def test_get_quotes_success(self, mock_get, mock_now):
mock_get.return_value = _make_response(
200, """{
"SPY": {
"chart": [
{"date":"2020-03-05","close":319.69,"volume":242964067,"change":0,"changePercent":0,"changeOverTime":0},
{"date":"2020-03-06","close":308.48,"volume":300862938,"change":-9.12,"changePercent":-2.9921,"changeOverTime":-0.029457},
{"date":"2020-03-09","close":301.01,"volume":123123131,"change":-7.47,"changePercent":-2.4216,"changeOverTime":-0.01311}
]
}
}""")
mock_now.return_value = time.FromCivil(time.CivilTime(2020, 3, 11))
results = self.importer.get_data('SPY', time.CivilTime(2020, 3, 5),
time.CivilTime(2020, 3, 7))
_, kwargs = mock_get.call_args
self.assertEqual(kwargs['params']['symbols'], 'SPY')
self.assertEqual(kwargs['params']['range'], '1m')
assert_that(
results[data_type_pb2.DataType.CLOSE_PRICE],
contains(
equals_proto(f"""
symbol: "SPY"
data_space: STOCK_DATA
data_type: CLOSE_PRICE
value: 319.69
timestamp {{ seconds: {time.as_seconds(2020, 3, 5)} }}
updated_at {{ seconds: {time.as_seconds(2020, 3, 11)} }}
"""),
equals_proto(f"""
symbol: "SPY"
data_space: STOCK_DATA
data_type: CLOSE_PRICE
value: 308.48
timestamp {{ seconds: {time.as_seconds(2020, 3, 6)} }}
updated_at {{ seconds: {time.as_seconds(2020, 3, 11)} }}
""")))
assert_that(
results[data_type_pb2.DataType.VOLUME],
contains(
equals_proto(f"""
symbol: "SPY"
data_space: STOCK_DATA
data_type: VOLUME
value: 242964067.0
timestamp {{ seconds: {time.as_seconds(2020, 3, 5)} }}
updated_at {{ seconds: {time.as_seconds(2020, 3, 11)} }}
"""),
equals_proto(f"""
symbol: "SPY"
data_space: STOCK_DATA
data_type: VOLUME
value: 300862938.0
timestamp {{ seconds: {time.as_seconds(2020, 3, 6)} }}
updated_at {{ seconds: {time.as_seconds(2020, 3, 11)} }}
""")))
def test_making_series_input_shape(self):
got = input_util.series_source_inputs_shape(
source_calc_type=_DataType.Enum.CLOSE_PRICE,
t=time.FromUnixSeconds(1578009600),
time_spec=calc.CalcTimeSpecs(num_periods=2,
period_length=time.Hours(24)))
expected = get_input_shapes()
assert_that(
got, contains(equals_proto(expected[0]), equals_proto(expected[1])))
def test_ema_20_initial_calculation(self):
# INTC 2019-12-03 to 2019-12-31
price_data = [
56.07, 56.02, 56.08, 56.81, 56.53, 56.59, 57.07, 57.55, 57.79, 57.70,
57.23, 57.17, 57.96, 58.95, 59.23, 59.41, 59.82, 60.08, 59.62, 59.85,
] # yapf: disable
date = time.CivilTime(2019, 12, 31)
close_prices = [
_make_close_price(value, time.FromCivil(d))
for value, d in zip(price_data, trading_days.get_last_n(date, 20))
]
# Note: this is different than the actual EMA20 for Intel on 2019/12/31,
# which is 58.46, because EMA accounts for *all* past data
assert_that(
ema.make_ema_20d_producer().calculate(close_prices),
equals_proto(f"""
symbol: "TEST"
data_space: STOCK_DATA
data_type: EMA_20D
value: 58.255796513052346
timestamp {{
seconds: {time.as_seconds(2019, 12, 31)}
}}"""))
def test_add_then_read(self):
self._store.add(get_data_entry_one())
lookup_key = key.make_lookup_key(get_data_entry_one())
assert_that(
self._store.read(lookup_key),
ignoring_field_paths({('id', )},
equals_proto(get_data_entry_one())))
def test_making_series_input_shape_account_for_trading_days(self):
got = input_util.series_source_inputs_shape(
source_calc_type=_DataType.Enum.CLOSE_PRICE,
t=time.FromCivil(time.CivilTime(2017, 12, 26)),
time_spec=calc.CalcTimeSpecs(num_periods=2,
period_length=time.Hours(24)))
assert_that(
got,
contains(
equals_proto(f"""
data_type: CLOSE_PRICE
timestamp {{
seconds: {time.as_seconds(2017, 12, 22)}
}}"""),
equals_proto(f"""
data_type: CLOSE_PRICE
timestamp {{
seconds: {time.as_seconds(2017, 12, 26)}
}}""")))
def test_making_recursive_input_shape(self):
