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trading_tests.py
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# -*- coding: utf-8 -*-
from datetime import datetime
from pytest import fixture
from pytz import utc
from trading import Trading
from trading import MARKET_TIMEZONE
from trading import TRADEKING_CONSUMER_KEY
from trading import TRADEKING_CONSUMER_SECRET
from trading import TRADEKING_ACCESS_TOKEN
from trading import TRADEKING_ACCESS_TOKEN_SECRET
from trading import TRADEKING_ACCOUNT_NUMBER
from trading import USE_REAL_MONEY
@fixture
def trading():
return Trading(logs_to_cloud=False)
def as_market_time(year, month, day, hour=0, minute=0, second=0):
"""Creates a timestamp in market time."""
market_time = datetime(year, month, day, hour, minute, second)
return MARKET_TIMEZONE.localize(market_time)
def test_environment_variables():
assert TRADEKING_CONSUMER_KEY
assert TRADEKING_CONSUMER_SECRET
assert TRADEKING_ACCESS_TOKEN
assert TRADEKING_ACCESS_TOKEN_SECRET
assert TRADEKING_ACCOUNT_NUMBER
assert not USE_REAL_MONEY
def test_get_strategy_blacklist(trading):
assert trading.get_strategy({
"exchange": "NASDAQ",
"name": "Google",
"sentiment": 0.4,
"ticker": "GOOG"}, "open") == {
"action": "hold",
"exchange": "NASDAQ",
"name": "Google",
"reason": "blacklist",
"sentiment": 0.4,
"ticker": "GOOG"}
assert trading.get_strategy({
"exchange": "New York Stock Exchange",
"name": "Ford",
"sentiment": 0.3,
"ticker": "F"}, "open") == {
"action": "bull",
"exchange": "New York Stock Exchange",
"name": "Ford",
"reason": "positive sentiment",
"sentiment": 0.3,
"ticker": "F"}
def test_get_strategy_market_status(trading):
assert trading.get_strategy({
"exchange": "New York Stock Exchange",
"name": "General Motors",
"sentiment": 0.5,
"ticker": "GM"}, "pre") == {
"action": "bull",
"exchange": "New York Stock Exchange",
"name": "General Motors",
"reason": "positive sentiment",
"sentiment": 0.5,
"ticker": "GM"}
assert trading.get_strategy({
"exchange": "New York Stock Exchange",
"name": "General Motors",
"sentiment": 0.5,
"ticker": "GM"}, "open") == {
"action": "bull",
"exchange": "New York Stock Exchange",
"name": "General Motors",
"reason": "positive sentiment",
"sentiment": 0.5,
"ticker": "GM"}
assert trading.get_strategy({
"exchange": "New York Stock Exchange",
"name": "General Motors",
"sentiment": 0.5,
"ticker": "GM"}, "after") == {
"action": "hold",
"exchange": "New York Stock Exchange",
"name": "General Motors",
"reason": "market closed",
"sentiment": 0.5,
"ticker": "GM"}
assert trading.get_strategy({
"exchange": "New York Stock Exchange",
"name": "General Motors",
"sentiment": 0.5,
"ticker": "GM"}, "close") == {
"action": "hold",
"exchange": "New York Stock Exchange",
"name": "General Motors",
"reason": "market closed",
"sentiment": 0.5,
"ticker": "GM"}
def test_get_strategy_sentiment(trading):
assert trading.get_strategy({
"exchange": "New York Stock Exchange",
"name": "General Motors",
"sentiment": 0,
"ticker": "GM"}, "open") == {
"action": "hold",
"exchange": "New York Stock Exchange",
"name": "General Motors",
"reason": "neutral sentiment",
"sentiment": 0,
"ticker": "GM"}
assert trading.get_strategy({
"exchange": "New York Stock Exchange",
"name": "Ford",
