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_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.TICK, PriceType.LAST)
bar_type = BarType(instrument.id, bar_spec)
aggregator = TickBarAggregator(
instrument,
bar_type,
handler,
Logger(TestClock()),
)
wrangler = TradeTickDataWrangler(
instrument=instrument,
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]
self.assertEqual(69, len(bar_store.get_store()))
self.assertEqual(Price.from_str("426.72"), last_bar.open)
self.assertEqual(Price.from_str("427.01"), last_bar.high)
self.assertEqual(Price.from_str("426.46"), last_bar.low)
self.assertEqual(Price.from_str("426.67"), last_bar.close)
self.assertEqual(Quantity.from_int(2281), last_bar.volume)
class TradeTickDataWranglerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
def test_tick_data(self):
# Arrange
# Act
ticks = TestDataProvider.ethusdt_trades()
# Assert
self.assertEqual(69806, len(ticks))
def test_process(self):
# Arrange
tick_data = TestDataProvider.ethusdt_trades()
self.tick_builder = TradeTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy(
TestStubs.symbol_usdjpy_fxcm()),
data=tick_data,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.processed_data
# Assert
self.assertEqual(69806, len(ticks))
self.assertEqual(
Timestamp("2020-08-14 10:00:00.223000+0000", tz="UTC"),
ticks.iloc[0].name)
def test_build_ticks(self):
# Arrange
tick_data = TestDataProvider.ethusdt_trades()
self.tick_builder = TradeTickDataWrangler(
instrument=TestInstrumentProvider.ethusdt_binance(),
data=tick_data,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(69806, len(ticks))
self.assertEqual(Price("423.760"), ticks[0].price)
self.assertEqual(Quantity("2.67900"), ticks[0].size)
self.assertEqual(OrderSide.SELL, ticks[0].side)
self.assertEqual(TradeMatchId("148568980"), ticks[0].match_id)
self.assertEqual(
Timestamp("2020-08-14 10:00:00.223000+0000", tz="UTC"),
ticks[0].timestamp)
class TardisTradeDataWranglerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
def test_tick_data(self):
# Arrange
# Act
ticks = TestDataProvider.tardis_trades()
# Assert
self.assertEqual(9999, len(ticks))
def test_process(self):
# Arrange
tick_data = TestDataProvider.tardis_trades()
self.tick_builder = TradeTickDataWrangler(
instrument=TestInstrumentProvider.btcusdt_binance(),
data=tick_data,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.processed_data
# Assert
self.assertEqual(9999, len(ticks))
self.assertEqual(
Timestamp('2020-02-22 00:00:02.418379+0000', tz='UTC'),
ticks.iloc[0].name)
def test_build_ticks(self):
# Arrange
tick_data = TestDataProvider.tardis_trades()
self.tick_builder = TradeTickDataWrangler(
instrument=TestInstrumentProvider.btcusdt_binance(),
data=tick_data,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(9999, len(ticks))
self.assertEqual(Price("9682.00"), ticks[0].price)
self.assertEqual(Quantity("0.132000"), ticks[0].size)
self.assertEqual(OrderSide.BUY, ticks[0].side)
self.assertEqual(TradeMatchId("42377944"), ticks[0].match_id)
self.assertEqual(
Timestamp('2020-02-22 00:00:02.418379+0000', tz='UTC'),
ticks[0].timestamp)
class TradeTickDataWranglerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
def test_tick_data(self):
# Arrange
# Act
ticks = TestDataProvider.ethusdt_trades()
# Assert
self.assertEqual(69806, len(ticks))
def test_process(self):
# Arrange
tick_data = TestDataProvider.ethusdt_trades()
self.tick_builder = TradeTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy("USD/JPY"),
data=tick_data,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.processed_data
# Assert
self.assertEqual(69806, len(ticks))
self.assertEqual(
Timestamp("2020-08-14 10:00:00.223000+0000", tz="UTC"),
ticks.iloc[0].name)
def test_build_ticks(self):
# Arrange
tick_data = TestDataProvider.ethusdt_trades()
self.tick_builder = TradeTickDataWrangler(
instrument=TestInstrumentProvider.ethusdt_binance(),
data=tick_data,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(69806, len(ticks))
self.assertEqual(Price.from_str("423.760"), ticks[0].price)
self.assertEqual(Quantity.from_str("2.67900"), ticks[0].size)
self.assertEqual(AggressorSide.SELL, ticks[0].aggressor_side)
self.assertEqual("148568980", ticks[0].match_id)
self.assertEqual(1597399200223000064, ticks[0].ts_recv_ns)
def test_process(self):
# Arrange
tick_data = TestDataProvider.tardis_trades()
self.tick_builder = TradeTickDataWrangler(
instrument=TestInstrumentProvider.btcusdt_binance(),
data=tick_data,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.processed_data
# Assert
self.assertEqual(9999, len(ticks))
self.assertEqual(Timestamp('2020-02-22 00:00:02.418379+0000', tz='UTC'), ticks.iloc[0].name)
def test_process(self):
# Arrange
tick_data = TestDataProvider.ethusdt_trades()
self.tick_builder = TradeTickDataWrangler(
instrument=TestInstrumentProvider.default_fx_ccy(TestStubs.symbol_usdjpy()),
data=tick_data,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.processed_data
# Assert
self.assertEqual(69806, len(ticks))
self.assertEqual(Timestamp("2020-08-14 10:00:00.223000+0000", tz="UTC"), ticks.iloc[0].name)
def test_build_ticks(self):
# Arrange
tick_data = TestDataProvider.tardis_trades()
self.tick_builder = TradeTickDataWrangler(
instrument=TestInstrumentProvider.btcusdt_binance(),
data=tick_data,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(9999, len(ticks))
self.assertEqual(Price("9682.00"), ticks[0].price)
self.assertEqual(Quantity("0.132000"), ticks[0].size)
self.assertEqual(OrderSide.BUY, ticks[0].side)
self.assertEqual(TradeMatchId("42377944"), ticks[0].match_id)
self.assertEqual(1582329602418379008, ticks[0].timestamp_ns)
def test_build_ticks(self):
# Arrange
tick_data = TestDataProvider.ethusdt_trades()
self.tick_builder = TradeTickDataWrangler(
instrument=TestInstrumentProvider.ethusdt_binance(),
data=tick_data,
)
# Act
self.tick_builder.pre_process(0)
ticks = self.tick_builder.build_ticks()
# Assert
self.assertEqual(69806, len(ticks))
self.assertEqual(Price("423.760"), ticks[0].price)
self.assertEqual(Quantity("2.67900"), ticks[0].size)
self.assertEqual(OrderSide.SELL, ticks[0].side)
self.assertEqual(TradeMatchId("148568980"), ticks[0].match_id)
self.assertEqual(1597399200223000064, ticks[0].timestamp_ns)
def test_run_trade_ticks_through_aggregator_results_in_expected_bars(self):
# Arrange
bar_store = ObjectStorer()
handler = bar_store.store
bar_spec = BarSpecification(10000, BarAggregation.VALUE, PriceType.LAST)
bar_type = BarType(ETHUSDT_BINANCE.id, bar_spec)
aggregator = ValueBarAggregator(bar_type, handler, Logger(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)
