def test_to_dict(self):
# Arrange
bar = Bar(
AUDUSD_1_MIN_BID,
Price.from_str("1.00001"),
Price.from_str("1.00004"),
Price.from_str("1.00002"),
Price.from_str("1.00003"),
Quantity.from_int(100000),
0,
0,
)
# Act
values = Bar.to_dict(bar)
# Assert
assert values == {
"type": "Bar",
"bar_type": "AUD/USD.SIM-1-MINUTE-BID-EXTERNAL",
"open": "1.00001",
"high": "1.00004",
"low": "1.00002",
"close": "1.00003",
"volume": "100000",
"ts_event": 0,
"ts_init": 0,
}
def test_equality(self):
# Arrange
bar1 = Bar(
AUDUSD_1_MIN_BID,
Price.from_str("1.00001"),
Price.from_str("1.00004"),
Price.from_str("1.00002"),
Price.from_str("1.00003"),
Quantity.from_int(100000),
0,
0,
)
bar2 = Bar(
AUDUSD_1_MIN_BID,
Price.from_str("1.00000"),
Price.from_str("1.00004"),
Price.from_str("1.00002"),
Price.from_str("1.00003"),
Quantity.from_int(100000),
0,
0,
)
# Act, Assert
assert bar1 == bar1
assert bar1 != bar2
def test_from_dict_returns_expected_bar(self):
# Arrange
bar = TestDataStubs.bar_5decimal()
# Act
result = Bar.from_dict(Bar.to_dict(bar))
# Assert
assert result == bar
def test_set_partial_updates_bar_to_expected_properties(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
partial_bar = Bar(
bar_type=bar_type,
open=Price.from_str("1.00001"),
high=Price.from_str("1.00010"),
low=Price.from_str("1.00000"),
close=Price.from_str("1.00002"),
volume=Quantity.from_str("1"),
ts_event=1_000_000_000,
ts_init=1_000_000_000,
)
# Act
builder.set_partial(partial_bar)
bar = builder.build_now()
# Assert
assert bar.open == Price.from_str("1.00001")
assert bar.high == Price.from_str("1.00010")
assert bar.low == Price.from_str("1.00000")
assert bar.close == Price.from_str("1.00002")
assert bar.volume == Quantity.from_str("1")
assert bar.ts_init == 1_000_000_000
assert builder.ts_last == 1_000_000_000
def test_reset(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = MockStrategy(bar_type)
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
bar = Bar(
bar_type,
Price.from_str("1.00001"),
Price.from_str("1.00004"),
Price.from_str("1.00002"),
Price.from_str("1.00003"),
Quantity.from_int(100000),
0,
0,
)
strategy.handle_bar(bar)
# Act
strategy.reset()
# Assert
assert "on_reset" in strategy.calls
assert strategy.is_initialized
assert strategy.ema1.count == 0
assert strategy.ema2.count == 0
def bar_3decimal() -> Bar:
return Bar(
bar_type=TestDataStubs.bartype_usdjpy_1min_bid(),
open=Price.from_str("90.002"),
high=Price.from_str("90.004"),
low=Price.from_str("90.001"),
close=Price.from_str("90.003"),
volume=Quantity.from_int(1_000_000),
ts_event=0,
ts_init=0,
)
def test_set_partial_when_already_set_does_not_update(self):
# Arrange
bar_type = TestStubs.bartype_btcusdt_binance_100tick_last()
builder = BarBuilder(BTCUSDT_BINANCE, bar_type)
partial_bar1 = Bar(
bar_type=bar_type,
open=Price.from_str("1.00001"),
high=Price.from_str("1.00010"),
low=Price.from_str("1.00000"),
close=Price.from_str("1.00002"),
volume=Quantity.from_str("1"),
ts_event=1_000_000_000,
ts_init=1_000_000_000,
)
partial_bar2 = Bar(
bar_type=bar_type,
open=Price.from_str("2.00001"),
high=Price.from_str("2.00010"),
low=Price.from_str("2.00000"),
close=Price.from_str("2.00002"),
volume=Quantity.from_str("2"),
ts_event=1_000_000_000,
ts_init=3_000_000_000,
)
# Act
builder.set_partial(partial_bar1)
builder.set_partial(partial_bar2)
bar = builder.build(4_000_000_000)
# Assert
assert bar.open == Price.from_str("1.00001")
assert bar.high == Price.from_str("1.00010")
assert bar.low == Price.from_str("1.00000")
assert bar.close == Price.from_str("1.00002")
assert bar.volume == Quantity.from_str("1")
assert bar.ts_init == 4_000_000_000
assert builder.ts_last == 1_000_000_000
def test_check_when_low_above_close_raises_value_error(self):
# Arrange, Act, Assert
with pytest.raises(ValueError):
Bar(
AUDUSD_1_MIN_BID,
Price.from_str("1.00000"),
Price.from_str("1.00005"),
Price.from_str("1.00000"),
Price.from_str("0.99999"), # Close below low
Quantity.from_int(100000),
0,
0,
True,
)
def test_check_when_high_below_close_raises_value_error(self):
# Arrange, Act, Assert
with pytest.raises(ValueError):
Bar(
AUDUSD_1_MIN_BID,
Price.from_str("1.00000"),
Price.from_str("1.00000"), # High below close
Price.from_str("1.00000"),
Price.from_str("1.00005"),
Quantity.from_int(100000),
0,
0,
True,
)
def test_handle_bar(self):
# Arrange
bar = Bar(
AUDUSD_1_MIN_BID,
Price.from_str("1.00000"),
Price.from_str("1.00004"),
Price.from_str("1.00002"),
Price.from_str("1.00003"),
Quantity.from_int(100000),
0,
0,
)
# Act
self.swings.handle_bar(bar)
# Assert
assert self.swings.has_inputs
def test_hash_str_repr(self):
# Arrange
bar = Bar(
AUDUSD_1_MIN_BID,
Price.from_str("1.00001"),
Price.from_str("1.00004"),
Price.from_str("1.00002"),
Price.from_str("1.00003"),
Quantity.from_int(100000),
0,
0,
)
# Act, Assert
assert isinstance(hash(bar), int)
assert (
str(bar) == "AUD/USD.SIM-1-MINUTE-BID-EXTERNAL,1.00001,1.00004,1.00002,1.00003,100000,0"
)
assert (
repr(bar)
== "Bar(AUD/USD.SIM-1-MINUTE-BID-EXTERNAL,1.00001,1.00004,1.00002,1.00003,100000,0)"
)
def parse_bars_http(
instrument: Instrument,
bar_type: BarType,
data: List[Dict[str, Any]],
ts_event_delta: int,
ts_init: int,
) -> List[Bar]:
bars: List[Bar] = []
for row in data:
bar: Bar = Bar(
bar_type=bar_type,
open=Price(row["open"], instrument.price_precision),
high=Price(row["high"], instrument.price_precision),
low=Price(row["low"], instrument.price_precision),
close=Price(row["close"], instrument.price_precision),
volume=Quantity(row["volume"], instrument.size_precision),
check=True,
ts_event=secs_to_nanos(row["time"]) + ts_event_delta,
ts_init=ts_init,
)
bars.append(bar)
return bars
def test_fully_qualified_name(self):
# Arrange, Act, Assert
assert Bar.fully_qualified_name() == "nautilus_trader.model.data.bar.Bar"
def deserialize(data: Dict) -> Bar:
ignore = ("instrument_id", )
bar = Bar.from_dict({k: v for k, v in data.items() if k not in ignore})
return bar
def serialize(bar: Bar):
data = bar.to_dict(bar)
data["instrument_id"] = bar.type.instrument_id.value
return data