pair: str = "ZRX-WETH"
current_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal(10)
expires = int(time.time() + 60 * 2) # expires in 2 min
self.market.buy(trading_pair=trading_pair,
amount=amount,
order_type=OrderType.LIMIT,
price=current_price * Decimal("0.8"),
expiration_ts=expires)
[buy_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual("ZRX-WETH", buy_order_opened_event.trading_pair)
self.assertEqual(OrderType.LIMIT, buy_order_opened_event.type)
[buy_order_expired_event] = self.run_parallel(
self.market_logger.wait_for(OrderExpiredEvent, 60 * 3))
self.assertEqual(buy_order_opened_event.order_id,
buy_order_expired_event.order_id)
# Reset the logs
self.market_logger.clear()
def test_market_buy(self):
amount: Decimal = Decimal(5)
quantized_amount: Decimal = self.market.quantize_order_amount(
"ZRX-WETH", amount)
order_id = self.market.buy("ZRX-WETH", amount, OrderType.MARKET)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
order_filled_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
self.assertTrue([
evt.order_type == OrderType.MARKET for evt in order_filled_events
])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(float(quantized_amount),
float(order_completed_event.base_asset_amount))
self.assertEqual("ZRX", order_completed_event.base_asset)
self.assertEqual("WETH", order_completed_event.quote_asset)
self.market_logger.clear()
def test_market_sell(self):
amount: Decimal = Decimal(5)
quantized_amount: Decimal = self.market.quantize_order_amount(
"ZRX-WETH", amount)
order_id = self.market.sell("ZRX-WETH", amount, OrderType.MARKET)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
order_filled_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
self.assertTrue([
evt.order_type == OrderType.MARKET for evt in order_filled_events
])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(float(quantized_amount),
float(order_completed_event.base_asset_amount))
self.assertEqual("ZRX", order_completed_event.base_asset)
self.assertEqual("WETH", order_completed_event.quote_asset)
self.market_logger.clear()
def test_wrap_eth(self):
amount_to_wrap = Decimal("0.01")
tx_hash = self.wallet.wrap_eth(amount_to_wrap)
[tx_completed_event] = self.run_parallel(
self.wallet_logger.wait_for(WalletWrappedEthEvent))
tx_completed_event: WalletWrappedEthEvent = tx_completed_event
self.assertEqual(tx_hash, tx_completed_event.tx_hash)
self.assertEqual(amount_to_wrap, tx_completed_event.amount)
self.assertEqual(self.wallet.address, tx_completed_event.address)
def test_unwrap_eth(self):
amount_to_unwrap = Decimal("0.01")
tx_hash = self.wallet.unwrap_eth(amount_to_unwrap)
[tx_completed_event] = self.run_parallel(
self.wallet_logger.wait_for(WalletUnwrappedEthEvent))
tx_completed_event: WalletUnwrappedEthEvent = tx_completed_event
self.assertEqual(tx_hash, tx_completed_event.tx_hash)
self.assertEqual(amount_to_unwrap, tx_completed_event.amount)
self.assertEqual(self.wallet.address, tx_completed_event.address)
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ZRX-WETH"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0,
len(self.market.tracking_states["limit_orders"]))
# Try to put limit buy order for 0.05 ETH worth of ZRX, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price(
trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal(0.8)
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
amount: float = Decimal("0.05") / bid_price
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, Decimal(amount))
expires = int(time.time() + 60 * 5)
order_id = self.market.buy(trading_pair,
quantized_amount,
OrderType.LIMIT,
quantize_bid_price,
expiration_ts=expires)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1,
len(self.market.tracking_states["limit_orders"]))
self.assertEqual(
order_id,
list(self.market.tracking_states["limit_orders"].keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertIsInstance(
saved_market_states.saved_state["limit_orders"], dict)
self.assertGreater(
len(saved_market_states.saved_state["limit_orders"]), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.market_events:
self.market.remove_listener(event_tag, self.market_logger)
self.market = RadarRelayMarket(
wallet=self.wallet,
ethereum_rpc_url=conf.test_web3_provider_list[0],
trading_pairs=["ZRX-WETH"])
for event_tag in self.market_events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0,
len(self.market.tracking_states["limit_orders"]))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1,
len(self.market.tracking_states["limit_orders"]))
# Cancel the order and verify that the change is saved.
self.market.cancel(trading_pair, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(1,
len(self.market.tracking_states["limit_orders"]))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(
1, len(saved_market_states.saved_state["limit_orders"]))
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ZRX-WETH"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.05 ETH worth of ZRX from the exchange, and watch for completion event.
current_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.05") / current_price
order_id = self.market.buy(trading_pair, amount)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ZRX to the exchange, and watch for completion event.
amount = Decimal(buy_order_completed_event.base_asset_amount)
order_id = self.market.sell(trading_pair, amount)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class AscendExOrderBookTrackerUnitTest(unittest.TestCase):
order_book_tracker: Optional[AscendExOrderBookTracker] = None
events: List[OrderBookEvent] = [
OrderBookEvent.TradeEvent
]
trading_pairs: List[str] = [
"BTC-USDT",
"ETH-USDT",
]
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
cls.order_book_tracker: AscendExOrderBookTracker = AscendExOrderBookTracker(cls.throttler, cls.trading_pairs)
cls.order_book_tracker.start()
cls.ev_loop.run_until_complete(cls.wait_til_tracker_ready())
@classmethod
async def wait_til_tracker_ready(cls):
while True:
if len(cls.order_book_tracker.order_books) > 0:
print("Initialized real-time order books.")
return
await asyncio.sleep(1)
async def run_parallel_async(self, *tasks, timeout=None):
future: asyncio.Future = asyncio.ensure_future(asyncio.gather(*tasks))
timer = 0
while not future.done():
if timeout and timer > timeout:
raise Exception("Timeout running parallel async tasks in tests")
timer += 1
now = time.time()
_next_iteration = now // 1.0 + 1 # noqa: F841
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def setUp(self):
self.event_logger = EventLogger()
for event_tag in self.events:
for trading_pair, order_book in self.order_book_tracker.order_books.items():
order_book.add_listener(event_tag, self.event_logger)
def test_order_book_trade_event_emission(self):
"""
Tests if the order book tracker is able to retrieve order book trade message from exchange and emit order book
trade events after correctly parsing the trade messages
"""
self.run_parallel(self.event_logger.wait_for(OrderBookTradeEvent))
for ob_trade_event in self.event_logger.event_log:
self.assertTrue(type(ob_trade_event) == OrderBookTradeEvent)
self.assertTrue(ob_trade_event.trading_pair in self.trading_pairs)
self.assertTrue(type(ob_trade_event.timestamp) in [float, int])
self.assertTrue(type(ob_trade_event.amount) == float)
self.assertTrue(type(ob_trade_event.price) == float)
self.assertTrue(type(ob_trade_event.type) == TradeType)
# datetime is in milliseconds
self.assertTrue(math.ceil(math.log10(ob_trade_event.timestamp)) == 13)
self.assertTrue(ob_trade_event.amount > 0)
self.assertTrue(ob_trade_event.price > 0)
def test_tracker_integrity(self):
# Wait 5 seconds to process some diffs.
self.ev_loop.run_until_complete(asyncio.sleep(5.0))
order_books: Dict[str, OrderBook] = self.order_book_tracker.order_books
eth_usdt: OrderBook = order_books["ETH-USDT"]
self.assertIsNot(eth_usdt.last_diff_uid, 0)
self.assertGreaterEqual(eth_usdt.get_price_for_volume(True, 10).result_price,
eth_usdt.get_price(True))
self.assertLessEqual(eth_usdt.get_price_for_volume(False, 10).result_price,
eth_usdt.get_price(False))
def test_api_get_last_traded_prices(self):
prices = self.ev_loop.run_until_complete(
AscendExAPIOrderBookDataSource.get_last_traded_prices(["BTC-USDT", "LTC-BTC"]))
for key, value in prices.items():
print(f"{key} last_trade_price: {value}")
self.assertGreater(prices["BTC-USDT"], 1000)
self.assertLess(prices["LTC-BTC"], 1)
class PaperTradeMarketTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset, MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted, MarketEvent.WithdrawAsset,
MarketEvent.OrderFilled, MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated, MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled
]
market: PaperTradeMarket
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
global MAINNET_RPC_URL
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: PaperTradeMarket = PaperTradeMarket(
order_book_tracker=BinanceOrderBookTracker(
trading_pairs=["ETHUSDT", "BTCUSDT"]),
config=MarketConfig.default_config(),
target_market=BinanceMarket)
print(
"Initializing PaperTrade execute orders market... this will take about a minute."
)
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.market)
cls.stack: contextlib.ExitStack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../binance_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
for trading_pair, orderbook in self.market.order_books.items():
orderbook.clear_traded_order_book()
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_place_market_orders(self):
self.market.sell("ETHUSDT", 30, OrderType.MARKET)
list_queued_orders: List[QueuedOrder] = self.market.queued_orders
first_queued_order: QueuedOrder = list_queued_orders[0]
self.assertFalse(first_queued_order.is_buy,
msg="Market order is not sell")
self.assertEqual(first_queued_order.trading_pair,
"ETHUSDT",
msg="Trading pair is incorrect")
self.assertEqual(first_queued_order.amount,
30,
msg="Quantity is incorrect")
self.assertEqual(len(list_queued_orders),
1,
msg="First market order did not get added")
# Figure out why this test is failing
self.market.buy("BTCUSDT", 30, OrderType.MARKET)
list_queued_orders: List[QueuedOrder] = self.market.queued_orders
second_queued_order: QueuedOrder = list_queued_orders[1]
self.assertTrue(second_queued_order.is_buy,
msg="Market order is not buy")
self.assertEqual(second_queued_order.trading_pair,
"BTCUSDT",
msg="Trading pair is incorrect")
self.assertEqual(second_queued_order.amount,
30,
msg="Quantity is incorrect")
self.assertEqual(second_queued_order.amount,
30,
msg="Quantity is incorrect")
self.assertEqual(len(list_queued_orders),
2,
msg="Second market order did not get added")
def test_market_order_simulation(self):
self.market.set_balance("ETH", 20)
self.market.set_balance("USDT", 100)
self.market.sell("ETHUSDT", 10, OrderType.MARKET)
self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
# Get diff between composite bid entries and original bid entries
compare_df = OrderBookUtils.get_compare_df(
self.market.order_books['ETHUSDT'].original_bid_entries(),
self.market.order_books['ETHUSDT'].bid_entries(),
diffs_only=True).sort_index().round(10)
filled_bids = OrderBookUtils.ob_rows_data_frame(
list(self.market.order_books['ETHUSDT'].traded_order_book.
bid_entries())).sort_index().round(10)
# assert filled orders matches diff
diff_bid = compare_df["diff"] - filled_bids["amount"]
self.assertFalse(diff_bid.to_numpy().any())
self.assertEquals(10,
self.market.get_balance("ETH"),
msg="Balance was not updated.")
self.market.buy("ETHUSDT", 5, OrderType.MARKET)
self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
# Get diff between composite bid entries and original bid entries
compare_df = OrderBookUtils.get_compare_df(
self.market.order_books['ETHUSDT'].original_ask_entries(),
self.market.order_books['ETHUSDT'].ask_entries(),
diffs_only=True).sort_index().round(10)
filled_asks = OrderBookUtils.ob_rows_data_frame(
list(self.market.order_books['ETHUSDT'].traded_order_book.
ask_entries())).sort_index().round(10)
# assert filled orders matches diff
diff_ask = compare_df["diff"] - filled_asks["amount"]
self.assertFalse(diff_ask.to_numpy().any())
self.assertEquals(15,
self.market.get_balance("ETH"),
msg="Balance was not updated.")
def test_limit_order_crossed(self):
starting_base_balance = 20
starting_quote_balance = 1000
self.market.set_balance("ETH", starting_base_balance)
self.market.set_balance("USDT", starting_quote_balance)
self.market.sell("ETHUSDT", 10, OrderType.LIMIT, 100)
self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
self.assertEquals(starting_base_balance - 10,
self.market.get_balance("ETH"),
msg="ETH Balance was not updated.")
self.assertEquals(starting_quote_balance + 1000,
self.market.get_balance("USDT"),
msg="USDT Balance was not updated.")
self.market.buy("ETHUSDT", 1, OrderType.LIMIT, 500)
self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
self.assertEquals(11,
self.market.get_balance("ETH"),
msg="ETH Balance was not updated.")
self.assertEquals(1500,
self.market.get_balance("USDT"),
msg="USDT Balance was not updated.")
def test_bid_limit_order_trade_match(self):
"""
Test bid limit order fill and balance simulation, and market events emission
"""
trading_pair = TradingPair("ETHUSDT", "ETH", "USDT")
base_quantity = 2.0
starting_base_balance = 200
starting_quote_balance = 2000
self.market.set_balance(trading_pair.base_asset, starting_base_balance)
self.market.set_balance(trading_pair.quote_asset,
starting_quote_balance)
best_bid_price = self.market.order_books[
trading_pair.trading_pair].get_price(True)
client_order_id = self.market.buy(trading_pair.trading_pair,
base_quantity, OrderType.LIMIT,
best_bid_price)
matched_limit_orders = TestUtils.get_match_limit_orders(
self.market.limit_orders, {
"client_order_id": client_order_id,
"trading_pair": trading_pair.trading_pair,
"is_buy": True,
"base_currency": trading_pair.base_asset,
"quote_currency": trading_pair.quote_asset,
"price": best_bid_price,
"quantity": base_quantity
})
# Market should track limit orders
self.assertEqual(1, len(matched_limit_orders))
# Market should on hold balance for the created order
self.assertAlmostEqual(
float(self.market.on_hold_balances[trading_pair.quote_asset]),
base_quantity * best_bid_price)
# Market should reflect on hold balance in available balance
self.assertAlmostEqual(
float(self.market.get_available_balance(trading_pair.quote_asset)),
starting_quote_balance - base_quantity * best_bid_price)
matched_order_create_events = TestUtils.get_match_events(
self.market_logger.event_log, BuyOrderCreatedEvent, {
"type": OrderType.LIMIT,
"amount": base_quantity,
"price": best_bid_price,
"order_id": client_order_id
})
# Market should emit BuyOrderCreatedEvent
self.assertEqual(1, len(matched_order_create_events))
async def delay_trigger_event1():
await asyncio.sleep(1)
trade_event1 = OrderBookTradeEvent(trading_pair="ETHUSDT",
timestamp=time.time(),
type=TradeType.SELL,
price=best_bid_price + 1,
amount=1.0)
self.market.order_books['ETHUSDT'].apply_trade(trade_event1)
safe_ensure_future(delay_trigger_event1())
self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
placed_bid_orders: List[LimitOrder] = [
o for o in self.market.limit_orders if o.is_buy
]
# Market should delete limit order when it is filled
self.assertEqual(0, len(placed_bid_orders))
matched_order_complete_events = TestUtils.get_match_events(
self.market_logger.event_log, BuyOrderCompletedEvent, {
"order_type": OrderType.LIMIT,
"quote_asset_amount": base_quantity * best_bid_price,
"order_id": client_order_id
})
# Market should emit BuyOrderCompletedEvent
self.assertEqual(1, len(matched_order_complete_events))
matched_order_fill_events = TestUtils.get_match_events(
self.market_logger.event_log, OrderFilledEvent, {
"order_type": OrderType.LIMIT,
"trade_type": TradeType.BUY,
"trading_pair": trading_pair.trading_pair,
"order_id": client_order_id
})
# Market should emit OrderFilledEvent
self.assertEqual(1, len(matched_order_fill_events))
# Market should have no more on hold balance
self.assertAlmostEqual(
float(self.market.on_hold_balances[trading_pair.quote_asset]), 0)
# Market should update balance for the filled order
self.assertAlmostEqual(
float(self.market.get_available_balance(trading_pair.quote_asset)),
starting_quote_balance - base_quantity * best_bid_price)
def test_ask_limit_order_trade_match(self):
"""
Test ask limit order fill and balance simulation, and market events emission
"""
trading_pair = TradingPair("ETHUSDT", "ETH", "USDT")
base_quantity = 2.0
starting_base_balance = 200
starting_quote_balance = 2000
self.market.set_balance(trading_pair.base_asset, starting_base_balance)
self.market.set_balance(trading_pair.quote_asset,
starting_quote_balance)
best_ask_price = self.market.order_books[
trading_pair.trading_pair].get_price(False)
client_order_id = self.market.sell(trading_pair.trading_pair,
base_quantity, OrderType.LIMIT,
best_ask_price)
matched_limit_orders = TestUtils.get_match_limit_orders(
self.market.limit_orders, {
"client_order_id": client_order_id,
"trading_pair": trading_pair.trading_pair,
"is_buy": False,
"base_currency": trading_pair.base_asset,
"quote_currency": trading_pair.quote_asset,
"price": best_ask_price,
"quantity": base_quantity
})
# Market should track limit orders
self.assertEqual(1, len(matched_limit_orders))
# Market should on hold balance for the created order
self.assertAlmostEqual(
float(self.market.on_hold_balances[trading_pair.base_asset]),
base_quantity)
# Market should reflect on hold balance in available balance
self.assertAlmostEqual(
self.market.get_available_balance(trading_pair.base_asset),
starting_base_balance - base_quantity)
matched_order_create_events = TestUtils.get_match_events(
self.market_logger.event_log, SellOrderCreatedEvent, {
"type": OrderType.LIMIT,
"amount": base_quantity,
"price": best_ask_price,
"order_id": client_order_id
})
# Market should emit BuyOrderCreatedEvent
self.assertEqual(1, len(matched_order_create_events))
async def delay_trigger_event2():
await asyncio.sleep(1)
trade_event = OrderBookTradeEvent(
trading_pair=trading_pair.trading_pair,
timestamp=time.time(),
type=TradeType.BUY,
price=best_ask_price - 1,
amount=base_quantity)
self.market.order_books[trading_pair.trading_pair].apply_trade(
trade_event)
safe_ensure_future(delay_trigger_event2())
self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
placed_ask_orders: List[LimitOrder] = [
o for o in self.market.limit_orders if not o.is_buy
]
# Market should delete limit order when it is filled
self.assertEqual(0, len(placed_ask_orders))
matched_order_complete_events = TestUtils.get_match_events(
self.market_logger.event_log, SellOrderCompletedEvent, {
"order_type": OrderType.LIMIT,
"quote_asset_amount": base_quantity * base_quantity,
"order_id": client_order_id
})
# Market should emit BuyOrderCompletedEvent
self.assertEqual(1, len(matched_order_complete_events))
matched_order_fill_events = TestUtils.get_match_events(
self.market_logger.event_log, OrderFilledEvent, {
"order_type": OrderType.LIMIT,
"trade_type": TradeType.SELL,
"trading_pair": trading_pair.trading_pair,
"order_id": client_order_id
})
# Market should emit OrderFilledEvent
self.assertEqual(1, len(matched_order_fill_events))
# Market should have no more on hold balance
self.assertAlmostEqual(
float(self.market.on_hold_balances[trading_pair.base_asset]), 0)
# Market should update balance for the filled order
self.assertAlmostEqual(
self.market.get_available_balance(trading_pair.base_asset),
starting_base_balance - base_quantity)
def test_order_cancellation(self):
trading_pair = TradingPair("ETHUSDT", "ETH", "USDT")
base_quantity = 2.0
starting_base_balance = 200
starting_quote_balance = 2000
self.market.set_balance(trading_pair.base_asset, starting_base_balance)
self.market.set_balance(trading_pair.quote_asset,
starting_quote_balance)
best_ask_price = self.market.order_books[
trading_pair.trading_pair].get_price(False)
ask_client_order_id = self.market.sell(trading_pair.trading_pair,
base_quantity, OrderType.LIMIT,
best_ask_price)
best_bid_price = self.market.order_books[
trading_pair.trading_pair].get_price(True)
self.market.buy(trading_pair.trading_pair, base_quantity,
OrderType.LIMIT, best_bid_price)
# Market should track limit orders
self.assertEqual(2, len(self.market.limit_orders))
self.market.cancel(trading_pair.trading_pair, ask_client_order_id)
matched_limit_orders = TestUtils.get_match_limit_orders(
self.market.limit_orders, {
"client_order_id": ask_client_order_id,
"trading_pair": trading_pair.trading_pair,
"is_buy": False,
"base_currency": trading_pair.base_asset,
"quote_currency": trading_pair.quote_asset,
"price": best_ask_price,
"quantity": base_quantity
})
# Market should remove canceled orders
self.assertEqual(0, len(matched_limit_orders))
matched_order_cancel_events = TestUtils.get_match_events(
self.market_logger.event_log, OrderCancelledEvent,
{"order_id": ask_client_order_id})
# Market should emit cancel event
self.assertEqual(1, len(matched_order_cancel_events))
def test_order_cancel_all(self):
trading_pair = TradingPair("ETHUSDT", "ETH", "USDT")
base_quantity = 2.0
starting_base_balance = 200
starting_quote_balance = 2000
self.market.set_balance(trading_pair.base_asset, starting_base_balance)
self.market.set_balance(trading_pair.quote_asset,
starting_quote_balance)
best_ask_price = self.market.order_books[
trading_pair.trading_pair].get_price(False)
self.market.sell(trading_pair.trading_pair, base_quantity,
OrderType.LIMIT, best_ask_price)
best_bid_price = self.market.order_books[
trading_pair.trading_pair].get_price(True)
self.market.buy(trading_pair.trading_pair, base_quantity,
OrderType.LIMIT, best_bid_price)
# Market should track limit orders
self.assertEqual(2, len(self.market.limit_orders))
asyncio.get_event_loop().run_until_complete(self.market.cancel_all(0))
# Market should remove all canceled orders
self.assertEqual(0, len(self.market.limit_orders))
matched_order_cancel_events = TestUtils.get_match_events(
self.market_logger.event_log, OrderCancelledEvent, {})
# Market should emit cancel event
self.assertEqual(2, len(matched_order_cancel_events))
class UniswapConnectorUnitTest(unittest.TestCase):
event_logger: EventLogger
events: List[MarketEvent] = [
MarketEvent.BuyOrderCompleted, MarketEvent.SellOrderCompleted,
MarketEvent.OrderFilled, MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated, MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled, MarketEvent.OrderFailure
]
connector: UniswapConnector
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls._gas_price_patcher = unittest.mock.patch(
"hummingbot.connector.connector.uniswap.uniswap_connector.get_gas_price"
)
cls._gas_price_mock = cls._gas_price_patcher.start()
cls._gas_price_mock.return_value = 50
cls.ev_loop = asyncio.get_event_loop()
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.connector: UniswapConnector = UniswapConnector([
trading_pair
], "0xdc393a78a366ac53ffbd5283e71785fd2097807fef1bc5b73b8ec84da47fb8de",
"")
print(
"Initializing CryptoCom market... this will take about a minute.")
cls.clock.add_iterator(cls.connector)
cls.stack: contextlib.ExitStack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
cls._gas_price_patcher.stop()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.connector.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__,
"../connector_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.event_logger = EventLogger()
for event_tag in self.events:
self.connector.add_listener(event_tag, self.event_logger)
def test_update_balances(self):
all_bals = self.connector.get_all_balances()
for token, bal in all_bals.items():
print(f"{token}: {bal}")
self.assertIn(base, all_bals)
self.assertTrue(all_bals[base] > 0)
def test_allowances(self):
asyncio.get_event_loop().run_until_complete(self._test_allowances())
async def _test_allowances(self):
uniswap = self.connector
allowances = await uniswap.get_allowances()
print(allowances)
def test_approve(self):
asyncio.get_event_loop().run_until_complete(self._test_approve())
async def _test_approve(self):
uniswap = self.connector
ret_val = await uniswap.approve_uniswap_spender("DAI")
print(ret_val)
def test_get_quote_price(self):
asyncio.get_event_loop().run_until_complete(
self._test_get_quote_price())
async def _test_get_quote_price(self):
uniswap = self.connector
buy_price = await uniswap.get_quote_price(trading_pair, True,
Decimal("1"))
self.assertTrue(buy_price > 0)
print(f"buy_price: {buy_price}")
sell_price = await uniswap.get_quote_price(trading_pair, False,
Decimal("1"))
self.assertTrue(sell_price > 0)
print(f"sell_price: {sell_price}")
self.assertTrue(buy_price != sell_price)
# try to get price for non existing pair, this should return None
# sell_price = await uniswap.get_quote_price("AAA-BBB", False, Decimal("1"))
# self.assertTrue(sell_price is None)
def test_buy(self):
uniswap = self.connector
amount = Decimal("0.1")
price = Decimal("20")
order_id = uniswap.buy(trading_pair, amount, OrderType.LIMIT, price)
event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(BuyOrderCompletedEvent))
self.assertTrue(event.order_id is not None)
self.assertEqual(order_id, event.order_id)
self.assertEqual(event.base_asset_amount, amount)
print(event.order_id)
def test_sell(self):
uniswap = self.connector
amount = Decimal("0.1")
price = Decimal("1")
order_id = uniswap.sell(trading_pair, amount, OrderType.LIMIT, price)
event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(SellOrderCompletedEvent))
self.assertTrue(event.order_id is not None)
self.assertEqual(order_id, event.order_id)
self.assertEqual(event.base_asset_amount, amount)
print(event.order_id)
def test_sell_failure(self):
uniswap = self.connector
# Since we don't have 1000 WETH, this should trigger order failure
amount = Decimal("100")
price = Decimal("1")
order_id = uniswap.sell(trading_pair, amount, OrderType.LIMIT, price)
event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, event.order_id)
def test_filled_orders_recorded(self):
config_path = "test_config"
strategy_name = "test_strategy"
sql = SQLConnectionManager(SQLConnectionType.TRADE_FILLS,
db_path=self.db_path)
recorder = MarketsRecorder(sql, [self.connector], config_path,
strategy_name)
recorder.start()
try:
self.connector._in_flight_orders.clear()
self.assertEqual(0, len(self.connector.tracking_states))
price: Decimal = Decimal("1") # quote_price * Decimal("0.8")
price = self.connector.quantize_order_price(trading_pair, price)
amount: Decimal = Decimal("0.1")
amount = self.connector.quantize_order_amount(trading_pair, amount)
sell_order_id = self.connector.sell(trading_pair, amount,
OrderType.LIMIT, price)
self.ev_loop.run_until_complete(
self.event_logger.wait_for(SellOrderCompletedEvent))
self.ev_loop.run_until_complete(asyncio.sleep(1))
price: Decimal = Decimal("20") # quote_price * Decimal("0.8")
price = self.connector.quantize_order_price(trading_pair, price)
buy_order_id = self.connector.buy(trading_pair, amount,
OrderType.LIMIT, price)
self.ev_loop.run_until_complete(
self.event_logger.wait_for(BuyOrderCompletedEvent))
self.ev_loop.run_until_complete(asyncio.sleep(1))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
# self.assertGreaterEqual(len(trade_fills), 2)
fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertGreaterEqual(len(fills), 1)
self.assertEqual(amount, Decimal(str(fills[0].amount)))
# self.assertEqual(price, Decimal(str(fills[0].price)))
self.assertEqual(base, fills[0].base_asset)
self.assertEqual(quote, fills[0].quote_asset)
self.assertEqual(sell_order_id, fills[0].order_id)
self.assertEqual(trading_pair, fills[0].symbol)
fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
self.assertGreaterEqual(len(fills), 1)
self.assertEqual(amount, Decimal(str(fills[0].amount)))
# self.assertEqual(price, Decimal(str(fills[0].price)))
self.assertEqual(base, fills[0].base_asset)
self.assertEqual(quote, fills[0].quote_asset)
self.assertEqual(buy_order_id, fills[0].order_id)
self.assertEqual(trading_pair, fills[0].symbol)
finally:
recorder.stop()
os.unlink(self.db_path)
class EterbaseExchangeUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.BuyOrderCompleted, MarketEvent.SellOrderCompleted,
MarketEvent.OrderFilled, MarketEvent.OrderCancelled,
MarketEvent.TransactionFailure, MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated, MarketEvent.OrderCancelled,
MarketEvent.OrderFailure
]
market: EterbaseExchange
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: EterbaseExchange = EterbaseExchange(
conf.eterbase_api_key,
conf.eterbase_secret_key,
conf.eterbase_account,
trading_pairs=["ETH-EUR"])
print("Initializing Eterbase market... this will take about a minute.")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.market)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../eterbase_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self.clock.run_til(next_iteration)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
limit_fee: TradeFee = self.market.get_fee("ETH", "EUR",
OrderType.LIMIT_MAKER,
TradeType.BUY, 1, 1)
self.assertGreaterEqual(limit_fee.percent, 0)
self.assertEqual(len(limit_fee.flat_fees), 0)
market_fee: TradeFee = self.market.get_fee("ETH", "EUR",
OrderType.LIMIT,
TradeType.BUY, 1)
self.assertGreaterEqual(market_fee.percent, 0)
self.assertEqual(len(market_fee.flat_fees), 0)
def test_limit_maker_rejections(self):
trading_pair = "ETH-EUR"
# Try to put a buy limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('1.02')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair,
Decimal("0.01"))
order_id = self.market.buy(trading_pair, amount, OrderType.LIMIT_MAKER,
price)
[order_failure_event] = self.run_parallel(
self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
self.market_logger.clear()
# Try to put a sell limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('0.98')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair,
Decimal("0.01"))
order_id = self.market.sell(trading_pair, amount,
OrderType.LIMIT_MAKER, price)
[order_failure_event] = self.run_parallel(
self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
def test_limit_makers_unfilled(self):
trading_pair = "ETH-EUR"
bid_price: Decimal = self.market.get_price(trading_pair,
True) * Decimal("0.5")
ask_price: Decimal = self.market.get_price(trading_pair, False) * 2
amount: Decimal = 10 / bid_price
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
# Intentionally setting invalid price to prevent getting filled.
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price * Decimal("0.7"))
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, ask_price * Decimal("1.5"))
order_id = self.market.buy(trading_pair, quantized_amount,
OrderType.LIMIT_MAKER, quantize_bid_price)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
order_id_2 = self.market.sell(trading_pair, quantized_amount,
OrderType.LIMIT_MAKER,
quantize_ask_price)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id_2, order_created_event.order_id)
self.run_parallel(asyncio.sleep(1))
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
# NOTE that orders of non-USD pairs (including USDC pairs) are LIMIT only
def test_limit_taker_buy(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.2"))
trading_pair = "ETH-EUR"
amount: Decimal = Decimal("0.02")
quantize_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
current_ask_price: Decimal = self.market.get_price(trading_pair, False)
ask_price: Decimal = current_ask_price - Decimal(
"0.05") * current_ask_price
quantize_price: Decimal = self.market.quantize_order_price(
trading_pair, ask_price)
order_id = self.market.buy(trading_pair, quantize_amount,
OrderType.LIMIT, quantize_price)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
# not possible to exactly defined, as reuest is in COSTS (amount*price)
self.assertAlmostEqual(quantize_amount * quantize_price,
order_completed_event.quote_asset_amount, 1)
sig_dig = abs(
(quantize_amount * quantize_price).as_tuple().exponent) - 1
str_quant_cost = ("{0:." + str(sig_dig) + "g}").format(
quantize_amount * quantize_price)
str_order_cost = ("{0:." + str(sig_dig) + "g}").format(
order_completed_event.quote_asset_amount)
quant_cost = None
order_cost = None
if re.search(r'e+', str(quant_cost)):
quant_cost = Decimal("{:.0f}".format(Decimal(str_quant_cost)))
order_cost = Decimal("{:.0f}".format(Decimal(str_order_cost)))
else:
quant_cost = Decimal(str_quant_cost)
order_cost = Decimal(str_order_cost)
self.assertAlmostEqual(quant_cost, order_cost)
self.assertEqual("ETH", order_completed_event.base_asset)
self.assertEqual("EUR", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
# NOTE that orders of non-USD pairs (including USDC pairs) are LIMIT only
def test_limit_taker_sell(self):
trading_pair = "ETH-EUR"
price: Decimal = self.market.get_price(trading_pair, False)
amount: Decimal = Decimal("0.02")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id = self.market.sell(trading_pair, amount, OrderType.LIMIT,
price)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.price * t.amount for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("ETH", order_completed_event.base_asset)
self.assertEqual("EUR", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount, 1)
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_cancel_order(self):
trading_pair = "ETH-EUR"
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = 10 / current_bid_price
self.assertGreater(self.market.get_balance("ETH"), amount)
bid_price: Decimal = current_bid_price - Decimal(
"0.1") * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
client_order_id = self.market.buy(trading_pair, quantized_amount,
OrderType.LIMIT_MAKER,
quantize_bid_price)
self.market.cancel(trading_pair, client_order_id)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.assertEqual(order_cancelled_event.order_id, client_order_id)
def test_cancel_all(self):
trading_pair = "ETH-EUR"
bid_price: Decimal = self.market.get_price(trading_pair,
True) * Decimal("0.5")
ask_price: Decimal = self.market.get_price(trading_pair, False) * 2
amount: Decimal = 10 / bid_price
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price * Decimal("0.7"))
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, ask_price * Decimal("1.5"))
self.market.buy(trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price)
self.market.sell(trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_ask_price)
self.run_parallel(asyncio.sleep(1))
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
@unittest.skipUnless(any("test_list_orders" in arg for arg in sys.argv),
"List order test requires manual action.")
def test_list_orders(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.1"))
trading_pair = "ETH-EUR"
amount: Decimal = Decimal("0.02")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
bid_price: Decimal = current_bid_price + Decimal(
"0.05") * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
self.market.buy(trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price)
self.run_parallel(asyncio.sleep(1))
[order_details] = self.run_parallel(self.market.list_orders())
self.assertGreaterEqual(len(order_details), 1)
self.market_logger.clear()
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-EUR"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.04 ETH, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price(
trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal("0.8")
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
amount: Decimal = Decimal("0.04")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id = self.market.buy(trading_pair, quantized_amount,
OrderType.LIMIT_MAKER,
quantize_bid_price)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
print("close out the current market and start another market")
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: EterbaseExchange = EterbaseExchange(
eterbase_api_key=conf.eterbase_api_key,
eterbase_secret_key=conf.eterbase_secret_key,
eterbase_account=conf.eterbase_account,
trading_pairs=["ETHUSDT", "ETH-EUR"])
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.market.cancel(trading_pair, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-EUR"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.04 ETH from the exchange, and watch for completion event.
amount: Decimal = Decimal("0.01")
current_ask_price: Decimal = self.market.get_price(
trading_pair, False)
ask_price: Decimal = current_ask_price - Decimal(
"0.05") * current_ask_price
quantize_price: Decimal = self.market.quantize_order_price(
trading_pair, ask_price)
order_id = self.market.buy(trading_pair, amount, OrderType.LIMIT,
quantize_price)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logger
self.market_logger.clear()
# Try to sell back the same amount of ETH to the exchange, and watch for completion event.
price: Decimal = self.market.get_price(trading_pair, False)
amount = buy_order_completed_event.base_asset_amount
order_id = self.market.sell(trading_pair, amount, OrderType.LIMIT,
price)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_pair_convesion(self):
for pair in self.market.trading_rules:
exchange_pair = convert_to_exchange_trading_pair(pair)
self.assertTrue(exchange_pair in self.market.order_books)
class BambooRelayMarketUncoordinatedUnitTest(unittest.TestCase):
market_events: List[MarketEvent] = [
MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted,
MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled,
MarketEvent.OrderExpired,
MarketEvent.OrderFilled,
]
wallet_events: List[WalletEvent] = [
WalletEvent.WrappedEth, WalletEvent.UnwrappedEth
]
wallet: Web3Wallet
market: BambooRelayMarket
market_logger: EventLogger
wallet_logger: EventLogger
@classmethod
def setUpClass(cls):
if conf.test_bamboo_relay_chain_id == 3:
chain = EthereumChain.ROPSTEN
elif conf.test_bamboo_relay_chain_id == 4:
chain = EthereumChain.RINKEBY
elif conf.test_bamboo_relay_chain_id == 42:
chain = EthereumChain.KOVAN
elif conf.test_bamboo_relay_chain_id == 1337:
chain = EthereumChain.ZEROEX_TEST
else:
chain = EthereumChain.MAIN_NET
cls.chain = chain
cls.base_token_asset = conf.test_bamboo_relay_base_token_symbol
cls.quote_token_asset = conf.test_bamboo_relay_quote_token_symbol
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.wallet = Web3Wallet(private_key=conf.web3_private_key_bamboo,
backend_urls=conf.test_web3_provider_list,
erc20_token_addresses=[
conf.test_bamboo_relay_base_token_address,
conf.test_bamboo_relay_quote_token_address
],
chain=chain)
cls.market: BambooRelayMarket = BambooRelayMarket(
wallet=cls.wallet,
ethereum_rpc_url=conf.test_web3_provider_list[0],
order_book_tracker_data_source_type=OrderBookTrackerDataSourceType.
