64 lines
2.2 KiB
Python
64 lines
2.2 KiB
Python
from __future__ import annotations
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from crypto_spot_bot.market_data import MarketData, _candles_due, _closed_candles, _is_closed_kline_row
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from crypto_spot_bot.models import Candle
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from crypto_spot_bot.storage import Storage
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def test_closed_candles_excludes_current_open_interval() -> None:
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candles = [
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Candle(0, 100, 101, 99, 100, 10),
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Candle(3_600_000, 101, 102, 100, 101, 10),
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Candle(7_200_000, 102, 103, 101, 102, 10),
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]
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closed = _closed_candles(candles, "60", now_ms=7_200_000 + 1_000)
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assert [candle.timestamp for candle in closed] == [0, 3_600_000]
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def test_websocket_kline_requires_confirmed_candle() -> None:
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assert _is_closed_kline_row({"start": 7_200_000, "confirm": False}, "60") is False
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assert _is_closed_kline_row({"start": 7_200_000, "confirm": True}, "60") is True
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def test_rest_candles_refresh_only_after_next_bar_closes() -> None:
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candle = Candle(10 * 60_000, 1, 1, 1, 1, 1)
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assert _candles_due([candle], "1", now_ms=11 * 60_000 + 30_000) is False
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assert _candles_due([candle], "1", now_ms=12 * 60_000) is True
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def test_orderbook_handler_samples_sizes_and_microstructure(make_settings, tmp_path) -> None:
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settings = make_settings(
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tmp_path,
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market_observation_enabled=True,
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market_observation_sample_seconds=30.0,
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)
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storage = Storage(settings.database_path)
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market = MarketData(settings, object(), storage)
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market._handle_orderbook(
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"BTCUSDT",
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{"b": [["100", "3"]], "a": [["101", "1"]]},
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source_timestamp_ms=1_789_000_000_000,
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)
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market._handle_orderbook(
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"BTCUSDT",
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{"b": [["100", "4"]], "a": [["101", "1"]]},
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source_timestamp_ms=1_789_000_001_000,
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)
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metrics = market.orderbook_metrics["BTCUSDT"]
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rows = storage.market_observations_after(symbol="BTCUSDT")
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assert metrics["bid_size"] == 4.0
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assert metrics["ask_size"] == 1.0
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assert metrics["imbalance"] == 0.6
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assert metrics["microprice"] == 100.8
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assert len(rows) == 1
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assert rows[0]["bid_size"] == 3.0
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assert rows[0]["ask_size"] == 1.0
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assert rows[0]["imbalance"] == 0.5
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assert rows[0]["microprice"] == 100.75
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assert rows[0]["source_timestamp_ms"] == 1_789_000_000_000
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