Add an options streaming test
Tyler Goodlet
parent
48a9c389c5
commit
15dec65ba1
|
|
@ -4,7 +4,9 @@ Questrade broker testing
|
|||
import time
|
||||
|
||||
import trio
|
||||
import tractor
|
||||
from trio.testing import trio_test
|
||||
from tractor.testing import tractor_test
|
||||
from piker.brokers import questrade as qt
|
||||
import pytest
|
||||
|
||||
|
|
@ -18,72 +20,75 @@ def check_qt_conf_section(brokerconf):
|
|||
|
||||
|
||||
# stock quote
|
||||
_ex_quote = {
|
||||
"VWAP": 7.383792,
|
||||
"askPrice": 7.56,
|
||||
"askSize": 2,
|
||||
"bidPrice": 6.1,
|
||||
"bidSize": 2,
|
||||
"delay": 0,
|
||||
"high52w": 9.68,
|
||||
"highPrice": 8,
|
||||
"isHalted": 'false',
|
||||
"lastTradePrice": 6.96,
|
||||
"lastTradePriceTrHrs": 6.97,
|
||||
"lastTradeSize": 2000,
|
||||
"lastTradeTick": "Down",
|
||||
"lastTradeTime": "2018-02-07T15:59:59.259000-05:00",
|
||||
"low52w": 1.03,
|
||||
"lowPrice": 6.88,
|
||||
"openPrice": 7.64,
|
||||
"symbol": "EMH.VN",
|
||||
"symbolId": 10164524,
|
||||
"tier": "",
|
||||
"volume": 5357805
|
||||
_ex_quotes = {
|
||||
'stock': {
|
||||
"VWAP": 7.383792,
|
||||
"askPrice": 7.56,
|
||||
"askSize": 2,
|
||||
"bidPrice": 6.1,
|
||||
"bidSize": 2,
|
||||
"delay": 0,
|
||||
"high52w": 9.68,
|
||||
"highPrice": 8,
|
||||
"key": "EMH.VN",
|
||||
"isHalted": 'false',
|
||||
"lastTradePrice": 6.96,
|
||||
"lastTradePriceTrHrs": 6.97,
|
||||
"lastTradeSize": 2000,
|
||||
"lastTradeTick": "Down",
|
||||
"lastTradeTime": "2018-02-07T15:59:59.259000-05:00",
|
||||
"low52w": 1.03,
|
||||
"lowPrice": 6.88,
|
||||
"openPrice": 7.64,
|
||||
"symbol": "EMH.VN",
|
||||
"symbolId": 10164524,
|
||||
"tier": "",
|
||||
"volume": 5357805
|
||||
},
|
||||
'option': {
|
||||
'VWAP': 0,
|
||||
'askPrice': None,
|
||||
'askSize': 0,
|
||||
'bidPrice': None,
|
||||
'bidSize': 0,
|
||||
'delay': 0,
|
||||
'delta': -0.212857,
|
||||
'gamma': 0.003524,
|
||||
'highPrice': 0,
|
||||
'isHalted': False,
|
||||
"key": ["WEED.TO", '2018-10-23T00:00:00.000000-04:00'],
|
||||
'lastTradePrice': 22,
|
||||
'lastTradePriceTrHrs': None,
|
||||
'lastTradeSize': 0,
|
||||
'lastTradeTick': 'Equal',
|
||||
'lastTradeTime': '2018-10-23T00:00:00.000000-04:00',
|
||||
'lowPrice': 0,
|
||||
'openInterest': 1,
|
||||
'openPrice': 0,
|
||||
'rho': -0.891868,
|
||||
'symbol': 'WEED15Jan21P54.00.MX',
|
||||
'symbolId': 22739148,
|
||||
'theta': -0.012911,
|
||||
'underlying': 'WEED.TO',
|
||||
'underlyingId': 16529510,
|
||||
'vega': 0.220885,
|
||||
'volatility': 75.514171,
|
||||
'volume': 0
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
# option quote
|
||||
_ex_contract = {
|
||||
'VWAP': 0,
|
||||
'askPrice': None,
|
||||
'askSize': 0,
|
||||
'bidPrice': None,
|
||||
'bidSize': 0,
|
||||
'delay': 0,
|
||||
'delta': -0.212857,
|
||||
'gamma': 0.003524,
|
||||
'highPrice': 0,
|
||||
'isHalted': False,
|
||||
'lastTradePrice': 22,
|
||||
'lastTradePriceTrHrs': None,
|
||||
'lastTradeSize': 0,
|
||||
'lastTradeTick': 'Equal',
|
||||
'lastTradeTime': '2018-10-23T00:00:00.000000-04:00',
|
||||
'lowPrice': 0,
|
||||
'openInterest': 1,
|
||||
'openPrice': 0,
|
||||
'rho': -0.891868,
|
||||
'symbol': 'WEED15Jan21P54.00.MX',
|
||||
'symbolId': 22739148,
|
||||
'theta': -0.012911,
|
||||
'underlying': 'WEED.TO',
|
||||
'underlyingId': 16529510,
|
||||
'vega': 0.220885,
|
||||
'volatility': 75.514171,
|
||||
'volume': 0
|
||||
}
|
||||
|
||||
|
||||
def match_packet(symbols, quotes):
|
||||
def match_packet(symbols, quotes, feed_type='stock'):
|
||||
"""Verify target ``symbols`` match keys in ``quotes`` packet.