EXCHANGE_API,
trading_pairs=[
conf.test_bamboo_relay_base_token_symbol + "-" +
conf.test_bamboo_relay_quote_token_symbol
],
use_coordinator=False,
pre_emptive_soft_cancels=False)
print("Initializing Bamboo Relay market... ")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.wallet)
cls.clock.add_iterator(cls.market)
stack = contextlib.ExitStack()
cls._clock = stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(
join(__file__, "../bamboo_relay_uncordinated_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
self.wallet_logger = EventLogger()
for event_tag in self.market_events:
self.market.add_listener(event_tag, self.market_logger)
for event_tag in self.wallet_events:
self.wallet.add_listener(event_tag, self.wallet_logger)
def tearDown(self):
for event_tag in self.market_events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
for event_tag in self.wallet_events:
self.wallet.remove_listener(event_tag, self.wallet_logger)
self.wallet_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
maker_buy_trade_fee: TradeFee = self.market.get_fee(
conf.test_bamboo_relay_base_token_symbol,
conf.test_bamboo_relay_quote_token_symbol, OrderType.LIMIT,
TradeType.BUY, Decimal(20), Decimal(0.01))
self.assertEqual(maker_buy_trade_fee.percent, 0)
self.assertEqual(len(maker_buy_trade_fee.flat_fees), 1)
taker_buy_trade_fee: TradeFee = self.market.get_fee(
conf.test_bamboo_relay_base_token_symbol,
conf.test_bamboo_relay_quote_token_symbol, OrderType.MARKET,
TradeType.BUY, Decimal(20))
self.assertEqual(taker_buy_trade_fee.percent, 0)
self.assertEqual(len(taker_buy_trade_fee.flat_fees), 1)
self.assertEqual(taker_buy_trade_fee.flat_fees[0][0], "ETH")
def test_get_wallet_balances(self):
balances = self.market.get_all_balances()
self.assertGreaterEqual((balances["ETH"]), s_decimal_0)
self.assertGreaterEqual((balances[self.quote_token_asset]),
s_decimal_0)
def test_single_limit_order_cancel(self):
trading_pair: str = self.base_token_asset + "-" + self.quote_token_asset
current_price: Decimal = self.market.get_price(trading_pair, True)
amount = Decimal("0.001")
expires = int(time.time() + 60 * 3)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
buy_order_id = self.market.buy(trading_pair=trading_pair,
amount=amount,
order_type=OrderType.LIMIT,
price=current_price -
Decimal("0.2") * current_price,
expiration_ts=expires)
[buy_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(self.base_token_asset + "-" + self.quote_token_asset,
buy_order_opened_event.trading_pair)
self.assertEqual(OrderType.LIMIT, buy_order_opened_event.type)
self.assertEqual(float(quantized_amount),
float(buy_order_opened_event.amount))
[cancellation_results, buy_order_cancelled_event] = self.run_parallel(
self.market.cancel_order(buy_order_id),
self.market_logger.wait_for(OrderCancelledEvent))
self.assertEqual(buy_order_opened_event.order_id,
buy_order_cancelled_event.order_id)
# Reset the logs
self.market_logger.clear()
def test_limit_buy_and_sell_and_cancel_all(self):
trading_pair: str = self.base_token_asset + "-" + self.quote_token_asset
current_price: Decimal = self.market.get_price(trading_pair, True)
amount = Decimal("0.001")
expires = int(time.time() + 60 * 3)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
buy_order_id = self.market.buy(trading_pair=trading_pair,
amount=amount,
order_type=OrderType.LIMIT,
price=current_price -
Decimal("0.2") * current_price,
expiration_ts=expires)
[buy_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(buy_order_id, buy_order_opened_event.order_id)
self.assertEqual(float(quantized_amount),
float(buy_order_opened_event.amount))
self.assertEqual(self.base_token_asset + "-" + self.quote_token_asset,
buy_order_opened_event.trading_pair)
self.assertEqual(OrderType.LIMIT, buy_order_opened_event.type)
# Reset the logs
self.market_logger.clear()
current_price: Decimal = self.market.get_price(trading_pair, False)
sell_order_id = self.market.sell(trading_pair=trading_pair,
amount=amount,
order_type=OrderType.LIMIT,
price=current_price +
Decimal("0.2") * current_price,
expiration_ts=expires)
[sell_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
self.assertEqual(sell_order_id, sell_order_opened_event.order_id)
self.assertEqual(float(quantized_amount),
float(sell_order_opened_event.amount))
self.assertEqual(self.base_token_asset + "-" + self.quote_token_asset,
sell_order_opened_event.trading_pair)
self.assertEqual(OrderType.LIMIT, sell_order_opened_event.type)
[cancellation_results, order_cancelled_event] = self.run_parallel(
self.market.cancel_all(60 * 3),
self.market_logger.wait_for(OrderCancelledEvent))
is_buy_cancelled = False
is_sell_cancelled = False
for cancellation_result in cancellation_results:
if cancellation_result == CancellationResult(buy_order_id, True):
is_buy_cancelled = True
if cancellation_result == CancellationResult(sell_order_id, True):
is_sell_cancelled = True
self.assertEqual(is_buy_cancelled, True)
self.assertEqual(is_sell_cancelled, True)
# Wait for the order book source to also register the cancellation
self.assertTrue(
(buy_order_opened_event.order_id == order_cancelled_event.order_id
or sell_order_opened_event.order_id
== order_cancelled_event.order_id))
# Reset the logs
self.market_logger.clear()
def test_order_expire(self):
trading_pair: str = self.base_token_asset + "-" + self.quote_token_asset
current_price: Decimal = self.market.get_price(trading_pair, True)
amount = Decimal("0.003")
expires = int(time.time() + 60) # expires in 1 min
self.market.buy(trading_pair=trading_pair,
amount=amount,
order_type=OrderType.LIMIT,
price=current_price - Decimal("0.2") * current_price,
expiration_ts=expires)
[buy_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(self.base_token_asset + "-" + self.quote_token_asset,
buy_order_opened_event.trading_pair)
self.assertEqual(OrderType.LIMIT, buy_order_opened_event.type)
[buy_order_expired_event] = self.run_parallel(
self.market_logger.wait_for(OrderExpiredEvent, 75))
self.assertEqual(buy_order_opened_event.order_id,
buy_order_expired_event.order_id)
# Reset the logs
self.market_logger.clear()
def test_market_buy(self):
trading_pair: str = self.base_token_asset + "-" + self.quote_token_asset
amount = Decimal("0.002")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id = self.market.buy(
self.base_token_asset + "-" + self.quote_token_asset, amount,
OrderType.MARKET)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
order_filled_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
self.assertTrue([
evt.order_type == OrderType.MARKET for evt in order_filled_events
])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(float(quantized_amount),
float(order_completed_event.base_asset_amount))
self.assertEqual(self.base_token_asset,
order_completed_event.base_asset)
self.assertEqual(self.quote_token_asset,
order_completed_event.quote_asset)
self.market_logger.clear()
def test_batch_market_buy(self):
trading_pair: str = self.base_token_asset + "-" + self.quote_token_asset
amount = Decimal("0.002")
current_buy_price: Decimal = self.market.get_price(trading_pair, True)
current_sell_price: Decimal = self.market.get_price(
trading_pair, False)
current_price: Decimal = current_sell_price - (current_sell_price -
current_buy_price) / 2
expires = int(time.time() + 60 * 3)
self.market.sell(trading_pair=trading_pair,
amount=amount,
order_type=OrderType.LIMIT,
price=current_price,
expiration_ts=expires)
self.run_parallel(self.market_logger.wait_for(SellOrderCreatedEvent))
amount = Decimal("0.004")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id = self.market.buy(
self.base_token_asset + "-" + self.quote_token_asset, amount,
OrderType.MARKET)
[order_completed_event, _] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent),
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
order_filled_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
self.assertTrue([
evt.order_type == OrderType.MARKET for evt in order_filled_events
])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(float(quantized_amount),
float(order_completed_event.base_asset_amount))
self.assertEqual(self.base_token_asset,
order_completed_event.base_asset)
self.assertEqual(self.quote_token_asset,
order_completed_event.quote_asset)
self.market_logger.clear()
def test_market_sell(self):
trading_pair: str = self.base_token_asset + "-" + self.quote_token_asset
amount = Decimal("0.001")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id = self.market.sell(trading_pair, amount, OrderType.MARKET)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
order_filled_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
self.assertTrue([
evt.order_type == OrderType.MARKET for evt in order_filled_events
])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(float(quantized_amount),
float(order_completed_event.base_asset_amount))
self.assertEqual(self.base_token_asset,
order_completed_event.base_asset)
self.assertEqual(self.quote_token_asset,
order_completed_event.quote_asset)
self.market_logger.clear()
def test_batch_market_sell(self):
trading_pair: str = self.base_token_asset + "-" + self.quote_token_asset
amount = Decimal("0.002")
current_buy_price: Decimal = self.market.get_price(trading_pair, True)
current_sell_price: Decimal = self.market.get_price(
trading_pair, False)
current_price: Decimal = current_buy_price + (current_sell_price -
current_buy_price) / 2
expires = int(time.time() + 60 * 3)
self.market.buy(trading_pair=trading_pair,
amount=amount,
order_type=OrderType.LIMIT,
price=current_price,
expiration_ts=expires)
self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
amount = Decimal("0.005")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id = self.market.sell(
self.base_token_asset + "-" + self.quote_token_asset, amount,
OrderType.MARKET)
[order_completed_event, _] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent),
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
order_filled_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
self.assertTrue([
evt.order_type == OrderType.MARKET for evt in order_filled_events
])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(float(quantized_amount),
float(order_completed_event.base_asset_amount))
self.assertEqual(self.base_token_asset,
order_completed_event.base_asset)
self.assertEqual(self.quote_token_asset,
order_completed_event.quote_asset)
self.market_logger.clear()
def test_wrap_eth(self):
amount_to_wrap = Decimal("0.01")
tx_hash = self.wallet.wrap_eth(amount_to_wrap)
[tx_completed_event] = self.run_parallel(
self.wallet_logger.wait_for(WalletWrappedEthEvent))
tx_completed_event: WalletWrappedEthEvent = tx_completed_event
self.assertEqual(tx_hash, tx_completed_event.tx_hash)
self.assertEqual(float(amount_to_wrap),
float(tx_completed_event.amount))
self.assertEqual(self.wallet.address, tx_completed_event.address)
def test_unwrap_eth(self):
amount_to_unwrap = Decimal("0.01")
tx_hash = self.wallet.unwrap_eth(amount_to_unwrap)
[tx_completed_event] = self.run_parallel(
self.wallet_logger.wait_for(WalletUnwrappedEthEvent))
tx_completed_event: WalletUnwrappedEthEvent = tx_completed_event
self.assertEqual(tx_hash, tx_completed_event.tx_hash)
self.assertEqual(float(amount_to_unwrap),
float(tx_completed_event.amount))
self.assertEqual(self.wallet.address, tx_completed_event.address)
def test_z_orders_saving_and_restoration(self):
self.market.reset_state()
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = self.base_token_asset + "-" + self.quote_token_asset
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0,
len(self.market.tracking_states["limit_orders"]))
# Try to put limit buy order for 0.05 Quote Token worth of Base Token, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price(
trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal("0.8")
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
amount: Decimal = Decimal("0.005") / bid_price
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
expires = int(time.time() + 60 * 3)
order_id = self.market.buy(trading_pair,
quantized_amount,
OrderType.LIMIT,
quantize_bid_price,
expiration_ts=expires)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1,
len(self.market.tracking_states["limit_orders"]))
self.assertEqual(
order_id,
list(self.market.tracking_states["limit_orders"].keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertIsInstance(
saved_market_states.saved_state["limit_orders"], dict)
self.assertGreater(
len(saved_market_states.saved_state["limit_orders"]), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.market_events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: BambooRelayMarket = BambooRelayMarket(
wallet=self.wallet,
ethereum_rpc_url=conf.test_web3_provider_list[0],
trading_pairs=[
self.base_token_asset + "-" + self.quote_token_asset
],
use_coordinator=False,
pre_emptive_soft_cancels=False)
for event_tag in self.market_events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0,
len(self.market.tracking_states["limit_orders"]))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1,
len(self.market.tracking_states["limit_orders"]))
# Cancel the order and verify that the change is saved.
self.run_parallel(self.market.cancel(trading_pair, order_id),
self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(1,
len(self.market.tracking_states["limit_orders"]))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(
1, len(saved_market_states.saved_state["limit_orders"]))
finally:
if order_id is not None:
self.run_parallel(
self.market.cancel(trading_pair, order_id),
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = self.base_token_asset + "-" + self.quote_token_asset
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.05 ETH worth of ZRX from the exchange, and watch for completion event.
current_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.005") / current_price
order_id = self.market.buy(trading_pair, amount)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ZRX to the exchange, and watch for completion event.
amount = buy_order_completed_event.base_asset_amount
order_id = self.market.sell(trading_pair, amount)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.run_parallel(
self.market.cancel(trading_pair, order_id),
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class KrakenExchangeUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset,
MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted,
MarketEvent.OrderFilled,
MarketEvent.OrderCancelled,
MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled
]
market: KrakenExchange
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: KrakenExchange = KrakenExchange(
conf.kraken_api_key,
conf.kraken_secret_key,
trading_pairs=[PAIR]
)
cls.count = 0
print("Initializing Kraken market... this will take about a minute. ")
cls.clock.add_iterator(cls.market)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
cls.count += 1
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../kraken_test.sqlite"))
try:
unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = asyncio.ensure_future(asyncio.gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self.clock.run_til(next_iteration)
return future.result()
def run_parallel(self, *tasks):
return self.run_async(self.run_parallel_async(*tasks))
def run_async(self, task):
return self.ev_loop.run_until_complete(task)
def sleep(self, t=1.0):
self.run_parallel(asyncio.sleep(t))
def test_get_fee(self):
limit_fee: AddedToCostTradeFee = self.market.get_fee(BASE, QUOTE, OrderType.LIMIT_MAKER, TradeType.BUY, 1, 1)
self.assertGreater(limit_fee.percent, 0)
self.assertEqual(len(limit_fee.flat_fees), 0)
market_fee: AddedToCostTradeFee = self.market.get_fee(BASE, QUOTE, OrderType.LIMIT, TradeType.BUY, 1)
self.assertGreater(market_fee.percent, 0)
self.assertEqual(len(market_fee.flat_fees), 0)
def test_fee_overrides_config(self):
fee_overrides_config_map["kraken_taker_fee"].value = None
taker_fee: AddedToCostTradeFee = self.market.get_fee("LINK", "ETH", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.0026"), taker_fee.percent)
fee_overrides_config_map["kraken_taker_fee"].value = Decimal('0.2')
taker_fee: AddedToCostTradeFee = self.market.get_fee("LINK", "ETH", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), taker_fee.percent)
fee_overrides_config_map["kraken_maker_fee"].value = None
maker_fee: AddedToCostTradeFee = self.market.get_fee("LINK",
"ETH",
OrderType.LIMIT_MAKER,
TradeType.BUY,
Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.0016"), maker_fee.percent)
fee_overrides_config_map["kraken_maker_fee"].value = Decimal('0.5')
maker_fee: AddedToCostTradeFee = self.market.get_fee("LINK",
"ETH",
OrderType.LIMIT_MAKER,
TradeType.BUY,
Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.005"), maker_fee.percent)
def place_order(self, is_buy, trading_pair, amount, order_type, price):
order_id = None
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type, price)
return order_id
def cancel_order(self, trading_pair, order_id):
self.market.cancel(trading_pair, order_id)
def test_limit_taker_buy(self):
self.assertGreater(self.market.get_balance(QUOTE), 6)
trading_pair = PAIR
self.sleep(3)
price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.02")
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
order_id = self.place_order(
True,
trading_pair,
quantized_amount,
OrderType.LIMIT,
price
)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent) and t.amount is not None]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount, order_completed_event.base_asset_amount)
self.assertEqual(BASE, order_completed_event.base_asset)
self.assertEqual(QUOTE, order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded, order_completed_event.quote_asset_amount)
self.assertTrue(any([isinstance(event, BuyOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
# Reset the logs
self.market_logger.clear()
def test_limit_sell(self):
self.assertGreater(self.market.get_balance(BASE), 0.02)
trading_pair = PAIR
self.sleep(3)
price: Decimal = self.market.get_price(trading_pair, False)
amount: Decimal = Decimal("0.02")
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
order_id = self.place_order(
False,
trading_pair,
quantized_amount,
OrderType.LIMIT,
price
)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent) and t.amount is not None]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount, order_completed_event.base_asset_amount)
self.assertEqual(BASE, order_completed_event.base_asset)
self.assertEqual(QUOTE, order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded, order_completed_event.quote_asset_amount)
self.assertTrue(any([isinstance(event, SellOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
# Reset the logs
self.market_logger.clear()
def underpriced_limit_buy(self):
self.assertGreater(self.market.get_balance(QUOTE), 4)
trading_pair = PAIR
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal('0.005')
quantized_bid_price: Decimal = self.market.quantize_order_price(trading_pair, bid_price)
amount: Decimal = Decimal("0.02")
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
order_id = self.place_order(
True,
trading_pair,
quantized_amount,
OrderType.LIMIT_MAKER,
quantized_bid_price
)
return order_id
def underpriced_limit_buy_multiple(self, num):
order_ids = []
for _ in range(num):
order_ids.append(self.underpriced_limit_buy())
self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
return order_ids
def test_cancel_order(self):
order_id = self.underpriced_limit_buy()
self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
self.cancel_order(PAIR, order_id)
[order_cancelled_event] = self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.assertEqual(order_cancelled_event.order_id, order_id)
def test_cancel_all(self):
order_ids = self.underpriced_limit_buy_multiple(2)
cancelled_orders = self.run_async(self.market.cancel_all(10.))
self.assertEqual([order.order_id for order in cancelled_orders], order_ids)
self.assertTrue([order.success for order in cancelled_orders])
def test_order_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.02 ETH at fraction of USDC market price, and watch for order creation event.
order_id = self.underpriced_limit_buy()
[order_created_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id, list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[Order] = recorder.get_orders_for_config_and_market(config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: KrakenExchange = KrakenExchange(
conf.kraken_api_key,
conf.kraken_secret_key,
trading_pairs=[PAIR]
)
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.market.cancel(PAIR, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(PAIR, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.02 ETH from the exchange, and watch for completion event.
price: Decimal = self.market.get_price(PAIR, True)
amount: Decimal = Decimal("0.02")
quantized_amount: Decimal = self.market.quantize_order_amount(PAIR, amount)
order_id = self.place_order(
True,
PAIR,
quantized_amount,
OrderType.LIMIT,
price
)
[buy_order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ETH to the exchange, and watch for completion event.
price: Decimal = self.market.get_price(PAIR, False)
amount = buy_order_completed_event.base_asset_amount
quantized_amount: Decimal = self.market.quantize_order_amount(PAIR, amount)
order_id = self.place_order(
False,
PAIR,
quantized_amount,
OrderType.LIMIT,
price
)
[sell_order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(config_path)
self.assertGreaterEqual(len(trade_fills), 2)
buy_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "BUY"]
sell_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "SELL"]
self.assertGreaterEqual(len(buy_fills), 1)
self.assertGreaterEqual(len(sell_fills), 1)
order_id = None
finally:
if order_id is not None:
self.market.cancel(PAIR, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
unlink(self.db_path)
def test_pair_convesion(self):
for pair in self.market.trading_rules:
exchange_pair = convert_to_exchange_trading_pair(pair)
self.assertTrue(exchange_pair in self.market.order_books)
class RadarRelayOrderBookTrackerUnitTest(unittest.TestCase):
order_book_tracker: Optional[RadarRelayOrderBookTracker] = None
events: List[OrderBookEvent] = [OrderBookEvent.TradeEvent]
trading_pairs: List[str] = ["USDC-DAI", "WETH-DAI", "USDC-WETH"]
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.order_book_tracker: RadarRelayOrderBookTracker = RadarRelayOrderBookTracker(
trading_pairs=cls.trading_pairs)
cls.order_book_tracker_task: asyncio.Task = safe_ensure_future(
cls.order_book_tracker.start())
cls.ev_loop.run_until_complete(cls.wait_til_tracker_ready())
@classmethod
async def wait_til_tracker_ready(cls):
while True:
if len(cls.order_book_tracker.order_books) > 0:
print("Initialized real-time order books.")
return
await asyncio.sleep(1)
async def run_parallel_async(self, *tasks, timeout=None):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
timer = 0
while not future.done():
if timeout and timer > timeout:
raise Exception(
"Time out running parallel async task in tests.")
timer += 1
# now = time.time()
# next_iteration = now // 1.0 + 1
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def setUp(self):
self.event_logger = EventLogger()
for event_tag in self.events:
for trading_pair, order_book in self.order_book_tracker.order_books.items(
):
order_book.add_listener(event_tag, self.event_logger)
@unittest.skipUnless(
any("test_order_book_trade_event_emission" in arg for arg in sys.argv),
"test_order_book_trade_event_emission test requires waiting or manual trade."
)
def test_order_book_trade_event_emission(self):
"""
Test if order book tracker is able to retrieve order book trade message from exchange and
emit order book trade events after correctly parsing the trade messages
"""
self.run_parallel(self.event_logger.wait_for(OrderBookTradeEvent))
for ob_trade_event in self.event_logger.event_log:
self.assertTrue(type(ob_trade_event) == OrderBookTradeEvent)
self.assertTrue(ob_trade_event.trading_pair in self.trading_pairs)
self.assertTrue(type(ob_trade_event.timestamp) in [float, int])
self.assertTrue(type(ob_trade_event.amount) == float)
self.assertTrue(type(ob_trade_event.price) == float)
self.assertTrue(type(ob_trade_event.type) == TradeType)
self.assertTrue(
math.ceil(math.log10(ob_trade_event.timestamp)) == 10)
self.assertTrue(ob_trade_event.amount > 0)
self.assertTrue(ob_trade_event.price > 0)
def test_tracker_integrity(self):
# Wait 5 seconds to process some diffs.
self.ev_loop.run_until_complete(asyncio.sleep(5.0))
order_books: Dict[str, OrderBook] = self.order_book_tracker.order_books
weth_dai_book: OrderBook = order_books["WETH-DAI"]
usdc_dai_book: OrderBook = order_books["USDC-DAI"]
# print(weth_dai_book.snapshot)
# print(zrx_weth_book.snapshot)
self.assertGreaterEqual(
weth_dai_book.get_price_for_volume(True, 10).result_price,
weth_dai_book.get_price(True))
self.assertLessEqual(
weth_dai_book.get_price_for_volume(False, 10).result_price,
weth_dai_book.get_price(False))
self.assertGreaterEqual(
usdc_dai_book.get_price_for_volume(True, 10).result_price,
usdc_dai_book.get_price(True))
self.assertLessEqual(
usdc_dai_book.get_price_for_volume(False, 10).result_price,
usdc_dai_book.get_price(False))
class DDEXMarketUnitTest(unittest.TestCase):
market_events: List[MarketEvent] = [
MarketEvent.ReceivedAsset,
MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted,
MarketEvent.WithdrawAsset,
MarketEvent.OrderFilled,
MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled
]
wallet_events: List[WalletEvent] = [
WalletEvent.WrappedEth,
WalletEvent.UnwrappedEth
]
wallet: Web3Wallet
market: DDEXMarket
market_logger: EventLogger
wallet_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.wallet = Web3Wallet(private_key=conf.web3_test_private_key_ddex,
backend_urls=conf.test_ddex_web3_provider_list,
erc20_token_addresses=[conf.test_ddex_erc20_token_address_1,
conf.test_ddex_erc20_token_address_2],
chain=EthereumChain.MAIN_NET)
cls.market: DDEXMarket = DDEXMarket(wallet=cls.wallet,
ethereum_rpc_url=conf.test_ddex_web3_provider_list[0],
order_book_tracker_data_source_type=
OrderBookTrackerDataSourceType.EXCHANGE_API,
symbols=["HOT-WETH"])
print("Initializing DDEX market... ")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.wallet)
cls.clock.add_iterator(cls.market)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../ddex_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
self.wallet_logger = EventLogger()
for event_tag in self.market_events:
self.market.add_listener(event_tag, self.market_logger)
for event_tag in self.wallet_events:
self.wallet.add_listener(event_tag, self.wallet_logger)
def tearDown(self):
for event_tag in self.market_events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
for event_tag in self.wallet_events:
self.wallet.remove_listener(event_tag, self.wallet_logger)
self.wallet_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
weth_trade_fee: TradeFee = self.market.get_fee("ZRX", "WETH", OrderType.LIMIT, TradeType.BUY, 10000, 1)
self.assertGreater(weth_trade_fee.percent, 0)
self.assertEqual(len(weth_trade_fee.flat_fees), 1)
self.assertEqual(weth_trade_fee.flat_fees[0][0], "WETH")
dai_trade_fee: TradeFee = self.market.get_fee("WETH", "DAI", OrderType.MARKET, TradeType.BUY, 10000)
self.assertGreater(dai_trade_fee.percent, 0)
self.assertEqual(len(dai_trade_fee.flat_fees), 1)
self.assertEqual(dai_trade_fee.flat_fees[0][0], "DAI")
def test_get_wallet_balances(self):
balances = self.market.get_all_balances()
self.assertGreaterEqual((balances["ETH"]), 0)
self.assertGreaterEqual((balances["WETH"]), 0)
def test_get_available_balances(self):
balance = self.market.get_available_balance("ETH")
self.assertGreaterEqual(balance, 0)
def test_list_orders(self):
[orders] = self.run_parallel(self.market.list_orders())
self.assertGreaterEqual(len(orders), 0)
def test_list_locked_balances(self):
[locked_balances] = self.run_parallel(self.market.list_locked_balances())
self.assertGreaterEqual(len(locked_balances), 0)
@unittest.skipUnless(any("test_bad_orders_are_not_tracked" in arg for arg in sys.argv),
"bad_orders_are_not_tracked test requires manual action.")
def test_bad_orders_are_not_tracked(self):
# Should fail due to insufficient balance
order_id = self.market.buy("WETH-DAI", 10000, OrderType.LIMIT, 1)
self.assertEqual(self.market.in_flight_orders.get(order_id), None)
def test_cancel_order(self):
symbol = "HOT-WETH"
bid_price: float = self.market.get_price(symbol, True)
amount = 2000
# Intentionally setting invalid price to prevent getting filled
client_order_id = self.market.buy(symbol, amount, OrderType.LIMIT, bid_price * 0.7)
self.market.cancel(symbol, client_order_id)
[order_cancelled_event] = self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.run_parallel(asyncio.sleep(6.0))
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(client_order_id, order_cancelled_event.order_id)
def test_place_limit_buy_and_sell(self):
self.assertGreater(self.market.get_balance("WETH"), 0.1)
self.assertGreater(self.market.get_balance("HOT"), 2000)
# Try to buy 2000 HOT from the exchange, and watch for completion event.
symbol = "HOT-WETH"
bid_price: float = self.market.get_price(symbol, True)
amount: float = 2000
buy_order_id: str = self.market.buy(symbol, amount, OrderType.LIMIT, bid_price * 0.7)
[buy_order_created_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
exchange_order_id: str = self.market.in_flight_orders.get(buy_order_id).exchange_order_id
buy_order = self.run_parallel(self.market.get_order(exchange_order_id))
self.assertEqual(buy_order[0].get('id'), exchange_order_id)
self.assertEqual(buy_order_id, buy_order_created_event.order_id)
self.market.cancel(symbol, buy_order_id)
[_] = self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
# Try to sell back the same amount of HOT to the exchange, and watch for completion event.
ask_price: float = self.market.get_price(symbol, False)
sell_order_id: str = self.market.sell(symbol, amount, OrderType.LIMIT, ask_price * 1.5)
[sell_order_created_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCreatedEvent))
exchange_order_id: str = self.market.in_flight_orders.get(sell_order_id).exchange_order_id
sell_order = self.run_parallel(self.market.get_order(exchange_order_id))
self.assertEqual(sell_order[0].get('id'), exchange_order_id)
self.assertEqual(sell_order_id, sell_order_created_event.order_id)
self.market.cancel(symbol, sell_order_id)
[_] = self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
@unittest.skipUnless(any("test_limit_buy_and_sell_get_matched" in arg for arg in sys.argv),
"test_limit_buy_and_sell_get_matched test requires manual action.")
def test_limit_buy_and_sell_get_matched(self):
self.assertGreater(self.market.get_balance("WETH"), 0.01)
# Try to buy 0.01 WETH worth of HOT from the exchange, and watch for completion event.
current_price: float = self.market.get_price("HOT-WETH", True)
amount: float = 2000
quantized_amount: Decimal = self.market.quantize_order_amount("HOT-WETH", amount)
order_id = self.market.buy("HOT-WETH", amount, OrderType.LIMIT, current_price)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
order_filled_events: List[OrderFilledEvent] = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
self.assertTrue([evt.order_type == OrderType.LIMIT for evt in order_filled_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(float(quantized_amount), order_completed_event.base_asset_amount)
self.assertEqual("HOT", order_completed_event.base_asset)
self.assertEqual("WETH", order_completed_event.quote_asset)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, BuyOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of HOT to the exchange, and watch for completion event.
current_price: float = self.market.get_price("HOT-WETH", False)
amount = float(order_completed_event.base_asset_amount)
quantized_amount = order_completed_event.base_asset_amount
order_id = self.market.sell("HOT-WETH", amount, OrderType.LIMIT, current_price)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
order_filled_events: List[OrderFilledEvent] = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
self.assertTrue([evt.order_type == OrderType.LIMIT for evt in order_filled_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(float(quantized_amount), order_completed_event.base_asset_amount)
self.assertEqual("HOT", order_completed_event.base_asset)
self.assertEqual("WETH", order_completed_event.quote_asset)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, SellOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
def test_market_buy_and_sell(self):
self.assertGreater(self.market.get_balance("WETH"), 0.01)
amount: float = 2000.0 # Min order size is 1000 HOT
quantized_amount: Decimal = self.market.quantize_order_amount("HOT-WETH", amount)
order_id = self.market.buy("HOT-WETH", amount, OrderType.MARKET)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
order_filled_events: List[OrderFilledEvent] = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
self.assertTrue([evt.order_type == OrderType.MARKET for evt in order_filled_events])
self.assertEqual(order_id, order_completed_event.order_id)
# This is because some of the tokens are deducted in the trading fees.
self.assertTrue(
float(quantized_amount) > order_completed_event.base_asset_amount > float(quantized_amount) * 0.9
)
self.assertEqual("HOT", order_completed_event.base_asset)
self.assertEqual("WETH", order_completed_event.quote_asset)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, BuyOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of HOT to the exchange, and watch for completion event.
amount = float(order_completed_event.base_asset_amount)
quantized_amount = order_completed_event.base_asset_amount
order_id = self.market.sell("HOT-WETH", amount, OrderType.MARKET)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
order_filled_events: List[OrderFilledEvent] = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
self.assertTrue([evt.order_type == OrderType.MARKET for evt in order_filled_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(float(quantized_amount), order_completed_event.base_asset_amount)
self.assertEqual("HOT", order_completed_event.base_asset)
self.assertEqual("WETH", order_completed_event.quote_asset)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, SellOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
@unittest.skipUnless(any("test_wrap_eth" in arg for arg in sys.argv), "Wrap Eth test requires manual action.")
def test_wrap_eth(self):
amount_to_wrap = 0.01
tx_hash = self.wallet.wrap_eth(amount_to_wrap)
[tx_completed_event] = self.run_parallel(self.wallet_logger.wait_for(WalletWrappedEthEvent))
tx_completed_event: WalletWrappedEthEvent = tx_completed_event
self.assertEqual(tx_hash, tx_completed_event.tx_hash)
self.assertEqual(amount_to_wrap, tx_completed_event.amount)
self.assertEqual(self.wallet.address, tx_completed_event.address)
@unittest.skipUnless(any("test_unwrap_eth" in arg for arg in sys.argv), "Unwrap Eth test requires manual action.")
def test_unwrap_eth(self):
amount_to_unwrap = 0.01
tx_hash = self.wallet.unwrap_eth(amount_to_unwrap)
[tx_completed_event] = self.run_parallel(self.wallet_logger.wait_for(WalletUnwrappedEthEvent))
tx_completed_event: WalletUnwrappedEthEvent = tx_completed_event
self.assertEqual(tx_hash, tx_completed_event.tx_hash)
self.assertEqual(amount_to_unwrap, tx_completed_event.amount)
self.assertEqual(self.wallet.address, tx_completed_event.address)
def test_cancel_all_happy_case(self):
symbol = "HOT-WETH"
bid_price: float = self.market.get_price(symbol, True)
ask_price: float = self.market.get_price(symbol, False)
amount = 2000
self.assertGreater(self.market.get_balance("WETH"), 0.02)
self.assertGreater(self.market.get_balance("HOT"), amount)
# Intentionally setting invalid price to prevent getting filled
self.market.buy(symbol, amount, OrderType.LIMIT, bid_price * 0.7)
self.market.sell(symbol, amount, OrderType.LIMIT, ask_price * 1.5)
[cancellation_results] = self.run_parallel(self.market.cancel_all(10))
print(cancellation_results)
self.assertGreater(len(cancellation_results), 0)
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_cancel_all_failure_case(self):
symbol = "HOT-WETH"
bid_price: float = self.market.get_price(symbol, True)
ask_price: float = self.market.get_price(symbol, False)
# order submission should fail due to insufficient balance
amount = 200000
self.assertLess(self.market.get_balance("WETH"), 100)
self.assertLess(self.market.get_balance("HOT"), amount)
self.market.buy(symbol, amount, OrderType.LIMIT, bid_price * 0.7)
self.market.sell(symbol, amount, OrderType.LIMIT, ask_price * 1.5)
[cancellation_results] = self.run_parallel(self.market.cancel_all(10))
print(cancellation_results)
self.assertGreater(len(cancellation_results), 0)
for cr in cancellation_results:
self.assertEqual(cr.success, False)
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
symbol: str = "HOT-WETH"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.05 ETH worth of HOT, and watch for order creation event.
current_bid_price: float = self.market.get_price(symbol, True)
bid_price: float = current_bid_price * 0.8
quantize_bid_price: Decimal = self.market.quantize_order_price(symbol, bid_price)
amount: float = 0.05 / bid_price
quantized_amount: Decimal = self.market.quantize_order_amount(symbol, amount)
order_id = self.market.buy(symbol, quantized_amount, OrderType.LIMIT, quantize_bid_price)
[order_created_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id, list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[Order] = recorder.get_orders_for_config_and_market(config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.market_events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: DDEXMarket = DDEXMarket(
wallet=self.wallet,
ethereum_rpc_url=conf.test_ddex_web3_provider_list[0],
order_book_tracker_data_source_type=OrderBookTrackerDataSourceType.EXCHANGE_API,
symbols=[symbol]
)
for event_tag in self.market_events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.market.cancel(symbol, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(config_path, self.market)
self.assertEqual(1, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(symbol, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
symbol: str = "HOT-WETH"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.05 ETH worth of HOT from the exchange, and watch for completion event.
current_price: float = self.market.get_price(symbol, True)
amount: float = 0.05 / current_price
order_id = self.market.buy(symbol, amount)
[buy_order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of HOT to the exchange, and watch for completion event.
amount = float(buy_order_completed_event.base_asset_amount)
order_id = self.market.sell(symbol, amount)
[sell_order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "BUY"]
sell_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "SELL"]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.market.cancel(symbol, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class IDEXMarketUnitTest(unittest.TestCase):
market_events: List[MarketEvent] = [
MarketEvent.ReceivedAsset, MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted, MarketEvent.WithdrawAsset,
MarketEvent.OrderFilled, MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated, MarketEvent.OrderCancelled
]
wallet_events: List[WalletEvent] = [
WalletEvent.WrappedEth, WalletEvent.UnwrappedEth
]
wallet: Web3Wallet
market: IDEXMarket
market_logger: EventLogger
wallet_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.wallet = Web3Wallet(private_key=conf.web3_test_private_key_idex,
backend_urls=conf.test_web3_provider_list,
erc20_token_addresses=[
conf.test_idex_erc20_token_address_1,
conf.test_idex_erc20_token_address_2
],
chain=EthereumChain.MAIN_NET)
cls.market: IDEXMarket = IDEXMarket(
idex_api_key=conf.idex_api_key,
wallet=cls.wallet,
ethereum_rpc_url=conf.test_web3_provider_list[0],
order_book_tracker_data_source_type=OrderBookTrackerDataSourceType.