"sentiment": 0.5,
"ticker": "F"}, "open") == {
"action": "bull",
"exchange": "New York Stock Exchange",
"name": "Ford",
"reason": "positive sentiment",
"sentiment": 0.5,
"ticker": "F"}
assert trading.get_strategy({
"exchange": "New York Stock Exchange",
"name": "Fiat",
"root": "Fiat Chrysler Automobiles",
"sentiment": -0.5,
"ticker": "FCAU"}, "open") == {
"action": "bear",
"exchange": "New York Stock Exchange",
"name": "Fiat",
"reason": "negative sentiment",
"root": "Fiat Chrysler Automobiles",
"sentiment": -0.5,
"ticker": "FCAU"}
def test_get_budget(trading):
assert trading.get_budget(11000.0, 1) == 10000.0
assert trading.get_budget(11000.0, 2) == 5000.0
assert trading.get_budget(11000.0, 3) == 3333.33
assert trading.get_budget(11000.0, 0) == 0.0
def test_utc_to_market_time(trading):
assert trading.utc_to_market_time(datetime(
2017, 1, 3, 16, 44, 13)) == as_market_time(
2017, 1, 3, 11, 44, 13)
def test_market_time_to_utc(trading):
assert trading.market_time_to_utc(datetime(
2017, 1, 3, 11, 44, 13)) == datetime(
2017, 1, 3, 16, 44, 13, tzinfo=utc)
def test_make_request_success(trading):
url = "https://api.tradeking.com/v1/member/profile.json"
response = trading.make_request(url=url)
assert response is not None
account = response["response"]["userdata"]["account"]["account"]
assert account == TRADEKING_ACCOUNT_NUMBER
assert response["response"]["error"] == "Success"
def test_make_request_fail(trading):
url = "https://api.tradeking.com/v1/member/profile.xml"
response = trading.make_request(url=url)
assert response is None
def test_fixml_buy_now(trading):
assert trading.fixml_buy_now("GM", 23) == (
'<FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">'
'<Order TmInForce="0" Typ="1" Side="1" Acct="%s">'
'<Instrmt SecTyp="CS" Sym="GM"/>'
'<OrdQty Qty="23"/>'
'</Order>'
'</FIXML>' % TRADEKING_ACCOUNT_NUMBER)
def test_fixml_sell_eod(trading):
assert trading.fixml_sell_eod("GM", 23) == (
'<FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">'
'<Order TmInForce="7" Typ="1" Side="2" Acct="%s">'
'<Instrmt SecTyp="CS" Sym="GM"/>'
'<OrdQty Qty="23"/>'
'</Order>'
'</FIXML>' % TRADEKING_ACCOUNT_NUMBER)
def test_fixml_short_now(trading):
assert trading.fixml_short_now("GM", 23) == (
'<FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">'
'<Order TmInForce="0" Typ="1" Side="5" Acct="%s">'
'<Instrmt SecTyp="CS" Sym="GM"/>'
'<OrdQty Qty="23"/>'
'</Order>'
'</FIXML>' % TRADEKING_ACCOUNT_NUMBER)
def test_fixml_cover_eod(trading):
assert trading.fixml_cover_eod("GM", 23) == (
'<FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">'
'<Order TmInForce="7" Typ="1" Side="1" AcctTyp="5" Acct="%s">'
'<Instrmt SecTyp="CS" Sym="GM"/>'
'<OrdQty Qty="23"/>'
'</Order>'
'</FIXML>' % TRADEKING_ACCOUNT_NUMBER)
def test_get_balance(trading):
assert trading.get_balance() > 0.0
def test_get_last_price(trading):
assert trading.get_last_price("GM") > 0.0
assert trading.get_last_price("GOOG") > 0.0
assert trading.get_last_price("$NAP") is None
assert trading.get_last_price("") is None
def test_get_market_status(trading):
assert trading.get_market_status() in ["pre", "open", "after", "close"]
def test_get_order_url(trading):
assert trading.get_order_url() == (
"https://api.tradeking.com/v1/accounts/%s/"
