174 lines
4.8 KiB
Python
174 lines
4.8 KiB
Python
"""
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Questrade broker testing
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"""
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import time
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import trio
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from trio.testing import trio_test
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from piker.brokers import questrade as qt
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import pytest
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@pytest.fixture(autouse=True)
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def check_qt_conf_section(brokerconf):
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"""Skip this module's tests if we have not quetrade API creds.
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"""
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if not brokerconf.has_section('questrade'):
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pytest.skip("No questrade API credentials available")
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# stock quote
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_ex_quote = {
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"VWAP": 7.383792,
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"askPrice": 7.56,
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"askSize": 2,
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"bidPrice": 6.1,
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"bidSize": 2,
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"delay": 0,
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"high52w": 9.68,
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"highPrice": 8,
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"isHalted": 'false',
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"lastTradePrice": 6.96,
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"lastTradePriceTrHrs": 6.97,
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"lastTradeSize": 2000,
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"lastTradeTick": "Down",
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"lastTradeTime": "2018-02-07T15:59:59.259000-05:00",
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"low52w": 1.03,
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"lowPrice": 6.88,
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"openPrice": 7.64,
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"symbol": "EMH.VN",
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"symbolId": 10164524,
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"tier": "",
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"volume": 5357805
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}
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# option quote
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_ex_contract = {
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'VWAP': 0,
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'askPrice': None,
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'askSize': 0,
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'bidPrice': None,
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'bidSize': 0,
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'delay': 0,
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'delta': -0.212857,
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'gamma': 0.003524,
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'highPrice': 0,
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'isHalted': False,
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'lastTradePrice': 22,
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'lastTradePriceTrHrs': None,
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'lastTradeSize': 0,
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'lastTradeTick': 'Equal',
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'lastTradeTime': '2018-10-23T00:00:00.000000-04:00',
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'lowPrice': 0,
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'openInterest': 1,
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'openPrice': 0,
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'rho': -0.891868,
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'symbol': 'WEED15Jan21P54.00.MX',
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'symbolId': 22739148,
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'theta': -0.012911,
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'underlying': 'WEED.TO',
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'underlyingId': 16529510,
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'vega': 0.220885,
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'volatility': 75.514171,
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'volume': 0
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}
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def match_packet(symbols, quotes):
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"""Verify target ``symbols`` match keys in ``quotes`` packet.
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"""
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assert len(quotes) == len(symbols)
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for ticker in symbols:
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quote = quotes.pop(ticker)
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# verify the quote packet format hasn't changed
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for key in _ex_quote:
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quote.pop(key)
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# no additional fields either
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assert not quote
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# not more quotes then in target set
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assert not quotes
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@trio_test
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async def test_batched_stock_quote(us_symbols):
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"""Use the client stock quote api and verify quote response format.
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"""
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async with qt.get_client() as client:
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quotes = await client.quote(us_symbols)
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assert len(quotes) == len(us_symbols)
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match_packet(us_symbols, quotes)
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@trio_test
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async def test_quoter_context(us_symbols):
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"""Test that a quoter "context" used by the data feed daemon.
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"""
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async with qt.get_client() as client:
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quoter = await qt.quoter(client, us_symbols)
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quotes = await quoter(us_symbols)
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match_packet(us_symbols, quotes)
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@trio_test
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async def test_option_contracts(tmx_symbols):
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"""Verify we can retrieve contracts by expiry.
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"""
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async with qt.get_client() as client:
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for symbol in tmx_symbols:
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id, contracts = await client.symbol2contracts(symbol)
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assert isinstance(id, int)
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assert isinstance(contracts, dict)
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for dt in contracts:
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assert dt.isoformat(
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timespec='microseconds') == contracts[dt]['expiryDate']
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@trio_test
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async def test_option_chain(tmx_symbols):
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"""Verify we can retrieve all option chains for a list of symbols.
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"""
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async with qt.get_client() as client:
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# contract lookup - should be cached
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contracts = await client.get_all_contracts(tmx_symbols)
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# chains quote for all symbols
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quotes = await client.option_chains(contracts)
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for key in tmx_symbols:
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contracts = quotes.pop(key)
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for key, quote in contracts.items():
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for key in _ex_contract:
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quote.pop(key)
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assert not quote
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# chains for each symbol were retreived
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assert not quotes
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@trio_test
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async def test_option_quote_latency(tmx_symbols):
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"""Audit option quote latencies.
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"""
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async with qt.get_client() as client:
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# all contracts lookup - should be cached
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contracts = await client.get_all_contracts(['WEED.TO'])
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# build single expriry contract
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id, by_expiry = next(iter(contracts.items()))
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dt, by_strike = next(iter(by_expiry.items()))
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single = {id: {dt: None}}
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for expected_latency, contract in [
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# NOTE: request latency is usually 2x faster that these
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(5, contracts), (0.5, single)
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]:
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for _ in range(10):
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# chains quote for all symbols
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start = time.time()
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await client.option_chains(contract)
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took = time.time() - start
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print(f"Request took {took}")
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assert took <= expected_latency
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await trio.sleep(0.1)
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