EXCHANGE_API,
symbols=[ETH_QNT])
print("Initializing IDEX market... ")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.wallet)
cls.clock.add_iterator(cls.market)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../idex_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
self.wallet_logger = EventLogger()
for event_tag in self.market_events:
self.market.add_listener(event_tag, self.market_logger)
for event_tag in self.wallet_events:
self.wallet.add_listener(event_tag, self.wallet_logger)
def tearDown(self):
for event_tag in self.market_events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
for event_tag in self.wallet_events:
self.wallet.remove_listener(event_tag, self.wallet_logger)
self.wallet_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
await self.market.start_network()
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_wallet_balances(self):
balances = self.market.get_all_balances()
self.assertGreaterEqual((balances["ETH"]), 0)
def test_quantize_order_amount(self):
amount = self.market.quantize_order_amount("ETH_QNT", Decimal(0.01))
self.assertEqual(amount, 0)
amount = self.market.quantize_order_amount("ETH_QNT", Decimal(100000))
self.assertEqual(amount, 100000)
def test_place_limit_buy_and_cancel(self):
symbol = ETH_QNT
buy_amount: Decimal = Decimal("16000000")
buy_price = Decimal("0.00000001")
buy_order_id: str = self.market.buy(symbol, buy_amount,
OrderType.LIMIT, buy_price)
[buy_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(buy_order_id, buy_order_opened_event.order_id)
self.assertEqual(buy_amount, buy_order_opened_event.amount)
self.assertEqual(ETH_QNT, buy_order_opened_event.symbol)
self.assertEqual(OrderType.LIMIT, buy_order_opened_event.type)
self.run_parallel(self.market.cancel_order(buy_order_id))
[buy_order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
self.assertEqual(buy_order_opened_event.order_id,
buy_order_cancelled_event.order_id)
def test_place_limit_sell_and_cancel(self):
symbol = ETH_QNT
sell_amount: Decimal = Decimal(5)
sell_price = Decimal(100000000)
sell_order_id: str = self.market.sell(symbol, sell_amount,
OrderType.LIMIT, sell_price)
[sell_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
self.assertEqual(sell_order_id, sell_order_opened_event.order_id)
self.assertEqual(sell_amount, float(sell_order_opened_event.amount))
self.assertEqual(ETH_QNT, sell_order_opened_event.symbol)
self.assertEqual(OrderType.LIMIT, sell_order_opened_event.type)
self.run_parallel(self.market.cancel_order(sell_order_id))
[sell_order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
self.assertEqual(sell_order_opened_event.order_id,
sell_order_cancelled_event.order_id)
def test_cancel_all_happy_case(self):
symbol = ETH_QNT
buy_amount: Decimal = Decimal(17000000)
buy_price = Decimal("0.00000001")
buy_order_id: str = self.market.buy(symbol, buy_amount,
OrderType.LIMIT, buy_price)
[buy_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(buy_order_id, buy_order_opened_event.order_id)
self.assertEqual(buy_amount, float(buy_order_opened_event.amount))
self.assertEqual(ETH_QNT, buy_order_opened_event.symbol)
self.assertEqual(OrderType.LIMIT, buy_order_opened_event.type)
symbol = ETH_QNT
sell_amount: Decimal = Decimal(5)
sell_price = Decimal(110000000)
sell_order_id: str = self.market.sell(symbol, sell_amount,
OrderType.LIMIT, sell_price)
[sell_order_opened_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
self.assertEqual(sell_order_id, sell_order_opened_event.order_id)
self.assertEqual(sell_amount, float(sell_order_opened_event.amount))
self.assertEqual(ETH_QNT, sell_order_opened_event.symbol)
self.assertEqual(OrderType.LIMIT, sell_order_opened_event.type)
[cancellation_results] = self.run_parallel(self.market.cancel_all(30))
self.assertGreater(len(cancellation_results), 0)
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_market_buy(self):
symbol = ETH_QNT
current_price: Decimal = Decimal(self.market.get_price(symbol, True))
buy_amount: Decimal = Decimal(0.16) / current_price
buy_order_id: str = self.market.buy(symbol, buy_amount,
OrderType.MARKET)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
self.assertEqual(buy_order_id, order_completed_event.order_id)
def test_market_sell(self):
symbol = ETH_QNT
current_price: Decimal = Decimal(self.market.get_price(symbol, False))
sell_amount: Decimal = Decimal(0.155) / current_price
sell_order_id: str = self.market.sell(symbol, sell_amount,
OrderType.MARKET)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
self.assertEqual(sell_order_id, order_completed_event.order_id)
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
symbol: str = ETH_QNT
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.05 ETH worth of QNT, and watch for order creation event.
bid_price = Decimal("0.00000002")
quantize_bid_price: Decimal = self.market.quantize_order_price(
symbol, bid_price)
amount: Decimal = Decimal("18000000")
quantized_amount: Decimal = self.market.quantize_order_amount(
symbol, amount)
expires = int(time.time() + 60 * 5)
order_id = self.market.buy(symbol,
quantized_amount,
OrderType.LIMIT,
quantize_bid_price,
expiration_ts=expires)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.market_events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: IDEXMarket = IDEXMarket(
idex_api_key=conf.idex_api_key,
wallet=self.wallet,
ethereum_rpc_url=conf.test_web3_provider_list[0],
order_book_tracker_data_source_type=
OrderBookTrackerDataSourceType.EXCHANGE_API,
symbols=[ETH_QNT])
for event_tag in self.market_events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.market.cancel(symbol, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(1, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(symbol, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
symbol: str = ETH_QNT
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.16 ETH worth of QNT from the exchange, and watch for completion event.
current_price: Decimal = Decimal(
self.market.get_price(symbol, True))
amount: Decimal = Decimal(0.16) / current_price
order_id = self.market.buy(symbol, amount)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of QNT to the exchange, and watch for completion event.
amount = Decimal(buy_order_completed_event.base_asset_amount)
order_id = self.market.sell(symbol, amount)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.market.cancel(symbol, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class BittrexExchangeUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset, MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted, MarketEvent.OrderFilled,
MarketEvent.OrderCancelled, MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated, MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled, MarketEvent.OrderFailure
]
market: BittrexExchange
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
if API_MOCK_ENABLED:
cls.web_app = MockWebServer.get_instance()
cls.web_app.add_host_to_mock(API_BASE_URL, [])
cls.web_app.start()
cls.ev_loop.run_until_complete(cls.web_app.wait_til_started())
cls._patcher = mock.patch("aiohttp.client.URL")
cls._url_mock = cls._patcher.start()
cls._url_mock.side_effect = cls.web_app.reroute_local
cls.web_app.update_response("get", API_BASE_URL, "/v3/ping",
FixtureBittrex.PING)
cls.web_app.update_response("get", API_BASE_URL, "/v3/markets",
FixtureBittrex.MARKETS)
cls.web_app.update_response("get", API_BASE_URL,
"/v3/markets/tickers",
FixtureBittrex.MARKETS_TICKERS)
cls.web_app.update_response("get", API_BASE_URL, "/v3/balances",
FixtureBittrex.BALANCES)
cls.web_app.update_response("get", API_BASE_URL, "/v3/orders/open",
FixtureBittrex.ORDERS_OPEN)
cls._t_nonce_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.bittrex.bittrex_exchange.get_tracking_nonce"
)
cls._t_nonce_mock = cls._t_nonce_patcher.start()
cls._us_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.bittrex.bittrex_api_user_stream_data_source."
"BittrexAPIUserStreamDataSource._transform_raw_message",
autospec=True)
cls._us_mock = cls._us_patcher.start()
cls._us_mock.side_effect = _transform_raw_message_patch
cls._ob_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.bittrex.bittrex_api_order_book_data_source."
"BittrexAPIOrderBookDataSource._transform_raw_message",
autospec=True)
cls._ob_mock = cls._ob_patcher.start()
cls._ob_mock.side_effect = _transform_raw_message_patch
MockWebSocketServerFactory.url_host_only = True
ws_server = MockWebSocketServerFactory.start_new_server(
WS_BASE_URL)
cls._ws_patcher = unittest.mock.patch("websockets.connect",
autospec=True)
cls._ws_mock = cls._ws_patcher.start()
cls._ws_mock.side_effect = MockWebSocketServerFactory.reroute_ws_connect
ws_server.add_stock_response(
"queryExchangeState",
FixtureBittrex.WS_ORDER_BOOK_SNAPSHOT.copy())
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: BittrexExchange = BittrexExchange(
bittrex_api_key=API_KEY,
bittrex_secret_key=API_SECRET,
trading_pairs=["ETH-USDT"])
print("Initializing Bittrex market... this will take about a minute. ")
cls.clock.add_iterator(cls.market)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
if API_MOCK_ENABLED:
cls.web_app.stop()
cls._patcher.stop()
cls._t_nonce_patcher.stop()
cls._ob_patcher.stop()
cls._us_patcher.stop()
cls._ws_patcher.stop()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../bittrex_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = asyncio.ensure_future(asyncio.gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self.clock.run_til(next_iteration)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
limit_fee: TradeFee = self.market.get_fee("ETH", "USDT",
OrderType.LIMIT_MAKER,
TradeType.BUY, 1, 1)
self.assertGreater(limit_fee.percent, 0)
self.assertEqual(len(limit_fee.flat_fees), 0)
market_fee: TradeFee = self.market.get_fee("ETH", "USDT",
OrderType.LIMIT,
TradeType.BUY, 1)
self.assertGreater(market_fee.percent, 0)
self.assertEqual(len(market_fee.flat_fees), 0)
def test_fee_overrides_config(self):
fee_overrides_config_map["bittrex_taker_fee"].value = None
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.0025"), taker_fee.percent)
fee_overrides_config_map["bittrex_taker_fee"].value = Decimal('0.2')
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), taker_fee.percent)
fee_overrides_config_map["bittrex_maker_fee"].value = None
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT_MAKER,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.0025"), maker_fee.percent)
fee_overrides_config_map["bittrex_maker_fee"].value = Decimal('0.5')
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT_MAKER,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.005"), maker_fee.percent)
def place_order(self, is_buy, trading_pair, amount, order_type, price,
nonce, post_resp, ws_resp):
global EXCHANGE_ORDER_ID
order_id, exch_order_id = None, None
if API_MOCK_ENABLED:
exch_order_id = f"BITTREX_{EXCHANGE_ORDER_ID}"
EXCHANGE_ORDER_ID += 1
self._t_nonce_mock.return_value = nonce
resp = post_resp.copy()
resp["id"] = exch_order_id
side = 'buy' if is_buy else 'sell'
resp["direction"] = side.upper()
resp["type"] = order_type.name.upper()
if order_type == OrderType.LIMIT:
del resp["limit"]
self.web_app.update_response("post", API_BASE_URL, "/v3/orders",
resp)
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type,
price)
if API_MOCK_ENABLED:
resp = ws_resp.copy()
resp["content"]["o"]["OU"] = exch_order_id
MockWebSocketServerFactory.send_json_threadsafe(WS_BASE_URL,
resp,
delay=1.0)
return order_id, exch_order_id
def cancel_order(self, trading_pair, order_id, exch_order_id):
if API_MOCK_ENABLED:
resp = FixtureBittrex.CANCEL_ORDER.copy()
resp["id"] = exch_order_id
self.web_app.update_response("delete", API_BASE_URL,
f"/v3/orders/{exch_order_id}", resp)
self.market.cancel(trading_pair, order_id)
def test_limit_maker_rejections(self):
if API_MOCK_ENABLED:
return
trading_pair = "ETH-USDT"
# Try to put a buy limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('1.02')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair, 1)
order_id = self.market.buy(trading_pair, amount, OrderType.LIMIT_MAKER,
price)
[order_failure_event] = self.run_parallel(
self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
self.market_logger.clear()
# Try to put a sell limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('0.98')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair, 1)
order_id = self.market.sell(trading_pair, amount,
OrderType.LIMIT_MAKER, price)
[order_failure_event] = self.run_parallel(
self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
def test_limit_makers_unfilled(self):
self.assertGreater(self.market.get_balance("USDT"), 20)
trading_pair = "ETH-USDT"
current_bid_price: Decimal = self.market.get_price(
trading_pair, True) * Decimal('0.80')
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, current_bid_price)
bid_amount: Decimal = Decimal('0.06')
quantized_bid_amount: Decimal = self.market.quantize_order_amount(
trading_pair, bid_amount)
current_ask_price: Decimal = self.market.get_price(trading_pair, False)
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, current_ask_price)
ask_amount: Decimal = Decimal('0.06')
quantized_ask_amount: Decimal = self.market.quantize_order_amount(
trading_pair, ask_amount)
order_id, exch_order_id_1 = self.place_order(
True, trading_pair, quantized_bid_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001, FixtureBittrex.FILLED_BUY_LIMIT_ORDER,
FixtureBittrex.WS_AFTER_BUY_2)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
order_id2, exch_order_id_2 = self.place_order(
False, trading_pair, quantized_ask_amount, OrderType.LIMIT_MAKER,
quantize_ask_price, 10002, FixtureBittrex.ORDER_PLACE_OPEN,
FixtureBittrex.WS_ORDER_OPEN)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id2, order_created_event.order_id)
self.run_parallel(asyncio.sleep(1))
if API_MOCK_ENABLED:
resp = FixtureBittrex.ORDER_CANCEL.copy()
resp["id"] = exch_order_id_1
self.web_app.update_response("delete", API_BASE_URL,
f"/v3/orders/{exch_order_id_1}", resp)
resp = FixtureBittrex.ORDER_CANCEL.copy()
resp["id"] = exch_order_id_2
self.web_app.update_response("delete", API_BASE_URL,
f"/v3/orders/{exch_order_id_2}", resp)
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_limit_taker_buy(self):
self.assertGreater(self.market.get_balance("USDT"), 20)
trading_pair = "ETH-USDT"
price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.06")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(True, trading_pair, quantized_amount,
OrderType.LIMIT, price, 10001,
FixtureBittrex.FILLED_BUY_LIMIT_ORDER,
FixtureBittrex.WS_AFTER_BUY_2)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("ETH", order_completed_event.base_asset)
self.assertEqual("USDT", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_limit_taker_sell(self):
trading_pair = "ETH-USDT"
self.assertGreater(self.market.get_balance("ETH"), 0.06)
price: Decimal = self.market.get_price(trading_pair, False)
amount: Decimal = Decimal("0.06")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(False, trading_pair, quantized_amount,
OrderType.LIMIT, price, 10001,
FixtureBittrex.FILLED_BUY_LIMIT_ORDER,
FixtureBittrex.WS_AFTER_BUY_2)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("ETH", order_completed_event.base_asset)
self.assertEqual("USDT", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_cancel_order(self):
trading_pair = "ETH-USDT"
current_bid_price: Decimal = self.market.get_price(
trading_pair, True) * Decimal('0.80')
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, current_bid_price)
amount: Decimal = Decimal("0.06")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, exch_order_id = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001, FixtureBittrex.OPEN_BUY_LIMIT_ORDER,
FixtureBittrex.WS_AFTER_BUY_1)
self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
self.cancel_order(trading_pair, order_id, exch_order_id)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.assertEqual(order_cancelled_event.order_id, order_id)
def test_cancel_all(self):
self.assertGreater(self.market.get_balance("USDT"), 20)
trading_pair = "ETH-USDT"
current_bid_price: Decimal = self.market.get_price(
trading_pair, True) * Decimal('0.80')
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, current_bid_price)
bid_amount: Decimal = Decimal('0.06')
quantized_bid_amount: Decimal = self.market.quantize_order_amount(
trading_pair, bid_amount)
current_ask_price: Decimal = self.market.get_price(trading_pair, False)
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, current_ask_price)
ask_amount: Decimal = Decimal('0.06')
quantized_ask_amount: Decimal = self.market.quantize_order_amount(
trading_pair, ask_amount)
_, exch_order_id_1 = self.place_order(
True, trading_pair, quantized_bid_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001, FixtureBittrex.OPEN_BUY_LIMIT_ORDER,
FixtureBittrex.WS_AFTER_BUY_1)
_, exch_order_id_2 = self.place_order(
False, trading_pair, quantized_ask_amount, OrderType.LIMIT_MAKER,
quantize_ask_price, 10002, FixtureBittrex.OPEN_BUY_LIMIT_ORDER,
FixtureBittrex.WS_AFTER_BUY_1)
self.run_parallel(asyncio.sleep(1))
if API_MOCK_ENABLED:
resp = FixtureBittrex.CANCEL_ORDER.copy()
resp["id"] = exch_order_id_1
self.web_app.update_response("delete", API_BASE_URL,
f"/v3/orders/{exch_order_id_1}", resp)
resp = FixtureBittrex.CANCEL_ORDER.copy()
resp["id"] = exch_order_id_2
self.web_app.update_response("delete", API_BASE_URL,
f"/v3/orders/{exch_order_id_2}", resp)
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-USDT"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
current_bid_price: Decimal = self.market.get_price(
trading_pair, True) * Decimal('0.80')
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, current_bid_price)
bid_amount: Decimal = Decimal('0.06')
quantized_bid_amount: Decimal = self.market.quantize_order_amount(
trading_pair, bid_amount)
order_id, exch_order_id = self.place_order(
True, trading_pair, quantized_bid_amount, OrderType.LIMIT,
quantize_bid_price, 10001, FixtureBittrex.OPEN_BUY_LIMIT_ORDER,
FixtureBittrex.WS_AFTER_BUY_1)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: BittrexExchange = BittrexExchange(
bittrex_api_key=API_KEY,
bittrex_secret_key=API_SECRET,
trading_pairs=["XRP-BTC"])
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.cancel_order(trading_pair, order_id, exch_order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-USDT"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.06")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT, price,
10001, FixtureBittrex.FILLED_BUY_LIMIT_ORDER,
FixtureBittrex.WS_AFTER_BUY_2)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
amount = Decimal(buy_order_completed_event.base_asset_amount)
price: Decimal = self.market.get_price(trading_pair, False)
order_id, _ = self.place_order(
False, trading_pair, amount, OrderType.LIMIT, price, 10001,
FixtureBittrex.FILLED_BUY_LIMIT_ORDER,
FixtureBittrex.WS_AFTER_BUY_2)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class CryptoComExchangeUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.BuyOrderCompleted, MarketEvent.SellOrderCompleted,
MarketEvent.OrderFilled, MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated, MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled, MarketEvent.OrderFailure
]
connector: CryptoComExchange
event_logger: EventLogger
trading_pair = "BTC-USDT"
base_token, quote_token = trading_pair.split("-")
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
global MAINNET_RPC_URL
cls.ev_loop = asyncio.get_event_loop()
if API_MOCK_ENABLED:
cls.web_app = HummingWebApp.get_instance()
cls.web_app.add_host_to_mock(BASE_API_URL, [])
cls.web_app.start()
cls.ev_loop.run_until_complete(cls.web_app.wait_til_started())
cls._patcher = mock.patch("aiohttp.client.URL")
cls._url_mock = cls._patcher.start()
cls._url_mock.side_effect = cls.web_app.reroute_local
cls.web_app.update_response("get", BASE_API_URL,
"/v2/public/get-ticker",
fixture.TICKERS)
cls.web_app.update_response("get", BASE_API_URL,
"/v2/public/get-instruments",
fixture.INSTRUMENTS)
cls.web_app.update_response("get", BASE_API_URL,
"/v2/public/get-book",
fixture.GET_BOOK)
cls.web_app.update_response("post", BASE_API_URL,
"/v2/private/get-account-summary",
fixture.BALANCES)
cls.web_app.update_response("post", BASE_API_URL,
"/v2/private/cancel-order",
fixture.CANCEL)
HummingWsServerFactory.start_new_server(WSS_PRIVATE_URL)
HummingWsServerFactory.start_new_server(WSS_PUBLIC_URL)
cls._ws_patcher = unittest.mock.patch("websockets.connect",
autospec=True)
cls._ws_mock = cls._ws_patcher.start()
cls._ws_mock.side_effect = HummingWsServerFactory.reroute_ws_connect
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.connector: CryptoComExchange = CryptoComExchange(
crypto_com_api_key=API_KEY,
crypto_com_api_secret=API_SECRET,
trading_pairs=[cls.trading_pair],
trading_required=True)
print(
"Initializing CryptoCom market... this will take about a minute.")
cls.clock.add_iterator(cls.connector)
cls.stack: contextlib.ExitStack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
if API_MOCK_ENABLED:
HummingWsServerFactory.send_json_threadsafe(WSS_PRIVATE_URL,
fixture.WS_INITIATED,
delay=0.5)
HummingWsServerFactory.send_json_threadsafe(WSS_PRIVATE_URL,
fixture.WS_SUBSCRIBE,
delay=0.51)
HummingWsServerFactory.send_json_threadsafe(WSS_PRIVATE_URL,
fixture.WS_HEARTBEAT,
delay=0.52)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
if API_MOCK_ENABLED:
cls.web_app.stop()
cls._patcher.stop()
cls._ws_patcher.stop()
@classmethod
async def wait_til_ready(cls, connector=None):
if connector is None:
connector = cls.connector
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if connector.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__,
"../connector_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.event_logger = EventLogger()
for event_tag in self.events:
self.connector.add_listener(event_tag, self.event_logger)
def tearDown(self):
for event_tag in self.events:
self.connector.remove_listener(event_tag, self.event_logger)
self.event_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_estimate_fee(self):
maker_fee = self.connector.estimate_fee_pct(True)
self.assertAlmostEqual(maker_fee, Decimal("0.001"))
taker_fee = self.connector.estimate_fee_pct(False)
self.assertAlmostEqual(taker_fee, Decimal("0.001"))
def _place_order(self,
is_buy,
amount,
order_type,
price,
ex_order_id,
get_order_fixture=None,
ws_trade_fixture=None,
ws_order_fixture=None) -> str:
if API_MOCK_ENABLED:
data = fixture.PLACE_ORDER.copy()
data["result"]["order_id"] = str(ex_order_id)
self.web_app.update_response("post", BASE_API_URL,
"/v2/private/create-order", data)
if is_buy:
cl_order_id = self.connector.buy(self.trading_pair, amount,
order_type, price)
else:
cl_order_id = self.connector.sell(self.trading_pair, amount,
order_type, price)
if API_MOCK_ENABLED:
if get_order_fixture is not None:
data = get_order_fixture.copy()
data["result"]["order_info"]["client_oid"] = cl_order_id
data["result"]["order_info"]["order_id"] = ex_order_id
self.web_app.update_response("post", BASE_API_URL,
"/v2/private/get-order-detail",
data)
if ws_trade_fixture is not None:
data = ws_trade_fixture.copy()
data["result"]["data"][0]["order_id"] = str(ex_order_id)
HummingWsServerFactory.send_json_threadsafe(WSS_PRIVATE_URL,
data,
delay=0.1)
if ws_order_fixture is not None:
data = ws_order_fixture.copy()
data["result"]["data"][0]["order_id"] = str(ex_order_id)
data["result"]["data"][0]["client_oid"] = cl_order_id
HummingWsServerFactory.send_json_threadsafe(WSS_PRIVATE_URL,
data,
delay=0.12)
return cl_order_id
def _cancel_order(self, cl_order_id):
self.connector.cancel(self.trading_pair, cl_order_id)
if API_MOCK_ENABLED:
data = fixture.WS_ORDER_CANCELLED.copy()
data["result"]["data"][0]["client_oid"] = cl_order_id
HummingWsServerFactory.send_json_threadsafe(WSS_PRIVATE_URL,
data,
delay=0.1)
def test_buy_and_sell(self):
price = self.connector.get_price(self.trading_pair,
True) * Decimal("1.05")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair,
Decimal("0.0001"))
quote_bal = self.connector.get_available_balance(self.quote_token)
base_bal = self.connector.get_available_balance(self.base_token)
order_id = self._place_order(True, amount, OrderType.LIMIT, price, 1,
None, fixture.WS_TRADE)
order_completed_event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(BuyOrderCompletedEvent))
self.ev_loop.run_until_complete(asyncio.sleep(2))
trade_events = [
t for t in self.event_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(amount, order_completed_event.base_asset_amount)
self.assertEqual("BTC", order_completed_event.base_asset)
self.assertEqual("USDT", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.event_logger.event_log
]))
# check available quote balance gets updated, we need to wait a bit for the balance message to arrive
expected_quote_bal = quote_bal - quote_amount_traded
self._mock_ws_bal_update(self.quote_token, expected_quote_bal)
self.ev_loop.run_until_complete(asyncio.sleep(1))
self.assertAlmostEqual(
expected_quote_bal,
self.connector.get_available_balance(self.quote_token))
# Reset the logs
self.event_logger.clear()
# Try to sell back the same amount to the exchange, and watch for completion event.
price = self.connector.get_price(self.trading_pair,
True) * Decimal("0.95")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair,
Decimal("0.0001"))
order_id = self._place_order(False, amount, OrderType.LIMIT, price, 2,
None, fixture.WS_TRADE)
order_completed_event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(SellOrderCompletedEvent))
trade_events = [
t for t in self.event_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(amount, order_completed_event.base_asset_amount)
self.assertEqual("BTC", order_completed_event.base_asset)
self.assertEqual("USDT", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.event_logger.event_log
]))
# check available base balance gets updated, we need to wait a bit for the balance message to arrive
expected_base_bal = base_bal
self._mock_ws_bal_update(self.base_token, expected_base_bal)
self.ev_loop.run_until_complete(asyncio.sleep(1))
self.assertAlmostEqual(
expected_base_bal,
self.connector.get_available_balance(self.base_token), 5)
def test_limit_makers_unfilled(self):
price = self.connector.get_price(self.trading_pair,
True) * Decimal("0.8")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair,
Decimal("0.0001"))
quote_bal = self.connector.get_available_balance(self.quote_token)
# order_id = self.connector.buy(self.trading_pair, amount, OrderType.LIMIT_MAKER, price)
cl_order_id = self._place_order(True, amount, OrderType.LIMIT_MAKER,
price, 1, fixture.UNFILLED_ORDER)
order_created_event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(cl_order_id, order_created_event.order_id)
# check available quote balance gets updated, we need to wait a bit for the balance message to arrive
expected_quote_bal = quote_bal - (price * amount)
self._mock_ws_bal_update(self.quote_token, expected_quote_bal)
self.ev_loop.run_until_complete(asyncio.sleep(2))
self.assertAlmostEqual(
expected_quote_bal,
self.connector.get_available_balance(self.quote_token))
self._cancel_order(cl_order_id)
event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(OrderCancelledEvent))
self.assertEqual(cl_order_id, event.order_id)
price = self.connector.get_price(self.trading_pair,
True) * Decimal("1.2")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair,
Decimal("0.0001"))
cl_order_id = self._place_order(False, amount, OrderType.LIMIT_MAKER,
price, 2, fixture.UNFILLED_ORDER)
order_created_event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(SellOrderCreatedEvent))
self.assertEqual(cl_order_id, order_created_event.order_id)
self._cancel_order(cl_order_id)
event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(OrderCancelledEvent))
self.assertEqual(cl_order_id, event.order_id)
def _mock_ws_bal_update(self, token, available):
if API_MOCK_ENABLED:
available = float(available)
data = fixture.WS_BALANCE.copy()
data["result"]["data"][0]["currency"] = token
data["result"]["data"][0]["available"] = available
HummingWsServerFactory.send_json_threadsafe(WSS_PRIVATE_URL,
fixture.WS_BALANCE,
delay=0.1)
def test_limit_maker_rejections(self):
price = self.connector.get_price(self.trading_pair,
True) * Decimal("1.2")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair,
Decimal("0.0001"))
cl_order_id = self._place_order(True, amount, OrderType.LIMIT_MAKER,
price, 1, None, None,
fixture.WS_ORDER_CANCELLED)
event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(OrderCancelledEvent))
self.assertEqual(cl_order_id, event.order_id)
price = self.connector.get_price(self.trading_pair,
False) * Decimal("0.8")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair,
Decimal("0.0001"))
cl_order_id = self._place_order(False, amount, OrderType.LIMIT_MAKER,
price, 2, None, None,
fixture.WS_ORDER_CANCELLED)
event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(OrderCancelledEvent))
self.assertEqual(cl_order_id, event.order_id)
def test_cancel_all(self):
bid_price = self.connector.get_price(self.trading_pair, True)
ask_price = self.connector.get_price(self.trading_pair, False)
bid_price = self.connector.quantize_order_price(
self.trading_pair, bid_price * Decimal("0.7"))
ask_price = self.connector.quantize_order_price(
self.trading_pair, ask_price * Decimal("1.5"))
amount = self.connector.quantize_order_amount(self.trading_pair,
Decimal("0.0001"))
buy_id = self._place_order(True, amount, OrderType.LIMIT, bid_price, 1)
sell_id = self._place_order(False, amount, OrderType.LIMIT, ask_price,
2)
self.ev_loop.run_until_complete(asyncio.sleep(1))
asyncio.ensure_future(self.connector.cancel_all(3))
if API_MOCK_ENABLED:
data = fixture.WS_ORDER_CANCELLED.copy()
data["result"]["data"][0]["client_oid"] = buy_id
data["result"]["data"][0]["order_id"] = 1
HummingWsServerFactory.send_json_threadsafe(WSS_PRIVATE_URL,
data,
delay=0.1)
self.ev_loop.run_until_complete(asyncio.sleep(1))
data = fixture.WS_ORDER_CANCELLED.copy()
data["result"]["data"][0]["client_oid"] = sell_id
data["result"]["data"][0]["order_id"] = 2
HummingWsServerFactory.send_json_threadsafe(WSS_PRIVATE_URL,
data,
delay=0.11)
self.ev_loop.run_until_complete(asyncio.sleep(3))
cancel_events = [
t for t in self.event_logger.event_log
if isinstance(t, OrderCancelledEvent)
]
self.assertEqual({buy_id, sell_id},
{o.order_id
for o in cancel_events})
def test_order_price_precision(self):
bid_price: Decimal = self.connector.get_price(self.trading_pair, True)
ask_price: Decimal = self.connector.get_price(self.trading_pair, False)
mid_price: Decimal = (bid_price + ask_price) / 2
amount: Decimal = Decimal("0.000123456")
# Make sure there's enough balance to make the limit orders.
self.assertGreater(self.connector.get_balance("BTC"), Decimal("0.001"))
self.assertGreater(self.connector.get_balance("USDT"), Decimal("10"))
# Intentionally set some prices with too many decimal places s.t. they
# need to be quantized. Also, place them far away from the mid-price s.t. they won't
# get filled during the test.
bid_price = mid_price * Decimal("0.9333192292111341")
ask_price = mid_price * Decimal("1.0492431474884933")
cl_order_id_1 = self._place_order(True, amount, OrderType.LIMIT,
bid_price, 1, fixture.UNFILLED_ORDER)
# Wait for the order created event and examine the order made
self.ev_loop.run_until_complete(
self.event_logger.wait_for(BuyOrderCreatedEvent))
order = self.connector.in_flight_orders[cl_order_id_1]
quantized_bid_price = self.connector.quantize_order_price(
self.trading_pair, bid_price)
quantized_bid_size = self.connector.quantize_order_amount(
self.trading_pair, amount)
self.assertEqual(quantized_bid_price, order.price)
self.assertEqual(quantized_bid_size, order.amount)
# Test ask order
cl_order_id_2 = self._place_order(False, amount, OrderType.LIMIT,
ask_price, 1, fixture.UNFILLED_ORDER)
# Wait for the order created event and examine and order made
self.ev_loop.run_until_complete(
self.event_logger.wait_for(SellOrderCreatedEvent))
order = self.connector.in_flight_orders[cl_order_id_2]
quantized_ask_price = self.connector.quantize_order_price(
self.trading_pair, Decimal(ask_price))
quantized_ask_size = self.connector.quantize_order_amount(
self.trading_pair, Decimal(amount))
self.assertEqual(quantized_ask_price, order.price)
self.assertEqual(quantized_ask_size, order.amount)
self._cancel_order(cl_order_id_1)
self._cancel_order(cl_order_id_2)
def test_orders_saving_and_restoration(self):
config_path = "test_config"
strategy_name = "test_strategy"
sql = SQLConnectionManager(SQLConnectionType.TRADE_FILLS,
db_path=self.db_path)
order_id = None
recorder = MarketsRecorder(sql, [self.connector], config_path,
strategy_name)
recorder.start()
try:
self.connector._in_flight_orders.clear()
self.assertEqual(0, len(self.connector.tracking_states))
# Try to put limit buy order for 0.02 ETH worth of ZRX, and watch for order creation event.
current_bid_price: Decimal = self.connector.get_price(
self.trading_pair, True)
price: Decimal = current_bid_price * Decimal("0.8")
price = self.connector.quantize_order_price(
self.trading_pair, price)
amount: Decimal = Decimal("0.0001")
amount = self.connector.quantize_order_amount(
self.trading_pair, amount)
cl_order_id = self._place_order(True, amount,
OrderType.LIMIT_MAKER, price, 1,
fixture.UNFILLED_ORDER)
order_created_event = self.ev_loop.run_until_complete(
self.event_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(cl_order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.connector.tracking_states))
self.assertEqual(cl_order_id,
list(self.connector.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.connector)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(cl_order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.connector)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.connector.stop(self._clock)
self.ev_loop.run_until_complete(asyncio.sleep(5))
self.clock.remove_iterator(self.connector)
for event_tag in self.events:
self.connector.remove_listener(event_tag, self.event_logger)
new_connector = CryptoComExchange(API_KEY, API_SECRET,
[self.trading_pair], True)
for event_tag in self.events:
new_connector.add_listener(event_tag, self.event_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [new_connector], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, new_connector)
self.clock.add_iterator(new_connector)
if not API_MOCK_ENABLED:
self.ev_loop.run_until_complete(
self.wait_til_ready(new_connector))
self.assertEqual(0, len(new_connector.limit_orders))
self.assertEqual(0, len(new_connector.tracking_states))
new_connector.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(new_connector.limit_orders))
self.assertEqual(1, len(new_connector.tracking_states))
# Cancel the order and verify that the change is saved.
self._cancel_order(cl_order_id)
self.ev_loop.run_until_complete(
self.event_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(new_connector.limit_orders))
self.assertEqual(0, len(new_connector.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, new_connector)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.connector.cancel(self.trading_pair, cl_order_id)
self.run_parallel(
self.event_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_update_last_prices(self):
# This is basic test to see if order_book last_trade_price is initiated and updated.
for order_book in self.connector.order_books.values():
for _ in range(5):
self.ev_loop.run_until_complete(asyncio.sleep(1))
print(order_book.last_trade_price)
self.assertFalse(math.isnan(order_book.last_trade_price))
def test_filled_orders_recorded(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql = SQLConnectionManager(SQLConnectionType.TRADE_FILLS,
db_path=self.db_path)
order_id = None
recorder = MarketsRecorder(sql, [self.connector], config_path,
strategy_name)
recorder.start()
try:
# Try to buy some token from the exchange, and watch for completion event.
price = self.connector.get_price(self.trading_pair,
True) * Decimal("1.05")
price = self.connector.quantize_order_price(
self.trading_pair, price)
amount = self.connector.quantize_order_amount(
self.trading_pair, Decimal("0.0001"))
order_id = self._place_order(True, amount, OrderType.LIMIT, price,
1, None, fixture.WS_TRADE)
self.ev_loop.run_until_complete(
self.event_logger.wait_for(BuyOrderCompletedEvent))
self.ev_loop.run_until_complete(asyncio.sleep(1))
# Reset the logs
self.event_logger.clear()
# Try to sell back the same amount to the exchange, and watch for completion event.
price = self.connector.get_price(self.trading_pair,
True) * Decimal("0.95")
price = self.connector.quantize_order_price(
self.trading_pair, price)
amount = self.connector.quantize_order_amount(
self.trading_pair, Decimal("0.0001"))
order_id = self._place_order(False, amount, OrderType.LIMIT, price,
2, None, fixture.WS_TRADE)
self.ev_loop.run_until_complete(
self.event_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertGreaterEqual(len(trade_fills), 2)
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertGreaterEqual(len(buy_fills), 1)
self.assertGreaterEqual(len(sell_fills), 1)
order_id = None
finally:
if order_id is not None:
self.connector.cancel(self.trading_pair, order_id)
self.run_parallel(
self.event_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class CoinbaseProOrderBookTrackerUnitTest(unittest.TestCase):
order_book_tracker: Optional[CoinbaseProOrderBookTracker] = None
events: List[OrderBookEvent] = [OrderBookEvent.TradeEvent]
trading_pairs: List[str] = ["BTC-USD"]
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.order_book_tracker: CoinbaseProOrderBookTracker = CoinbaseProOrderBookTracker(
OrderBookTrackerDataSourceType.EXCHANGE_API,
symbols=cls.trading_pairs)
cls.order_book_tracker_task: asyncio.Task = safe_ensure_future(
cls.order_book_tracker.start())
cls.ev_loop.run_until_complete(cls.wait_til_tracker_ready())
@classmethod
async def wait_til_tracker_ready(cls):
while True:
if len(cls.order_book_tracker.order_books) > 0:
print("Initialized real-time order books.")
