piker/tests/test_questrade.py

327 lines
9.6 KiB
Python

"""
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 = symbols[0]
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,
)
# latency arithmetic
loops = 8
rate = 1/3. # 3 rps
timeout = loops / rate
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(timeout):
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(timeout):
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,
diff_cached=False,
)
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),
(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.
"""
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'
],
)
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, portal, syms)
# stop all spawned subactors
await nursery.cancel()