def test_execute_unsubscribe_for_quote_ticks(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
handler = []
subscribe = Subscribe(
provider=BINANCE.value,
data_type=DataType(QuoteTick, metadata={"InstrumentId": ETHUSDT_BINANCE.id}),
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
self.data_engine.execute(subscribe)
unsubscribe = Unsubscribe(
provider=BINANCE.value,
data_type=DataType(QuoteTick, metadata={"InstrumentId": ETHUSDT_BINANCE.id}),
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual([], self.data_engine.subscribed_quote_ticks)
def test_execute_unsubscribe_custom_data(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.data_engine.register_client(self.quandl)
self.binance_client.connect()
handler = []
subscribe = Subscribe(
provider="QUANDL",
data_type=DataType(str, metadata={"Type": "news"}),
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
self.data_engine.execute(subscribe)
unsubscribe = Unsubscribe(
provider="QUANDL",
data_type=DataType(str, metadata={"Type": "news"}),
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual(2, self.data_engine.command_count)
self.assertEqual(["subscribe", "unsubscribe"], self.quandl.calls)
def test_execute_unsubscribe_instrument_then_removes_handler(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
handler = []
subscribe = Subscribe(
client_id=ClientId(BINANCE.value),
data_type=DataType(
Instrument, metadata={"InstrumentId": ETHUSDT_BINANCE.id}
),
handler=handler.append,
command_id=self.uuid_factory.generate(),
timestamp_ns=self.clock.timestamp_ns(),
)
self.data_engine.execute(subscribe)
unsubscribe = Unsubscribe(
client_id=ClientId(BINANCE.value),
data_type=DataType(
Instrument, metadata={"InstrumentId": ETHUSDT_BINANCE.id}
),
handler=handler.append,
command_id=self.uuid_factory.generate(),
timestamp_ns=self.clock.timestamp_ns(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual([], self.data_engine.subscribed_instruments)
def test_unsubscribe_bar_type_then_unsubscribes(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
bar_spec = BarSpecification(1000, BarAggregation.TICK, PriceType.MID)
bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec, internal_aggregation=True)
handler = ObjectStorer()
subscribe = Subscribe(
provider=BINANCE.value,
data_type=DataType(Bar, metadata={"BarType": bar_type}),
handler=handler.store_2,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
self.data_engine.execute(subscribe)
unsubscribe = Unsubscribe(
provider=BINANCE.value,
data_type=DataType(Bar, metadata={"BarType": bar_type}),
handler=handler.store_2,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual([], self.data_engine.subscribed_bars)
def test_unsubscribe_trade_tick_then_unsubscribes(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
handler = []
subscribe = Subscribe(
venue=BINANCE,
data_type=TradeTick,
metadata={"Symbol": ETHUSDT_BINANCE.symbol},
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
self.data_engine.execute(subscribe)
unsubscribe = Unsubscribe(
venue=BINANCE,
data_type=TradeTick,
metadata={"Symbol": ETHUSDT_BINANCE.symbol},
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual([], self.data_engine.subscribed_trade_ticks)
def test_data_messages_when_client_id_and_venue_none_raise_value_error(
self):
# Arrange, Act , Assert
with pytest.raises(ValueError) as ex:
Subscribe(
client_id=None,
venue=None,
data_type=DataType(str, {"type": "newswire"}),
command_id=self.uuid_factory.generate(),
ts_init=self.clock.timestamp_ns(),
)
assert ex.type == ValueError
assert ex.match("Both `client_id` and `venue` were None")
with pytest.raises(ValueError) as ex:
Unsubscribe(
client_id=None,
venue=None,
data_type=DataType(str, {"type": "newswire"}),
command_id=self.uuid_factory.generate(),
ts_init=self.clock.timestamp_ns(),
)
assert ex.type == ValueError
assert ex.match("Both `client_id` and `venue` were None")
