295 lines
8.7 KiB
Python
295 lines
8.7 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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import tractor
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from trio.testing import trio_test
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from tractor.testing import tractor_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_quotes = {
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'stock': {
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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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"key": "EMH.VN",
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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': {
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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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"expiry": "2021-01-15T00:00:00.000000-05:00",
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'gamma': 0.003524,
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'highPrice': 0,
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'isHalted': False,
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"key": ["WEED.TO", '2018-10-23T00:00:00.000000-04:00'],
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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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"strike": 8,
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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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}
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def match_packet(symbols, quotes, feed_type='stock'):
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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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for quote in quotes.copy():
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assert quote['key'] in symbols
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quotes.remove(quote)
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# verify the quote packet format hasn't changed
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for key in _ex_quotes[feed_type]:
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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_stock_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.stock_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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contracts = await client.symbol2contracts(symbol)
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key, byroot = next(iter(contracts.items()))
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assert isinstance(key.id, int)
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assert isinstance(byroot, dict)
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for key in contracts:
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# check that datetime is same as reported in contract
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assert key.expiry.isoformat(
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timespec='microseconds') == contracts[key]['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[0]])
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# chains quote for all symbols
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quotes = await client.option_chains(contracts)
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# verify contents match what we expect
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for quote in quotes:
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assert quote['underlying'] in tmx_symbols
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for key in _ex_quotes['option']:
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quote.pop(key)
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assert not quote
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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(3):
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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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async def stream_option_chain(portal, symbols):
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"""Start up an option quote stream.
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``symbols`` arg is ignored here.
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"""
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symbol = 'APHA.TO' # your fave greenhouse LP
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async with qt.get_client() as client:
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contracts = await client.get_all_contracts([symbol])
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contractkey = next(iter(contracts))
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subs_keys = list(
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map(lambda item: (item.symbol, item.expiry), contracts))
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sub = subs_keys[0]
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agen = await portal.run(
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'piker.brokers.data',
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'start_quote_stream',
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broker='questrade',
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symbols=[sub],
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feed_type='option',
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diff_cached=False,
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)
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try:
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# wait on the data streamer to actually start
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# delivering
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await agen.__anext__()
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# it'd sure be nice to have an asyncitertools here...
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with trio.fail_after(2.1):
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loops = 8
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count = 0
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async for quotes in agen:
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# print(f'got quotes for {quotes.keys()}')
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# we should receive all calls and puts
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assert len(quotes) == len(contracts[contractkey]) * 2
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for symbol, quote in quotes.items():
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assert quote['key'] == sub
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for key in _ex_quotes['option']:
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quote.pop(key)
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assert not quote
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count += 1
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if count == loops:
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break
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finally:
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# unsub
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await portal.run(
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'piker.brokers.data',
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'modify_quote_stream',
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broker='questrade',
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feed_type='option',
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symbols=[],
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)
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async def stream_stocks(portal, symbols):
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"""Start up a stock quote stream.
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"""
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agen = await portal.run(
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'piker.brokers.data',
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'start_quote_stream',
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broker='questrade',
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symbols=symbols,
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)
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try:
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# it'd sure be nice to have an asyncitertools here...
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async for quotes in agen:
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assert quotes
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for key in quotes:
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assert key in symbols
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break
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finally:
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# unsub
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await portal.run(
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'piker.brokers.data',
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'modify_quote_stream',
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broker='questrade',
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feed_type='stock',
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symbols=[],
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)
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@pytest.mark.parametrize(
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'stream_what',
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[
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(stream_stocks,),
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(stream_option_chain,),
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(stream_stocks, stream_option_chain),
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],
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ids=['stocks', 'options', 'stocks_and_options'],
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)
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@tractor_test
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async def test_quote_streaming(tmx_symbols, loglevel, stream_what):
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"""Set up option streaming using the broker daemon.
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"""
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async with tractor.find_actor('brokerd') as portal:
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async with tractor.open_nursery() as nursery:
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# only one per host address, spawns an actor if None
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if not portal:
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# no brokerd actor found
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portal = await nursery.start_actor(
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'data_feed',
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rpc_module_paths=[
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'piker.brokers.data',
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'piker.brokers.core'
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],
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)
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async with trio.open_nursery() as n:
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for func in stream_what:
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n.start_soon(func, portal, tmx_symbols)
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# stop all spawned subactors
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await nursery.cancel()
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