def test_run_quote_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(1000, BarAggregation.VOLUME, PriceType.MID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler,
TestLogger(TestClock()))
wrangler = QuoteTickDataWrangler(
instrument=AUDUSD_SIM,
data_quotes=TestDataProvider.audusd_ticks(),
)
wrangler.pre_process(instrument_indexer=0)
ticks = wrangler.build_ticks()
# Act
for tick in ticks:
aggregator.handle_quote_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1].bar
self.assertEqual(99, len(bar_store.get_store()))
self.assertEqual(Price("0.669325"), last_bar.open)
self.assertEqual(Price("0.669485"), last_bar.high)
self.assertEqual(Price("0.66917"), last_bar.low)
self.assertEqual(Price("0.66935"), last_bar.close)
self.assertEqual(Quantity(1000), last_bar.volume)
def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
bar_spec = BarSpecification(1000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler,
TestLogger(TestClock()))
wrangler = TradeTickDataWrangler(
instrument=ETHUSDT_BINANCE,
data=TestDataProvider.ethusdt_trades(),
)
wrangler.pre_process(0)
ticks = wrangler.build_ticks()
# Act
for tick in ticks:
aggregator.handle_trade_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1].bar
self.assertEqual(187, len(bar_store.get_store()))
self.assertEqual(Price("426.44"), last_bar.open)
self.assertEqual(Price("426.84"), last_bar.high)
self.assertEqual(Price("426.00"), last_bar.low)
self.assertEqual(Price("426.82"), last_bar.close)
self.assertEqual(Quantity(1000), last_bar.volume)
def test_handle_quote_tick_when_volume_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.BID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(3000),
ask_size=Quantity(2000),
timestamp=UNIX_EPOCH,
)
# Act
aggregator.handle_quote_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
def test_handle_trade_tick_when_volume_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument_id, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price("1.00001"),
size=Quantity(1),
side=OrderSide.BUY,
match_id=TradeMatchId("123456"),
timestamp=UNIX_EPOCH,
)
# Act
aggregator.handle_trade_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
def test_handle_trade_tick_when_volume_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00001"),
size=Quantity.from_int(1),
aggressor_side=AggressorSide.BUY,
match_id="123456",
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
aggregator.handle_trade_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = ETHUSDT_BINANCE
bar_spec = BarSpecification(1000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
wrangler = TradeTickDataWrangler(instrument=ETHUSDT_BINANCE)
provider = TestDataProvider()
ticks = wrangler.process(
provider.read_csv_ticks("binance-ethusdt-trades.csv")[:10000])
# Act
for tick in ticks:
aggregator.handle_trade_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1]
assert len(bar_store.get_store()) == 26
assert last_bar.open == Price.from_str("425.17")
assert last_bar.high == Price.from_str("425.24")
assert last_bar.low == Price.from_str("424.69")
assert last_bar.close == Price.from_str("425.14")
assert last_bar.volume == Quantity.from_int(1000)
def test_handle_quote_tick_when_volume_below_threshold_updates(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.BID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = QuoteTick(
instrument_id=instrument.id,
bid=Price.from_str("1.00001"),
ask=Price.from_str("1.00004"),
bid_size=Quantity.from_int(3000),
ask_size=Quantity.from_int(2000),
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
aggregator.handle_quote_tick(tick1)
# Assert
self.assertEqual(0, len(bar_store.get_store()))
def test_run_quote_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(1000, BarAggregation.VOLUME, PriceType.MID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
# Setup data
wrangler = QuoteTickDataWrangler(instrument)
provider = TestDataProvider()
ticks = wrangler.process(
data=provider.read_csv_ticks("truefx-audusd-ticks.csv")[:10000],
default_volume=1,
)
# Act
for tick in ticks:
aggregator.handle_quote_tick(tick)
# Assert
last_bar = bar_store.get_store()[-1]
assert len(bar_store.get_store()) == 10
assert last_bar.open == Price.from_str("0.670635")
assert last_bar.high == Price.from_str("0.670705")
assert last_bar.low == Price.from_str("0.670370")
assert last_bar.close == Price.from_str("0.670655")
assert last_bar.volume == Quantity.from_int(1000)
def test_handle_trade_tick_when_volume_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument_id, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler,
Logger(TestClock()))
tick1 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00001"),
size=Quantity.from_int(3000),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123456"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
tick2 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00002"),
size=Quantity.from_int(4000),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123457"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