with pytest.raises(ValueError) as ex:
handler = []
DataRequest(
client_id=None,
venue=None,
data_type=DataType(QuoteTick),
callback=handler.append,
request_id=self.uuid_factory.generate(),
ts_init=self.clock.timestamp_ns(),
)
assert ex.type == ValueError
assert ex.match("Both `client_id` and `venue` were None")
with pytest.raises(ValueError) as ex:
DataResponse(
client_id=None,
venue=None,
data_type=DataType(QuoteTick),
data=[],
correlation_id=self.uuid_factory.generate(),
response_id=self.uuid_factory.generate(),
ts_init=self.clock.timestamp_ns(),
)
assert ex.type == ValueError
assert ex.match("Both `client_id` and `venue` were None")
def test_execute_unsubscribe_when_data_type_unrecognized_logs_and_does_nothing(self):
# Arrange
self.data_engine.register_client(self.binance_client)
handler = []
unsubscribe = Unsubscribe(
provider=BINANCE.value,
data_type=DataType(type(str)), # str data type is invalid
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual(1, self.data_engine.command_count)
def test_execute_unsubscribe_when_not_subscribed_logs_and_does_nothing(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
handler = []
unsubscribe = Unsubscribe(
provider=BINANCE.value,
data_type=DataType(type(QuoteTick), metadata={"InstrumentId": ETHUSDT_BINANCE.id}),
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual(1, self.data_engine.command_count)
def test_execute_unsubscribe_order_book_data_then_removes_handler(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
handler = []
subscribe = Subscribe(
client_id=ClientId(BINANCE.value),
data_type=DataType(
OrderBookData,
metadata={
"instrument_id": ETHUSDT_BINANCE.id,
"level": 2,
"depth": 25,
"interval": 0,
},
),
handler=handler.append,
command_id=self.uuid_factory.generate(),
timestamp_ns=self.clock.timestamp_ns(),
)
self.data_engine.execute(subscribe)
unsubscribe = Unsubscribe(
client_id=ClientId(BINANCE.value),
data_type=DataType(
OrderBookData,
metadata={
"instrument_id": ETHUSDT_BINANCE.id,
"interval": 0,
},
),
handler=handler.append,
command_id=self.uuid_factory.generate(),
timestamp_ns=self.clock.timestamp_ns(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual([], self.data_engine.subscribed_order_books)
def test_execute_unsubscribe_when_not_subscribed_logs_and_does_nothing(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
handler = []
unsubscribe = Unsubscribe(
venue=BINANCE,
data_type=QuoteTick,
metadata={"Symbol": ETHUSDT_BINANCE.symbol},
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual(1, self.data_engine.command_count)
def test_execute_unsubscribe_order_book_interval_then_removes_handler(
self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
handler = []
subscribe = Subscribe(
venue=BINANCE,
data_type=OrderBook,
metadata={
"Symbol": ETHUSDT_BINANCE.symbol,
"Level": 2,
"Depth": 25,
"Interval": 10,
},
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
self.data_engine.execute(subscribe)
unsubscribe = Unsubscribe(
venue=BINANCE,
data_type=OrderBook,
metadata={
"Symbol": ETHUSDT_BINANCE.symbol,
"Interval": 10,
},
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual([], self.data_engine.subscribed_order_books)
def test_execute_unsubscribe_order_book_stream_then_removes_handler(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
handler = []
subscribe = Subscribe(
provider=BINANCE.value,
data_type=DataType(OrderBook, metadata={
"InstrumentId": ETHUSDT_BINANCE.id,
"Level": 2,
"Depth": 25,
"Interval": 0,
}),
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
self.data_engine.execute(subscribe)
unsubscribe = Unsubscribe(
provider=BINANCE.value,
data_type=DataType(OrderBook, metadata={
"InstrumentId": ETHUSDT_BINANCE.id,
"Interval": 0,
}),
handler=handler.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
# Act
self.data_engine.execute(unsubscribe)
# Assert
self.assertEqual([], self.data_engine.subscribed_order_books)