return
await asyncio.sleep(1)
async def run_parallel_async(self, *tasks, timeout=None):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
timer = 0
while not future.done():
if timeout and timer > timeout:
raise Exception(
"Time out running parallel async task in tests.")
timer += 1
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def setUp(self):
self.event_logger = EventLogger()
for event_tag in self.events:
for trading_pair, order_book in self.order_book_tracker.order_books.items(
):
order_book.add_listener(event_tag, self.event_logger)
def test_order_book_trade_event_emission(self):
"""
Test if order book tracker is able to retrieve order book trade message from exchange and
emit order book trade events after correctly parsing the trade messages
"""
self.run_parallel(self.event_logger.wait_for(OrderBookTradeEvent))
for ob_trade_event in self.event_logger.event_log:
self.assertTrue(type(ob_trade_event) == OrderBookTradeEvent)
self.assertTrue(ob_trade_event.symbol in self.trading_pairs)
self.assertTrue(type(ob_trade_event.timestamp) == float)
self.assertTrue(type(ob_trade_event.amount) == float)
self.assertTrue(type(ob_trade_event.price) == float)
self.assertTrue(type(ob_trade_event.type) == TradeType)
self.assertTrue(
math.ceil(math.log10(ob_trade_event.timestamp)) == 10)
self.assertTrue(ob_trade_event.amount > 0)
self.assertTrue(ob_trade_event.price > 0)
def test_tracker_integrity(self):
# Wait 5 seconds to process some diffs.
self.ev_loop.run_until_complete(asyncio.sleep(5.0))
order_books: Dict[str, OrderBook] = self.order_book_tracker.order_books
test_order_book: OrderBook = order_books["BTC-USD"]
# print("test_order_book")
# print(test_order_book.snapshot)
self.assertGreaterEqual(
test_order_book.get_price_for_volume(True, 10).result_price,
test_order_book.get_price(True))
self.assertLessEqual(
test_order_book.get_price_for_volume(False, 10).result_price,
test_order_book.get_price(False))
test_active_order_tracker = self.order_book_tracker._active_order_trackers[
"BTC-USD"]
self.assertTrue(len(test_active_order_tracker.active_asks) > 0)
self.assertTrue(len(test_active_order_tracker.active_bids) > 0)
def test_order_book_data_source(self):
self.assertTrue(
isinstance(self.order_book_tracker.data_source,
OrderBookTrackerDataSource))
def test_get_active_exchange_markets(self):
[active_markets_df] = self.run_parallel(
self.order_book_tracker.data_source.get_active_exchange_markets())
# print(active_markets_df)
self.assertGreater(active_markets_df.size, 0)
self.assertTrue("baseAsset" in active_markets_df)
self.assertTrue("quoteAsset" in active_markets_df)
self.assertTrue("USDVolume" in active_markets_df)
def test_get_trading_pairs(self):
[trading_pairs] = self.run_parallel(
self.order_book_tracker.data_source.get_trading_pairs())
# print(trading_pairs)
self.assertEqual(len(trading_pairs), len(self.trading_pairs))
def test_diff_msg_get_added_to_order_book(self):
test_active_order_tracker = self.order_book_tracker._active_order_trackers[
"BTC-USD"]
price = "200"
order_id = "test_order_id"
product_id = "BTC-USD"
remaining_size = "1.00"
# Test open message diff
raw_open_message = {
"type": "open",
"time": datetime.now().isoformat(),
"product_id": product_id,
"sequence": 20000000000,
"order_id": order_id,
"price": price,
"remaining_size": remaining_size,
"side": "buy"
}
open_message = CoinbaseProOrderBook.diff_message_from_exchange(
raw_open_message)
self.order_book_tracker._order_book_diff_stream.put_nowait(
open_message)
self.run_parallel(asyncio.sleep(5))
test_order_book_row = test_active_order_tracker.active_bids[Decimal(
price)]
self.assertEqual(test_order_book_row[order_id]["remaining_size"],
remaining_size)
# Test change message diff
new_size = "2.00"
raw_change_message = {
"type": "change",
"time": datetime.now().isoformat(),
"product_id": product_id,
"sequence": 20000000001,
"order_id": order_id,
"price": price,
"new_size": new_size,
"old_size": remaining_size,
"side": "buy",
}
change_message = CoinbaseProOrderBook.diff_message_from_exchange(
raw_change_message)
self.order_book_tracker._order_book_diff_stream.put_nowait(
change_message)
self.run_parallel(asyncio.sleep(5))
test_order_book_row = test_active_order_tracker.active_bids[Decimal(
price)]
self.assertEqual(test_order_book_row[order_id]["remaining_size"],
new_size)
# Test match message diff
match_size = "0.50"
raw_match_message = {
"type": "match",
"trade_id": 10,
"sequence": 20000000002,
"maker_order_id": order_id,
"taker_order_id": "test_order_id_2",
"time": datetime.now().isoformat(),
"product_id": "BTC-USD",
"size": match_size,
"price": price,
"side": "buy"
}
match_message = CoinbaseProOrderBook.diff_message_from_exchange(
raw_match_message)
self.order_book_tracker._order_book_diff_stream.put_nowait(
match_message)
self.run_parallel(asyncio.sleep(5))
test_order_book_row = test_active_order_tracker.active_bids[Decimal(
price)]
self.assertEqual(
Decimal(test_order_book_row[order_id]["remaining_size"]),
Decimal(new_size) - Decimal(match_size))
# Test done message diff
raw_done_message = {
"type": "done",
"time": datetime.now().isoformat(),
"product_id": "BTC-USD",
"sequence": 20000000003,
"price": price,
"order_id": order_id,
"reason": "filled",
"remaining_size": 0,
"side": "buy",
}
done_message = CoinbaseProOrderBook.diff_message_from_exchange(
raw_done_message)
self.order_book_tracker._order_book_diff_stream.put_nowait(
done_message)
self.run_parallel(asyncio.sleep(5))
test_order_book_row = test_active_order_tracker.active_bids[Decimal(
price)]
self.assertTrue(order_id not in test_order_book_row)
class BitcoinComMarketUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset, MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted, MarketEvent.WithdrawAsset,
MarketEvent.OrderFilled, MarketEvent.OrderCancelled,
MarketEvent.TransactionFailure, MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated, MarketEvent.OrderCancelled
]
market: BitcoinComMarket
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: BitcoinComMarket = BitcoinComMarket(
bitcoin_com_api_key=conf.bitcoin_com_api_key,
bitcoin_com_secret_key=conf.bitcoin_com_secret_key,
trading_pairs=["ETHBTC", "LTCBTC"])
print(
"Initializing BitcoinCom market... this will take about a minute.")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.market)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(
join(__file__, "../bitcoin_com_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self.clock.run_til(next_iteration)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
limit_fee: TradeFee = self.market.get_fee("ETH", "BTC",
OrderType.LIMIT,
TradeType.BUY, 1, 1)
self.assertGreater(limit_fee.percent, 0)
self.assertEqual(len(limit_fee.flat_fees), 0)
market_fee: TradeFee = self.market.get_fee("ETH", "BTC",
OrderType.MARKET,
TradeType.BUY, 1)
self.assertGreater(market_fee.percent, 0)
self.assertEqual(len(market_fee.flat_fees), 0)
def test_limit_buy(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.01"))
trading_pair = "ETHBTC"
amount: Decimal = Decimal("0.0001")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
bid_price: Decimal = current_bid_price + Decimal(
"0.05") * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
order_id = self.market.buy(trading_pair, quantized_amount,
OrderType.LIMIT, quantize_bid_price)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("ETH", order_completed_event.base_asset)
self.assertEqual("BTC", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_limit_sell(self):
trading_pair = "ETHBTC"
amount: Decimal = Decimal("0.0001")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
current_ask_price: Decimal = self.market.get_price(trading_pair, False)
ask_price: Decimal = current_ask_price - Decimal(
"0.05") * current_ask_price
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, ask_price)
order_id = self.market.sell(trading_pair, amount, OrderType.LIMIT,
quantize_ask_price)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("ETH", order_completed_event.base_asset)
self.assertEqual("BTC", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_market_buy(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.01"))
trading_pair = "ETHBTC"
amount: Decimal = Decimal("0.0001")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id = self.market.buy(trading_pair, quantized_amount,
OrderType.MARKET, Decimal(0))
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("ETH", order_completed_event.base_asset)
self.assertEqual("BTC", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_market_sell(self):
trading_pair = "ETHBTC"
amount: Decimal = Decimal("0.0001")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id = self.market.sell(trading_pair, amount, OrderType.MARKET,
Decimal(0))
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("ETH", order_completed_event.base_asset)
self.assertEqual("BTC", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_cancel_order(self):
trading_pair = "ETHBTC"
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.0001")
self.assertGreater(self.market.get_balance("ETH"), amount)
bid_price: Decimal = current_bid_price * Decimal("0.5")
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
client_order_id = self.market.buy(trading_pair, quantized_amount,
OrderType.LIMIT, quantize_bid_price)
self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
self.market.cancel(trading_pair, client_order_id)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.assertEqual(order_cancelled_event.order_id, client_order_id)
def test_cancel_all(self):
trading_pair = "ETHBTC"
# Intentionally setting invalid price to prevent getting filled
bid_price: Decimal = self.market.get_price(trading_pair,
True) * Decimal("0.5")
ask_price: Decimal = self.market.get_price(trading_pair,
False) * Decimal("2")
amount: Decimal = Decimal("0.0001")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, ask_price)
self.market.buy(trading_pair, quantized_amount, OrderType.LIMIT,
quantize_bid_price)
self.market.sell(trading_pair, quantized_amount, OrderType.LIMIT,
quantize_ask_price)
self.run_parallel(asyncio.sleep(1))
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
@unittest.skipUnless(any("test_list_orders" in arg for arg in sys.argv),
"List order test requires manual action.")
def test_list_orders(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.01"))
trading_pair = "ETHBTC"
amount: Decimal = Decimal("0.0001")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal("0.8")
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
self.market.buy(trading_pair, quantized_amount, OrderType.LIMIT,
quantize_bid_price)
self.run_parallel(asyncio.sleep(1))
[order_details] = self.run_parallel(self.market.list_orders())
self.assertGreaterEqual(len(order_details), 1)
self.market_logger.clear()
def test_deposit_info(self):
[deposit_info] = self.run_parallel(self.market.get_deposit_info("ETH"))
deposit_info: DepositInfo = deposit_info
self.assertIsInstance(deposit_info, DepositInfo)
self.assertGreater(len(deposit_info.address), 0)
@unittest.skipUnless(any("test_withdraw" in arg for arg in sys.argv),
"Withdraw test requires manual action.")
def test_withdraw(self):
wallet = conf.test_erc20_token_address
currency = "ETH"
withdraw_amount = Decimal('0.01')
# Ensure the market account has enough balance for withdraw testing.
# this is checked by 'self.market.withdraw'
# self.assertGreaterEqual(required_balance, withdraw_amount)
# Withdraw ETH from BitcoinCom to test wallet.
self.market.withdraw(wallet, currency, withdraw_amount)
[withdraw_asset_event] = self.run_parallel(
self.market_logger.wait_for(MarketWithdrawAssetEvent))
withdraw_asset_event: MarketWithdrawAssetEvent = withdraw_asset_event
self.assertEqual(wallet, withdraw_asset_event.to_address)
self.assertEqual(currency, withdraw_asset_event.asset_name)
self.assertEqual(withdraw_amount, withdraw_asset_event.amount)
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETHBTC"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.0001 ETH, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price(
trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal("0.8")
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
amount: Decimal = Decimal("0.0001")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id = self.market.buy(trading_pair, quantized_amount,
OrderType.LIMIT, quantize_bid_price)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: BitcoinComMarket = BitcoinComMarket(
bitcoin_com_api_key=conf.bitcoin_com_api_key,
bitcoin_com_secret_key=conf.bitcoin_com_secret_key,
trading_pairs=["ETHBTC", "LTCBTC"])
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.market.cancel(trading_pair, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETHBTC"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.0001 ETH from the exchange, and watch for completion event.
amount: Decimal = Decimal("0.0001")
order_id = self.market.buy(trading_pair, amount, OrderType.MARKET)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ETH to the exchange, and watch for completion event.
amount = buy_order_completed_event.base_asset_amount
order_id = self.market.sell(trading_pair, amount, OrderType.MARKET)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class BeaxyExchangeUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset,
MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted,
MarketEvent.WithdrawAsset,
MarketEvent.OrderFilled,
MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled,
MarketEvent.OrderFailure,
]
market: BeaxyExchange
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
if API_MOCK_ENABLED:
cls.web_app = MockWebServer.get_instance()
cls.web_app.add_host_to_mock(PRIVET_API_BASE_URL, [])
cls.web_app.add_host_to_mock(PUBLIC_API_BASE_URL, [])
cls.web_app.start()
cls.ev_loop.run_until_complete(cls.web_app.wait_til_started())
cls._patcher = mock.patch("aiohttp.client.URL")
cls._url_mock = cls._patcher.start()
cls._url_mock.side_effect = cls.web_app.reroute_local
cls.web_app.update_response("get", PUBLIC_API_BASE_URL,
"/api/v2/symbols",
FixtureBeaxy.SYMBOLS)
cls.web_app.update_response("get", PUBLIC_API_BASE_URL,
"/api/v2/symbols/DASHBTC/book",
FixtureBeaxy.TRADE_BOOK)
cls.web_app.update_response("get", PUBLIC_API_BASE_URL,
"/api/v2/symbols/DASHBTC/rate",
FixtureBeaxy.EXCHANGE_RATE)
cls.web_app.update_response("get", PRIVET_API_BASE_URL,
"/api/v2/health", FixtureBeaxy.HEALTH)
cls.web_app.update_response("get", PRIVET_API_BASE_URL,
"/api/v2/wallets",
FixtureBeaxy.BALANCES)
cls.web_app.update_response("get", PRIVET_API_BASE_URL,
"/api/v2/tradingsettings",
FixtureBeaxy.TRADE_SETTINGS)
cls.web_app.update_response("get", PRIVET_API_BASE_URL,
"/api/v2/orders/open",
FixtureBeaxy.ORDERS_OPEN_EMPTY)
cls.web_app.update_response("get", PRIVET_API_BASE_URL,
"/api/v2/orders/closed",
FixtureBeaxy.ORDERS_CLOSED_EMPTY)
cls._t_nonce_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.beaxy.beaxy_exchange.get_tracking_nonce"
)
cls._t_nonce_mock = cls._t_nonce_patcher.start()
MockWebSocketServerFactory.url_host_only = True
MockWebSocketServerFactory.start_new_server(
BeaxyConstants.TradingApi.WS_BASE_URL)
MockWebSocketServerFactory.start_new_server(
BeaxyConstants.PublicApi.WS_BASE_URL)
cls._ws_patcher = unittest.mock.patch("websockets.connect",
autospec=True)
cls._ws_mock = cls._ws_patcher.start()
cls._ws_mock.side_effect = MockWebSocketServerFactory.reroute_ws_connect
cls._auth_confirm_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.beaxy.beaxy_auth.BeaxyAuth._BeaxyAuth__login_confirm"
)
cls._auth_confirm_mock = cls._auth_confirm_patcher.start()
cls._auth_session_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.beaxy.beaxy_auth.BeaxyAuth._BeaxyAuth__get_session_data"
)
cls._auth_session_mock = cls._auth_session_patcher.start()
cls._auth_session_mock.return_value = {
"sign_key": 123,
"session_id": '123'
}
cls._auth_headers_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.beaxy.beaxy_auth.BeaxyAuth.get_token"
)
cls._auth_headers_mock = cls._auth_headers_patcher.start()
cls._auth_headers_mock.return_value = '123'
cls._auth_poll_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.beaxy.beaxy_auth.BeaxyAuth._auth_token_polling_loop"
)
cls._auth_poll_mock = cls._auth_poll_patcher.start()
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: BeaxyExchange = BeaxyExchange(API_KEY,
API_SECRET,
trading_pairs=["DASH-BTC"])
if API_MOCK_ENABLED:
async def mock_status_polling_task():
pass
# disable status polling as it will make orders update inconsistent from mock view
cls.market._status_polling_task = asyncio.ensure_future(
mock_status_polling_task())
cls.ev_loop.run_until_complete(cls.market._update_balances())
print("Initializing Beaxy market... this will take about a minute.")
cls.clock.add_iterator(cls.market)
cls.stack: contextlib.ExitStack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self.clock.run_til(next_iteration)
return future.result()
def setUp(self):
self.db_path: str = realpath(join(__file__, "../beaxy_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
def test_balances(self):
balances = self.market.get_all_balances()
self.assertGreater(len(balances), 0)
def test_get_fee(self):
limit_fee: AddedToCostTradeFee = self.market.get_fee(
"ETH", "USDC", OrderType.LIMIT, TradeType.BUY, 1, 1)
self.assertGreater(limit_fee.percent, 0)
self.assertEqual(len(limit_fee.flat_fees), 0)
market_fee: AddedToCostTradeFee = self.market.get_fee(
"ETH", "USDC", OrderType.MARKET, TradeType.BUY, 1)
self.assertGreater(market_fee.percent, 0)
self.assertEqual(len(market_fee.flat_fees), 0)
def test_fee_overrides_config(self):
fee_overrides_config_map["beaxy_taker_fee"].value = None
taker_fee: AddedToCostTradeFee = self.market.get_fee(
"BTC", "ETH", OrderType.MARKET, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.0025"), taker_fee.percent)
fee_overrides_config_map["beaxy_taker_fee"].value = Decimal('0.2')
taker_fee: AddedToCostTradeFee = self.market.get_fee(
"BTC", "ETH", OrderType.MARKET, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), taker_fee.percent)
fee_overrides_config_map["beaxy_maker_fee"].value = None
maker_fee: AddedToCostTradeFee = self.market.get_fee(
"BTC", "ETH", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), maker_fee.percent)
fee_overrides_config_map["beaxy_maker_fee"].value = Decimal('0.75')
maker_fee: AddedToCostTradeFee = self.market.get_fee(
"BTC", "ETH", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), maker_fee.percent)
def place_order(self,
is_buy,
trading_pair,
amount,
order_type,
price,
ws_resps=[]):
global EXCHANGE_ORDER_ID
order_id, exch_order_id = None, None
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type,
price)
if API_MOCK_ENABLED:
for delay, ws_resp in ws_resps:
MockWebSocketServerFactory.send_str_threadsafe(
BeaxyConstants.TradingApi.WS_BASE_URL,
ws_resp,
delay=delay)
return order_id, exch_order_id
def cancel_order(self, trading_pair, order_id, exch_order_id):
self.market.cancel(trading_pair, order_id)
def test_limit_buy(self):
if API_MOCK_ENABLED:
self.web_app.update_response("post", PRIVET_API_BASE_URL,
"/api/v2/orders",
FixtureBeaxy.TEST_LIMIT_BUY_ORDER)
amount: Decimal = Decimal("0.01")
self.assertGreater(self.market.get_balance("BTC"), 0.00005)
trading_pair = "DASH-BTC"
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal(1.1)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT, price,
[(3, FixtureBeaxy.TEST_LIMIT_BUY_WS_ORDER_CREATED),
(5, FixtureBeaxy.TEST_LIMIT_BUY_WS_ORDER_COMPLETED)])
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("DASH", order_completed_event.base_asset)
self.assertEqual("BTC", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_limit_sell(self):
if API_MOCK_ENABLED:
self.web_app.update_response("post", PRIVET_API_BASE_URL,
"/api/v2/orders",
FixtureBeaxy.TEST_LIMIT_SELL_ORDER)
trading_pair = "DASH-BTC"
self.assertGreater(self.market.get_balance("DASH"), 0.01)
price: Decimal = self.market.get_price(trading_pair,
False) * Decimal(0.9)
amount: Decimal = Decimal("0.01")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(
False, trading_pair, quantized_amount, OrderType.LIMIT, price,
[(3, FixtureBeaxy.TEST_LIMIT_SELL_WS_ORDER_CREATED),
(5, FixtureBeaxy.TEST_LIMIT_SELL_WS_ORDER_COMPLETED)])
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("DASH", order_completed_event.base_asset)
self.assertEqual("BTC", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_limit_maker_rejections(self):
if API_MOCK_ENABLED:
return
trading_pair = "DASH-BTC"
# Try to put a buy limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('1.02')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair, 1)
order_id = self.market.buy(trading_pair, amount, OrderType.LIMIT_MAKER,
price)
[order_failure_event] = self.run_parallel(
self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
self.market_logger.clear()
# Try to put a sell limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('0.98')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair, 1)
order_id = self.market.sell(trading_pair, amount,
OrderType.LIMIT_MAKER, price)
[order_failure_event] = self.run_parallel(
self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
def test_limit_makers_unfilled(self):
if API_MOCK_ENABLED:
self.web_app.update_response("post", PRIVET_API_BASE_URL,
"/api/v2/orders",
FixtureBeaxy.TEST_UNFILLED_ORDER1)
self.assertGreater(self.market.get_balance("BTC"), 0.00005)
trading_pair = "DASH-BTC"
current_bid_price: Decimal = self.market.get_price(
trading_pair, True) * Decimal('0.8')
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, current_bid_price)
bid_amount: Decimal = Decimal('0.01')
quantized_bid_amount: Decimal = self.market.quantize_order_amount(
trading_pair, bid_amount)
current_ask_price: Decimal = self.market.get_price(trading_pair, False)
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, current_ask_price)
ask_amount: Decimal = Decimal('0.01')
quantized_ask_amount: Decimal = self.market.quantize_order_amount(
trading_pair, ask_amount)
order_id1, exch_order_id_1 = self.place_order(
True, trading_pair, quantized_bid_amount, OrderType.LIMIT,
quantize_bid_price,
[(3, FixtureBeaxy.TEST_UNFILLED_ORDER1_WS_ORDER_CREATED)])
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id1, order_created_event.order_id)
if API_MOCK_ENABLED:
self.web_app.update_response("post", PRIVET_API_BASE_URL,
"/api/v2/orders",
FixtureBeaxy.TEST_UNFILLED_ORDER2)
order_id2, exch_order_id_2 = self.place_order(
False, trading_pair, quantized_ask_amount, OrderType.LIMIT,
quantize_ask_price,
[(3, FixtureBeaxy.TEST_UNFILLED_ORDER2_WS_ORDER_CREATED)])
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id2, order_created_event.order_id)
if API_MOCK_ENABLED:
MockWebSocketServerFactory.send_str_threadsafe(
BeaxyConstants.TradingApi.WS_BASE_URL,
FixtureBeaxy.TEST_UNFILLED_ORDER1_WS_ORDER_CANCELED,
delay=3)
MockWebSocketServerFactory.send_str_threadsafe(
BeaxyConstants.TradingApi.WS_BASE_URL,
FixtureBeaxy.TEST_UNFILLED_ORDER2_WS_ORDER_CANCELED,
delay=3)
self.web_app.update_response("delete", PRIVET_API_BASE_URL,
"/api/v1/orders", "")
self.run_parallel(asyncio.sleep(1))
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_market_buy(self):
if API_MOCK_ENABLED:
self.web_app.update_response("post", PRIVET_API_BASE_URL,
"/api/v2/orders",
FixtureBeaxy.TEST_MARKET_BUY_ORDER)
amount: Decimal = Decimal("0.01")
self.assertGreater(self.market.get_balance("BTC"), 0.00005)
trading_pair = "DASH-BTC"
price: Decimal = self.market.get_price(trading_pair, True)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(
True, trading_pair, quantized_amount, OrderType.MARKET, price,
[(3, FixtureBeaxy.TEST_MARKET_BUY_WS_ORDER_CREATED),
(5, FixtureBeaxy.TEST_MARKET_BUY_WS_ORDER_COMPLETED)])
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("DASH", order_completed_event.base_asset)
self.assertEqual("BTC", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_market_sell(self):
if API_MOCK_ENABLED:
self.web_app.update_response("post", PRIVET_API_BASE_URL,
"/api/v2/orders",
FixtureBeaxy.TEST_MARKET_SELL_ORDER)
trading_pair = "DASH-BTC"
self.assertGreater(self.market.get_balance("DASH"), 0.01)
price: Decimal = self.market.get_price(trading_pair, False)
amount: Decimal = Decimal("0.01")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(
False, trading_pair, quantized_amount, OrderType.MARKET, price,
[(3, FixtureBeaxy.TEST_MARKET_SELL_WS_ORDER_CREATED),
(5, FixtureBeaxy.TEST_MARKET_SELL_WS_ORDER_COMPLETED)])
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("DASH", order_completed_event.base_asset)
self.assertEqual("BTC", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_cancel_order(self):
if API_MOCK_ENABLED:
self.web_app.update_response("post", PRIVET_API_BASE_URL,
"/api/v2/orders",
FixtureBeaxy.TEST_CANCEL_BUY_ORDER)
self.web_app.update_response(
"delete", PRIVET_API_BASE_URL,
"/api/v2/orders/open/435118B0-A7F7-40D2-A409-820E8FC342A2", '')
amount: Decimal = Decimal("0.01")
self.assertGreater(self.market.get_balance("BTC"), 0.00005)
trading_pair = "DASH-BTC"
# make worst price so order wont be executed
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('0.5')
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, exch_order_id = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT, price,
[(3, FixtureBeaxy.TEST_CANCEL_BUY_WS_ORDER_COMPLETED)])
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
if API_MOCK_ENABLED:
MockWebSocketServerFactory.send_str_threadsafe(
BeaxyConstants.TradingApi.WS_BASE_URL,
FixtureBeaxy.TEST_CANCEL_BUY_WS_ORDER_CANCELED,
delay=3)
self.cancel_order(trading_pair, order_id, exch_order_id)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.assertEqual(order_cancelled_event.order_id, order_id)
def test_cancel_all(self):
if API_MOCK_ENABLED:
self.web_app.update_response(
"delete", PRIVET_API_BASE_URL,
"/api/v2/orders/open/435118B0-A7F7-40D2-A409-820E8FC342A2", '')
self.assertGreater(self.market.get_balance("BTC"), 0.00005)
self.assertGreater(self.market.get_balance("DASH"), 0.01)
trading_pair = "DASH-BTC"
# make worst price so order wont be executed
current_bid_price: Decimal = self.market.get_price(
trading_pair, True) * Decimal('0.5')
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, current_bid_price)
bid_amount: Decimal = Decimal('0.01')
quantized_bid_amount: Decimal = self.market.quantize_order_amount(
trading_pair, bid_amount)
# make worst price so order wont be executed
current_ask_price: Decimal = self.market.get_price(
trading_pair, False) * Decimal('2')
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, current_ask_price)
ask_amount: Decimal = Decimal('0.01')
quantized_ask_amount: Decimal = self.market.quantize_order_amount(
trading_pair, ask_amount)
if API_MOCK_ENABLED:
self.web_app.update_response("post", PRIVET_API_BASE_URL,
"/api/v2/orders",
FixtureBeaxy.TEST_CANCEL_ALL_ORDER1)
_, exch_order_id_1 = self.place_order(True, trading_pair,
quantized_bid_amount,
OrderType.LIMIT_MAKER,
quantize_bid_price)
if API_MOCK_ENABLED:
self.web_app.update_response("post", PRIVET_API_BASE_URL,
"/api/v2/orders",
FixtureBeaxy.TEST_CANCEL_ALL_ORDER2)
_, exch_order_id_2 = self.place_order(False, trading_pair,
quantized_ask_amount,
OrderType.LIMIT_MAKER,
quantize_ask_price)
self.run_parallel(asyncio.sleep(1))
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
if API_MOCK_ENABLED:
MockWebSocketServerFactory.send_str_threadsafe(
BeaxyConstants.TradingApi.WS_BASE_URL,
FixtureBeaxy.TEST_CANCEL_BUY_WS_ORDER1_CANCELED,
delay=3)
MockWebSocketServerFactory.send_str_threadsafe(
BeaxyConstants.TradingApi.WS_BASE_URL,
FixtureBeaxy.TEST_CANCEL_BUY_WS_ORDER2_CANCELED,
delay=3)
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_cancel_empty(self):
trading_pair = "DASH-BTC"
self.cancel_order(trading_pair, '123', '123')
class BinanceMarketUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset,
MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted,
MarketEvent.WithdrawAsset,
MarketEvent.OrderFilled,
MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated,
]
market: BinanceMarket
market_logger: EventLogger
@classmethod
def setUpClass(cls):
global MAINNET_RPC_URL
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: BinanceMarket = BinanceMarket(
MAINNET_RPC_URL, conf.binance_api_key, conf.binance_api_secret,
order_book_tracker_data_source_type=OrderBookTrackerDataSourceType.EXCHANGE_API,
user_stream_tracker_data_source_type=UserStreamTrackerDataSourceType.EXCHANGE_API,
symbols=["ZRXETH", "LOOMETH", "IOSTETH"]
)
print("Initializing Binance market... this will take about a minute.")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.market)
stack = contextlib.ExitStack()
cls._clock = stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.market_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = asyncio.ensure_future(asyncio.gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
maker_buy_trade_fee: TradeFee = self.market.get_fee("BTC", "USDT", OrderType.LIMIT, TradeType.BUY, 1, 4000)
self.assertGreater(maker_buy_trade_fee.percent, 0)
self.assertEqual(len(maker_buy_trade_fee.flat_fees), 0)
taker_buy_trade_fee: TradeFee = self.market.get_fee("BTC", "USDT", OrderType.MARKET, TradeType.BUY, 1)
self.assertGreater(taker_buy_trade_fee.percent, 0)
self.assertEqual(len(taker_buy_trade_fee.flat_fees), 0)
sell_trade_fee: TradeFee = self.market.get_fee("BTC", "USDT", OrderType.LIMIT, TradeType.SELL, 1, 4000)
self.assertGreater(sell_trade_fee.percent, 0)
self.assertEqual(len(sell_trade_fee.flat_fees), 0)
def test_buy_and_sell(self):
self.assertGreater(self.market.get_balance("ETH"), 0.1)
# Try to buy 0.02 ETH worth of ZRX from the exchange, and watch for completion event.
current_price: float = self.market.get_price("ZRXETH", True)
amount: float = 0.02 / current_price
quantized_amount: Decimal = self.market.quantize_order_amount("ZRXETH", amount)
order_id = self.market.buy("ZRXETH", amount)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
base_amount_traded: float = sum(t.amount for t in trade_events)
quote_amount_traded: float = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.MARKET for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(quantized_amount, order_completed_event.base_asset_amount)
self.assertEqual("ZRX", order_completed_event.base_asset)
self.assertEqual("ETH", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, float(order_completed_event.base_asset_amount))
self.assertAlmostEqual(quote_amount_traded, float(order_completed_event.quote_asset_amount))
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, BuyOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ZRX to the exchange, and watch for completion event.
amount = float(order_completed_event.base_asset_amount)
quantized_amount = order_completed_event.base_asset_amount
order_id = self.market.sell("ZRXETH", amount)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.MARKET for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(quantized_amount, order_completed_event.base_asset_amount)
self.assertEqual("ZRX", order_completed_event.base_asset)
self.assertEqual("ETH", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, float(order_completed_event.base_asset_amount))
self.assertAlmostEqual(quote_amount_traded, float(order_completed_event.quote_asset_amount))
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, SellOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
def test_limit_buy_and_sell(self):
self.assertGreater(self.market.get_balance("ETH"), 0.1)
# Try to put limit buy order for 0.02 ETH worth of ZRX, and watch for completion event.
current_bid_price: float = self.market.get_price("ZRXETH", True)
bid_price: float = current_bid_price + 0.05 * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price("ZRXETH", bid_price)
amount: float = 0.02 / bid_price
quantized_amount: Decimal = self.market.quantize_order_amount("ZRXETH", amount)
order_id = self.market.buy("ZRXETH", quantized_amount, OrderType.LIMIT, quantize_bid_price)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
base_amount_traded: float = sum(t.amount for t in trade_events)
quote_amount_traded: float = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(quantized_amount, order_completed_event.base_asset_amount)
self.assertEqual("ZRX", order_completed_event.base_asset)
self.assertEqual("ETH", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, float(order_completed_event.base_asset_amount))
self.assertAlmostEqual(quote_amount_traded, float(order_completed_event.quote_asset_amount))
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, BuyOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
# Reset the logs
self.market_logger.clear()
# Try to put limit sell order for 0.02 ETH worth of ZRX, and watch for completion event.
current_ask_price: float = self.market.get_price("ZRXETH", False)
ask_price: float = current_ask_price - 0.05 * current_ask_price
quantize_ask_price: Decimal = self.market.quantize_order_price("ZRXETH", ask_price)
amount = float(order_completed_event.base_asset_amount)
quantized_amount = order_completed_event.base_asset_amount
order_id = self.market.sell("ZRXETH", amount, OrderType.LIMIT, quantize_ask_price)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(quantized_amount, order_completed_event.base_asset_amount)
self.assertEqual("ZRX", order_completed_event.base_asset)
self.assertEqual("ETH", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, float(order_completed_event.base_asset_amount))
self.assertAlmostEqual(quote_amount_traded, float(order_completed_event.quote_asset_amount))
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, SellOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
@unittest.skipUnless(any("test_deposit_eth" in arg for arg in sys.argv), "Deposit test requires manual action.")