"orders/preview.json") % TRADEKING_ACCOUNT_NUMBER
def test_get_quantity(trading):
assert trading.get_quantity("F", 10000.0) > 0
def test_get_historical_prices(trading):
assert trading.get_historical_prices(
"F", as_market_time(2017, 1, 24, 19, 46, 57)) == {
"at": 12.6, "eod": 12.78}
assert trading.get_historical_prices(
"GM", as_market_time(2017, 1, 24, 19, 46, 57)) == {
"at": 37.09, "eod": 38.28}
assert trading.get_historical_prices(
"TRP", as_market_time(2017, 1, 24, 12, 49, 17)) == {
"at": 48.93, "eod": 48.87}
assert trading.get_historical_prices(
"BLK", as_market_time(2017, 1, 18, 8, 0, 51)) == {
"at": 374.8, "eod": 378.0}
assert trading.get_historical_prices(
"F", as_market_time(2017, 1, 18, 7, 34, 9)) == {
"at": 12.6, "eod": 12.41}
assert trading.get_historical_prices(
"GM", as_market_time(2017, 1, 18, 7, 34, 9)) == {
"at": 37.31, "eod": 37.47}
assert trading.get_historical_prices(
"LMT", as_market_time(2017, 1, 18, 7, 34, 9)) == {
"at": 254.12, "eod": 254.07}
assert trading.get_historical_prices(
"GM", as_market_time(2017, 1, 17, 12, 55, 38)) == {
"at": 37.54, "eod": 37.31}
assert trading.get_historical_prices(
"STT", as_market_time(2017, 1, 17, 12, 55, 38)) == {
"at": 81.19, "eod": 80.2}
assert trading.get_historical_prices(
"WMT", as_market_time(2017, 1, 17, 12, 55, 38)) == {
"at": 68.53, "eod": 68.5}
assert trading.get_historical_prices(
"F", as_market_time(2017, 1, 9, 9, 16, 34)) == {
"at": 12.84, "eod": 12.64}
assert trading.get_historical_prices(
"FCAU", as_market_time(2017, 1, 9, 9, 16, 34)) == {
"at": 10.57, "eod": 10.57}
assert trading.get_historical_prices(
"FCAU", as_market_time(2017, 1, 9, 9, 14, 10)) == {
"at": 10.55, "eod": 10.57}
assert trading.get_historical_prices(
"TM", as_market_time(2017, 1, 5, 13, 14, 30)) == {
"at": 121.12, "eod": 120.44}
assert trading.get_historical_prices(
"F", as_market_time(2017, 1, 4, 8, 19, 9)) == {
"at": 12.59, "eod": 13.17}
assert trading.get_historical_prices(
"F", as_market_time(2017, 1, 3, 11, 44, 13)) == {
"at": 12.41, "eod": 12.59}
assert trading.get_historical_prices(
"GM", as_market_time(2017, 1, 3, 7, 30, 5)) == {
"at": 34.84, "eod": 35.15}
assert trading.get_historical_prices(
"BA", as_market_time(2016, 12, 22, 17, 26, 5)) == {
"at": 157.46, "eod": 157.92}
assert trading.get_historical_prices(
"BA", as_market_time(2016, 12, 6, 8, 52, 35)) == {
"at": 152.16, "eod": 152.3}
assert trading.get_historical_prices(
"M", as_market_time(2015, 11, 12, 16, 5, 28)) == {
"at": 40.73, "eod": 40.15}
assert trading.get_historical_prices(
"M", as_market_time(2015, 7, 16, 9, 14, 15)) == {
"at": 71.75, "eod": 72.8}
def test_get_day_quotes(trading):
quotes = trading.get_day_quotes("NYT",
as_market_time(2017, 2, 6, 11, 32, 0))
assert len(quotes) == 367
assert quotes[0] == {
"price": 14.25, "time": as_market_time(2017, 2, 6, 9, 30, 0)}
assert quotes[-1] == {
"price": 14.5, "time": as_market_time(2017, 2, 6, 16, 5, 0)}
def test_is_trading_day(trading):
assert not trading.is_trading_day(as_market_time(2017, 1, 22))
assert trading.is_trading_day(as_market_time(2017, 1, 23))
assert trading.is_trading_day(as_market_time(2017, 1, 24))
assert trading.is_trading_day(as_market_time(2017, 1, 25))
