def test_can_load_full_ohlc_from_partials(self):
instr = m.FXInstrument("i")
ohlc1 = OHLC(date(2005, 6, 20),
open=10.0,
low=5.0,
high=15.0,
close=12.0,
num_trades=1,
volume=100.0,
waprice=11.0)
ohlc2 = OHLC(date(2005, 6, 23),
open=10.0,
low=5.0,
high=15.0,
close=13.0,
num_trades=2,
volume=100.0,
waprice=11.0)
partial_replies = [
OHLCSeries(instr.code, [ohlc1]),
OHLCSeries(instr.code, [ohlc2]),
OHLCSeries(instr.code, [])
]
mocked_loader = MagicMock(side_effect=partial_replies)
full_table = instr.load_ohlc_table(None, mocked_loader)
assert not full_table.is_empty()
assert full_table.ohlc_series == [ohlc1, ohlc2]
def test_csv_parse_unparse(self):
ohlc = OHLC(date.today(),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=12.0)
csv_row = ohlc.to_csv_row()
ohlc_parsed = OHLC.from_csv_row(csv_row)
assert ohlc == ohlc_parsed
def _parse_ohlc_csv(self, reply: str) -> OHLCSeries:
lines = reply.split("\n")[2:]
# note field names in moex reply are OLHC (parsed here), but our native csv
# (in instruments module) is OHLC as market convention
reader = csv.DictReader(lines, delimiter=";")
series = []
name = None
for row in reader:
try:
num_trades = self.parse_num_trades(row)
date = datetime.date.fromisoformat(row["TRADEDATE"])
if num_trades != 0:
ohlc = OHLC(date=date,
open=float(row["OPEN"]),
low=float(row["LOW"]),
high=float(row["HIGH"]),
close=float(row["CLOSE"]),
num_trades=num_trades,
volume=self.parse_volume(row),
waprice=self.parse_waprice(row))
series.append(ohlc)
else:
# otherwise pandas import will change column type from double to object due to NA presence
logger.info(
f"Skipping {date} for {self} as it had no trades")
if name is None:
name = row["SHORTNAME"]
except ValueError as e:
raise ValueError(f"Error happened for row {row}", e)
if self.name is None:
self.name = name
return OHLCSeries(self.code, series, name)
def test_can_create_ohlc_with_waprice_not_within_high_and_low(self):
OHLC(date.today(),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=90.0)
def test_cannot_create_ohlc_with_close_not_within_high_and_low(self):
with pytest.raises(ValueError):
OHLC(date.today(),
open=10.0,
low=9.0,
high=15.0,
close=16.0,
num_trades=1,
volume=10.0,
waprice=9.0)
def test_cannot_create_ohlc_with_low_greater_than_high(self):
with pytest.raises(ValueError):
OHLC(date.today(),
open=10.0,
low=9.0,
high=8.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=9.0)
def test_can_create_good_instance(self):
series = OHLCSeries("instr", [
OHLC(date(2020, 12, 4),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
OHLC(date(2020, 12, 5),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
])
assert not series.is_empty()
def test_cannot_create_with_dates_not_ascending(self):
with pytest.raises(ValueError):
OHLCSeries("instr", [
OHLC(date(2020, 12, 5),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
OHLC(date(2020, 12, 4),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0)
])
def test_can_grow_series(self):
series1 = OHLCSeries("instr", [
OHLC(date(2020, 12, 4),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
OHLC(date(2020, 12, 5),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
])
series2 = OHLCSeries("instr", [
OHLC(date(2020, 12, 6),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
OHLC(date(2020, 12, 7),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
])
series1.append(series2)
assert len(series1.ohlc_series) == 4
assert series1.ohlc_series[2:] == series2.ohlc_series
def test_cannot_append_non_adjacent_series(self):
with pytest.raises(ValueError) as e:
series1 = OHLCSeries("instr", [
OHLC(date(2020, 12, 4),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
OHLC(date(2020, 12, 5),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
])
series2 = OHLCSeries("instr", [
OHLC(date(2020, 12, 5),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
OHLC(date(2020, 12, 6),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0),
])
series1.append(series2)
assert "First date (2020-12-05) must be > 2020-12-05" in str(e.value)
def test_can_parse_currency_ohlc(self, sample_ohlc_currency_csv):
inst = m.FXInstrument("eurrub")
ohlc: OHLCSeries = inst._parse_ohlc_csv(sample_ohlc_currency_csv)
assert not ohlc.is_empty()
s = ohlc.ohlc_series
assert s[0] == OHLC(date(2005, 6, 20),
open=34.79,
low=34.7701,
high=34.83,
close=34.81,
num_trades=21,
volume=157224489.9,
waprice=34.8073)
assert s[-1] == OHLC(date(2005, 11, 7),
open=34.97,
low=33.925,
high=34.97,
close=34.01,
num_trades=57,
volume=142336864.5,
waprice=34.0031)
assert ohlc.name == "EURRUB_TOM"
assert inst.name == ohlc.name
def test_can_parse_index_ohlc(self, sample_ohlc_index_csv):
inst = m.IndexInstrument("mredc")
assert inst.name is None
ohlc: OHLCSeries = inst._parse_ohlc_csv(sample_ohlc_index_csv)
assert not ohlc.is_empty()
s = ohlc.ohlc_series
assert s[0] == OHLC(date(2016, 12, 28),
open=159646.69,
low=159646.69,
high=159646.69,
close=159646.69,
num_trades=1,
volume=0.0,
waprice=0.0)
assert s[-1] == OHLC(date(2018, 11, 21),
open=167319.51,
low=167319.51,
high=167319.51,
close=167319.51,
num_trades=1,
volume=0.0,
waprice=0.0)
assert ohlc.name == "Индекс недвиж-ти ДомКлик Москва"
assert inst.name == ohlc.name
def test_avg_of_last_elems(self):
close = [1.0, 2.0, 3.0, 4.0]
open = [2.0, 3.0, 4.0, 5.0]
ohlcs = [
OHLC(date(2021, 1, 1) + timedelta(days=i),
open=open[i],
low=0.0,
high=10.0,
close=close[i],
num_trades=1,
volume=1.0,
waprice=1.0) for i in range(len(close))
]
series = OHLCSeries("i", ohlcs)
assert series.mean_of_last_elems(2) == (close[-2] + close[-1]) / 2
assert series.mean_of_last_elems(
2, lambda ohlc: ohlc.open) == (open[-2] + open[-1]) / 2
assert series.mean_of_last_elems(4) == (close[0] + close[1] +
close[2] + close[3]) / 4
with pytest.raises(ValueError):
series.mean_of_last_elems(5)
def test_empty_processing(self):
s1 = OHLCSeries("i", [])
s1.append(OHLCSeries("i", []))
assert s1.is_empty()
s_tmp = OHLCSeries("i", [
OHLC(date(2020, 12, 6),
open=9.0,
low=9.0,
high=15.0,
close=11.0,
num_trades=1,
volume=10.0,
waprice=13.0)
])
s2 = OHLCSeries("i", [])
s2.append(s_tmp)
assert not s2.is_empty()
assert s2 == s_tmp
s_tmp.append(OHLCSeries("i", []))
assert not s_tmp.is_empty()