def test_deposit_eth(self):
with open(realpath(join(__file__, "../../data/ZRXABI.json"))) as fd:
zrx_abi: str = fd.read()
local_wallet: MockWallet = MockWallet(conf.web3_test_private_key_a,
MAINNET_RPC_URL,
{"0xE41d2489571d322189246DaFA5ebDe1F4699F498": zrx_abi},
chain_id=1)
# Ensure the local wallet has enough balance for deposit testing.
self.assertGreaterEqual(local_wallet.get_balance("ETH"), 0.02)
# Deposit ETH to Binance, and wait.
tracking_id: str = self.market.deposit(local_wallet, "ETH", 0.01)
[received_asset_event] = self.run_parallel(
self.market_logger.wait_for(MarketReceivedAssetEvent, timeout_seconds=1800)
)
received_asset_event: MarketReceivedAssetEvent = received_asset_event
self.assertEqual("ETH", received_asset_event.asset_name)
self.assertEqual(tracking_id, received_asset_event.tx_hash)
self.assertEqual(local_wallet.address, received_asset_event.from_address)
self.assertAlmostEqual(0.01, received_asset_event.amount_received)
@unittest.skipUnless(any("test_deposit_zrx" in arg for arg in sys.argv), "Deposit test requires manual action.")
def test_deposit_zrx(self):
with open(realpath(join(__file__, "../../data/ZRXABI.json"))) as fd:
zrx_abi: str = fd.read()
local_wallet: MockWallet = MockWallet(conf.web3_test_private_key_a,
MAINNET_RPC_URL,
{"0xE41d2489571d322189246DaFA5ebDe1F4699F498": zrx_abi},
chain_id=1)
# Ensure the local wallet has enough balance for deposit testing.
self.assertGreaterEqual(local_wallet.get_balance("ZRX"), 1)
# Deposit ZRX to Binance, and wait.
tracking_id: str = self.market.deposit(local_wallet, "ZRX", 1)
[received_asset_event] = self.run_parallel(
self.market_logger.wait_for(MarketReceivedAssetEvent, timeout_seconds=1800)
)
received_asset_event: MarketReceivedAssetEvent = received_asset_event
self.assertEqual("ZRX", received_asset_event.asset_name)
self.assertEqual(tracking_id, received_asset_event.tx_hash)
self.assertEqual(local_wallet.address, received_asset_event.from_address)
self.assertEqual(1, received_asset_event.amount_received)
@unittest.skipUnless(any("test_withdraw" in arg for arg in sys.argv), "Withdraw test requires manual action.")
def test_withdraw(self):
with open(realpath(join(__file__, "../../data/ZRXABI.json"))) as fd:
zrx_abi: str = fd.read()
local_wallet: MockWallet = MockWallet(conf.web3_test_private_key_a,
MAINNET_RPC_URL,
{"0xE41d2489571d322189246DaFA5ebDe1F4699F498": zrx_abi},
chain_id=1)
# Ensure the market account has enough balance for withdraw testing.
self.assertGreaterEqual(self.market.get_balance("ZRX"), 10)
# Withdraw ZRX from Binance to test wallet.
self.market.withdraw(local_wallet.address, "ZRX", 10)
[withdraw_asset_event] = self.run_parallel(
self.market_logger.wait_for(MarketWithdrawAssetEvent)
)
withdraw_asset_event: MarketWithdrawAssetEvent = withdraw_asset_event
print(withdraw_asset_event)
self.assertEqual(local_wallet.address, withdraw_asset_event.to_address)
self.assertEqual("ZRX", withdraw_asset_event.asset_name)
self.assertEqual(10, withdraw_asset_event.amount)
self.assertGreater(withdraw_asset_event.fee_amount, 0)
def test_cancel_all(self):
symbol = "LOOMETH"
bid_price: float = self.market.get_price(symbol, True)
ask_price: float = self.market.get_price(symbol, False)
amount: float = 0.02 / bid_price
quantized_amount: Decimal = self.market.quantize_order_amount(symbol, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market.quantize_order_price(symbol, bid_price * 0.7)
quantize_ask_price: Decimal = self.market.quantize_order_price(symbol, ask_price * 1.5)
self.market.buy(symbol, quantized_amount, OrderType.LIMIT, quantize_bid_price)
self.market.sell(symbol, quantized_amount, OrderType.LIMIT, quantize_ask_price)
self.run_parallel(asyncio.sleep(1))
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_order_price_precision(self):
# As of the day this test was written, the min order size (base) is 1 IOST, the min order size (quote) is
# 0.01 ETH, and order step size is 1 IOST.
symbol = "IOSTETH"
bid_price: float = self.market.get_price(symbol, True)
ask_price: float = self.market.get_price(symbol, False)
mid_price: float = (bid_price + ask_price) / 2
amount: float = 0.02 / mid_price
binance_client = self.market.binance_client
# Make sure there's enough balance to make the limit orders.
self.assertGreater(self.market.get_balance("ETH"), 0.1)
self.assertGreater(self.market.get_balance("IOST"), amount * 2)
# Intentionally set some prices with too many decimal places s.t. they
# need to be quantized. Also, place them far away from the mid-price s.t. they won't
# get filled during the test.
bid_price: float = mid_price * 0.3333192292111341
ask_price: float = mid_price * 3.4392431474884933
# This is needed to get around the min quote amount limit.
bid_amount: float = 0.02 / bid_price
# Test bid order
bid_order_id: str = self.market.buy(
symbol,
bid_amount,
OrderType.LIMIT,
bid_price
)
# Wait for the order created event and examine the order made
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent, timeout_seconds=10)
)
order_data: Dict[str, any] = binance_client.get_order(
symbol=symbol,
origClientOrderId=bid_order_id
)
quantized_bid_price: Decimal = self.market.quantize_order_price(symbol, bid_price)
bid_size_quantum: Decimal = self.market.get_order_size_quantum(symbol, bid_amount)
self.assertEqual(quantized_bid_price, Decimal(order_data["price"]))
self.assertTrue(Decimal(order_data["origQty"]) % bid_size_quantum == 0)
# Test ask order
ask_order_id: str = self.market.sell(
symbol,
amount,
OrderType.LIMIT,
ask_price
)
# Wait for the order created event and examine and order made
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent, timeout_seconds=10)
)
order_data = binance_client.get_order(
symbol=symbol,
origClientOrderId=ask_order_id
)
quantized_ask_price: Decimal = self.market.quantize_order_price(symbol, ask_price)
quantized_ask_size: Decimal = self.market.quantize_order_amount(symbol, amount)
self.assertEqual(quantized_ask_price, Decimal(order_data["price"]))
self.assertEqual(quantized_ask_size, Decimal(order_data["origQty"]))
# Cancel all the orders
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_server_time_offset(self):
BinanceTime.get_instance().SERVER_TIME_OFFSET_CHECK_INTERVAL = 3.0
self.run_parallel(asyncio.sleep(60))
with patch("hummingbot.market.binance.binance_market.time") as market_time:
def delayed_time():
return time.time() - 30.0
market_time.time = delayed_time
self.run_parallel(asyncio.sleep(5.0))
time_offset = BinanceTime.get_instance().time_offset_ms
print("offest", time_offset)
# check if it is less than 5% off
self.assertTrue(time_offset > 0)
self.assertTrue(abs(time_offset - 30.0 * 1e3) < 1.5 * 1e3)
class HuobiMarketUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset, MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted, MarketEvent.WithdrawAsset,
MarketEvent.OrderFilled, MarketEvent.OrderCancelled,
MarketEvent.TransactionFailure, MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated, MarketEvent.OrderCancelled
]
market: HuobiMarket
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
if API_MOCK_ENABLED:
cls.web_app = HummingWebApp.get_instance()
cls.web_app.add_host_to_mock(API_BASE_URL, [
"/v1/common/timestamp", "/v1/common/symbols",
"/market/tickers", "/market/depth"
])
cls.web_app.start()
cls.ev_loop.run_until_complete(cls.web_app.wait_til_started())
cls._patcher = mock.patch("aiohttp.client.URL")
cls._url_mock = cls._patcher.start()
cls._url_mock.side_effect = cls.web_app.reroute_local
mock_account_id = FixtureHuobi.GET_ACCOUNTS["data"][0]["id"]
cls.web_app.update_response("get", API_BASE_URL,
"/v1/account/accounts",
FixtureHuobi.GET_ACCOUNTS)
cls.web_app.update_response(
"get", API_BASE_URL,
f"/v1/account/accounts/{mock_account_id}/balance",
FixtureHuobi.GET_BALANCES)
cls._t_nonce_patcher = unittest.mock.patch(
"hummingbot.market.huobi.huobi_market.get_tracking_nonce")
cls._t_nonce_mock = cls._t_nonce_patcher.start()
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: HuobiMarket = HuobiMarket(API_KEY,
API_SECRET,
trading_pairs=["ethusdt"])
# Need 2nd instance of market to prevent events mixing up across tests
cls.market_2: HuobiMarket = HuobiMarket(API_KEY,
API_SECRET,
trading_pairs=["ethusdt"])
cls.clock.add_iterator(cls.market)
cls.clock.add_iterator(cls.market_2)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
if API_MOCK_ENABLED:
cls.web_app.stop()
cls._patcher.stop()
cls._t_nonce_patcher.stop()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready and cls.market_2.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../huobi_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
self.market_2_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
self.market_2.add_listener(event_tag, self.market_2_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_2.remove_listener(event_tag, self.market_2_logger)
self.market_logger = None
self.market_2_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(0.5)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
limit_fee: TradeFee = self.market.get_fee("eth", "usdt",
OrderType.LIMIT,
TradeType.BUY, 1, 10)
self.assertGreater(limit_fee.percent, 0)
self.assertEqual(len(limit_fee.flat_fees), 0)
market_fee: TradeFee = self.market.get_fee("eth", "usdt",
OrderType.MARKET,
TradeType.BUY, 1)
self.assertGreater(market_fee.percent, 0)
self.assertEqual(len(market_fee.flat_fees), 0)
sell_trade_fee: TradeFee = self.market.get_fee("eth", "usdt",
OrderType.LIMIT,
TradeType.SELL, 1, 10)
self.assertGreater(sell_trade_fee.percent, 0)
self.assertEqual(len(sell_trade_fee.flat_fees), 0)
def test_fee_overrides_config(self):
fee_overrides_config_map["huobi_taker_fee"].value = None
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.MARKET,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), taker_fee.percent)
fee_overrides_config_map["huobi_taker_fee"].value = Decimal('0.001')
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.MARKET,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.001"), taker_fee.percent)
fee_overrides_config_map["huobi_maker_fee"].value = None
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), maker_fee.percent)
fee_overrides_config_map["huobi_maker_fee"].value = Decimal('0.005')
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.005"), maker_fee.percent)
def place_order(self,
is_buy,
trading_pair,
amount,
order_type,
price,
nonce,
get_resp,
market_connector=None):
global EXCHANGE_ORDER_ID
order_id, exch_order_id = None, None
if API_MOCK_ENABLED:
exch_order_id = f"HUOBI_{EXCHANGE_ORDER_ID}"
EXCHANGE_ORDER_ID += 1
self._t_nonce_mock.return_value = nonce
resp = FixtureHuobi.ORDER_PLACE.copy()
resp["data"] = exch_order_id
side = 'buy' if is_buy else 'sell'
order_id = f"{side}-{trading_pair}-{nonce}"
self.web_app.update_response("post",
API_BASE_URL,
"/v1/order/orders/place",
resp,
params={"client-order-id": order_id})
market = self.market if market_connector is None else market_connector
if is_buy:
order_id = market.buy(trading_pair, amount, order_type, price)
else:
order_id = market.sell(trading_pair, amount, order_type, price)
if API_MOCK_ENABLED:
resp = get_resp.copy()
resp["data"]["id"] = exch_order_id
resp["data"]["client-order-id"] = order_id
self.web_app.update_response("get", API_BASE_URL,
f"/v1/order/orders/{exch_order_id}",
resp)
return order_id, exch_order_id
def cancel_order(self, trading_pair, order_id, exchange_order_id,
get_resp):
global EXCHANGE_ORDER_ID
if API_MOCK_ENABLED:
resp = FixtureHuobi.ORDER_PLACE.copy()
resp["data"] = exchange_order_id
self.web_app.update_response(
"post", API_BASE_URL,
f"/v1/order/orders/{exchange_order_id}/submitcancel", resp)
self.market.cancel(trading_pair, order_id)
if API_MOCK_ENABLED:
resp = get_resp.copy()
resp["data"]["id"] = exchange_order_id
resp["data"]["client-order-id"] = order_id
self.web_app.update_response(
"get", API_BASE_URL, f"/v1/order/orders/{exchange_order_id}",
resp)
def test_limit_buy(self):
trading_pair = "ethusdt"
amount: Decimal = Decimal("0.04")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
bid_price: Decimal = current_bid_price + Decimal(
"0.05") * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
order_id, _ = self.place_order(True, trading_pair, quantized_amount,
OrderType.LIMIT, quantize_bid_price,
10001,
FixtureHuobi.ORDER_GET_LIMIT_BUY_FILLED)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("eth", order_completed_event.base_asset)
self.assertEqual("usdt", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_limit_sell(self):
trading_pair = "ethusdt"
amount: Decimal = Decimal("0.04")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
current_ask_price: Decimal = self.market.get_price(trading_pair, False)
ask_price: Decimal = current_ask_price - Decimal(
"0.05") * current_ask_price
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, ask_price)
order_id, _ = self.place_order(
False, trading_pair, amount, OrderType.LIMIT, quantize_ask_price,
10001, FixtureHuobi.ORDER_GET_LIMIT_SELL_FILLED)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("eth", order_completed_event.base_asset)
self.assertEqual("usdt", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_market_buy(self):
trading_pair = "ethusdt"
amount: Decimal = Decimal("0.04")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(True, trading_pair, quantized_amount,
OrderType.MARKET, 0, 10001,
FixtureHuobi.ORDER_GET_MARKET_BUY)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
buy_order_completed_event: BuyOrderCompletedEvent = buy_order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.MARKET for evt in trade_events])
self.assertEqual(order_id, buy_order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
buy_order_completed_event.base_asset_amount,
places=4)
self.assertEqual("eth", buy_order_completed_event.base_asset)
self.assertEqual("usdt", buy_order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
buy_order_completed_event.base_asset_amount,
places=4)
self.assertAlmostEqual(quote_amount_traded,
buy_order_completed_event.quote_asset_amount,
places=4)
self.assertGreater(buy_order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_market_sell(self):
trading_pair = "ethusdt"
amount: Decimal = Decimal("0.04")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(False, trading_pair, amount,
OrderType.MARKET, 0, 10001,
FixtureHuobi.ORDER_GET_MARKET_SELL)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
sell_order_completed_event: SellOrderCompletedEvent = sell_order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.MARKET for evt in trade_events])
self.assertEqual(order_id, sell_order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
sell_order_completed_event.base_asset_amount)
self.assertEqual("eth", sell_order_completed_event.base_asset)
self.assertEqual("usdt", sell_order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
sell_order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
sell_order_completed_event.quote_asset_amount)
self.assertGreater(sell_order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_cancel_order(self):
trading_pair = "ethusdt"
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.04")
bid_price: Decimal = current_bid_price - Decimal(
"0.1") * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, exch_order_id = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT,
quantize_bid_price, 10001,
FixtureHuobi.ORDER_GET_LIMIT_BUY_UNFILLED)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.cancel_order(trading_pair, order_id, exch_order_id,
FixtureHuobi.ORDER_GET_CANCELED)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.assertEqual(order_cancelled_event.order_id, order_id)
def test_cancel_all(self):
trading_pair = "ethusdt"
bid_price: Decimal = self.market_2.get_price(trading_pair,
True) * Decimal("0.5")
ask_price: Decimal = self.market_2.get_price(trading_pair, False) * 2
amount: Decimal = Decimal("0.05")
quantized_amount: Decimal = self.market_2.quantize_order_amount(
trading_pair, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market_2.quantize_order_price(
trading_pair, bid_price * Decimal("0.9"))
quantize_ask_price: Decimal = self.market_2.quantize_order_price(
trading_pair, ask_price * Decimal("1.1"))
_, exch_order_id1 = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT,
quantize_bid_price, 1001,
FixtureHuobi.ORDER_GET_LIMIT_BUY_UNFILLED, self.market_2)
_, exch_order_id2 = self.place_order(
False, trading_pair, quantized_amount, OrderType.LIMIT,
quantize_ask_price, 1002,
FixtureHuobi.ORDER_GET_LIMIT_SELL_UNFILLED, self.market_2)
self.run_parallel(asyncio.sleep(1))
if API_MOCK_ENABLED:
resp = FixtureHuobi.ORDERS_BATCH_CANCELLED.copy()
resp["data"]["success"] = [exch_order_id1, exch_order_id2]
self.web_app.update_response("post", API_BASE_URL,
"/v1/order/orders/batchcancel", resp)
[cancellation_results] = self.run_parallel(self.market_2.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ethusdt"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.04 ETH, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price(
trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal("0.8")
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
amount: Decimal = Decimal("0.04")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, exch_order_id = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT,
quantize_bid_price, 10001,
FixtureHuobi.ORDER_GET_LIMIT_BUY_UNFILLED)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: HuobiMarket = HuobiMarket(
huobi_api_key=API_KEY,
huobi_secret_key=API_SECRET,
trading_pairs=["ethusdt", "btcusdt"])
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.cancel_order(trading_pair, order_id, exch_order_id,
FixtureHuobi.ORDER_GET_CANCELED)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ethusdt"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.04 ETH from the exchange, and watch for completion event.
amount: Decimal = Decimal("0.04")
order_id, _ = self.place_order(True, trading_pair, amount,
OrderType.MARKET, 0, 10001,
FixtureHuobi.ORDER_GET_MARKET_BUY)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ETH to the exchange, and watch for completion event.
amount = buy_order_completed_event.base_asset_amount
order_id, _ = self.place_order(False, trading_pair, amount,
OrderType.MARKET, 0, 10002,
FixtureHuobi.ORDER_GET_MARKET_SELL)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class KucoinExchangeUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.BuyOrderCompleted, MarketEvent.SellOrderCompleted,
MarketEvent.OrderFilled, MarketEvent.OrderCancelled,
MarketEvent.TransactionFailure, MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated, MarketEvent.OrderCancelled,
MarketEvent.OrderFailure
]
market: KucoinExchange
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
if API_MOCK_ENABLED:
cls.web_app = MockWebServer.get_instance()
cls.web_app.add_host_to_mock(API_BASE_URL, [
"/api/v1/timestamp", "/api/v1/symbols",
"/api/v1/bullet-public", "/api/v2/market/orderbook/level2"
])
cls.web_app.start()
cls.ev_loop.run_until_complete(cls.web_app.wait_til_started())
cls._patcher = mock.patch("aiohttp.client.URL")
cls._url_mock = cls._patcher.start()
cls._url_mock.side_effect = cls.web_app.reroute_local
cls.web_app.update_response("get", API_BASE_URL,
"/api/v1/accounts",
FixtureKucoin.BALANCES)
cls._t_nonce_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.kucoin.kucoin_exchange.get_tracking_nonce"
)
cls._t_nonce_mock = cls._t_nonce_patcher.start()
cls._exch_order_id = 20001
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: KucoinExchange = KucoinExchange(
kucoin_api_key=API_KEY,
kucoin_passphrase=API_PASSPHRASE,
kucoin_secret_key=API_SECRET,
trading_pairs=["ETH-USDT"])
# Need 2nd instance of market to prevent events mixing up across tests
cls.market_2: KucoinExchange = KucoinExchange(
kucoin_api_key=API_KEY,
kucoin_passphrase=API_PASSPHRASE,
kucoin_secret_key=API_SECRET,
trading_pairs=["ETH-USDT"])
cls.clock.add_iterator(cls.market)
cls.clock.add_iterator(cls.market_2)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
if API_MOCK_ENABLED:
cls.web_app.stop()
cls._patcher.stop()
cls._t_nonce_patcher.stop()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready and cls.market_2.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../kucoin_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
self.market_2_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
self.market_2.add_listener(event_tag, self.market_2_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_2.remove_listener(event_tag, self.market_2_logger)
self.market_logger = None
self.market_2_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(0.5)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
limit_fee: AddedToCostTradeFee = self.market.get_fee(
"ETH", "USDT", OrderType.LIMIT_MAKER, TradeType.BUY, 1, 10)
self.assertGreater(limit_fee.percent, 0)
self.assertEqual(len(limit_fee.flat_fees), 0)
market_fee: AddedToCostTradeFee = self.market.get_fee(
"ETH", "USDT", OrderType.LIMIT, TradeType.BUY, 1)
self.assertGreater(market_fee.percent, 0)
self.assertEqual(len(market_fee.flat_fees), 0)
sell_trade_fee: AddedToCostTradeFee = self.market.get_fee(
"ETH", "USDT", OrderType.LIMIT_MAKER, TradeType.SELL, 1, 10)
self.assertGreater(sell_trade_fee.percent, 0)
self.assertEqual(len(sell_trade_fee.flat_fees), 0)
def order_response(self, fixture_data, nonce):
self._t_nonce_mock.return_value = nonce
order_resp = fixture_data.copy()
return order_resp
def place_order(self, is_buy, trading_pair, amount, order_type, price,
nonce, post_resp, get_resp):
global EXCHANGE_ORDER_ID
order_id, exch_order_id = None, None
if API_MOCK_ENABLED:
exch_order_id = f"KUCOIN_{EXCHANGE_ORDER_ID}"
EXCHANGE_ORDER_ID += 1
resp = self.order_response(post_resp, nonce)
resp["data"]["orderId"] = exch_order_id
self.web_app.update_response("post", API_BASE_URL,
"/api/v1/orders", resp)
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type,
price)
if API_MOCK_ENABLED:
resp = get_resp.copy()
resp["data"]["id"] = exch_order_id
resp["data"]["clientOid"] = order_id
self.web_app.update_response("get", API_BASE_URL,
f"/api/v1/orders/{exch_order_id}",
resp)
return order_id, exch_order_id
def test_fee_overrides_config(self):
fee_overrides_config_map["kucoin_taker_fee"].value = None
taker_fee: AddedToCostTradeFee = self.market.get_fee(
"LINK", "ETH", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.001"), taker_fee.percent)
fee_overrides_config_map["kucoin_taker_fee"].value = Decimal('0.2')
taker_fee: AddedToCostTradeFee = self.market.get_fee(
"LINK", "ETH", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), taker_fee.percent)
fee_overrides_config_map["kucoin_maker_fee"].value = None
maker_fee: AddedToCostTradeFee = self.market.get_fee(
"LINK", "ETH", OrderType.LIMIT_MAKER, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.001"), maker_fee.percent)
fee_overrides_config_map["kucoin_maker_fee"].value = Decimal('0.5')
maker_fee: AddedToCostTradeFee = self.market.get_fee(
"LINK", "ETH", OrderType.LIMIT_MAKER, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.005"), maker_fee.percent)
def test_limit_maker_rejections(self):
if API_MOCK_ENABLED:
return
trading_pair = "ETH-USDT"
# Try to put a buy limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('1.02')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair, Decimal(0.01))
order_id = self.market.buy(trading_pair, amount, OrderType.LIMIT_MAKER,
price)
[order_failure_event] = self.run_parallel(
self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
self.market_logger.clear()
# Try to put a sell limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('0.98')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair, Decimal(0.01))
order_id = self.market.sell(trading_pair, amount,
OrderType.LIMIT_MAKER, price)
[order_failure_event] = self.run_parallel(
self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
def test_limit_makers_unfilled(self):
if API_MOCK_ENABLED:
return
trading_pair = "ETH-USDT"
bid_price = self.market.get_price(trading_pair, True) * Decimal("0.8")
quantized_bid_price = self.market.quantize_order_price(
trading_pair, bid_price)
quantized_bid_amount = self.market.quantize_order_amount(
trading_pair, Decimal(0.01))
order_id, _ = self.place_order(True, trading_pair,
quantized_bid_amount,
OrderType.LIMIT_MAKER,
quantized_bid_price, 10001,
FixtureKucoin.ORDER_PLACE,
FixtureKucoin.ORDER_GET_BUY_UNMATCHED)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
ask_price = self.market.get_price(trading_pair, True) * Decimal("1.2")
quatized_ask_price = self.market.quantize_order_price(
trading_pair, ask_price)
quatized_ask_amount = self.market.quantize_order_amount(
trading_pair, Decimal(0.01))
order_id, _ = self.place_order(False, trading_pair,
quatized_ask_amount,
OrderType.LIMIT_MAKER,
quatized_ask_price, 10002,
FixtureKucoin.ORDER_PLACE,
FixtureKucoin.ORDER_GET_SELL_UNMATCHED)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_limit_taker_buy(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.05"))
trading_pair = "ETH-USDT"
price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal(0.01)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(True, trading_pair, quantized_amount,
OrderType.LIMIT, price, 10001,
FixtureKucoin.ORDER_PLACE,
FixtureKucoin.BUY_MARKET_ORDER)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
buy_order_completed_event: BuyOrderCompletedEvent = buy_order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: float = sum(t.amount for t in trade_events)
quote_amount_traded: float = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, buy_order_completed_event.order_id)
self.assertAlmostEqual(float(quantized_amount),
buy_order_completed_event.base_asset_amount,
places=4)
self.assertEqual("ETH", buy_order_completed_event.base_asset)
self.assertEqual("USDT", buy_order_completed_event.quote_asset)
self.assertAlmostEqual(
base_amount_traded,
float(buy_order_completed_event.base_asset_amount),
places=4)
self.assertAlmostEqual(
quote_amount_traded,
float(buy_order_completed_event.quote_asset_amount),
places=4)
self.assertGreater(buy_order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_limit_taker_sell(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.05"))
trading_pair = "ETH-USDT"
price: Decimal = self.market.get_price(trading_pair, False)
amount: Decimal = Decimal(0.011)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(False, trading_pair, amount,
OrderType.LIMIT, price, 10001,
FixtureKucoin.ORDER_PLACE,
FixtureKucoin.SELL_MARKET_ORDER)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
sell_order_completed_event: SellOrderCompletedEvent = sell_order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, sell_order_completed_event.order_id)
self.assertAlmostEqual(float(quantized_amount),
sell_order_completed_event.base_asset_amount)
self.assertEqual("ETH", sell_order_completed_event.base_asset)
self.assertEqual("USDT", sell_order_completed_event.quote_asset)
self.assertAlmostEqual(
base_amount_traded,
float(sell_order_completed_event.base_asset_amount))
self.assertAlmostEqual(
quote_amount_traded,
float(sell_order_completed_event.quote_asset_amount))
self.assertGreater(sell_order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_cancel(self):
trading_pair = "ETH-USDT"
current_price: float = self.market.get_price(trading_pair, False)
amount: Decimal = Decimal(0.01)
price: Decimal = Decimal(current_price) * Decimal(1.1)
quantized_price: Decimal = self.market.quantize_order_price(
trading_pair, price)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, exch_order_id = self.place_order(
False, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantized_price, 10001, FixtureKucoin.ORDER_PLACE_2,
FixtureKucoin.OPEN_SELL_LIMIT_ORDER)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
if API_MOCK_ENABLED:
resp = FixtureKucoin.CANCEL_ORDER.copy()
resp["data"]["cancelledOrderIds"] = [exch_order_id]
self.web_app.update_response("delete", API_BASE_URL,
f"/api/v1/orders/{exch_order_id}",
resp)
self.market.cancel(trading_pair, order_id)
if API_MOCK_ENABLED:
resp = FixtureKucoin.GET_CANCELLED_ORDER.copy()
resp["data"]["id"] = exch_order_id
resp["data"]["clientOid"] = order_id
self.web_app.update_response("get", API_BASE_URL,
f"/api/v1/orders/{exch_order_id}",
resp)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.assertEqual(order_cancelled_event.order_id, order_id)
self.market_logger.clear()
def test_cancel_all(self):
trading_pair = "ETH-USDT"
bid_price: Decimal = Decimal(
self.market_2.get_price(trading_pair, True))
ask_price: Decimal = Decimal(
self.market_2.get_price(trading_pair, False))
amount: Decimal = Decimal(0.01)
quantized_amount: Decimal = self.market_2.quantize_order_amount(
trading_pair, amount)
# Intentionally setting high price to prevent getting filled
quantize_bid_price: Decimal = self.market_2.quantize_order_price(
trading_pair, bid_price * Decimal(0.8))
quantize_ask_price: Decimal = self.market_2.quantize_order_price(
trading_pair, ask_price * Decimal(1.2))
_, exch_order_id = self.place_order(True, trading_pair,
quantized_amount,
OrderType.LIMIT_MAKER,
quantize_bid_price, 10001,
FixtureKucoin.ORDER_PLACE,
FixtureKucoin.OPEN_BUY_LIMIT_ORDER)
_, exch_order_id2 = self.place_order(
False, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_ask_price, 10002, FixtureKucoin.ORDER_PLACE,
FixtureKucoin.OPEN_SELL_LIMIT_ORDER)
self.run_parallel(asyncio.sleep(1))
if API_MOCK_ENABLED:
resp = FixtureKucoin.ORDERS_BATCH_CANCELLED.copy()
resp["data"]["cancelledOrderIds"] = [exch_order_id, exch_order_id2]
self.web_app.update_response("delete", API_BASE_URL,
"/api/v1/orders", resp)
[cancellation_results] = self.run_parallel(self.market_2.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
self.market_2_logger.clear()
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-USDT"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.04 ETH, and watch for order creation event.
current_bid_price: float = self.market.get_price(
trading_pair, True)
bid_price: Decimal = Decimal(current_bid_price * Decimal(0.8))
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
amount: Decimal = Decimal(0.04)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, exch_order_id = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001, FixtureKucoin.ORDER_PLACE,
FixtureKucoin.OPEN_BUY_LIMIT_ORDER)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: KucoinExchange = KucoinExchange(
kucoin_api_key=API_KEY,
kucoin_passphrase=API_PASSPHRASE,
kucoin_secret_key=API_SECRET,
trading_pairs=["ETH-USDT"])
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
if API_MOCK_ENABLED:
resp = FixtureKucoin.CANCEL_ORDER.copy()
resp["data"]["cancelledOrderIds"] = exch_order_id
self.web_app.update_response(
"delete", API_BASE_URL, f"/api/v1/orders/{exch_order_id}",
resp)
# Cancel the order and verify that the change is saved.
self.market.cancel(trading_pair, order_id)
if API_MOCK_ENABLED:
resp = FixtureKucoin.GET_CANCELLED_ORDER.copy()
resp["data"]["id"] = exch_order_id
resp["data"]["clientOid"] = order_id
self.web_app.update_response(
"get", API_BASE_URL, f"/api/v1/orders/{exch_order_id}",
resp)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
self.market_logger.clear()
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-USDT"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.01 ETH from the exchange, and watch for completion event.
price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal(0.01)
order_id, _ = self.place_order(True, trading_pair, amount,
OrderType.LIMIT, price, 10001,
FixtureKucoin.ORDER_PLACE,
FixtureKucoin.BUY_MARKET_ORDER)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ETH to the exchange, and watch for completion event.
price: Decimal = self.market.get_price(trading_pair, False)
amount: Decimal = Decimal(
buy_order_completed_event.base_asset_amount)
order_id, _ = self.place_order(False, trading_pair, amount,
OrderType.LIMIT, price, 10002,
FixtureKucoin.ORDER_PLACE,
FixtureKucoin.SELL_MARKET_ORDER)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
self.market_logger.clear()
def test_update_last_prices(self):
# This is basic test to see if order_book last_trade_price is initiated and updated.
for order_book in self.market.order_books.values():
for _ in range(5):
self.ev_loop.run_until_complete(asyncio.sleep(1))
self.assertFalse(math.isnan(order_book.last_trade_price))
class BittrexOrderBookTrackerUnitTest(unittest.TestCase):
order_book_tracker: Optional[BittrexOrderBookTracker] = None
events: List[OrderBookEvent] = [
OrderBookEvent.TradeEvent
]
# TODO: Update trading pair format to V3 WebSocket API
trading_pairs: List[str] = [ # Trading Pair in v1.1 format(Quote-Base)
"LTC-BTC",
"LTC-ETH"
]
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.order_book_tracker: BittrexOrderBookTracker = BittrexOrderBookTracker(trading_pairs=cls.trading_pairs)
cls.order_book_tracker_task: asyncio.Task = safe_ensure_future(cls.order_book_tracker.start())
cls.ev_loop.run_until_complete(cls.wait_til_tracker_ready())
@classmethod
async def wait_til_tracker_ready(cls):
while True:
if len(cls.order_book_tracker.order_books) > 0:
print("Initialized real-time order books.")