tick3 = TradeTick(
instrument_id=AUDUSD_SIM.id,
price=Price.from_str("1.00000"),
size=Quantity.from_int(3000),
aggressor_side=AggressorSide.BUY,
match_id=TradeMatchId("123458"),
timestamp_origin_ns=0,
timestamp_ns=0,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
self.assertEqual(1, len(bar_store.get_store()))
self.assertEqual(Price.from_str("1.00001"),
bar_store.get_store()[0].open)
self.assertEqual(Price.from_str("1.00002"),
bar_store.get_store()[0].high)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[0].low)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[0].close)
self.assertEqual(Quantity.from_int(10000),
bar_store.get_store()[0].volume)
def test_handle_trade_tick_when_volume_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00001"),
size=Quantity.from_int(3000),
aggressor_side=AggressorSide.BUY,
trade_id="123456",
ts_event=0,
ts_init=0,
)
tick2 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00002"),
size=Quantity.from_int(4000),
aggressor_side=AggressorSide.BUY,
trade_id="123457",
ts_event=0,
ts_init=0,
)
tick3 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00000"),
size=Quantity.from_int(3000),
aggressor_side=AggressorSide.BUY,
trade_id="123458",
ts_event=0,
ts_init=0,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
assert len(bar_store.get_store()) == 1
assert bar_store.get_store()[0].open == Price.from_str("1.00001")
assert bar_store.get_store()[0].high == Price.from_str("1.00002")
assert bar_store.get_store()[0].low == Price.from_str("1.00000")
assert bar_store.get_store()[0].close == Price.from_str("1.00000")
assert bar_store.get_store()[0].volume == Quantity.from_int(10000)
def test_handle_quote_tick_when_volume_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.BID)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = QuoteTick(
instrument_id=instrument.id,
bid=Price.from_str("1.00001"),
ask=Price.from_str("1.00004"),
bid_size=Quantity.from_int(3000),
ask_size=Quantity.from_int(2000),
ts_event=0,
ts_init=0,
)
tick2 = QuoteTick(
instrument_id=instrument.id,
bid=Price.from_str("1.00002"),
ask=Price.from_str("1.00005"),
bid_size=Quantity.from_int(4000),
ask_size=Quantity.from_int(2000),
ts_event=0,
ts_init=0,
)
tick3 = QuoteTick(
instrument_id=instrument.id,
bid=Price.from_str("1.00000"),
ask=Price.from_str("1.00003"),
bid_size=Quantity.from_int(3000),
ask_size=Quantity.from_int(2000),
ts_event=0,
ts_init=0,
)
# Act
aggregator.handle_quote_tick(tick1)
aggregator.handle_quote_tick(tick2)
aggregator.handle_quote_tick(tick3)
# Assert
assert len(bar_store.get_store()) == 1
assert bar_store.get_store()[0].open == Price.from_str("1.00001")
assert bar_store.get_store()[0].high == Price.from_str("1.00002")
assert bar_store.get_store()[0].low == Price.from_str("1.00000")
assert bar_store.get_store()[0].close == Price.from_str("1.00000")
assert bar_store.get_store()[0].volume == Quantity.from_int(10000)
def test_handle_quote_tick_when_volume_beyond_threshold_sends_bars_to_handler(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument_id = TestStubs.audusd_id()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.BID)
bar_type = BarType(instrument_id, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler, Logger(TestClock()))
tick1 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(2000),
ask_size=Quantity(2000),
timestamp_ns=0,
)
tick2 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(3000),
ask_size=Quantity(3000),
timestamp_ns=0,
)
tick3 = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(25000),
ask_size=Quantity(25000),
timestamp_ns=0,
)
# Act
aggregator.handle_quote_tick(tick1)
aggregator.handle_quote_tick(tick2)
aggregator.handle_quote_tick(tick3)
# Assert
self.assertEqual(3, len(bar_store.get_store()))
self.assertEqual(Price("1.00001"), bar_store.get_store()[0].open)
self.assertEqual(Price("1.00002"), bar_store.get_store()[0].high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[0].low)
self.assertEqual(Price("1.00000"), bar_store.get_store()[0].close)
self.assertEqual(Quantity(10000), bar_store.get_store()[0].volume)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].open)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].low)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].close)
self.assertEqual(Quantity(10000), bar_store.get_store()[1].volume)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].open)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].low)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].close)
self.assertEqual(Quantity(10000), bar_store.get_store()[2].volume)
def test_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd_fxcm()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME, PriceType.LAST)
bar_type = BarType(symbol, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler, TestLogger(TestClock()))
tick1 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("1.00001"),
size=Quantity(2000),