|
||||
"""
|
||||
assert len(quotes) == len(symbols)
|
||||
for ticker in symbols:
|
||||
quote = quotes.pop(ticker)
|
||||
# for ticker in symbols:
|
||||
for quote in quotes.copy():
|
||||
assert quote['key'] in symbols
|
||||
quotes.remove(quote)
|
||||
|
||||
# verify the quote packet format hasn't changed
|
||||
for key in _ex_quote:
|
||||
for key in _ex_quotes[feed_type]:
|
||||
quote.pop(key)
|
||||
|
||||
# no additional fields either
|
||||
|
|
@ -104,11 +109,11 @@ async def test_batched_stock_quote(us_symbols):
|
|||
|
||||
|
||||
@trio_test
|
||||
async def test_quoter_context(us_symbols):
|
||||
async def test_stock_quoter_context(us_symbols):
|
||||
"""Test that a quoter "context" used by the data feed daemon.
|
||||
"""
|
||||
async with qt.get_client() as client:
|
||||
quoter = await qt.quoter(client, us_symbols)
|
||||
quoter = await qt.stock_quoter(client, us_symbols)
|
||||
quotes = await quoter(us_symbols)
|
||||
match_packet(us_symbols, quotes)
|
||||
|
||||
|
|
@ -119,12 +124,14 @@ async def test_option_contracts(tmx_symbols):
|
|||
"""
|
||||
async with qt.get_client() as client:
|
||||
for symbol in tmx_symbols:
|
||||
id, contracts = await client.symbol2contracts(symbol)
|
||||
assert isinstance(id, int)
|
||||
assert isinstance(contracts, dict)
|
||||
for dt in contracts:
|
||||
assert dt.isoformat(
|
||||
timespec='microseconds') == contracts[dt]['expiryDate']
|
||||
contracts = await client.symbol2contracts(symbol)
|
||||
key, byroot = next(iter(contracts.items()))
|
||||
assert isinstance(key.id, int)
|
||||
assert isinstance(byroot, dict)
|
||||
for key in contracts:
|
||||
# check that datetime is same as reported in contract
|
||||
assert key.expiry.isoformat(
|
||||
timespec='microseconds') == contracts[key]['expiryDate']
|
||||
|
||||
|
||||
@trio_test
|
||||
|
|
@ -133,17 +140,15 @@ async def test_option_chain(tmx_symbols):
|
|||
"""
|
||||
async with qt.get_client() as client:
|
||||
# contract lookup - should be cached
|
||||
contracts = await client.get_all_contracts(tmx_symbols)
|
||||
contracts = await client.get_all_contracts([tmx_symbols[0]])
|
||||
# chains quote for all symbols
|
||||
quotes = await client.option_chains(contracts)
|
||||
for key in tmx_symbols:
|
||||
contracts = quotes.pop(key)
|
||||
for key, quote in contracts.items():
|
||||
for key in _ex_contract:
|
||||
quote.pop(key)
|
||||
assert not quote
|
||||
# chains for each symbol were retreived
|
||||
assert not quotes
|
||||
# verify contents match what we expect
|
||||
for quote in quotes:
|
||||
assert quote['underlying'] in tmx_symbols
|
||||
for key in _ex_quotes['option']:
|
||||
quote.pop(key)
|
||||
assert not quote
|
||||
|
||||
|
||||
@trio_test
|
||||
|
|
@ -163,7 +168,7 @@ async def test_option_quote_latency(tmx_symbols):
|
|||
# NOTE: request latency is usually 2x faster that these
|
||||
(5, contracts), (0.5, single)
|
||||
]:
|
||||
for _ in range(10):
|
||||
for _ in range(3):
|
||||
# chains quote for all symbols
|
||||
start = time.time()
|
||||
await client.option_chains(contract)
|
||||
|
|
@ -171,3 +176,71 @@ async def test_option_quote_latency(tmx_symbols):
|
|||
print(f"Request took {took}")
|
||||
assert took <= expected_latency
|
||||
await trio.sleep(0.1)
|
||||
|
||||
|
||||
@tractor_test
|
||||
async def test_option_streaming(tmx_symbols, loglevel):
|
||||
"""Set up option streaming using the broker daemon.