return
await asyncio.sleep(1)
async def run_parallel_async(self, *tasks, timeout=None):
future: asyncio.Future = asyncio.ensure_future(asyncio.gather(*tasks))
timer = 0
while not future.done():
if timeout and timer > timeout:
raise Exception("Timeout running parallel async tasks in tests")
timer += 1
now = time.time()
_next_iteration = now // 1.0 + 1 # noqa: F841
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def setUp(self):
self.event_logger = EventLogger()
for event_tag in self.events:
for trading_pair, order_book in self.order_book_tracker.order_books.items():
order_book.add_listener(event_tag, self.event_logger)
def test_order_book_trade_event_emission(self):
"""
Tests if the order book tracker is able to retrieve order book trade message from exchange and emit order book
trade events after correctly parsing the trade messages
"""
self.run_parallel(self.event_logger.wait_for(OrderBookTradeEvent))
for ob_trade_event in self.event_logger.event_log:
self.assertTrue(type(ob_trade_event) == OrderBookTradeEvent)
self.assertTrue(ob_trade_event.trading_pair in self.trading_pairs)
self.assertTrue(type(ob_trade_event.timestamp) in [float, int])
self.assertTrue(type(ob_trade_event.amount) == float)
self.assertTrue(type(ob_trade_event.price) == float)
self.assertTrue(type(ob_trade_event.type) == TradeType)
# Bittrex datetime is in epoch milliseconds
self.assertTrue(math.ceil(math.log10(ob_trade_event.timestamp)) == 13)
self.assertTrue(ob_trade_event.amount > 0)
self.assertTrue(ob_trade_event.price > 0)
def test_tracker_integrity(self):
# Wait 5 seconds to process some diffs.
self.ev_loop.run_until_complete(asyncio.sleep(5.0))
order_books: Dict[str, OrderBook] = self.order_book_tracker.order_books
ltcbtc_book: OrderBook = order_books["LTC-BTC"]
# print(ltcbtc_book)
self.assertGreaterEqual(ltcbtc_book.get_price_for_volume(True, 10).result_price,
ltcbtc_book.get_price(True))
self.assertLessEqual(ltcbtc_book.get_price_for_volume(False, 10).result_price,
ltcbtc_book.get_price(False))
class HuobiMarketUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset, MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted, MarketEvent.WithdrawAsset,
MarketEvent.OrderFilled, MarketEvent.OrderCancelled,
MarketEvent.TransactionFailure, MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated, MarketEvent.OrderCancelled
]
market: HuobiMarket
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: HuobiMarket = HuobiMarket(conf.huobi_api_key,
conf.huobi_secret_key,
symbols=["ethusdt"])
# Need 2nd instance of market to prevent events mixing up across tests
cls.market_2: HuobiMarket = HuobiMarket(conf.huobi_api_key,
conf.huobi_secret_key,
symbols=["ethusdt"])
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.market)
cls.clock.add_iterator(cls.market_2)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready and cls.market_2.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../huobi_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
self.market_2_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
self.market_2.add_listener(event_tag, self.market_2_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_2.remove_listener(event_tag, self.market_2_logger)
self.market_logger = None
self.market_2_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = asyncio.ensure_future(asyncio.gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(0.5)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
limit_fee: TradeFee = self.market.get_fee("eth", "usdt",
OrderType.LIMIT,
TradeType.BUY, 1, 10)
self.assertGreater(limit_fee.percent, 0)
self.assertEqual(len(limit_fee.flat_fees), 0)
market_fee: TradeFee = self.market.get_fee("eth", "usdt",
OrderType.MARKET,
TradeType.BUY, 1)
self.assertGreater(market_fee.percent, 0)
self.assertEqual(len(market_fee.flat_fees), 0)
sell_trade_fee: TradeFee = self.market.get_fee("eth", "usdt",
OrderType.LIMIT,
TradeType.SELL, 1, 10)
self.assertGreater(sell_trade_fee.percent, 0)
self.assertEqual(len(sell_trade_fee.flat_fees), 0)
def test_limit_buy(self):
self.assertGreater(self.market.get_balance("eth"), 0.1)
symbol = "ethusdt"
amount: float = 0.02
quantized_amount: Decimal = self.market.quantize_order_amount(
symbol, amount)
current_bid_price: float = self.market.get_price(symbol, True)
bid_price: float = current_bid_price + 0.05 * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(
symbol, bid_price)
order_id = self.market.buy(symbol, quantized_amount, OrderType.LIMIT,
quantize_bid_price)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: float = sum(t.amount for t in trade_events)
quote_amount_traded: float = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(float(quantized_amount),
order_completed_event.base_asset_amount)
self.assertEqual("eth", order_completed_event.base_asset)
self.assertEqual("usdt", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
float(order_completed_event.base_asset_amount))
self.assertAlmostEqual(quote_amount_traded,
float(order_completed_event.quote_asset_amount))
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_limit_sell(self):
symbol = "ethusdt"
amount: float = 0.02
quantized_amount: Decimal = self.market.quantize_order_amount(
symbol, amount)
current_ask_price: float = self.market.get_price(symbol, False)
ask_price: float = current_ask_price - 0.05 * current_ask_price
quantize_ask_price: Decimal = self.market.quantize_order_price(
symbol, ask_price)
order_id = self.market.sell(symbol, amount, OrderType.LIMIT,
quantize_ask_price)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(float(quantized_amount),
order_completed_event.base_asset_amount)
self.assertEqual("eth", order_completed_event.base_asset)
self.assertEqual("usdt", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
float(order_completed_event.base_asset_amount))
self.assertAlmostEqual(quote_amount_traded,
float(order_completed_event.quote_asset_amount))
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_market_buy(self):
symbol = "ethusdt"
amount: float = 0.02
quantized_amount: Decimal = self.market.quantize_order_amount(
symbol, amount)
order_id = self.market.buy(symbol, quantized_amount, OrderType.MARKET,
0)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
buy_order_completed_event: BuyOrderCompletedEvent = buy_order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: float = sum(t.amount for t in trade_events)
quote_amount_traded: float = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.MARKET for evt in trade_events])
self.assertEqual(order_id, buy_order_completed_event.order_id)
self.assertAlmostEqual(float(quantized_amount),
buy_order_completed_event.base_asset_amount,
places=4)
self.assertEqual("eth", buy_order_completed_event.base_asset)
self.assertEqual("usdt", buy_order_completed_event.quote_asset)
self.assertAlmostEqual(
base_amount_traded,
float(buy_order_completed_event.base_asset_amount),
places=4)
self.assertAlmostEqual(
quote_amount_traded,
float(buy_order_completed_event.quote_asset_amount),
places=4)
self.assertGreater(buy_order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_market_sell(self):
symbol = "ethusdt"
amount: float = 0.02
quantized_amount: Decimal = self.market.quantize_order_amount(
symbol, amount)
order_id = self.market.sell(symbol, amount, OrderType.MARKET, 0)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
sell_order_completed_event: SellOrderCompletedEvent = sell_order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.MARKET for evt in trade_events])
self.assertEqual(order_id, sell_order_completed_event.order_id)
self.assertAlmostEqual(float(quantized_amount),
sell_order_completed_event.base_asset_amount)
self.assertEqual("eth", sell_order_completed_event.base_asset)
self.assertEqual("usdt", sell_order_completed_event.quote_asset)
self.assertAlmostEqual(
base_amount_traded,
float(sell_order_completed_event.base_asset_amount))
self.assertAlmostEqual(
quote_amount_traded,
float(sell_order_completed_event.quote_asset_amount))
self.assertGreater(sell_order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_cancel_order(self):
symbol = "ethusdt"
current_bid_price: float = self.market.get_price(symbol, True)
amount: float = 0.02
bid_price: float = current_bid_price - 0.1 * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(
symbol, bid_price)
quantized_amount: Decimal = self.market.quantize_order_amount(
symbol, amount)
client_order_id = self.market.buy(symbol, quantized_amount,
OrderType.LIMIT, quantize_bid_price)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.market.cancel(symbol, client_order_id)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.assertEqual(order_cancelled_event.order_id, client_order_id)
def test_cancel_all(self):
symbol = "ethusdt"
bid_price: float = self.market_2.get_price(symbol, True) * 0.5
ask_price: float = self.market_2.get_price(symbol, False) * 2
amount: float = 0.05
quantized_amount: Decimal = self.market_2.quantize_order_amount(
symbol, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market_2.quantize_order_price(
symbol, bid_price * 0.7)
quantize_ask_price: Decimal = self.market_2.quantize_order_price(
symbol, ask_price * 1.5)
self.market_2.buy(symbol, quantized_amount, OrderType.LIMIT,
quantize_bid_price)
self.market_2.sell(symbol, quantized_amount, OrderType.LIMIT,
quantize_ask_price)
self.run_parallel(asyncio.sleep(1))
[cancellation_results] = self.run_parallel(self.market_2.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
symbol: str = "ethusdt"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.04 ETH, and watch for order creation event.
current_bid_price: float = self.market.get_price(symbol, True)
bid_price: float = current_bid_price * 0.8
quantize_bid_price: Decimal = self.market.quantize_order_price(
symbol, bid_price)
amount: float = 0.04
quantized_amount: Decimal = self.market.quantize_order_amount(
symbol, amount)
order_id = self.market.buy(symbol, quantized_amount,
OrderType.LIMIT, quantize_bid_price)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: HuobiMarket = HuobiMarket(
huobi_api_key=conf.huobi_api_key,
huobi_secret_key=conf.huobi_secret_key,
symbols=["ethusdt", "btcusdt"])
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.market.cancel(symbol, order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(symbol, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
symbol: str = "ethusdt"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.04 ETH from the exchange, and watch for completion event.
amount: float = 0.04
order_id = self.market.buy(symbol, amount)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ETH to the exchange, and watch for completion event.
amount = float(buy_order_completed_event.base_asset_amount)
order_id = self.market.sell(symbol, amount)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.market.cancel(symbol, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class DolomiteExchangeUnitTest(unittest.TestCase):
market_events: List[MarketEvent] = [
MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted,
MarketEvent.OrderFilled,
MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled,
]
wallet_events: List[WalletEvent] = [
WalletEvent.WrappedEth, WalletEvent.UnwrappedEth
]
wallet: Web3Wallet
market: DolomiteExchange
market_logger: EventLogger
wallet_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.wallet = Web3Wallet(
private_key=conf.dolomite_test_web3_private_key,
backend_urls=conf.test_web3_provider_list,
erc20_token_addresses=[conf.dolomite_test_web3_address],
chain=EthereumChain.MAIN_NET,
)
cls.market: DolomiteExchange = DolomiteExchange(
wallet=cls.wallet,
ethereum_rpc_url=conf.test_web3_provider_list[0],
order_book_tracker_data_source_type=OrderBookTrackerDataSourceType.
EXCHANGE_API,
isTestNet=True,
trading_pairs=["WETH-DAI"],
)
print("Initializing Dolomite market... ")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.wallet)
cls.clock.add_iterator(cls.market)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../dolomite_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
self.wallet_logger = EventLogger()
for event_tag in self.market_events:
self.market.add_listener(event_tag, self.market_logger)
for event_tag in self.wallet_events:
self.wallet.add_listener(event_tag, self.wallet_logger)
def tearDown(self):
for event_tag in self.market_events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
for event_tag in self.wallet_events:
self.wallet.remove_listener(event_tag, self.wallet_logger)
self.wallet_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = asyncio.ensure_future(asyncio.gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
# ====================================================
def test_get_fee(self):
limit_trade_fee: TradeFee = self.market.get_fee(
"WETH", "DAI", OrderType.LIMIT, TradeType.BUY, 10000, 1)
self.assertLess(limit_trade_fee.percent, 0.01)
self.assertEqual(len(limit_trade_fee.flat_fees), 0)
market_trade_fee: TradeFee = self.market.get_fee(
"WETH", "DAI", OrderType.MARKET, TradeType.BUY, 0.1)
self.assertGreater(market_trade_fee.percent, 0)
self.assertEqual(len(market_trade_fee.flat_fees), 1)
self.assertEqual(market_trade_fee.flat_fees[0][0], "DAI")
def test_get_wallet_balances(self):
balances = self.market.get_all_balances()
self.assertGreaterEqual((balances["WETH"]), 0)
self.assertGreaterEqual((balances["DAI"]), 0)
def test_get_available_balances(self):
balance = self.market.get_available_balance("WETH")
self.assertGreaterEqual(balance, 0)
def test_limit_orders(self):
orders = self.market.limit_orders
self.assertGreaterEqual(len(orders), 0)
def test_cancel_order(self):
trading_pair = "WETH-DAI"
bid_price: float = self.market.get_price(trading_pair, True)
amount = 0.5
# Intentionally setting invalid price to prevent getting filled
client_order_id = self.market.buy(trading_pair, amount,
OrderType.LIMIT, bid_price * 0.7)
self.run_parallel(asyncio.sleep(1.0))
self.market.cancel(trading_pair, client_order_id)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.run_parallel(asyncio.sleep(6.0))
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(client_order_id, order_cancelled_event.order_id)
def test_place_limit_buy_and_sell(self):
self.assertGreater(self.market.get_balance("WETH"), 0.4)
self.assertGreater(self.market.get_balance("DAI"), 60)
# Try to buy 0.2 WETH from the exchange, and watch for creation event.
trading_pair = "WETH-DAI"
bid_price: float = self.market.get_price(trading_pair, True)
amount: float = 0.4
buy_order_id: str = self.market.buy(trading_pair, amount,
OrderType.LIMIT, bid_price * 0.7)
[buy_order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(buy_order_id, buy_order_created_event.order_id)
self.market.cancel(trading_pair, buy_order_id)
[_] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
# Try to sell 0.2 WETH to the exchange, and watch for creation event.
ask_price: float = self.market.get_price(trading_pair, False)
sell_order_id: str = self.market.sell(trading_pair, amount,
OrderType.LIMIT, ask_price * 1.5)
[sell_order_created_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
self.assertEqual(sell_order_id, sell_order_created_event.order_id)
self.market.cancel(trading_pair, sell_order_id)
[_] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
@unittest.skipUnless(
any("test_place_market_buy_and_sell" in arg for arg in sys.argv),
"test_place_market_buy_and_sell test requires manual action.",
)
def test_place_market_buy_and_sell(self):
# Cannot trade between yourself on Dolomite. Testing this is... hard.
# These orders use the same code as limit orders except for fee calculation
# and setting a field in the http request to "MARKET" instead of "LIMIT".
# Fee calculations for market orders is tested above
pass
class LiquidOrderBookTrackerUnitTest(unittest.TestCase):
order_book_tracker: Optional[LiquidOrderBookTracker] = None
events: List[OrderBookEvent] = [
OrderBookEvent.TradeEvent
]
trading_pairs: List[str] = [
'ETH-USD',
'LCX-BTC'
]
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.order_book_tracker: LiquidOrderBookTracker = LiquidOrderBookTracker(cls.trading_pairs)
cls.order_book_tracker_task: asyncio.Task = safe_ensure_future(cls.order_book_tracker.start())
cls.ev_loop.run_until_complete(cls.wait_til_tracker_ready())
@classmethod
async def wait_til_tracker_ready(cls):
while True:
if len(cls.order_book_tracker.order_books) > 0:
print("Initialized real-time order books.")
return
await asyncio.sleep(1)
async def run_parallel_async(self, *tasks, timeout=None):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
timer = 0
while not future.done():
if timeout and timer > timeout:
raise Exception("Time out running parallel async task in tests.")
timer += 1
# now = time.time()
# next_iteration = now // 1.0 + 1
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def setUp(self):
self.event_logger = EventLogger()
for event_tag in self.events:
for trading_pair, order_book in self.order_book_tracker.order_books.items():
order_book.add_listener(event_tag, self.event_logger)
def test_order_book_trade_event_emission(self):
"""
Test if order book tracker is able to retrieve order book trade message from exchange and
emit order book trade events after correctly parsing the trade messages
"""
self.run_parallel(self.event_logger.wait_for(OrderBookTradeEvent))
for ob_trade_event in self.event_logger.event_log:
self.assertTrue(type(ob_trade_event) == OrderBookTradeEvent)
self.assertTrue(ob_trade_event.trading_pair in self.trading_pairs)
self.assertTrue(type(ob_trade_event.timestamp) == float)
self.assertTrue(type(ob_trade_event.amount) == float)
self.assertTrue(type(ob_trade_event.price) == float)
self.assertTrue(type(ob_trade_event.type) == TradeType)
self.assertTrue(math.ceil(math.log10(ob_trade_event.timestamp)) == 10)
self.assertTrue(ob_trade_event.amount > 0)
self.assertTrue(ob_trade_event.price > 0)
def test_tracker_integrity(self):
# Wait 5 seconds to process some diffs.
self.ev_loop.run_until_complete(asyncio.sleep(5.0))
order_books: Dict[str, OrderBook] = self.order_book_tracker.order_books
ethusd_book: OrderBook = order_books["ETH-USD"]
lxcbtc_book: OrderBook = order_books["LCX-BTC"]
# print("ethusd_book")
# print(ethusd_book.snapshot)
# print("lxcbtc_book")
# print(lxcbtc_book.snapshot)
self.assertGreaterEqual(ethusd_book.get_price_for_volume(True, 10).result_price,
ethusd_book.get_price(True))
self.assertLessEqual(lxcbtc_book.get_price_for_volume(False, 10).result_price,
lxcbtc_book.get_price(False))
for order_book in self.order_book_tracker.order_books.values():
print(order_book.last_trade_price)
self.assertFalse(math.isnan(order_book.last_trade_price))
def test_api_get_last_traded_prices(self):
prices = self.ev_loop.run_until_complete(
LiquidAPIOrderBookDataSource.get_last_traded_prices(["BTC-USD", "ETH-USD"]))
for key, value in prices.items():
print(f"{key} last_trade_price: {value}")
self.assertGreater(prices["BTC-USD"], 1000)
self.assertLess(prices["ETH-USD"], 1000)
class EterbaseOrderBookTrackerUnitTest(unittest.TestCase):
order_book_tracker: Optional[EterbaseOrderBookTracker] = None
events: List[OrderBookEvent] = [OrderBookEvent.TradeEvent]
trading_pairs: List[str] = ["ETHEUR"]
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.order_book_tracker: EterbaseOrderBookTracker = EterbaseOrderBookTracker(
trading_pairs=cls.trading_pairs)
cls.order_book_tracker_task: asyncio.Task = safe_ensure_future(
cls.order_book_tracker.start())
cls.ev_loop.run_until_complete(cls.wait_til_tracker_ready())
@classmethod
async def wait_til_tracker_ready(cls):
while True:
if len(cls.order_book_tracker.order_books) > 0:
print("Initialized real-time order books.")
return
await asyncio.sleep(1)
async def run_parallel_async(self, *tasks, timeout=None):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
timer = 0
while not future.done():
if timeout and timer > timeout:
raise Exception(
"Time out running parallel async task in tests.")
timer += 1
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def setUp(self):
self.event_logger = EventLogger()
for event_tag in self.events:
for trading_pair, order_book in self.order_book_tracker.order_books.items(
):
order_book.add_listener(event_tag, self.event_logger)
@unittest.skip
def test_order_book_trade_event_emission(self):
"""
Test if order book tracker is able to retrieve order book trade message from exchange and
emit order book trade events after correctly parsing the trade messages
"""
self.run_parallel(self.event_logger.wait_for(OrderBookTradeEvent))
for ob_trade_event in self.event_logger.event_log:
self.assertTrue(type(ob_trade_event) == OrderBookTradeEvent)
self.assertTrue(ob_trade_event.trading_pair in self.trading_pairs)
self.assertTrue(type(ob_trade_event.timestamp) == float)
self.assertTrue(type(ob_trade_event.amount) == float)
self.assertTrue(type(ob_trade_event.price) == float)
self.assertTrue(type(ob_trade_event.type) == TradeType)
self.assertTrue(
math.ceil(math.log10(ob_trade_event.timestamp)) == 10)
self.assertTrue(ob_trade_event.amount > 0)
self.assertTrue(ob_trade_event.price > 0)
def test_tracker_integrity(self):
# Wait 5 seconds to process some diffs.
self.ev_loop.run_until_complete(asyncio.sleep(5.0))
order_books: Dict[str, OrderBook] = self.order_book_tracker.order_books
test_order_book: OrderBook = order_books["ETHEUR"]
self.assertGreaterEqual(
test_order_book.get_price_for_volume(True, 10).result_price,
test_order_book.get_price(True))
self.assertLessEqual(
test_order_book.get_price_for_volume(False, 10).result_price,
test_order_book.get_price(False))
test_active_order_tracker = self.order_book_tracker._active_order_trackers[
"ETHEUR"]
self.assertTrue(len(test_active_order_tracker.active_asks) > 0)
self.assertTrue(len(test_active_order_tracker.active_bids) > 0)
for order_book in self.order_book_tracker.order_books.values():
print(f"last_trade_price: {order_book.last_trade_price}")
self.assertFalse(math.isnan(order_book.last_trade_price))
def test_order_book_data_source(self):
self.assertTrue(
isinstance(self.order_book_tracker.data_source,
OrderBookTrackerDataSource))
def test_diff_msg_get_added_to_order_book(self):
test_active_order_tracker = self.order_book_tracker._active_order_trackers[
"ETHEUR"]
price = "200"
order_id = "test_order_id"
market_id = 51
size = "1.50"
remaining_size = "1.00"
# Test open message diff
raw_open_message = {
"type": "o_placed",
"timestamp": datetime.now().timestamp() * 1000,
"marketId": market_id,
"orderId": order_id,
"limitPrice": price,
"qty": size,
"oType": 2,
"side": 1
}
open_message = EterbaseOrderBook.diff_message_from_exchange(
raw_open_message)
self.order_book_tracker._order_book_diff_stream.put_nowait(
open_message)
self.run_parallel(asyncio.sleep(5))
test_order_book_row = test_active_order_tracker.active_bids[Decimal(
price)]
self.assertEqual(test_order_book_row[order_id]["remaining_size"], size)
# Test match message diff
match_size = "0.50"
raw_match_message = {
"type": "o_fill",
"tradeId": 10,
"orderId": order_id,
"timestamp": datetime.now().timestamp() * 1000,
"marketId": market_id,
"qty": match_size,
"remainingQty": remaining_size,
"price": price,
"side": 1
}
match_message = EterbaseOrderBook.diff_message_from_exchange(
raw_match_message)
self.order_book_tracker._order_book_diff_stream.put_nowait(
match_message)
self.run_parallel(asyncio.sleep(5))
test_order_book_row = test_active_order_tracker.active_bids[Decimal(
price)]
self.assertEqual(
Decimal(test_order_book_row[order_id]["remaining_size"]),
Decimal(remaining_size))
# Test done message diff
raw_done_message = {
"type": "o_closed",
"timestamp": datetime.now().timestamp() * 1000,
"marketId": market_id,
"limitPrice": price,
"orderId": order_id,
"reason": "FILLED",
"qty": match_size,
"remainingQty": "1.00",
"side": 1
}
done_message = EterbaseOrderBook.diff_message_from_exchange(
raw_done_message)
self.order_book_tracker._order_book_diff_stream.put_nowait(
done_message)
self.run_parallel(asyncio.sleep(5))
self.assertTrue(
Decimal(price) not in test_active_order_tracker.active_bids)
def test_api_get_last_traded_prices(self):
prices = self.ev_loop.run_until_complete(
EterbaseAPIOrderBookDataSource.get_last_traded_prices(
["BTCEUR", "LTCEUR"]))
for key, value in prices.items():
print(f"{key} last_trade_price: {value}")
self.assertGreater(prices["BTCEUR"], 1000)
self.assertLess(prices["LTCEUR"], 1000)
class OkexExchangeUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset, MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted, MarketEvent.OrderFilled,
MarketEvent.OrderCancelled, MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated, MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled, MarketEvent.OrderFailure
]
market: OkexExchange
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
if MOCK_API_ENABLED:
cls.web_app = HummingWebApp.get_instance()
cls.web_app.add_host_to_mock(API_BASE_URL, [])
cls.web_app.start()
cls.ev_loop.run_until_complete(cls.web_app.wait_til_started())
cls._patcher = mock.patch("aiohttp.client.URL")
cls._url_mock = cls._patcher.start()
cls._url_mock.side_effect = cls.web_app.reroute_local
# mock_account_id = FixtureOKEx.GET_ACCOUNTS["data"][0]["id"]
# warning: second parameter starts with /
cls.web_app.update_response("get", API_BASE_URL,
'/' + OKEX_SERVER_TIME,
FixtureOKEx.TIMESTAMP)
cls.web_app.update_response("get", API_BASE_URL,
'/' + OKEX_INSTRUMENTS_URL,
FixtureOKEx.OKEX_INSTRUMENTS_URL)
cls.web_app.update_response("get", API_BASE_URL,
'/api/spot/v3/instruments/ticker',
FixtureOKEx.INSTRUMENT_TICKER)
cls.web_app.update_response(
"get", API_BASE_URL, '/api/spot/v3/instruments/ETH-USDT/book',
FixtureOKEx.OKEX_ORDER_BOOK)
cls.web_app.update_response("get", API_BASE_URL,
'/' + OKEX_BALANCE_URL,
FixtureOKEx.OKEX_BALANCE_URL)
# cls.web_app.update_response("POST", API_BASE_URL, '/' + OKEX_PLACE_ORDER, FixtureOKEx.ORDER_PLACE)
# cls.web_app.update_response("get", OKEX_BASE_URL, f"/v1/account/accounts/{mock_account_id}/balance",
# FixtureOKEx.GET_BALANCES)
cls._t_nonce_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.okex.okex_exchange.get_tracking_nonce"
)
cls._t_nonce_mock = cls._t_nonce_patcher.start()
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: OkexExchange = OkexExchange(API_KEY,
API_SECRET,
API_PASSPHRASE,
trading_pairs=["ETH-USDT"])
# Need 2nd instance of market to prevent events mixing up across tests
cls.market_2: OkexExchange = OkexExchange(API_KEY,
API_SECRET,
API_PASSPHRASE,
trading_pairs=["ETH-USDT"])
cls.clock.add_iterator(cls.market)
cls.clock.add_iterator(cls.market_2)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
if MOCK_API_ENABLED:
cls.web_app.stop()
cls._patcher.stop()
cls._t_nonce_patcher.stop()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
# fail = str(cls.market.status_dict)
# raise ValueError(fail)
if cls.market.ready and cls.market_2.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../okex_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
self.market_2_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
self.market_2.add_listener(event_tag, self.market_2_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_2.remove_listener(event_tag, self.market_2_logger)
self.market_logger = None
self.market_2_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(0.5)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
limit_fee: TradeFee = self.market.get_fee("ETH", "USDT",
OrderType.LIMIT_MAKER,
TradeType.BUY, 1, 10)
self.assertGreater(limit_fee.percent, 0)
self.assertEqual(len(limit_fee.flat_fees), 0)
market_fee: TradeFee = self.market.get_fee("ETH", "USDT",
OrderType.LIMIT,
TradeType.BUY, 1)
self.assertGreater(market_fee.percent, 0)
self.assertEqual(len(market_fee.flat_fees), 0)
sell_trade_fee: TradeFee = self.market.get_fee("ETH", "USDT",
OrderType.LIMIT_MAKER,
TradeType.SELL, 1, 10)
self.assertGreater(sell_trade_fee.percent, 0)
self.assertEqual(len(sell_trade_fee.flat_fees), 0)
def test_fee_overrides_config(self):
fee_overrides_config_map["okex_taker_fee"].value = None
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.0015"), taker_fee.percent)
fee_overrides_config_map["okex_taker_fee"].value = Decimal('0.1')
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.001"), taker_fee.percent)
fee_overrides_config_map["okex_maker_fee"].value = None
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT_MAKER,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.001"), maker_fee.percent)
fee_overrides_config_map["okex_maker_fee"].value = Decimal('0.5')
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT_MAKER,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.005"), maker_fee.percent)
def place_order(self,
is_buy,
trading_pair,
amount,
order_type,
price,
nonce,
get_resp,
market_connector=None):
global EXCHANGE_ORDER_ID
order_id, exch_order_id = None, None
if MOCK_API_ENABLED:
exch_order_id = f"OKEX_{EXCHANGE_ORDER_ID}"
EXCHANGE_ORDER_ID += 1
self._t_nonce_mock.return_value = nonce
resp = FixtureOKEx.ORDER_PLACE.copy()
resp["order_id"] = exch_order_id
# resp = exch_order_id
side = 'buy' if is_buy else 'sell'
order_id = f"{side}-{trading_pair}-{nonce}"
self.web_app.update_response("post", API_BASE_URL,
"/" + OKEX_PLACE_ORDER, resp)
market = self.market if market_connector is None else market_connector
if is_buy:
order_id = market.buy(trading_pair, amount, order_type, price)
else:
order_id = market.sell(trading_pair, amount, order_type, price)
if MOCK_API_ENABLED:
resp = get_resp.copy()
# resp is the response passed by parameter
resp["id"] = exch_order_id
resp["client_oid"] = order_id
self.web_app.update_response(
"get", API_BASE_URL, '/' +
OKEX_ORDER_DETAILS_URL.format(exchange_order_id=exch_order_id),
resp)
return order_id, exch_order_id
def cancel_order(self, trading_pair, order_id, exchange_order_id,
get_resp):
global EXCHANGE_ORDER_ID
if MOCK_API_ENABLED:
resp = FixtureOKEx.ORDER_CANCEL.copy()
resp["order_id"] = exchange_order_id
self.web_app.update_response(
"post", API_BASE_URL,
'/' + OKEX_ORDER_CANCEL.format(exchange_order_id=order_id),
resp)
self.market.cancel(trading_pair, order_id)
if MOCK_API_ENABLED:
resp = get_resp.copy()
resp["order_id"] = exchange_order_id
resp["client_oid"] = order_id
self.web_app.update_response(
"get", API_BASE_URL, '/' + OKEX_ORDER_DETAILS_URL.format(
exchange_order_id=exchange_order_id), resp)
def test_limit_maker_rejections(self):
if MOCK_API_ENABLED:
return
trading_pair = "ETH-USDT"
# Try to put a buy limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('1.02')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair,
Decimal("0.06"))
order_id = self.market.buy(trading_pair, amount, OrderType.LIMIT_MAKER,
price)
[order_failure_event] = self.run_parallel(
self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
self.market_logger.clear()
# Try to put a sell limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair,
True) * Decimal('0.98')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair,
Decimal("0.06"))
order_id = self.market.sell(trading_pair, amount,
OrderType.LIMIT_MAKER, price)
[order_failure_event] = self.run_parallel(
self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
def test_limit_makers_unfilled(self):
if MOCK_API_ENABLED:
return
trading_pair = "ETH-USDT"
bid_price: Decimal = self.market.get_price(trading_pair,
True) * Decimal("0.5")
ask_price: Decimal = self.market.get_price(trading_pair, False) * 2
amount: Decimal = Decimal("0.06")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price * Decimal("0.9"))
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, ask_price * Decimal("1.1"))
order_id1, exch_order_id1 = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001,
FixtureOKEx.ORDER_GET_LIMIT_BUY_UNFILLED)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id1, order_created_event.order_id)
order_id2, exch_order_id2 = self.place_order(
False, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_ask_price, 10002,
FixtureOKEx.ORDER_GET_LIMIT_SELL_UNFILLED)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id2, order_created_event.order_id)
self.run_parallel(asyncio.sleep(1))
if MOCK_API_ENABLED:
resp = FixtureOKEx.ORDERS_BATCH_CANCELLED.copy()
resp["data"]["success"] = [exch_order_id1, exch_order_id2]
self.web_app.update_response("post", API_BASE_URL,
"/v1/order/orders/batchcancel", resp)
[cancellation_results] = self.run_parallel(self.market_2.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
# Reset the logs
self.market_logger.clear()
def test_limit_taker_buy(self):
trading_pair = "ETH-USDT"
price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.06")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(True, trading_pair, quantized_amount,
OrderType.LIMIT, price, 10001,
FixtureOKEx.ORDER_GET_MARKET_BUY)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
buy_order_completed_event: BuyOrderCompletedEvent = buy_order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, buy_order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
buy_order_completed_event.base_asset_amount,
places=4)
self.assertEqual("ETH", buy_order_completed_event.base_asset)
self.assertEqual("USDT", buy_order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
buy_order_completed_event.base_asset_amount,
places=4)
self.assertAlmostEqual(quote_amount_traded,
buy_order_completed_event.quote_asset_amount,
places=4)
self.assertGreater(buy_order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_limit_taker_sell(self):
trading_pair = "ETH-USDT"
price: Decimal = self.market.get_price(trading_pair, False)
amount: Decimal = Decimal("0.06")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, _ = self.place_order(False, trading_pair, amount,
OrderType.LIMIT, price, 10001,
FixtureOKEx.ORDER_GET_MARKET_SELL)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
sell_order_completed_event: SellOrderCompletedEvent = sell_order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, sell_order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount,
sell_order_completed_event.base_asset_amount)
self.assertEqual("ETH", sell_order_completed_event.base_asset)
self.assertEqual("USDT", sell_order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
sell_order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
sell_order_completed_event.quote_asset_amount)
self.assertGreater(sell_order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
def test_cancel_order(self):
trading_pair = "ETH-USDT"
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.05")
bid_price: Decimal = current_bid_price - Decimal(
"0.1") * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, exch_order_id = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001,
FixtureOKEx.ORDER_GET_LIMIT_BUY_UNFILLED)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
self.cancel_order(trading_pair, order_id, exch_order_id,
FixtureOKEx.ORDER_GET_CANCELED)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.assertEqual(order_cancelled_event.order_id, order_id)
def test_cancel_all(self):
trading_pair = "ETH-USDT"
bid_price: Decimal = self.market_2.get_price(trading_pair,
True) * Decimal("0.5")
ask_price: Decimal = self.market_2.get_price(trading_pair, False) * 2
amount: Decimal = Decimal("0.06")
quantized_amount: Decimal = self.market_2.quantize_order_amount(
trading_pair, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market_2.quantize_order_price(
trading_pair, bid_price * Decimal("0.9"))
quantize_ask_price: Decimal = self.market_2.quantize_order_price(
trading_pair, ask_price * Decimal("1.1"))
_, exch_order_id1 = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 1001, FixtureOKEx.ORDER_GET_LIMIT_BUY_UNFILLED,
self.market_2)
_, exch_order_id2 = self.place_order(
False, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_ask_price, 1002, FixtureOKEx.ORDER_GET_LIMIT_BUY_FILLED,
self.market_2)
self.run_parallel(asyncio.sleep(1))
if MOCK_API_ENABLED:
resp = FixtureOKEx.ORDERS_BATCH_CANCELLED.copy()
resp["ETH-USDT"] = [exch_order_id1, exch_order_id2]
self.web_app.update_response("post", API_BASE_URL,
'/' + OKEX_BATCH_ORDER_CANCEL, resp)
[cancellation_results] = self.run_parallel(self.market_2.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-USDT"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.04 ETH, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price(
trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal("0.8")
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
amount: Decimal = Decimal("0.06")
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
order_id, exch_order_id = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001,
FixtureOKEx.ORDER_GET_LIMIT_BUY_UNFILLED)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
# self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: OkexExchange = OkexExchange(
API_KEY,
API_SECRET,
API_PASSPHRASE,
trading_pairs=["ETH-USDT", "BTC-USDT"])
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.cancel_order(trading_pair, order_id, exch_order_id,
FixtureOKEx.ORDER_GET_CANCELED)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-USDT"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.04 ETH from the exchange, and watch for completion event.
price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.06")
order_id, _ = self.place_order(True, trading_pair, amount,
OrderType.LIMIT, price, 10001,
FixtureOKEx.ORDER_GET_MARKET_BUY)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ETH to the exchange, and watch for completion event.
price: Decimal = self.market.get_price(trading_pair, False)
amount = buy_order_completed_event.base_asset_amount
order_id, _ = self.place_order(False, trading_pair, amount,
OrderType.LIMIT, price, 10002,
FixtureOKEx.ORDER_GET_MARKET_SELL)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_update_last_prices(self):
# This is basic test to see if order_book last_trade_price is initiated and updated.
for order_book in self.market.order_books.values():
for _ in range(5):
self.ev_loop.run_until_complete(asyncio.sleep(1))
self.assertFalse(math.isnan(order_book.last_trade_price))
class BinanceExchangeUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset,
MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted,
MarketEvent.OrderFilled,
MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled,
MarketEvent.OrderFailure
]
market: BinanceExchange
market_logger: EventLogger
stack: contextlib.ExitStack
base_api_url = "api.binance.com"
@classmethod
def setUpClass(cls):
global MAINNET_RPC_URL
cls.ev_loop = asyncio.get_event_loop()
if API_MOCK_ENABLED:
cls.web_app = MockWebServer.get_instance()
cls.web_app.add_host_to_mock(cls.base_api_url, ["/api/v1/ping", "/api/v1/time", "/api/v1/ticker/24hr"])
cls.web_app.start()
cls.ev_loop.run_until_complete(cls.web_app.wait_til_started())
cls._patcher = mock.patch("aiohttp.client.URL")
cls._url_mock = cls._patcher.start()
cls._url_mock.side_effect = cls.web_app.reroute_local
cls._req_patcher = unittest.mock.patch.object(requests.Session, "request", autospec=True)
cls._req_url_mock = cls._req_patcher.start()
cls._req_url_mock.side_effect = MockWebServer.reroute_request
cls.web_app.update_response("get", cls.base_api_url, "/api/v3/account", FixtureBinance.BALANCES)
cls.web_app.update_response("get", cls.base_api_url, "/api/v1/exchangeInfo",
FixtureBinance.MARKETS)
cls.web_app.update_response("get", cls.base_api_url, "/wapi/v3/tradeFee.html",
FixtureBinance.TRADE_FEES)
cls.web_app.update_response("post", cls.base_api_url, "/api/v1/userDataStream",
FixtureBinance.LISTEN_KEY)
cls.web_app.update_response("put", cls.base_api_url, "/api/v1/userDataStream",
FixtureBinance.LISTEN_KEY)
cls.web_app.update_response("get", cls.base_api_url, "/api/v1/depth",
FixtureBinance.LINKETH_SNAP, params={'symbol': 'LINKETH'})
cls.web_app.update_response("get", cls.base_api_url, "/api/v1/depth",
FixtureBinance.ZRXETH_SNAP, params={'symbol': 'ZRXETH'})
cls.web_app.update_response("get", cls.base_api_url, "/api/v3/myTrades",
{}, params={'symbol': 'ZRXETH'})
cls.web_app.update_response("get", cls.base_api_url, "/api/v3/myTrades",
{}, params={'symbol': 'LINKETH'})
ws_base_url = "wss://stream.binance.com:9443/ws"
cls._ws_user_url = f"{ws_base_url}/{FixtureBinance.LISTEN_KEY['listenKey']}"
MockWebSocketServerFactory.start_new_server(cls._ws_user_url)
MockWebSocketServerFactory.start_new_server(f"{ws_base_url}/linketh@depth/zrxeth@depth")
cls._ws_patcher = unittest.mock.patch("websockets.connect", autospec=True)
cls._ws_mock = cls._ws_patcher.start()
cls._ws_mock.side_effect = MockWebSocketServerFactory.reroute_ws_connect
cls._t_nonce_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.binance.binance_exchange.get_tracking_nonce")
cls._t_nonce_mock = cls._t_nonce_patcher.start()
cls.current_nonce = 1000000000000000
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: BinanceExchange = BinanceExchange(API_KEY, API_SECRET, ["LINK-ETH", "ZRX-ETH"], True)
print("Initializing Binance market... this will take about a minute.")
