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58 lines
1.7 KiB
Python
58 lines
1.7 KiB
Python
"""``bt.book``: the names a strategy reads the stored order book under.
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Each helper is ``col(<name>)`` and nothing more, so what is pinned here is the
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name, which the engine parses, and the refusal of a level that cannot exist.
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Reading a real book is covered where a book can be stored.
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"""
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import pytest
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import manifoldbt as bt
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def _column(expr):
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doc = expr.to_json()
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assert list(doc) == ["Column"], doc
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return doc["Column"]
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@pytest.mark.parametrize(
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"helper, level, name",
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[
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(bt.book.bid_price, 1, "bid_price_1"),
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(bt.book.ask_price, 2, "ask_price_2"),
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(bt.book.bid_size, 3, "bid_size_3"),
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(bt.book.ask_size, 10, "ask_size_10"),
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(bt.book.bid_depth, 5, "bid_depth_5"),
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(bt.book.ask_depth, 20, "ask_depth_20"),
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(bt.book.imbalance, 5, "book_imbalance_5"),
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],
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)
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def test_each_helper_names_one_column(helper, level, name):
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assert _column(helper(level)) == name
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def test_the_best_level_is_the_default_where_one_makes_sense():
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assert _column(bt.book.bid_price()) == "bid_price_1"
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assert _column(bt.book.ask_size()) == "ask_size_1"
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assert _column(bt.book.imbalance()) == "book_imbalance_1"
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def test_a_helper_is_the_column_it_names():
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assert bt.book.imbalance(5).to_json() == bt.col("book_imbalance_5").to_json()
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@pytest.mark.parametrize("bad", [0, -1])
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def test_a_level_below_one_is_refused(bad):
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with pytest.raises(ValueError, match="1 = best"):
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bt.book.bid_size(bad)
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@pytest.mark.parametrize("bad", [1.0, "1", True, None])
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def test_a_level_that_is_not_an_int_is_refused(bad):
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with pytest.raises(TypeError, match="level must be an int"):
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bt.book.imbalance(bad)
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def test_the_module_is_exported():
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assert "book" in bt.__all__
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