""" 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 @pytest.fixture(autouse=True) def check_qt_conf_section(brokerconf): """Skip this module's tests if we have not quetrade API creds. """ if not brokerconf.has_section('questrade'): pytest.skip("No questrade API credentials available") # stock quote _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, 'contract_type': 'call', 'delay': 0, 'delta': -0.212857, "expiry": "2021-01-15T00:00:00.000000-05:00", '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, "strike": 8, '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, feed_type='stock'): """Verify target ``symbols`` match keys in ``quotes`` packet. """ assert len(quotes) == len(symbols) # 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_quotes[feed_type]: quote.pop(key) # no additional fields either assert not quote # not more quotes then in target set assert not quotes @trio_test async def test_batched_stock_quote(us_symbols): """Use the client stock quote api and verify quote response format. """ async with qt.get_client() as client: quotes = await client.quote(us_symbols) assert len(quotes) == len(us_symbols) match_packet(us_symbols, quotes) @trio_test 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.stock_quoter(client, us_symbols) quotes = await quoter(us_symbols) match_packet(us_symbols, quotes) @trio_test async def test_option_contracts(tmx_symbols): """Verify we can retrieve contracts by expiry. """ async with qt.get_client() as client: for symbol in tmx_symbols: 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 async def test_option_chain(tmx_symbols): """Verify we can retrieve all option chains for a list of symbols. """ async with qt.get_client() as client: # contract lookup - should be cached contracts = await client.get_all_contracts([tmx_symbols[0]]) # chains quote for all symbols quotes = await client.option_chains(contracts) # 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 async def test_option_quote_latency(tmx_symbols): """Audit option quote latencies. """ async with qt.get_client() as client: # all contracts lookup - should be cached contracts = await client.get_all_contracts(['WEED.TO']) # build single expriry contract id, by_expiry = next(iter(contracts.items())) dt, by_strike = next(iter(by_expiry.items())) single = {id: {dt: None}} for expected_latency, contract in [ # NOTE: request latency is usually 2x faster that these (5, contracts), (0.5, single) ]: for _ in range(3): # chains quote for all symbols start = time.time() await client.option_chains(contract) took = time.time() - start print(f"Request took {took}") assert took <= expected_latency await trio.sleep(0.1) async def stream_option_chain(portal, symbols): """Start up an option quote stream. ``symbols`` arg is ignored here. """ 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', rate=4, 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 # switch the subscription and make sure # stream is still working sub = subs_keys[1] await agen.aclose() agen = await portal.run( 'piker.brokers.data', 'start_quote_stream', broker='questrade', symbols=[sub], feed_type='option', rate=4, diff_cached=False, ) await agen.__anext__() with trio.fail_after(2.1): loops = 8 count = 0 async for quotes in agen: for symbol, quote in quotes.items(): assert quote['key'] == sub count += 1 if count == loops: break finally: # unsub await agen.aclose() async def stream_stocks(portal, symbols): """Start up a stock quote stream. """ agen = await portal.run( 'piker.brokers.data', 'start_quote_stream', broker='questrade', symbols=symbols, ) try: # it'd sure be nice to have an asyncitertools here... async for quotes in agen: assert quotes for key in quotes: assert key in symbols break finally: # unsub await agen.aclose() @pytest.mark.parametrize( 'stream_what', [ (stream_stocks,), (stream_option_chain,), (stream_stocks, stream_option_chain), ], ids=['stocks', 'options', 'stocks_and_options'], ) @tractor_test async def test_quote_streaming(tmx_symbols, loglevel, stream_what): """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' ], ) async with trio.open_nursery() as n: for func in stream_what: n.start_soon(func, portal, tmx_symbols) # stop all spawned subactors await nursery.cancel()