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.clock.add_iterator(cls.market)
cls.stack: contextlib.ExitStack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
if API_MOCK_ENABLED:
cls.web_app.stop()
cls._patcher.stop()
cls._req_patcher.stop()
cls._ws_patcher.stop()
cls._t_nonce_patcher.stop()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../binance_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
self.market._current_trade_fills = set()
self.market._exchange_order_ids = dict()
self.ev_loop.run_until_complete(self.wait_til_ready())
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
@classmethod
def get_current_nonce(cls):
cls.current_nonce += 1
return cls.current_nonce
def test_get_fee(self):
maker_buy_trade_fee: TradeFee = self.market.get_fee("BTC", "USDT", OrderType.LIMIT_MAKER, TradeType.BUY, Decimal(1), Decimal(4000))
self.assertGreater(maker_buy_trade_fee.percent, 0)
self.assertEqual(len(maker_buy_trade_fee.flat_fees), 0)
taker_buy_trade_fee: TradeFee = self.market.get_fee("BTC", "USDT", OrderType.LIMIT, TradeType.BUY, Decimal(1))
self.assertGreater(taker_buy_trade_fee.percent, 0)
self.assertEqual(len(taker_buy_trade_fee.flat_fees), 0)
sell_trade_fee: TradeFee = self.market.get_fee("BTC", "USDT", OrderType.LIMIT, TradeType.SELL, Decimal(1), Decimal(4000))
self.assertGreater(sell_trade_fee.percent, 0)
self.assertEqual(len(sell_trade_fee.flat_fees), 0)
sell_trade_fee: TradeFee = self.market.get_fee("BTC", "USDT", OrderType.LIMIT_MAKER, TradeType.SELL, Decimal(1),
Decimal(4000))
self.assertGreater(sell_trade_fee.percent, 0)
self.assertEqual(len(sell_trade_fee.flat_fees), 0)
def test_fee_overrides_config(self):
fee_overrides_config_map["binance_taker_fee"].value = None
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.001"), taker_fee.percent)
fee_overrides_config_map["binance_taker_fee"].value = Decimal('0.2')
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), taker_fee.percent)
fee_overrides_config_map["binance_maker_fee"].value = None
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH", OrderType.LIMIT_MAKER, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.001"), maker_fee.percent)
fee_overrides_config_map["binance_maker_fee"].value = Decimal('0.5')
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH", OrderType.LIMIT_MAKER, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.005"), maker_fee.percent)
def test_buy_and_sell(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.05"))
bid_price: Decimal = self.market.get_price("LINK-ETH", True)
amount: Decimal = 1
quantized_amount: Decimal = self.market.quantize_order_amount("LINK-ETH", amount)
order_id = self.place_order(True, "LINK-ETH", amount, OrderType.LIMIT, bid_price, self.get_current_nonce(), FixtureBinance.BUY_MARKET_ORDER,
FixtureBinance.WS_AFTER_BUY_1, FixtureBinance.WS_AFTER_BUY_2)
self.market.add_exchange_order_ids_from_market_recorder({str(FixtureBinance.BUY_MARKET_ORDER['orderId']): "buy-LINKETH-1580093594011279"})
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(quantized_amount, order_completed_event.base_asset_amount)
self.assertEqual("LINK", order_completed_event.base_asset)
self.assertEqual("ETH", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded, order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, BuyOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ZRX to the exchange, and watch for completion event.
ask_price: Decimal = self.market.get_price("LINK-ETH", False)
amount = order_completed_event.base_asset_amount
quantized_amount = order_completed_event.base_asset_amount
order_id = self.place_order(False, "LINK-ETH", amount, OrderType.LIMIT, ask_price, 10002, FixtureBinance.SELL_MARKET_ORDER,
FixtureBinance.WS_AFTER_SELL_1, FixtureBinance.WS_AFTER_SELL_2)
self.market.add_exchange_order_ids_from_market_recorder({str(FixtureBinance.SELL_MARKET_ORDER['orderId']): "sell-LINKETH-1580194659898896"})
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(quantized_amount, order_completed_event.base_asset_amount)
self.assertEqual("LINK", order_completed_event.base_asset)
self.assertEqual("ETH", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded, order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, SellOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
def test_limit_maker_rejections(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.05"))
# Try to put a buy limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price("LINK-ETH", True) * Decimal('1.02')
price: Decimal = self.market.quantize_order_price("LINK-ETH", price)
amount = self.market.quantize_order_amount("LINK-ETH", 1)
order_id = self.place_order(True, "LINK-ETH", amount, OrderType.LIMIT_MAKER,
price, self.get_current_nonce(),
FixtureBinance.LIMIT_MAKER_ERROR)
[order_failure_event] = self.run_parallel(self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
self.market_logger.clear()
# Try to put a sell limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price("LINK-ETH", True) * Decimal('0.98')
price: Decimal = self.market.quantize_order_price("LINK-ETH", price)
amount = self.market.quantize_order_amount("LINK-ETH", 1)
order_id = self.place_order(False, "LINK-ETH", amount, OrderType.LIMIT_MAKER,
price, self.get_current_nonce(),
FixtureBinance.LIMIT_MAKER_ERROR)
[order_failure_event] = self.run_parallel(self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
def test_limit_makers_unfilled(self):
price = self.market.get_price("LINK-ETH", True) * Decimal("0.8")
price = self.market.quantize_order_price("LINK-ETH", price)
amount = self.market.quantize_order_amount("LINK-ETH", 1)
buy_id = self.place_order(True, "LINK-ETH", amount, OrderType.LIMIT_MAKER,
price, self.get_current_nonce(),
FixtureBinance.OPEN_BUY_ORDER)
[buy_order_created_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
buy_order_created_event: BuyOrderCreatedEvent = buy_order_created_event
self.assertEqual(buy_id, buy_order_created_event.order_id)
price = self.market.get_price("LINK-ETH", True) * Decimal("1.2")
price = self.market.quantize_order_price("LINK-ETH", price)
amount = self.market.quantize_order_amount("LINK-ETH", 1)
sell_id = self.place_order(False, "LINK-ETH", amount, OrderType.LIMIT_MAKER,
price, self.get_current_nonce(),
FixtureBinance.OPEN_SELL_ORDER)
[sell_order_created_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCreatedEvent))
sell_order_created_event: BuyOrderCreatedEvent = sell_order_created_event
self.assertEqual(sell_id, sell_order_created_event.order_id)
if API_MOCK_ENABLED:
resp = self.fixture(FixtureBinance.CANCEL_ORDER, origClientOrderId=buy_id, side="BUY")
self.web_app.update_response("delete", self.base_api_url, "/api/v3/order", resp,
params={'origClientOrderId': buy_id})
resp = self.fixture(FixtureBinance.CANCEL_ORDER, origClientOrderId=sell_id, side="SELL")
self.web_app.update_response("delete", self.base_api_url, "/api/v3/order", resp,
params={'origClientOrderId': sell_id})
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def fixture(self, fixture_data, **overwrites):
data = fixture_data.copy()
for key, value in overwrites.items():
if key not in data:
raise Exception(f"{key} not found in fixture_data")
data[key] = value
return data
def order_response(self, fixture_data, nonce, side, trading_pair):
self._t_nonce_mock.return_value = nonce
order_id = f"{side.lower()}-{trading_pair}-{str(nonce)}"
order_resp = fixture_data.copy()
order_resp["clientOrderId"] = order_id
return order_resp
def place_order(self, is_buy, trading_pair, amount, order_type, price, nonce, fixture_resp,
fixture_ws_1 = None, fixture_ws_2 = None):
order_id = None
if API_MOCK_ENABLED:
resp = self.order_response(fixture_resp, nonce, 'buy' if is_buy else 'sell', trading_pair)
self.web_app.update_response("post", self.base_api_url, "/api/v3/order", resp)
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type, price)
if API_MOCK_ENABLED and fixture_ws_1 is not None and fixture_ws_2 is not None:
exchange_order_id = str(resp['orderId'])
data = self.fixture(fixture_ws_1, c=order_id, i=exchange_order_id)
MockWebSocketServerFactory.send_json_threadsafe(self._ws_user_url, data, delay=0.1)
data = self.fixture(fixture_ws_2, c=order_id, i=exchange_order_id)
MockWebSocketServerFactory.send_json_threadsafe(self._ws_user_url, data, delay=0.11)
return order_id
def test_cancel_all(self):
trading_pair = "LINK-ETH"
bid_price: Decimal = self.market.get_price(trading_pair, True)
ask_price: Decimal = self.market.get_price(trading_pair, False)
amount: Decimal = 1
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market.quantize_order_price(trading_pair, bid_price * Decimal("0.7"))
quantize_ask_price: Decimal = self.market.quantize_order_price(trading_pair, ask_price * Decimal("1.5"))
buy_id = self.place_order(True, "LINK-ETH", quantized_amount, OrderType.LIMIT, quantize_bid_price, self.get_current_nonce(),
FixtureBinance.OPEN_BUY_ORDER, FixtureBinance.WS_AFTER_BUY_1,
FixtureBinance.WS_AFTER_BUY_2)
sell_id = self.place_order(False, "LINK-ETH", quantized_amount, OrderType.LIMIT, quantize_ask_price, self.get_current_nonce(),
FixtureBinance.OPEN_SELL_ORDER, FixtureBinance.WS_AFTER_SELL_1,
FixtureBinance.WS_AFTER_SELL_2)
self.run_parallel(asyncio.sleep(1))
if API_MOCK_ENABLED:
resp = self.fixture(FixtureBinance.CANCEL_ORDER, origClientOrderId=buy_id, side="BUY")
self.web_app.update_response("delete", self.base_api_url, "/api/v3/order", resp,
params={'origClientOrderId': buy_id})
resp = self.fixture(FixtureBinance.CANCEL_ORDER, origClientOrderId=sell_id, side="SELL")
self.web_app.update_response("delete", self.base_api_url, "/api/v3/order", resp,
params={'origClientOrderId': sell_id})
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_order_price_precision(self):
# As of the day this test was written, the min order size (base) is 1 LINK, the min order size (quote) is
# 0.01 ETH, and order step size is 1 LINK.
trading_pair = "LINK-ETH"
bid_price: Decimal = self.market.get_price(trading_pair, True)
ask_price: Decimal = self.market.get_price(trading_pair, False)
mid_price: Decimal = (bid_price + ask_price) / 2
amount: Decimal = Decimal("1.23123216")
binance_client = self.market.binance_client
# Make sure there's enough balance to make the limit orders.
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.05"))
self.assertGreater(self.market.get_balance("LINK"), amount * 2)
# Intentionally set some prices with too many decimal places s.t. they
# need to be quantized. Also, place them far away from the mid-price s.t. they won't
# get filled during the test.
bid_price: Decimal = mid_price * Decimal("0.9333192292111341")
ask_price: Decimal = mid_price * Decimal("1.0492431474884933")
# This is needed to get around the min quote amount limit.
bid_amount: Decimal = Decimal("1.23123216")
if API_MOCK_ENABLED:
resp = self.order_response(FixtureBinance.ORDER_BUY_PRECISION, self.get_current_nonce(), "buy", "LINK-ETH")
self.web_app.update_response("post", self.base_api_url, "/api/v3/order", resp)
# Test bid order
bid_order_id: str = self.market.buy(
trading_pair,
Decimal(bid_amount),
OrderType.LIMIT,
Decimal(bid_price)
)
if API_MOCK_ENABLED:
resp = FixtureBinance.ORDER_BUY_PRECISION_GET
resp["clientOrderId"] = bid_order_id
self.web_app.update_response("get", self.base_api_url, "/api/v3/order", resp)
# Wait for the order created event and examine the order made
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent, timeout_seconds=10)
)
order_data: Dict[str, any] = binance_client.get_order(
symbol=trading_pair,
origClientOrderId=bid_order_id
)
quantized_bid_price: Decimal = self.market.quantize_order_price(trading_pair, Decimal(bid_price))
bid_size_quantum: Decimal = self.market.get_order_size_quantum(trading_pair, Decimal(bid_amount))
self.assertEqual(quantized_bid_price, Decimal(order_data["price"]))
self.assertTrue(Decimal(order_data["origQty"]) % bid_size_quantum == 0)
# Test ask order
if API_MOCK_ENABLED:
resp = self.order_response(FixtureBinance.ORDER_SELL_PRECISION, self.get_current_nonce(), "sell", "LINK-ETH")
self.web_app.update_response("post", self.base_api_url, "/api/v3/order", resp)
ask_order_id: str = self.market.sell(
trading_pair,
Decimal(amount),
OrderType.LIMIT,
Decimal(ask_price)
)
if API_MOCK_ENABLED:
resp = FixtureBinance.ORDER_SELL_PRECISION_GET
resp["clientOrderId"] = ask_order_id
self.web_app.update_response("get", self.base_api_url, "/api/v3/order", resp)
# Wait for the order created event and examine and order made
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent, timeout_seconds=10)
)
order_data = binance_client.get_order(
symbol=trading_pair,
origClientOrderId=ask_order_id
)
quantized_ask_price: Decimal = self.market.quantize_order_price(trading_pair, Decimal(ask_price))
quantized_ask_size: Decimal = self.market.quantize_order_amount(trading_pair, Decimal(amount))
self.assertEqual(quantized_ask_price, Decimal(order_data["price"]))
self.assertEqual(quantized_ask_size, Decimal(order_data["origQty"]))
# Cancel all the orders
if API_MOCK_ENABLED:
resp = self.fixture(FixtureBinance.CANCEL_ORDER, origClientOrderId=bid_order_id, side="BUY")
self.web_app.update_response("delete", self.base_api_url, "/api/v3/order", resp,
params={'origClientOrderId': bid_order_id})
resp = self.fixture(FixtureBinance.CANCEL_ORDER, origClientOrderId=ask_order_id, side="SELL")
self.web_app.update_response("delete", self.base_api_url, "/api/v3/order", resp,
params={'origClientOrderId': ask_order_id})
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_server_time_offset(self):
time_obj: BinanceTime = binance_client_module.time
old_check_interval: float = time_obj._server_time_offset_check_interval
time_obj._server_time_offset_check_interval = 1.0
time_obj.stop()
time_obj.start()
try:
local_time_offset = (time.time() - time.perf_counter()) * 1e3
with patch("hummingbot.connector.exchange.binance.binance_time.time") as market_time:
def delayed_time():
return time.perf_counter() - 30.0
market_time.perf_counter = delayed_time
self.run_parallel(asyncio.sleep(3.0))
raw_time_offset = BinanceTime.get_instance().time_offset_ms
time_offset_diff = raw_time_offset - local_time_offset
# check if it is less than 5% off
self.assertTrue(time_offset_diff > 10000)
self.assertTrue(abs(time_offset_diff - 30.0 * 1e3) < 1.5 * 1e3)
finally:
time_obj._server_time_offset_check_interval = old_check_interval
time_obj.stop()
time_obj.start()
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.02 ETH worth of ZRX, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price("LINK-ETH", True)
bid_price: Decimal = current_bid_price * Decimal("0.8")
quantize_bid_price: Decimal = self.market.quantize_order_price("LINK-ETH", bid_price)
amount: Decimal = 1
quantized_amount: Decimal = self.market.quantize_order_amount("LINK-ETH", amount)
if API_MOCK_ENABLED:
resp = self.order_response(FixtureBinance.OPEN_BUY_ORDER, self.get_current_nonce(), "buy", "LINK-ETH")
self.web_app.update_response("post", self.base_api_url, "/api/v3/order", resp)
order_id = self.market.buy("LINK-ETH", quantized_amount, OrderType.LIMIT, quantize_bid_price)
[order_created_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id, list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[Order] = recorder.get_orders_for_config_and_market(config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.__class__.market: BinanceExchange = BinanceExchange(API_KEY, API_SECRET, ["LINK-ETH", "ZRX-ETH"], True)
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(config_path, self.market)
self.clock.add_iterator(self.market)
self.ev_loop.run_until_complete(self.wait_til_ready())
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
if API_MOCK_ENABLED:
resp = self.fixture(FixtureBinance.CANCEL_ORDER, origClientOrderId=order_id, side="BUY")
self.web_app.update_response("delete", self.base_api_url, "/api/v3/order", resp,
params={'origClientOrderId': order_id})
self.market.cancel("LINK-ETH", order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel("LINK-ETH", order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_update_last_prices(self):
# This is basic test to see if order_book last_trade_price is initiated and updated.
for order_book in self.market.order_books.values():
for _ in range(5):
self.ev_loop.run_until_complete(asyncio.sleep(1))
print(order_book.last_trade_price)
self.assertFalse(math.isnan(order_book.last_trade_price))
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
buy_id: Optional[str] = None
sell_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
# Try to buy 1 LINK from the exchange, and watch for completion event.
bid_price: Decimal = self.market.get_price("LINK-ETH", True)
amount: Decimal = 1
buy_id = self.place_order(True, "LINK-ETH", amount, OrderType.LIMIT, bid_price, self.get_current_nonce(),
FixtureBinance.BUY_LIMIT_ORDER, FixtureBinance.WS_AFTER_BUY_1,
FixtureBinance.WS_AFTER_BUY_2)
[buy_order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of LINK to the exchange, and watch for completion event.
ask_price: Decimal = self.market.get_price("LINK-ETH", False)
amount = buy_order_completed_event.base_asset_amount
sell_id = self.place_order(False, "LINK-ETH", amount, OrderType.LIMIT, ask_price, self.get_current_nonce(),
FixtureBinance.SELL_LIMIT_ORDER, FixtureBinance.WS_AFTER_SELL_1,
FixtureBinance.WS_AFTER_SELL_2)
[sell_order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(config_path)
self.assertGreaterEqual(len(trade_fills), 2)
buy_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "BUY"]
sell_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "SELL"]
self.assertGreaterEqual(len(buy_fills), 1)
self.assertGreaterEqual(len(sell_fills), 1)
buy_id = sell_id = None
finally:
if buy_id is not None:
self.market.cancel("LINK-ETH", buy_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
if sell_id is not None:
self.market.cancel("LINK-ETH", sell_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_prevent_duplicated_orders(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
buy_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
# Perform the same order twice which should produce the same exchange_order_id
# Try to buy 1 LINK from the exchange, and watch for completion event.
bid_price: Decimal = self.market.get_price("LINK-ETH", True)
amount: Decimal = 1
buy_id = self.place_order(True, "LINK-ETH", amount, OrderType.LIMIT, bid_price, self.get_current_nonce(),
FixtureBinance.BUY_LIMIT_ORDER, FixtureBinance.WS_AFTER_BUY_1,
FixtureBinance.WS_AFTER_BUY_2)
[buy_order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
self.market_logger.clear()
# Simulate that order is still in in_flight_orders
order_json = {"client_order_id": buy_id,
"exchange_order_id": str(FixtureBinance.WS_AFTER_BUY_2['t']),
"trading_pair": "LINK-ETH",
"order_type": "MARKET",
"trade_type": "BUY",
"price": bid_price,
"amount": amount,
"last_state": "NEW",
"executed_amount_base": "0",
"executed_amount_quote": "0",
"fee_asset": "LINK",
"fee_paid": "0.0"}
self.market.restore_tracking_states({buy_id: order_json})
self.market.in_flight_orders.get(buy_id).trade_id_set.add(str(FixtureBinance.WS_AFTER_BUY_2['t']))
# Simulate incoming responses as if buy_id is executed again
data = self.fixture(FixtureBinance.WS_AFTER_BUY_2, c=buy_id)
MockWebSocketServerFactory.send_json_threadsafe(self._ws_user_url, data, delay=0.11)
# Will wait, but no order filled event should be triggered because order is ignored
self.run_parallel(asyncio.sleep(1))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(config_path)
buy_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "BUY"]
exchange_trade_id = FixtureBinance.WS_AFTER_BUY_2['t']
self.assertEqual(len([bf for bf in buy_fills if int(bf.exchange_trade_id) == exchange_trade_id]), 1)
buy_id = None
finally:
if buy_id is not None:
self.market.cancel("LINK-ETH", buy_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_history_reconciliation(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
bid_price: Decimal = self.market.get_price("LINK-ETH", True)
# Will temporarily change binance history request to return trades
buy_id = "1580204166011219"
order_id = "123456"
self._t_nonce_mock.return_value = 1234567890123456
binance_trades = [{
'symbol': "LINKETH",
'id': buy_id,
'orderId': order_id,
'orderListId': -1,
'price': float(bid_price),
'qty': 1,
'quoteQty': float(bid_price),
'commission': 0,
'commissionAsset': "ETH",
'time': 1580093596074,
'isBuyer': True,
'isMaker': True,
'isBestMatch': True,
}]
self.market.add_exchange_order_ids_from_market_recorder({order_id: "buy-LINKETH-1580093594011279"})
self.web_app.update_response("get", self.base_api_url, "/api/v3/myTrades",
binance_trades, params={'symbol': 'LINKETH'})
[market_order_completed] = self.run_parallel(self.market_logger.wait_for(OrderFilledEvent))
trade_fills: List[TradeFill] = recorder.get_trades_for_config(config_path)
buy_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "BUY"]
self.assertEqual(len([bf for bf in buy_fills if bf.exchange_trade_id == buy_id]), 1)
buy_id = None
finally:
if buy_id is not None:
self.market.cancel("LINK-ETH", buy_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
# Undo change to binance history request
self.web_app.update_response("get", self.base_api_url, "/api/v3/myTrades",
{}, params={'symbol': 'LINKETH'})
recorder.stop()
os.unlink(self.db_path)
def test_pair_conversion(self):
if API_MOCK_ENABLED:
return
for pair in self.market.trading_rules:
exchange_pair = convert_to_exchange_trading_pair(pair)
self.assertTrue(exchange_pair in self.market.order_books)
class CoinbaseProMarketUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset,
MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted,
MarketEvent.OrderFilled,
MarketEvent.OrderCancelled,
MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled,
MarketEvent.OrderFailure
]
market: CoinbaseProMarket
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
cls.ev_loop = asyncio.get_event_loop()
trading_pair = "ETH-USDC"
if API_MOCK_ENABLED:
cls.web_app = HummingWebApp.get_instance()
cls.web_app.add_host_to_mock(API_BASE_URL, ["/time", "/products", f"/products/{trading_pair}/book"])
cls.web_app.start()
cls.ev_loop.run_until_complete(cls.web_app.wait_til_started())
cls._patcher = mock.patch("aiohttp.client.URL")
cls._url_mock = cls._patcher.start()
cls._url_mock.side_effect = cls.web_app.reroute_local
cls.web_app.update_response("get", API_BASE_URL, "/accounts", FixtureCoinbasePro.BALANCES)
cls.web_app.update_response("get", API_BASE_URL, "/fees", FixtureCoinbasePro.TRADE_FEES)
cls.web_app.update_response("get", API_BASE_URL, "/orders", FixtureCoinbasePro.ORDERS_STATUS)
HummingWsServerFactory.start_new_server(WS_BASE_URL)
cls._ws_patcher = unittest.mock.patch("websockets.connect", autospec=True)
cls._ws_mock = cls._ws_patcher.start()
cls._ws_mock.side_effect = HummingWsServerFactory.reroute_ws_connect
cls._t_nonce_patcher = unittest.mock.patch(
"hummingbot.connector.exchange.coinbase_pro.coinbase_pro_market.get_tracking_nonce")
cls._t_nonce_mock = cls._t_nonce_patcher.start()
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: CoinbaseProMarket = CoinbaseProMarket(
API_KEY,
API_SECRET,
API_PASSPHRASE,
trading_pairs=[trading_pair]
)
print("Initializing Coinbase Pro market... this will take about a minute.")
cls.clock.add_iterator(cls.market)
cls.stack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
if API_MOCK_ENABLED:
cls.web_app.stop()
cls._patcher.stop()
cls._t_nonce_patcher.stop()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../coinbase_pro_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self.clock.run_til(next_iteration)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
limit_fee: TradeFee = self.market.get_fee("ETH", "USDC", OrderType.LIMIT_MAKER, TradeType.BUY, 1, 1)
self.assertGreater(limit_fee.percent, 0)
self.assertEqual(len(limit_fee.flat_fees), 0)
market_fee: TradeFee = self.market.get_fee("ETH", "USDC", OrderType.LIMIT, TradeType.BUY, 1)
self.assertGreater(market_fee.percent, 0)
self.assertEqual(len(market_fee.flat_fees), 0)
def test_fee_overrides_config(self):
fee_overrides_config_map["coinbase_pro_taker_fee"].value = None
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.005"), taker_fee.percent)
fee_overrides_config_map["coinbase_pro_taker_fee"].value = Decimal('0.2')
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), taker_fee.percent)
fee_overrides_config_map["coinbase_pro_maker_fee"].value = None
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH", OrderType.LIMIT_MAKER, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.005"), maker_fee.percent)
fee_overrides_config_map["coinbase_pro_maker_fee"].value = Decimal('0.75')
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH", OrderType.LIMIT_MAKER, TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.0075"), maker_fee.percent)
def place_order(self, is_buy, trading_pair, amount, order_type, price, nonce, fixture_resp, fixture_ws):
order_id, exch_order_id = None, None
if API_MOCK_ENABLED:
self._t_nonce_mock.return_value = nonce
side = 'buy' if is_buy else 'sell'
resp = fixture_resp.copy()
exch_order_id = resp["id"]
resp["side"] = side
self.web_app.update_response("post", API_BASE_URL, "/orders", resp)
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type, price)
if API_MOCK_ENABLED:
resp = fixture_ws.copy()
resp["order_id"] = exch_order_id
resp["side"] = side
HummingWsServerFactory.send_json_threadsafe(WS_BASE_URL, resp, delay=0.1)
return order_id, exch_order_id
def cancel_order(self, trading_pair, order_id, exchange_order_id, fixture_ws):
if API_MOCK_ENABLED:
self.web_app.update_response("delete", API_BASE_URL, f"/orders/{exchange_order_id}", exchange_order_id)
self.market.cancel(trading_pair, order_id)
if API_MOCK_ENABLED:
resp = fixture_ws.copy()
resp["order_id"] = exchange_order_id
HummingWsServerFactory.send_json_threadsafe(WS_BASE_URL, resp, delay=0.1)
def test_limit_maker_rejections(self):
if API_MOCK_ENABLED:
return
trading_pair = "ETH-USDC"
# Try to put a buy limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair, True) * Decimal('1.02')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair, Decimal("0.02"))
order_id = self.market.buy(trading_pair, amount, OrderType.LIMIT_MAKER, price)
[order_failure_event] = self.run_parallel(self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
self.market_logger.clear()
# Try to put a sell limit maker order that is going to match, this should triggers order failure event.
price: Decimal = self.market.get_price(trading_pair, True) * Decimal('0.98')
price: Decimal = self.market.quantize_order_price(trading_pair, price)
amount = self.market.quantize_order_amount(trading_pair, Decimal("0.02"))
order_id = self.market.sell(trading_pair, amount, OrderType.LIMIT_MAKER, price)
[order_failure_event] = self.run_parallel(self.market_logger.wait_for(MarketOrderFailureEvent))
self.assertEqual(order_id, order_failure_event.order_id)
def test_limit_makers_unfilled(self):
if API_MOCK_ENABLED:
return
trading_pair = "ETH-USDC"
bid_price: Decimal = self.market.get_price(trading_pair, True) * Decimal("0.5")
ask_price: Decimal = self.market.get_price(trading_pair, False) * 2
amount: Decimal = 10 / bid_price
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market.quantize_order_price(trading_pair, bid_price * Decimal("0.7"))
quantize_ask_price: Decimal = self.market.quantize_order_price(trading_pair, ask_price * Decimal("1.5"))
order_id, exch_order_id = self.place_order(True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price,
10001, FixtureCoinbasePro.OPEN_BUY_LIMIT_ORDER,
FixtureCoinbasePro.WS_ORDER_OPEN)
[order_created_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
order_id_2, exch_order_id_2 = self.place_order(False, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_ask_price, 10002,
FixtureCoinbasePro.OPEN_SELL_LIMIT_ORDER,
FixtureCoinbasePro.WS_ORDER_OPEN)
[order_created_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id_2, order_created_event.order_id)
self.run_parallel(asyncio.sleep(1))
if API_MOCK_ENABLED:
self.web_app.update_response("delete", API_BASE_URL, f"/orders/{exch_order_id}", exch_order_id)
self.web_app.update_response("delete", API_BASE_URL, f"/orders/{exch_order_id_2}", exch_order_id_2)
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
if API_MOCK_ENABLED:
resp = FixtureCoinbasePro.WS_ORDER_CANCELLED.copy()
resp["order_id"] = exch_order_id
HummingWsServerFactory.send_json_threadsafe(WS_BASE_URL, resp, delay=0.1)
resp = FixtureCoinbasePro.WS_ORDER_CANCELLED.copy()
resp["order_id"] = exch_order_id_2
HummingWsServerFactory.send_json_threadsafe(WS_BASE_URL, resp, delay=0.11)
for cr in cancellation_results:
self.assertEqual(cr.success, True)
# NOTE that orders of non-USD pairs (including USDC pairs) are LIMIT only
def test_limit_taker_buy(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.1"))
trading_pair = "ETH-USDC"
price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.02")
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
order_id, _ = self.place_order(True, trading_pair, quantized_amount, OrderType.LIMIT, price, 10001,
FixtureCoinbasePro.BUY_MARKET_ORDER, FixtureCoinbasePro.WS_AFTER_MARKET_BUY_2)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.LIMIT_MAKER for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount, order_completed_event.base_asset_amount)
self.assertEqual("ETH", order_completed_event.base_asset)
self.assertEqual("USDC", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded, order_completed_event.quote_asset_amount)
self.assertTrue(any([isinstance(event, BuyOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
# Reset the logs
self.market_logger.clear()
# NOTE that orders of non-USD pairs (including USDC pairs) are LIMIT only
def test_limit_taker_sell(self):
trading_pair = "ETH-USDC"
price: Decimal = self.market.get_price(trading_pair, False)
amount: Decimal = Decimal("0.02")
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
order_id, _ = self.place_order(False, trading_pair, quantized_amount, OrderType.LIMIT, price, 10001,
FixtureCoinbasePro.BUY_MARKET_ORDER, FixtureCoinbasePro.WS_AFTER_MARKET_BUY_2)
[order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [t for t in self.market_logger.event_log if isinstance(t, OrderFilledEvent)]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.LIMIT_MAKER for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertAlmostEqual(quantized_amount, order_completed_event.base_asset_amount)
self.assertEqual("ETH", order_completed_event.base_asset)
self.assertEqual("USDC", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded, order_completed_event.quote_asset_amount)
self.assertTrue(any([isinstance(event, SellOrderCreatedEvent) and event.order_id == order_id
for event in self.market_logger.event_log]))
# Reset the logs
self.market_logger.clear()
def test_cancel_order(self):
trading_pair = "ETH-USDC"
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.2")
self.assertGreater(self.market.get_balance("ETH"), amount)
bid_price: Decimal = current_bid_price - Decimal("0.1") * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(trading_pair, bid_price)
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
order_id, exch_order_id = self.place_order(True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001, FixtureCoinbasePro.OPEN_BUY_LIMIT_ORDER,
FixtureCoinbasePro.WS_ORDER_OPEN)
self.cancel_order(trading_pair, order_id, exch_order_id, FixtureCoinbasePro.WS_ORDER_CANCELLED)
[order_cancelled_event] = self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.assertEqual(order_cancelled_event.order_id, order_id)
def test_cancel_all(self):
trading_pair = "ETH-USDC"
bid_price: Decimal = self.market.get_price(trading_pair, True) * Decimal("0.5")
ask_price: Decimal = self.market.get_price(trading_pair, False) * 2
amount: Decimal = 10 / bid_price
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market.quantize_order_price(trading_pair, bid_price * Decimal("0.7"))
quantize_ask_price: Decimal = self.market.quantize_order_price(trading_pair, ask_price * Decimal("1.5"))
_, exch_order_id = self.place_order(True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER, quantize_bid_price,
10001, FixtureCoinbasePro.OPEN_BUY_LIMIT_ORDER, FixtureCoinbasePro.WS_ORDER_OPEN)
_, exch_order_id_2 = self.place_order(False, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_ask_price, 10002, FixtureCoinbasePro.OPEN_SELL_LIMIT_ORDER,
FixtureCoinbasePro.WS_ORDER_OPEN)
self.run_parallel(asyncio.sleep(1))
if API_MOCK_ENABLED:
self.web_app.update_response("delete", API_BASE_URL, f"/orders/{exch_order_id}", exch_order_id)
self.web_app.update_response("delete", API_BASE_URL, f"/orders/{exch_order_id_2}", exch_order_id_2)
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
if API_MOCK_ENABLED:
resp = FixtureCoinbasePro.WS_ORDER_CANCELLED.copy()
resp["order_id"] = exch_order_id
HummingWsServerFactory.send_json_threadsafe(WS_BASE_URL, resp, delay=0.1)
resp = FixtureCoinbasePro.WS_ORDER_CANCELLED.copy()
resp["order_id"] = exch_order_id_2
HummingWsServerFactory.send_json_threadsafe(WS_BASE_URL, resp, delay=0.11)
for cr in cancellation_results:
self.assertEqual(cr.success, True)
@unittest.skipUnless(any("test_list_orders" in arg for arg in sys.argv), "List order test requires manual action.")
def test_list_orders(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.1"))
trading_pair = "ETH-USDC"
amount: Decimal = Decimal("0.02")
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
bid_price: Decimal = current_bid_price + Decimal("0.05") * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(trading_pair, bid_price)
self.market.buy(trading_pair, quantized_amount, OrderType.LIMIT_MAKER, quantize_bid_price)
self.run_parallel(asyncio.sleep(1))
[order_details] = self.run_parallel(self.market.list_orders())
self.assertGreaterEqual(len(order_details), 1)
self.market_logger.clear()
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-USDC"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.04 ETH, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price(trading_pair, True)
bid_price: Decimal = current_bid_price * Decimal("0.8")
quantize_bid_price: Decimal = self.market.quantize_order_price(trading_pair, bid_price)
amount: Decimal = Decimal("0.02")
quantized_amount: Decimal = self.market.quantize_order_amount(trading_pair, amount)
order_id, exch_order_id = self.place_order(True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001, FixtureCoinbasePro.OPEN_BUY_LIMIT_ORDER,
FixtureCoinbasePro.WS_ORDER_OPEN)
[order_created_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id, list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[Order] = recorder.get_orders_for_config_and_market(config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: CoinbaseProMarket = CoinbaseProMarket(
coinbase_pro_api_key=API_KEY,
coinbase_pro_secret_key=API_SECRET,
coinbase_pro_passphrase=API_PASSPHRASE,
trading_pairs=["ETH-USDC"]
)
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.cancel_order(trading_pair, order_id, exch_order_id, FixtureCoinbasePro.WS_ORDER_CANCELLED)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.cancel_order(trading_pair, order_id, exch_order_id, FixtureCoinbasePro.WS_ORDER_CANCELLED)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_update_last_prices(self):
# This is basic test to see if order_book last_trade_price is initiated and updated.
for order_book in self.market.order_books.values():
for _ in range(5):
self.ev_loop.run_until_complete(asyncio.sleep(1))
print(order_book.last_trade_price)
self.assertFalse(math.isnan(order_book.last_trade_price))
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
trading_pair: str = "ETH-USDC"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
# Try to buy 0.04 ETH from the exchange, and watch for completion event.
price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("0.02")
order_id, exch_order_id = self.place_order(True, trading_pair, amount, OrderType.LIMIT, price,
10001, FixtureCoinbasePro.BUY_MARKET_ORDER,
FixtureCoinbasePro.WS_AFTER_MARKET_BUY_2)
[buy_order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of ETH to the exchange, and watch for completion event.
price: Decimal = self.market.get_price(trading_pair, False)
amount = buy_order_completed_event.base_asset_amount
order_id, exch_order_id = self.place_order(False, trading_pair, amount, OrderType.LIMIT, price,
10002, FixtureCoinbasePro.SELL_MARKET_ORDER,
FixtureCoinbasePro.WS_AFTER_MARKET_BUY_2)
[sell_order_completed_event] = self.run_parallel(self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(config_path)
self.assertEqual(2, len(trade_fills))
buy_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "BUY"]
sell_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "SELL"]
self.assertEqual(1, len(buy_fills))
self.assertEqual(1, len(sell_fills))
order_id = None
finally:
if order_id is not None:
self.cancel_order(trading_pair, order_id, exch_order_id, FixtureCoinbasePro.WS_ORDER_CANCELLED)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class LiquidMarketUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.ReceivedAsset, MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted, MarketEvent.WithdrawAsset,
MarketEvent.OrderFilled, MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated, MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled
]
market: LiquidMarket
market_logger: EventLogger
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
global MAINNET_RPC_URL
cls.ev_loop = asyncio.get_event_loop()
if API_MOCK_ENABLED:
cls.web_app = HummingWebApp.get_instance()
cls.web_app.add_host_to_mock(API_HOST,
["/products", "/currencies"])
cls.web_app.start()
cls.ev_loop.run_until_complete(cls.web_app.wait_til_started())
cls._patcher = mock.patch("aiohttp.client.URL")
cls._url_mock = cls._patcher.start()
cls._url_mock.side_effect = cls.web_app.reroute_local
cls.web_app.update_response("get", API_HOST, "/fiat_accounts",
FixtureLiquid.FIAT_ACCOUNTS)
cls.web_app.update_response("get", API_HOST, "/crypto_accounts",
FixtureLiquid.CRYPTO_ACCOUNTS)
cls.web_app.update_response("get", API_HOST, "/orders",
FixtureLiquid.ORDERS_GET)
cls._t_nonce_patcher = unittest.mock.patch(
"hummingbot.market.liquid.liquid_market.get_tracking_nonce")
cls._t_nonce_mock = cls._t_nonce_patcher.start()
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.market: LiquidMarket = LiquidMarket(
API_KEY,
API_SECRET,
order_book_tracker_data_source_type=OrderBookTrackerDataSourceType.