side=OrderSide.BUY,
match_id=TradeMatchId("123456"),
timestamp=UNIX_EPOCH,
)
tick2 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("1.00002"),
size=Quantity(3000),
side=OrderSide.BUY,
match_id=TradeMatchId("123457"),
timestamp=UNIX_EPOCH,
)
tick3 = TradeTick(
symbol=AUDUSD_SIM.symbol,
price=Price("1.00000"),
size=Quantity(25000),
side=OrderSide.BUY,
match_id=TradeMatchId("123458"),
timestamp=UNIX_EPOCH,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
self.assertEqual(3, len(bar_store.get_store()))
self.assertEqual(Price("1.00001"), bar_store.get_store()[0].bar.open)
self.assertEqual(Price("1.00002"), bar_store.get_store()[0].bar.high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[0].bar.low)
self.assertEqual(Price('1.00000'), bar_store.get_store()[0].bar.close)
self.assertEqual(Quantity(10000), bar_store.get_store()[0].bar.volume)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].bar.open)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].bar.high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[1].bar.low)
self.assertEqual(Price('1.00000'), bar_store.get_store()[1].bar.close)
self.assertEqual(Quantity(10000), bar_store.get_store()[1].bar.volume)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].bar.open)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].bar.high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[2].bar.low)
self.assertEqual(Price('1.00000'), bar_store.get_store()[2].bar.close)
self.assertEqual(Quantity(10000), bar_store.get_store()[2].bar.volume)
def test_handle_quote_tick_when_volume_at_threshold_sends_bar_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
symbol = TestStubs.symbol_audusd()
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.BID)
bar_type = BarType(symbol, bar_spec)
aggregator = VolumeBarAggregator(bar_type, handler,
TestLogger(TestClock()))
tick1 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00001"),
ask=Price("1.00004"),
bid_size=Quantity(3000),
ask_size=Quantity(2000),
timestamp=UNIX_EPOCH,
)
tick2 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00002"),
ask=Price("1.00005"),
bid_size=Quantity(4000),
ask_size=Quantity(2000),
timestamp=UNIX_EPOCH,
)
tick3 = QuoteTick(
symbol=AUDUSD_SIM.symbol,
bid=Price("1.00000"),
ask=Price("1.00003"),
bid_size=Quantity(3000),
ask_size=Quantity(2000),
timestamp=UNIX_EPOCH,
)
# Act
aggregator.handle_quote_tick(tick1)
aggregator.handle_quote_tick(tick2)
aggregator.handle_quote_tick(tick3)
# Assert
self.assertEqual(1, len(bar_store.get_store()))
self.assertEqual(Price("1.00001"), bar_store.get_store()[0].bar.open)
self.assertEqual(Price("1.00002"), bar_store.get_store()[0].bar.high)
self.assertEqual(Price("1.00000"), bar_store.get_store()[0].bar.low)
self.assertEqual(Price('1.00000'), bar_store.get_store()[0].bar.close)
self.assertEqual(Quantity(10000), bar_store.get_store()[0].bar.volume)
def test_handle_trade_tick_when_volume_beyond_threshold_sends_bars_to_handler(
self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
instrument = AUDUSD_SIM
bar_spec = BarSpecification(10000, BarAggregation.VOLUME,
PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = VolumeBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
tick1 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00001"),
size=Quantity.from_int(2000),
aggressor_side=AggressorSide.BUY,
match_id="123456",
ts_event_ns=0,
ts_recv_ns=0,
)
tick2 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00002"),
size=Quantity.from_int(3000),
aggressor_side=AggressorSide.BUY,
match_id="123457",
ts_event_ns=0,
ts_recv_ns=0,
)
tick3 = TradeTick(
instrument_id=instrument.id,
price=Price.from_str("1.00000"),
size=Quantity.from_int(25000),
aggressor_side=AggressorSide.BUY,
match_id="123458",
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
aggregator.handle_trade_tick(tick1)
aggregator.handle_trade_tick(tick2)
aggregator.handle_trade_tick(tick3)
# Assert
self.assertEqual(3, len(bar_store.get_store()))
self.assertEqual(Price.from_str("1.00001"),
bar_store.get_store()[0].open)
self.assertEqual(Price.from_str("1.00002"),
bar_store.get_store()[0].high)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[0].low)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[0].close)
self.assertEqual(Quantity.from_int(10000),
bar_store.get_store()[0].volume)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[1].open)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[1].high)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[1].low)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[1].close)
self.assertEqual(Quantity.from_int(10000),
bar_store.get_store()[1].volume)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[2].open)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[2].high)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[2].low)
self.assertEqual(Price.from_str("1.00000"),
bar_store.get_store()[2].close)
self.assertEqual(Quantity.from_int(10000),
bar_store.get_store()[2].volume)