assert trading.is_trading_day(as_market_time(2017, 1, 26))
assert trading.is_trading_day(as_market_time(2017, 1, 27))
assert not trading.is_trading_day(as_market_time(2017, 1, 28))
assert not trading.is_trading_day(as_market_time(2017, 1, 2))
def test_get_previous_day(trading):
assert trading.get_previous_day(as_market_time(
2017, 1, 22)) == as_market_time(2017, 1, 20)
assert trading.get_previous_day(as_market_time(
2017, 1, 23)) == as_market_time(2017, 1, 20)
assert trading.get_previous_day(as_market_time(
2017, 1, 24)) == as_market_time(2017, 1, 23)
assert trading.get_previous_day(as_market_time(
2017, 1, 25)) == as_market_time(2017, 1, 24)
assert trading.get_previous_day(as_market_time(
2017, 1, 26)) == as_market_time(2017, 1, 25)
assert trading.get_previous_day(as_market_time(
2017, 1, 27)) == as_market_time(2017, 1, 26)
assert trading.get_previous_day(as_market_time(
2017, 1, 28)) == as_market_time(2017, 1, 27)
assert trading.get_previous_day(as_market_time(
2017, 1, 3)) == as_market_time(2016, 12, 30)
def test_get_next_day(trading):
assert trading.get_next_day(as_market_time(
2017, 1, 22)) == as_market_time(2017, 1, 23)
assert trading.get_next_day(as_market_time(
2017, 1, 23)) == as_market_time(2017, 1, 24)
assert trading.get_next_day(as_market_time(
2017, 1, 24)) == as_market_time(2017, 1, 25)
assert trading.get_next_day(as_market_time(
2017, 1, 25)) == as_market_time(2017, 1, 26)
assert trading.get_next_day(as_market_time(
2017, 1, 26)) == as_market_time(2017, 1, 27)
assert trading.get_next_day(as_market_time(
2017, 1, 27)) == as_market_time(2017, 1, 30)
assert trading.get_next_day(as_market_time(
2017, 1, 28)) == as_market_time(2017, 1, 30)
assert trading.get_next_day(as_market_time(
2016, 12, 30)) == as_market_time(2017, 1, 3)
def test_make_order_request_success(trading):
assert not USE_REAL_MONEY
assert trading.make_order_request((
'<FIXML xmlns="http://www.fixprotocol.org/FIXML-5-0-SP2">'
'<Order TmInForce="0" Typ="1" Side="1" Acct="%s">'
'<Instrmt SecTyp="CS" Sym="GM"/>'
'<OrdQty Qty="23"/>'
'</Order>'
'</FIXML>' % TRADEKING_ACCOUNT_NUMBER))
def test_make_order_request_fail(trading):
assert not USE_REAL_MONEY
assert not trading.make_order_request("<FIXML\>")
def test_bull(trading):
assert not USE_REAL_MONEY
# TODO: Find a way to test while the markets are closed and how to test
# sell short orders without holding the stock.
# assert trading.bull("F", 10000.0)
def test_bear(trading):
assert not USE_REAL_MONEY
# TODO: Find a way to test while the markets are closed and how to test
# sell short orders without holding the stock.
# assert trading.bear("F", 10000.0)
def test_make_trades_success(trading):
assert not USE_REAL_MONEY
# TODO: Find a way to test while the markets are closed and how to test
# sell short orders without holding the stock.
# assert trading.make_trades([{
# "exchange": "New York Stock Exchange",
# "name": "Lockheed Martin",
# "sentiment": -0.1,
# "ticker": "LMT"}, {
# "exchange": "New York Stock Exchange",
# "name": "Boeing",
# "sentiment": 0.1,
# "ticker": "BA"}])
def test_make_trades_fail(trading):
assert not USE_REAL_MONEY
assert not trading.make_trades([{
"exchange": "New York Stock Exchange",
"name": "Boeing",
"sentiment": 0,
"ticker": "BA"}])