EXCHANGE_API,
user_stream_tracker_data_source_type=UserStreamTrackerDataSourceType
.EXCHANGE_API,
trading_pairs=['CEL-ETH'])
# cls.ev_loop.run_until_complete(cls.market._update_balances())
print("Initializing Liquid market... this will take about a minute.")
cls.clock.add_iterator(cls.market)
cls.stack: contextlib.ExitStack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
if API_MOCK_ENABLED:
cls.web_app.stop()
cls._patcher.stop()
cls._t_nonce_patcher.stop()
cls.stack.close()
@classmethod
async def wait_til_ready(cls):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if cls.market.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../liquid_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.market_logger = EventLogger()
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
def tearDown(self):
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def test_get_fee(self):
maker_buy_trade_fee: TradeFee = self.market.get_fee(
"BTC", "USD", OrderType.LIMIT, TradeType.BUY, Decimal(1),
Decimal(4000))
self.assertGreater(maker_buy_trade_fee.percent, 0)
self.assertEqual(len(maker_buy_trade_fee.flat_fees), 0)
taker_buy_trade_fee: TradeFee = self.market.get_fee(
"BTC", "USD", OrderType.MARKET, TradeType.BUY, Decimal(1))
self.assertGreater(taker_buy_trade_fee.percent, 0)
self.assertEqual(len(taker_buy_trade_fee.flat_fees), 0)
sell_trade_fee: TradeFee = self.market.get_fee("BTC", "USD",
OrderType.LIMIT,
TradeType.SELL,
Decimal(1),
Decimal(4000))
self.assertGreater(sell_trade_fee.percent, 0)
self.assertEqual(len(sell_trade_fee.flat_fees), 0)
def test_fee_overrides_config(self):
fee_overrides_config_map["liquid_taker_fee"].value = None
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.MARKET,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.001"), taker_fee.percent)
fee_overrides_config_map["liquid_taker_fee"].value = Decimal('0.002')
taker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.MARKET,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.002"), taker_fee.percent)
fee_overrides_config_map["liquid_maker_fee"].value = None
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.001"), maker_fee.percent)
fee_overrides_config_map["liquid_maker_fee"].value = Decimal('0.005')
maker_fee: TradeFee = self.market.get_fee("LINK", "ETH",
OrderType.LIMIT,
TradeType.BUY, Decimal(1),
Decimal('0.1'))
self.assertAlmostEqual(Decimal("0.005"), maker_fee.percent)
def place_order(self, is_buy, trading_pair, amount, order_type, price,
nonce, order_resp, get_resp):
order_id, exchange_id = None, None
if API_MOCK_ENABLED:
side = 'buy' if is_buy else 'sell'
self._t_nonce_mock.return_value = nonce
order_id = f"{side.lower()}-{trading_pair}-{str(nonce)}"
resp = order_resp.copy()
resp["client_order_id"] = order_id
exchange_id = resp["id"]
self.web_app.update_response("post", API_HOST, "/orders", resp)
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type,
price)
if API_MOCK_ENABLED:
resp = get_resp.copy()
resp["models"][0]["client_order_id"] = order_id
self.web_app.update_response("get", API_HOST, "/orders", resp)
return order_id, exchange_id
def test_buy_and_sell(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.05"))
current_price: Decimal = self.market.get_price("CEL-ETH", True)
amount: Decimal = 1
quantized_amount: Decimal = self.market.quantize_order_amount(
"CEL-ETH", amount)
order_id, _ = self.place_order(True, "CEL-ETH", amount,
OrderType.MARKET, current_price, 10001,
FixtureLiquid.ORDER_BUY,
FixtureLiquid.ORDERS_GET_AFTER_BUY)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.MARKET for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("CEL", order_completed_event.base_asset)
self.assertEqual("ETH", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of CEL to the exchange, and watch for completion event.
amount = order_completed_event.base_asset_amount
quantized_amount = order_completed_event.base_asset_amount
order_id, _ = self.place_order(False, "CEL-ETH", amount,
OrderType.MARKET, current_price, 10002,
FixtureLiquid.ORDER_SELL,
FixtureLiquid.ORDERS_GET_AFTER_SELL)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.MARKET for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("CEL", order_completed_event.base_asset)
self.assertEqual("ETH", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
def test_limit_buy_and_sell(self):
self.assertGreater(self.market.get_balance("ETH"), Decimal("0.001"))
# Try to put limit buy order for 0.05 ETH worth of CEL, and watch for completion event.
current_bid_price: Decimal = self.market.get_price("CEL-ETH", True)
bid_price: Decimal = current_bid_price + Decimal(
"0.05") * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(
"CEL-ETH", bid_price)
amount: Decimal = 1
quantized_amount: Decimal = self.market.quantize_order_amount(
"CEL-ETH", amount)
order_id, _ = self.place_order(
True, "CEL-ETH", quantized_amount, OrderType.LIMIT,
quantize_bid_price, 10001, FixtureLiquid.ORDER_BUY_LIMIT,
FixtureLiquid.ORDERS_GET_AFTER_LIMIT_BUY)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
order_completed_event: BuyOrderCompletedEvent = order_completed_event
trade_events: List[OrderFilledEvent] = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded: Decimal = sum(t.amount for t in trade_events)
quote_amount_traded: Decimal = sum(t.amount * t.price
for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("CEL", order_completed_event.base_asset)
self.assertEqual("ETH", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, BuyOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
# Reset the logs
self.market_logger.clear()
# Try to put limit sell order for 0.05 ETH worth of CEL, and watch for completion event.
current_ask_price: Decimal = self.market.get_price("CEL-ETH", False)
ask_price: Decimal = current_ask_price - Decimal(
"0.05") * current_ask_price
quantize_ask_price: Decimal = self.market.quantize_order_price(
"CEL-ETH", ask_price)
quantized_amount = order_completed_event.base_asset_amount
order_id, _ = self.place_order(
False, "CEL-ETH", quantized_amount, OrderType.LIMIT,
quantize_ask_price, 10002, FixtureLiquid.ORDER_SELL_LIMIT,
FixtureLiquid.ORDERS_GET_AFTER_SELL_LIMIT)
[order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
order_completed_event: SellOrderCompletedEvent = order_completed_event
trade_events = [
t for t in self.market_logger.event_log
if isinstance(t, OrderFilledEvent)
]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue(
[evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(quantized_amount,
order_completed_event.base_asset_amount)
self.assertEqual("CEL", order_completed_event.base_asset)
self.assertEqual("ETH", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded,
order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded,
order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(
any([
isinstance(event, SellOrderCreatedEvent)
and event.order_id == order_id
for event in self.market_logger.event_log
]))
def test_deposit_info(self):
[deposit_info] = self.run_parallel(self.market.get_deposit_info("ETH"))
deposit_info: DepositInfo = deposit_info
self.assertIsInstance(deposit_info, DepositInfo)
self.assertGreater(len(deposit_info.address), 0)
self.assertGreater(len(deposit_info.extras), 0)
self.assertTrue("currency_type" in deposit_info.extras.get('extras'))
self.assertEqual("ETH",
deposit_info.extras.get('extras').get('currency'))
@unittest.skipUnless(any("test_withdraw" in arg for arg in sys.argv),
"Withdraw test requires manual action.")
def test_withdraw(self):
# CEL_ABI contract file can be found in
# https://etherscan.io/address/0xe41d2489571d322189246dafa5ebde1f4699f498#code
with open(realpath(join(__file__, "../../../data/CELABI.json"))) as fd:
zrx_abi: str = fd.read()
local_wallet: MockWallet = MockWallet(
conf.web3_test_private_key_a,
conf.test_web3_provider_list[0],
{"0xE41d2489571d322189246DaFA5ebDe1F4699F498": zrx_abi},
chain_id=1)
# Ensure the market account has enough balance for withdraw testing.
self.assertGreaterEqual(self.market.get_balance("CEL"), Decimal('10'))
# Withdraw CEL from Liquid to test wallet.
self.market.withdraw(local_wallet.address, "CEL", Decimal('10'))
[withdraw_asset_event] = self.run_parallel(
self.market_logger.wait_for(MarketWithdrawAssetEvent))
withdraw_asset_event: MarketWithdrawAssetEvent = withdraw_asset_event
self.assertEqual(local_wallet.address, withdraw_asset_event.to_address)
self.assertEqual("CEL", withdraw_asset_event.asset_name)
self.assertEqual(Decimal('10'), withdraw_asset_event.amount)
self.assertGreater(withdraw_asset_event.fee_amount, Decimal(0))
def test_cancel_all(self):
trading_pair = "CEL-ETH"
bid_price: Decimal = self.market.get_price(trading_pair, True)
ask_price: Decimal = self.market.get_price(trading_pair, False)
amount: Decimal = 1
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price * Decimal("0.7"))
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, ask_price * Decimal("1.5"))
_, buy_exchange_id = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT,
quantize_bid_price, 10001, FixtureLiquid.ORDER_BUY_CANCEL_ALL,
FixtureLiquid.ORDERS_GET_AFTER_BUY)
_, sell_exchange_id = self.place_order(
False, trading_pair, quantized_amount, OrderType.LIMIT,
quantize_ask_price, 10002, FixtureLiquid.ORDER_SELL_CANCEL_ALL,
FixtureLiquid.ORDERS_GET_AFTER_SELL)
self.run_parallel(asyncio.sleep(1))
if API_MOCK_ENABLED:
order_cancel_resp = FixtureLiquid.ORDER_CANCEL_ALL_1
self.web_app.update_response(
"put", API_HOST, f"/orders/{str(buy_exchange_id)}/cancel",
order_cancel_resp)
order_cancel_resp = FixtureLiquid.ORDER_CANCEL_ALL_2
self.web_app.update_response(
"put", API_HOST, f"/orders/{str(sell_exchange_id)}/cancel",
order_cancel_resp)
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_orders_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
# Try to put limit buy order for 0.005 ETH worth of CEL, and watch for order creation event.
current_bid_price: Decimal = self.market.get_price("CEL-ETH", True)
bid_price: Decimal = current_bid_price * Decimal("0.8")
quantize_bid_price: Decimal = self.market.quantize_order_price(
"CEL-ETH", bid_price)
amount: Decimal = 1
quantized_amount: Decimal = self.market.quantize_order_amount(
"CEL-ETH", amount)
order_id, buy_exchange_id = self.place_order(
True, "CEL-ETH", quantized_amount, OrderType.LIMIT,
quantize_bid_price, 10001, FixtureLiquid.ORDER_SAVE_RESTORE,
FixtureLiquid.ORDERS_GET_AFTER_BUY)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: LiquidMarket = LiquidMarket(
API_KEY,
API_SECRET,
order_book_tracker_data_source_type=
OrderBookTrackerDataSourceType.EXCHANGE_API,
user_stream_tracker_data_source_type=
UserStreamTrackerDataSourceType.EXCHANGE_API,
trading_pairs=['ETH-USD', 'CEL-ETH'])
for event_tag in self.events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
if API_MOCK_ENABLED:
order_cancel_resp = FixtureLiquid.ORDER_CANCEL_SAVE_RESTORE.copy(
)
self.web_app.update_response(
"put", API_HOST, f"/orders/{str(buy_exchange_id)}/cancel",
order_cancel_resp)
self.market.cancel("CEL-ETH", order_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel("CEL-ETH", order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_order_fill_record(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
# Try to buy 1 CEL from the exchange, and watch for completion event.
current_price: Decimal = self.market.get_price("CEL-ETH", True)
amount: Decimal = 1
order_id, _ = self.place_order(
True, "CEL-ETH", amount, OrderType.MARKET, current_price,
10001, FixtureLiquid.ORDER_BUY_LIMIT,
FixtureLiquid.ORDERS_GET_AFTER_LIMIT_BUY)
[buy_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCompletedEvent))
# Reset the logs
self.market_logger.clear()
# Try to sell back the same amount of CEL to the exchange, and watch for completion event.
amount = buy_order_completed_event.base_asset_amount
order_id, _ = self.place_order(
False, "CEL-ETH", amount, OrderType.MARKET, current_price,
10002, FixtureLiquid.ORDER_SELL_LIMIT,
FixtureLiquid.ORDERS_GET_AFTER_SELL_LIMIT)
[sell_order_completed_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCompletedEvent))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(
config_path)
self.assertGreaterEqual(len(trade_fills), 2)
buy_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "BUY"
]
sell_fills: List[TradeFill] = [
t for t in trade_fills if t.trade_type == "SELL"
]
self.assertGreaterEqual(len(buy_fills), 1)
self.assertGreaterEqual(len(sell_fills), 1)
order_id = None
finally:
if order_id is not None:
self.market.cancel("CEL-ETH", order_id)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class CoinzoomExchangeUnitTest(unittest.TestCase):
events: List[MarketEvent] = [
MarketEvent.BuyOrderCompleted,
MarketEvent.SellOrderCompleted,
MarketEvent.OrderFilled,
MarketEvent.TransactionFailure,
MarketEvent.BuyOrderCreated,
MarketEvent.SellOrderCreated,
MarketEvent.OrderCancelled,
MarketEvent.OrderFailure
]
connector: CoinzoomExchange
event_logger: EventLogger
trading_pair = "BTC-USD"
base_token, quote_token = trading_pair.split("-")
stack: contextlib.ExitStack
@classmethod
def setUpClass(cls):
global MAINNET_RPC_URL
cls.ev_loop = asyncio.get_event_loop()
cls.clock: Clock = Clock(ClockMode.REALTIME)
cls.connector: CoinzoomExchange = CoinzoomExchange(
coinzoom_api_key=API_KEY,
coinzoom_secret_key=API_SECRET,
coinzoom_username=API_USERNAME,
trading_pairs=[cls.trading_pair],
trading_required=True
)
print("Initializing Coinzoom market... this will take about a minute.")
cls.clock.add_iterator(cls.connector)
cls.stack: contextlib.ExitStack = contextlib.ExitStack()
cls._clock = cls.stack.enter_context(cls.clock)
cls.ev_loop.run_until_complete(cls.wait_til_ready())
print("Ready.")
@classmethod
def tearDownClass(cls) -> None:
cls.stack.close()
@classmethod
async def wait_til_ready(cls, connector = None):
if connector is None:
connector = cls.connector
async with timeout(90):
while True:
now = time.time()
next_iteration = now // 1.0 + 1
if connector.ready:
break
else:
await cls._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
def setUp(self):
self.db_path: str = realpath(join(__file__, "../connector_test.sqlite"))
try:
os.unlink(self.db_path)
except FileNotFoundError:
pass
self.event_logger = EventLogger()
for event_tag in self.events:
self.connector.add_listener(event_tag, self.event_logger)
def tearDown(self):
for event_tag in self.events:
self.connector.remove_listener(event_tag, self.event_logger)
self.event_logger = None
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
now = time.time()
next_iteration = now // 1.0 + 1
await self._clock.run_til(next_iteration)
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def _place_order(self, is_buy, amount, order_type, price, ex_order_id) -> str:
if is_buy:
cl_order_id = self.connector.buy(self.trading_pair, amount, order_type, price)
else:
cl_order_id = self.connector.sell(self.trading_pair, amount, order_type, price)
return cl_order_id
def _cancel_order(self, cl_order_id, connector=None):
if connector is None:
connector = self.connector
return connector.cancel(self.trading_pair, cl_order_id)
def test_estimate_fee(self):
maker_fee = self.connector.estimate_fee_pct(True)
self.assertAlmostEqual(maker_fee, Decimal("0.002"))
taker_fee = self.connector.estimate_fee_pct(False)
self.assertAlmostEqual(taker_fee, Decimal("0.0026"))
def test_buy_and_sell(self):
price = self.connector.get_price(self.trading_pair, True) * Decimal("1.02")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair, Decimal("0.0001"))
quote_bal = self.connector.get_available_balance(self.quote_token)
base_bal = self.connector.get_available_balance(self.base_token)
order_id = self._place_order(True, amount, OrderType.LIMIT, price, 1)
order_completed_event = self.ev_loop.run_until_complete(self.event_logger.wait_for(BuyOrderCompletedEvent))
self.ev_loop.run_until_complete(asyncio.sleep(5))
trade_events = [t for t in self.event_logger.event_log if isinstance(t, OrderFilledEvent)]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(amount, order_completed_event.base_asset_amount)
self.assertEqual("BTC", order_completed_event.base_asset)
self.assertEqual("USD", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded, order_completed_event.quote_asset_amount)
self.assertTrue(any([isinstance(event, BuyOrderCreatedEvent) and str(event.order_id) == str(order_id)
for event in self.event_logger.event_log]))
# check available quote balance gets updated, we need to wait a bit for the balance message to arrive
expected_quote_bal = quote_bal - quote_amount_traded
# self.ev_loop.run_until_complete(asyncio.sleep(1))
self.ev_loop.run_until_complete(self.connector._update_balances())
self.assertAlmostEqual(expected_quote_bal, self.connector.get_available_balance(self.quote_token), 1)
# Reset the logs
self.event_logger.clear()
# Try to sell back the same amount to the exchange, and watch for completion event.
price = self.connector.get_price(self.trading_pair, True) * Decimal("0.98")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair, Decimal("0.0001"))
order_id = self._place_order(False, amount, OrderType.LIMIT, price, 2)
order_completed_event = self.ev_loop.run_until_complete(self.event_logger.wait_for(SellOrderCompletedEvent))
trade_events = [t for t in self.event_logger.event_log if isinstance(t, OrderFilledEvent)]
base_amount_traded = sum(t.amount for t in trade_events)
quote_amount_traded = sum(t.amount * t.price for t in trade_events)
self.assertTrue([evt.order_type == OrderType.LIMIT for evt in trade_events])
self.assertEqual(order_id, order_completed_event.order_id)
self.assertEqual(amount, order_completed_event.base_asset_amount)
self.assertEqual("BTC", order_completed_event.base_asset)
self.assertEqual("USD", order_completed_event.quote_asset)
self.assertAlmostEqual(base_amount_traded, order_completed_event.base_asset_amount)
self.assertAlmostEqual(quote_amount_traded, order_completed_event.quote_asset_amount)
self.assertGreater(order_completed_event.fee_amount, Decimal(0))
self.assertTrue(any([isinstance(event, SellOrderCreatedEvent) and event.order_id == order_id
for event in self.event_logger.event_log]))
# check available base balance gets updated, we need to wait a bit for the balance message to arrive
expected_base_bal = base_bal
self.ev_loop.run_until_complete(asyncio.sleep(1))
self.ev_loop.run_until_complete(self.connector._update_balances())
self.ev_loop.run_until_complete(asyncio.sleep(5))
self.assertAlmostEqual(expected_base_bal, self.connector.get_available_balance(self.base_token), 5)
def test_limit_makers_unfilled(self):
price = self.connector.get_price(self.trading_pair, True) * Decimal("0.8")
price = self.connector.quantize_order_price(self.trading_pair, price)
price_quantum = self.connector.get_order_price_quantum(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair, Decimal("0.0001"))
self.ev_loop.run_until_complete(asyncio.sleep(1))
self.ev_loop.run_until_complete(self.connector._update_balances())
self.ev_loop.run_until_complete(asyncio.sleep(2))
quote_bal = self.connector.get_available_balance(self.quote_token)
cl_order_id = self._place_order(True, amount, OrderType.LIMIT_MAKER, price, 1)
order_created_event = self.ev_loop.run_until_complete(self.event_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(cl_order_id, order_created_event.order_id)
# check available quote balance gets updated, we need to wait a bit for the balance message to arrive
taker_fee = self.connector.estimate_fee_pct(False)
quote_amount = (math.ceil(((price * amount) * (Decimal("1") + taker_fee)) / price_quantum) * price_quantum)
expected_quote_bal = quote_bal - quote_amount
self.ev_loop.run_until_complete(asyncio.sleep(1))
self.ev_loop.run_until_complete(self.connector._update_balances())
self.ev_loop.run_until_complete(asyncio.sleep(2))
self.assertAlmostEqual(expected_quote_bal, self.connector.get_available_balance(self.quote_token), 5)
self._cancel_order(cl_order_id)
event = self.ev_loop.run_until_complete(self.event_logger.wait_for(OrderCancelledEvent))
self.assertEqual(cl_order_id, event.order_id)
price = self.connector.get_price(self.trading_pair, True) * Decimal("1.2")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair, Decimal("0.0001"))
cl_order_id = self._place_order(False, amount, OrderType.LIMIT_MAKER, price, 2)
order_created_event = self.ev_loop.run_until_complete(self.event_logger.wait_for(SellOrderCreatedEvent))
self.assertEqual(cl_order_id, order_created_event.order_id)
self._cancel_order(cl_order_id)
event = self.ev_loop.run_until_complete(self.event_logger.wait_for(OrderCancelledEvent))
self.assertEqual(cl_order_id, event.order_id)
# # @TODO: find a way to create "rejected"
# def test_limit_maker_rejections(self):
# price = self.connector.get_price(self.trading_pair, True) * Decimal("1.2")
# price = self.connector.quantize_order_price(self.trading_pair, price)
# amount = self.connector.quantize_order_amount(self.trading_pair, Decimal("0.000001"))
# cl_order_id = self._place_order(True, amount, OrderType.LIMIT_MAKER, price, 1)
# event = self.ev_loop.run_until_complete(self.event_logger.wait_for(OrderCancelledEvent))
# self.assertEqual(cl_order_id, event.order_id)
# price = self.connector.get_price(self.trading_pair, False) * Decimal("0.8")
# price = self.connector.quantize_order_price(self.trading_pair, price)
# amount = self.connector.quantize_order_amount(self.trading_pair, Decimal("0.000001"))
# cl_order_id = self._place_order(False, amount, OrderType.LIMIT_MAKER, price, 2)
# event = self.ev_loop.run_until_complete(self.event_logger.wait_for(OrderCancelledEvent))
# self.assertEqual(cl_order_id, event.order_id)
def test_cancel_all(self):
bid_price = self.connector.get_price(self.trading_pair, True)
ask_price = self.connector.get_price(self.trading_pair, False)
bid_price = self.connector.quantize_order_price(self.trading_pair, bid_price * Decimal("0.9"))
ask_price = self.connector.quantize_order_price(self.trading_pair, ask_price * Decimal("1.1"))
amount = self.connector.quantize_order_amount(self.trading_pair, Decimal("0.0001"))
buy_id = self._place_order(True, amount, OrderType.LIMIT, bid_price, 1)
sell_id = self._place_order(False, amount, OrderType.LIMIT, ask_price, 2)
self.ev_loop.run_until_complete(asyncio.sleep(1))
asyncio.ensure_future(self.connector.cancel_all(15))
self.ev_loop.run_until_complete(self.event_logger.wait_for(OrderCancelledEvent))
self.ev_loop.run_until_complete(asyncio.sleep(1))
cancel_events = [t for t in self.event_logger.event_log if isinstance(t, OrderCancelledEvent)]
self.assertEqual({buy_id, sell_id}, {o.order_id for o in cancel_events})
def test_order_quantized_values(self):
bid_price: Decimal = self.connector.get_price(self.trading_pair, True)
ask_price: Decimal = self.connector.get_price(self.trading_pair, False)
mid_price: Decimal = (bid_price + ask_price) / 2
# Make sure there's enough balance to make the limit orders.
self.assertGreater(self.connector.get_balance("BTC"), Decimal("0.0005"))
self.assertGreater(self.connector.get_balance("USD"), Decimal("10"))
# Intentionally set some prices with too many decimal places s.t. they
# need to be quantized. Also, place them far away from the mid-price s.t. they won't
# get filled during the test.
bid_price = self.connector.quantize_order_price(self.trading_pair, mid_price * Decimal("0.9333192292111341"))
ask_price = self.connector.quantize_order_price(self.trading_pair, mid_price * Decimal("1.1492431474884933"))
amount = self.connector.quantize_order_amount(self.trading_pair, Decimal("0.000123456"))
# Test bid order
cl_order_id_1 = self._place_order(True, amount, OrderType.LIMIT, bid_price, 1)
# Wait for the order created event and examine the order made
self.ev_loop.run_until_complete(self.event_logger.wait_for(BuyOrderCreatedEvent))
# Test ask order
cl_order_id_2 = self._place_order(False, amount, OrderType.LIMIT, ask_price, 1)
# Wait for the order created event and examine and order made
self.ev_loop.run_until_complete(self.event_logger.wait_for(SellOrderCreatedEvent))
self._cancel_order(cl_order_id_1)
self.ev_loop.run_until_complete(self.event_logger.wait_for(OrderCancelledEvent))
self._cancel_order(cl_order_id_2)
self.ev_loop.run_until_complete(self.event_logger.wait_for(OrderCancelledEvent))
def test_orders_saving_and_restoration(self):
config_path = "test_config"
strategy_name = "test_strategy"
sql = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id = None
recorder = MarketsRecorder(sql, [self.connector], config_path, strategy_name)
recorder.start()
try:
self.connector._in_flight_orders.clear()
self.assertEqual(0, len(self.connector.tracking_states))
# Try to put limit buy order for 0.02 ETH worth of ZRX, and watch for order creation event.
current_bid_price: Decimal = self.connector.get_price(self.trading_pair, True)
price: Decimal = current_bid_price * Decimal("0.8")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount: Decimal = Decimal("0.0001")
amount = self.connector.quantize_order_amount(self.trading_pair, amount)
cl_order_id = self._place_order(True, amount, OrderType.LIMIT_MAKER, price, 1)
order_created_event = self.ev_loop.run_until_complete(self.event_logger.wait_for(BuyOrderCreatedEvent))
self.assertEqual(cl_order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.connector.tracking_states))
self.assertEqual(cl_order_id, list(self.connector.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[Order] = recorder.get_orders_for_config_and_market(config_path, self.connector)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(cl_order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(config_path, self.connector)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.connector.stop(self._clock)
self.ev_loop.run_until_complete(asyncio.sleep(5))
self.clock.remove_iterator(self.connector)
for event_tag in self.events:
self.connector.remove_listener(event_tag, self.event_logger)
# Clear the event loop
self.event_logger.clear()
new_connector = CoinzoomExchange(API_KEY, API_SECRET, API_USERNAME, [self.trading_pair], True)
for event_tag in self.events:
new_connector.add_listener(event_tag, self.event_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [new_connector], config_path, strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(config_path, new_connector)
self.clock.add_iterator(new_connector)
self.ev_loop.run_until_complete(self.wait_til_ready(new_connector))
self.assertEqual(0, len(new_connector.limit_orders))
self.assertEqual(0, len(new_connector.tracking_states))
new_connector.restore_tracking_states(saved_market_states.saved_state)
self.assertEqual(1, len(new_connector.limit_orders))
self.assertEqual(1, len(new_connector.tracking_states))
# Cancel the order and verify that the change is saved.
self._cancel_order(cl_order_id, new_connector)
self.ev_loop.run_until_complete(self.event_logger.wait_for(OrderCancelledEvent))
recorder.save_market_states(config_path, new_connector)
order_id = None
self.assertEqual(0, len(new_connector.limit_orders))
self.assertEqual(0, len(new_connector.tracking_states))
saved_market_states = recorder.get_market_states(config_path, new_connector)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.connector.cancel(self.trading_pair, cl_order_id)
self.run_parallel(self.event_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def test_update_last_prices(self):
# This is basic test to see if order_book last_trade_price is initiated and updated.
for order_book in self.connector.order_books.values():
for _ in range(5):
self.ev_loop.run_until_complete(asyncio.sleep(1))
self.assertFalse(math.isnan(order_book.last_trade_price))
def test_filled_orders_recorded(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id = None
recorder = MarketsRecorder(sql, [self.connector], config_path, strategy_name)
recorder.start()
try:
# Try to buy some token from the exchange, and watch for completion event.
price = self.connector.get_price(self.trading_pair, True) * Decimal("1.05")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair, Decimal("0.0001"))
order_id = self._place_order(True, amount, OrderType.LIMIT, price, 1)
self.ev_loop.run_until_complete(self.event_logger.wait_for(BuyOrderCompletedEvent))
self.ev_loop.run_until_complete(asyncio.sleep(1))
# Reset the logs
self.event_logger.clear()
# Try to sell back the same amount to the exchange, and watch for completion event.
price = self.connector.get_price(self.trading_pair, True) * Decimal("0.95")
price = self.connector.quantize_order_price(self.trading_pair, price)
amount = self.connector.quantize_order_amount(self.trading_pair, Decimal("0.0001"))
order_id = self._place_order(False, amount, OrderType.LIMIT, price, 2)
self.ev_loop.run_until_complete(self.event_logger.wait_for(SellOrderCompletedEvent))
self.ev_loop.run_until_complete(asyncio.sleep(1))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(config_path)
self.assertGreaterEqual(len(trade_fills), 2)
buy_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "BUY"]
sell_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "SELL"]
self.assertGreaterEqual(len(buy_fills), 1)
self.assertGreaterEqual(len(sell_fills), 1)
order_id = None
finally:
if order_id is not None:
self.connector.cancel(self.trading_pair, order_id)
self.run_parallel(self.event_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
class LoopringOrderBookTrackerUnitTest(unittest.TestCase):
order_book_tracker: Optional[LoopringOrderBookTracker] = None
events: List[OrderBookEvent] = [OrderBookEvent.TradeEvent]
trading_pairs: List[str] = ["ETH-USDT", "LRC-ETH"]
@classmethod
def setUpClass(cls):
cls.ev_loop: asyncio.BaseEventLoop = asyncio.get_event_loop()
cls.order_book_tracker: LoopringOrderBookTracker = LoopringOrderBookTracker(
trading_pairs=cls.trading_pairs, )
cls.order_book_tracker.start()
cls.ev_loop.run_until_complete(cls.wait_til_tracker_ready())
@classmethod
async def wait_til_tracker_ready(cls):
while True:
if len(cls.order_book_tracker.order_books) > 0:
print("Initialized real-time order books.")
return
await asyncio.sleep(1)
async def run_parallel_async(self, *tasks):
future: asyncio.Future = safe_ensure_future(safe_gather(*tasks))
while not future.done():
await asyncio.sleep(1.0)
return future.result()
def run_parallel(self, *tasks):
return self.ev_loop.run_until_complete(self.run_parallel_async(*tasks))
def setUp(self):
self.event_logger = EventLogger()
for event_tag in self.events:
for trading_pair, order_book in self.order_book_tracker.order_books.items(
):
order_book.add_listener(event_tag, self.event_logger)
def test_order_book_trade_event_emission(self):
"""
Test if order book tracker is able to retrieve order book trade message from exchange and
emit order book trade events after correctly parsing the trade messages
"""
self.run_parallel(self.event_logger.wait_for(OrderBookTradeEvent))
for ob_trade_event in self.event_logger.event_log:
self.assertTrue(type(ob_trade_event) == OrderBookTradeEvent)
self.assertTrue(ob_trade_event.trading_pair in self.trading_pairs)
self.assertTrue(type(ob_trade_event.timestamp) == float)
self.assertTrue(type(ob_trade_event.amount) == float)
self.assertTrue(type(ob_trade_event.price) == float)
self.assertTrue(type(ob_trade_event.type) == TradeType)
self.assertTrue(
math.ceil(math.log10(ob_trade_event.timestamp)) == 10)
self.assertTrue(ob_trade_event.amount > 0)
self.assertTrue(ob_trade_event.price > 0)
def test_tracker_integrity(self):
# Wait 5 seconds to process some diffs.
self.ev_loop.run_until_complete(asyncio.sleep(5.0))
order_books: Dict[str, OrderBook] = self.order_book_tracker.order_books
lrc_eth_book: OrderBook = order_books["LRC-ETH"]
self.assertGreaterEqual(
lrc_eth_book.get_price_for_volume(True, 0.1).result_price,
lrc_eth_book.get_price(True))
