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piker/tests/test_questrade.py

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"""
Questrade broker testing
"""
import time
import trio
from trio.testing import trio_test
from piker.brokers import questrade as qt
import pytest
import tractor
import piker
from piker.brokers import get_brokermod
from piker.brokers.data import DataFeed
log = piker.log.get_logger('tests')
pytestmark = pytest.mark.skipif(
True,
reason="questrade tests can only be run locally with an API key",
)
# TODO: this module was removed from tractor into it's
# tests/conftest.py, we need to rewrite the below tests
# to use the `open_pikerd_runtime()` to make these work again
# (if we're not just gonna junk em).
# from tractor.testing import tractor_test
# 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
@pytest.fixture
def us_symbols():
return ['TSLA', 'AAPL', 'CGC', 'CRON']
@pytest.fixture
def tmx_symbols():
return ['APHA.TO', 'WEED.TO', 'ACB.TO']
@pytest.fixture
def cse_symbols():
return ['TRUL.CN', 'CWEB.CN', 'SNN.CN']
# @tractor_test
async def test_concurrent_tokens_refresh(us_symbols, loglevel):
"""Verify that concurrent requests from mulitple tasks work alongside
random token refreshing which simulates an access token expiry + refresh
scenario.
The API does not support concurrent requests when refreshing tokens
(i.e. when hitting the auth endpoint). This tests ensures that when
multiple tasks use the same client concurrency works and access
token expiry will result in a reliable token set update.
"""
async with qt.get_client() as client:
# async with tractor.open_nursery() as n:
# await n.run_in_actor('other', intermittently_refresh_tokens)
async with trio.open_nursery() as n:
quoter = await qt.stock_quoter(client, us_symbols)
async def get_quotes():
for tries in range(15):
log.info(f"{tries}: GETTING QUOTES!")
quotes = await quoter(us_symbols)
assert quotes
await trio.sleep(0.2)
async def intermittently_refresh_tokens(client):
while True:
try:
await client.ensure_access(
force_refresh=True, ask_user=False)
log.info(f"last token data is {client.access_data}")
await trio.sleep(1)
except Exception:
log.exception("Token refresh failed")
n.start_soon(intermittently_refresh_tokens, client)
# run 2 quote polling tasks
n.start_soon(get_quotes)
await get_quotes()
# shutdown
# await n.cancel()
n.cancel_scope.cancel()
@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:
underlying = quote['underlying']
# XXX: sometimes it's '' for old expiries?
if underlying:
assert 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(feed, symbols):
"""Start up an option quote stream.
``symbols`` arg is ignored here.
"""
symbol = symbols[0]
contracts = await feed.call_client(
'get_all_contracts', symbols=[symbol])
contractkey = next(iter(contracts))
subs_keys = list(
# map(lambda item: (item.symbol, item.expiry), contracts))
map(lambda item: (item[0], item[2]), contracts))
sub = subs_keys[0]
# latency arithmetic
loops = 8
# period = 1/3. # 3 rps
timeout = float('inf') # loops / period
try:
# it'd sure be nice to have an asyncitertools here...
with trio.fail_after(timeout):
stream, first_quotes = await feed.open_stream(
[sub], 'option', rate=4, diff_cached=False,
)
count = 0
async for quotes in stream:
# 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]
with trio.fail_after(timeout):
stream, first_quotes = await feed.open_stream(
[sub], 'option', rate=4, diff_cached=False,
)
count = 0
async for quotes in stream:
for symbol, quote in quotes.items():
assert quote['key'] == sub
count += 1
if count == loops:
break
finally:
# unsub
await stream.aclose()
async def stream_stocks(feed, symbols):
"""Start up a stock quote stream.
"""
stream, first_quotes = await feed.open_stream(
symbols, 'stock', rate=3, diff_cached=False)
# latency arithmetic
loops = 8
# period = 1/3. # 3 rps
# timeout = loops / period
try:
# it'd sure be nice to have an asyncitertools here...
count = 0
async for quotes in stream:
assert quotes
for key in quotes:
assert key in symbols
count += 1
if count == loops:
break
finally:
# unsub
await stream.aclose()
@pytest.mark.parametrize(
'stream_what',
[
(stream_stocks,),
(stream_option_chain,),
(stream_stocks, stream_option_chain),
(stream_stocks, stream_stocks),
(stream_option_chain, stream_option_chain),
],
ids=[
'stocks',
'options',
'stocks_and_options',
'stocks_and_stocks',
'options_and_options',
],
)
# @tractor_test
async def test_quote_streaming(tmx_symbols, loglevel, stream_what):
"""Set up option streaming using the broker daemon.
"""
brokermod = get_brokermod('questrade')
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'
],
)
feed = DataFeed(portal, brokermod)
if len(stream_what) > 1:
# stream disparate symbol sets per task
first, *tail = tmx_symbols
symbols = ([first], tail)
else:
symbols = [tmx_symbols]
async with trio.open_nursery() as n:
for syms, func in zip(symbols, stream_what):
n.start_soon(func, feed, syms)
# stop all spawned subactors
await nursery.cancel()
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