got = input_util.recursive_inputs_shape(
base_calc_type=_DataType.Enum.EMA_20D,
incr_calc_type=_DataType.Enum.CLOSE_PRICE,
t=time.FromUnixSeconds(1578009600),
time_spec=calc.CalcTimeSpecs(num_periods=20,
period_length=time.Hours(24)))
assert_that(
got,
contains(
equals_proto(f"""
data_type: EMA_20D
timestamp {{
seconds: {time.as_seconds(2020, 1, 2)}
}}"""),
equals_proto(f"""
data_type: CLOSE_PRICE
timestamp {{
seconds: {time.as_seconds(2020, 1, 3)}
}}""")))
def test_get_quotes_default_single_day(self, mock_get, mock_now):
mock_get.return_value = _make_response(
200, """{
"ABC": {
"chart": [
{"date":"2020-03-11","close":300.00,"volume":231231312,"change":-0,"changePercent": 0.0,"changeOverTime":-0.04321}
]
}
}""")
mock_now.return_value = time.FromCivil(time.CivilTime(2020, 3, 11))
results = self.importer.get_data('ABC')
_, kwargs = mock_get.call_args
self.assertEqual(kwargs['params']['symbols'], 'ABC')
self.assertEqual(kwargs['params']['range'], '5d')
assert_that(
results[data_type_pb2.DataType.CLOSE_PRICE],
contains(
equals_proto(f"""
symbol: "ABC"
data_space: STOCK_DATA
data_type: CLOSE_PRICE
value: 300.00
timestamp {{ seconds: {time.as_seconds(2020, 3, 11)} }}
updated_at {{ seconds: {time.as_seconds(2020, 3, 11)} }}
""")))
assert_that(
results[data_type_pb2.DataType.VOLUME],
contains(
equals_proto(f"""
symbol: "ABC"
data_space: STOCK_DATA
data_type: VOLUME
value: 231231312.0
timestamp {{ seconds: {time.as_seconds(2020, 3, 11)} }}
updated_at {{ seconds: {time.as_seconds(2020, 3, 11)} }}
""")))
def test_ema_20_for_constant_list(self):
date = time.CivilTime(2017, 10, 10)
close_prices = [
_make_close_price(200.0, time.FromCivil(d))
for d in trading_days.get_last_n(date, 20)
]
assert_that(
ema.make_ema_20d_producer().calculate(close_prices),
equals_proto(f"""
symbol: "TEST"
data_space: STOCK_DATA
data_type: EMA_20D
value: 200.0
timestamp {{
seconds: {time.as_seconds(2017, 10, 10)}
}}"""))
def test_lookup(self, data_space: _DataEntry.DataSpace, symbol: str,
data_type: data_type_pb2.DataType.Enum,
data_entries: Tuple[_DataEntry]):
store_impl = impl_factory()
store_impl.add(get_data_entry_one())
store_impl.add(get_data_entry_two())
store_impl.add(get_data_entry_three())
lookup_key = store.DataStore.LookupKey(data_space=data_space,
symbol=symbol or "",
data_type=data_type)
actual = store_impl.lookup(lookup_key)
expected = data_entry_pb2.DataEntries()
expected.entries.extend(data_entries)
assert_that(
actual,
ignoring_field_paths({('entries', 'id')},
ignoring_repeated_field_ordering(
equals_proto(expected))))
def test_ema20_recursive_calculation(self):
date = time.FromCivil(time.CivilTime(2020, 1, 1))
close_now = _make_close_price(60.84, date)
ema_last = _DataEntry(
symbol='TEST',
data_space=_DataEntry.STOCK_DATA,
data_type=data_type_pb2.DataType.EMA_20D,
value=58.46,
timestamp=time_util.from_time(date - time.Hours(24)),
)
assert_that(
ema.make_ema_20d_producer().calculate((ema_last, close_now)),
equals_proto(f"""
symbol: "TEST"
data_space: STOCK_DATA
data_type: EMA_20D
value: 58.68666666666667
timestamp {{
seconds: {time.as_seconds(2020, 1, 1)}
}}"""))
def test_more_data_than_needed_to_sort_to_inputs_shape(self):
inputs = [*reversed(get_valid_inputs()), *get_valid_inputs()]
got = input_util.sort_to_inputs_shape(inputs, get_input_shapes())
expected = get_valid_inputs()
assert_that(
got, contains(equals_proto(expected[0]), equals_proto(expected[1])))
def test_sort_to_inputs_shape(self):
inputs = reversed(get_valid_inputs())
got = input_util.sort_to_inputs_shape(inputs, get_input_shapes())
expected = get_valid_inputs()
assert_that(
got, contains(equals_proto(expected[0]), equals_proto(expected[1])))