|
||||
"""
|
||||
async with tractor.find_actor('brokerd') as portal:
|
||||
async with tractor.open_nursery() as nursery:
|
||||
# only one per host address, spawns an actor if None
|
||||
if not portal:
|
||||
# no brokerd actor found
|
||||
portal = await nursery.start_actor(
|
||||
'data_feed',
|
||||
rpc_module_paths=[
|
||||
'piker.brokers.data',
|
||||
'piker.brokers.core'
|
||||
],
|
||||
)
|
||||
|
||||
symbol = 'APHA.TO' # your fave greenhouse LP
|
||||
async with qt.get_client() as client:
|
||||
contracts = await client.get_all_contracts([symbol])
|
||||
|
||||
contractkey = next(iter(contracts))
|
||||
subs_keys = list(
|
||||
map(lambda item: (item.symbol, item.expiry), contracts))
|
||||
sub = subs_keys[0]
|
||||
|
||||
agen = await portal.run(
|
||||
'piker.brokers.data',
|
||||
'start_quote_stream',
|
||||
broker='questrade',
|
||||
symbols=[sub],
|
||||
feed_type='option',
|
||||
diff_cached=False,
|
||||
)
|
||||
try:
|
||||
# wait on the data streamer to actually start
|
||||
# delivering
|
||||
await agen.__anext__()
|
||||
|
||||
# it'd sure be nice to have an asyncitertools here...
|
||||
with trio.fail_after(2.1):
|
||||
loops = 8
|
||||
count = 0
|
||||
async for quotes in agen:
|
||||
# print(f'got quotes for {quotes.keys()}')
|
||||
# we should receive all calls and puts
|
||||
assert len(quotes) == len(contracts[contractkey]) * 2
|
||||
for symbol, quote in quotes.items():
|
||||
assert quote['key'] == sub
|
||||
for key in _ex_quotes['option']:
|
||||
quote.pop(key)
|
||||
assert not quote
|
||||
count += 1
|
||||
if count == loops:
|
||||
break
|
||||
finally:
|
||||
# unsub
|
||||
await portal.run(
|
||||
'piker.brokers.data',
|
||||
'modify_quote_stream',
|
||||
broker='questrade',
|
||||
feed_type='option',
|
||||
tickers=[],
|
||||
)
|
||||
# stop all spawned subactors
|
||||
await nursery.cancel()
|
||||
|
|
|
|||
|
|
@ -16,11 +16,6 @@ async def rx_price_quotes_from_brokerd(us_symbols):
|
|||
portal = await nursery.start_actor(
|
||||
'brokerd',
|
||||
rpc_module_paths=['piker.brokers.data'],
|
||||
statespace={
|
||||
'broker2tickersubs': {},
|
||||
'clients': {},
|
||||
'dtasks': set()
|
||||
},
|
||||
)
|
||||
|
||||
# gotta expose in a broker agnostic way...
|
||||
|
|
|
|||
Loading…
Reference in New Issue