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skip tests if credentials not found
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@thevolatilebit
thevolatilebit committed Dec 31, 2022
1 parent 7df8578 commit aff303b
Showing 1 changed file with 76 additions and 73 deletions.
149 changes: 76 additions & 73 deletions test/runtests.jl
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Expand Up @@ -4,104 +4,107 @@ using MarketDataFeeds
using MarketDataFeeds.HTTP, MarketDataFeeds.JSON

# POLYGON
@assert haskey(ENV, "POLYGON_API_KEY") "please provide Polygon.io API key in POLYGON_API_KEY env var"
if haskey(ENV, "POLYGON_API_KEY")
date_from = today() - Month(2)
date_to = date_from + Month(1)

date_from = today() - Month(2)
date_to = date_from + Month(1)
tmp_dir = mktempdir()

tmp_dir = mktempdir()
aggregates(; ticker="AAPL", timespan="minute", from=1665791940000)
aggregates_h5(; path="$tmp_dir/AAPL-d.h5", ticker="AAPL", timespan="minute", from=date_from, to=date_to)

aggregates(; ticker="AAPL", timespan="minute", from=1665791940000)
aggregates_h5(; path="$tmp_dir/AAPL-d.h5", ticker="AAPL", timespan="minute", from=date_from, to=date_to)
from, to = HDF5.h5open("$tmp_dir/AAPL-d.h5") do f
HDF5.read_attribute(f, "from"), HDF5.read_attribute(f, "to")
end

from, to = HDF5.h5open("$tmp_dir/AAPL-d.h5") do f
HDF5.read_attribute(f, "from"), HDF5.read_attribute(f, "to")
end
sync!("$tmp_dir/AAPL-d.h5")

sync!("$tmp_dir/AAPL-d.h5")
HDF5.h5open("$tmp_dir/AAPL-d.h5") do f
t_index = findfirst(==("t"), HDF5.read_attribute(f, "fields"))
@test !isnothing(t_index)
@test f["bars"][][begin, t_index] == HDF5.read_attribute(f, "from") == from
@test f["bars"][][end, t_index] == HDF5.read_attribute(f, "to")
end

HDF5.h5open("$tmp_dir/AAPL-d.h5") do f
t_index = findfirst(==("t"), HDF5.read_attribute(f, "fields"))
@test !isnothing(t_index)
@test f["bars"][][begin, t_index] == HDF5.read_attribute(f, "from") == from
@test f["bars"][][end, t_index] == HDF5.read_attribute(f, "to")
end
filter_times("$tmp_dir/AAPL-d-filtered.h5", "$tmp_dir/AAPL-d.h5"; from, to)

filter_times("$tmp_dir/AAPL-d-filtered.h5", "$tmp_dir/AAPL-d.h5"; from, to)
from_, to_ = HDF5.h5open("$tmp_dir/AAPL-d-filtered.h5") do f
HDF5.read_attribute(f, "from"), HDF5.read_attribute(f, "to")
end

from_, to_ = HDF5.h5open("$tmp_dir/AAPL-d-filtered.h5") do f
HDF5.read_attribute(f, "from"), HDF5.read_attribute(f, "to")
end

@test from_ == from
@test to_ == to
@test from_ == from
@test to_ == to
else @warn "polygon.io API key not found (`POLYGON_API_KEY` environment variable); skipping test" end

# IBKR
ibkr_status = if haskey(ENV, "IBKR_HOST")
# check if session is authenticated
response = HTTP.get(ENV["IBKR_HOST"] * "/tickle")
body = JSON.parse(String(response.body))
body["iserver"]["authStatus"]["authenticated"]
else false end

# check if session is authenticated
response = HTTP.get(ENV["IBKR_HOST"] * "/tickle")
body = JSON.parse(String(response.body))
@assert body["iserver"]["authStatus"]["authenticated"] "IBKR session not authenticated"

# snapshots
snapshot(; conids=["5049", "1448477", "3691937", "9705", "4901", "87335484", "6437", "459530964", "10098", "2585769"])
if ibkr_status
# snapshots
snapshot(; conids=["5049", "1448477", "3691937", "9705", "4901", "87335484", "6437", "459530964", "10098", "2585769"])

# aggregates
period = "5d"
date_to = datetime2unix(now() - Day(1)) * 1000
# aggregates
period = "5d"
date_to = datetime2unix(now() - Day(1)) * 1000

aggregates_h5("IBKR"; path="$tmp_dir/5049-h-1.h5", conid="5049", period, bar="h")
aggregates_h5("IBKR"; path="$tmp_dir/5049-h-1.h5", conid="5049", period, bar="h")

attributes, data = aggregates("IBKR"; conid="5049", period, bar="h")
attributes, data = aggregates("IBKR"; conid="5049", period, bar="h")

t_ix = indexin(("t",), attributes.fields)[1]
ixs = filter(x -> data[x, t_ix] <= date_to, 1:size(data, 1))
data = Matrix(@view data[ixs, :])
attr_fields = setdiff(keys(attributes), (:to,))
attributes_ = (; (a => attributes[a] for a in attr_fields)..., to=data[end, t_ix])
t_ix = indexin(("t",), attributes.fields)[1]
ixs = filter(x -> data[x, t_ix] <= date_to, 1:size(data, 1))
data = Matrix(@view data[ixs, :])
attr_fields = setdiff(keys(attributes), (:to,))
attributes_ = (; (a => attributes[a] for a in attr_fields)..., to=data[end, t_ix])

# write subset
MarketDataFeeds.create_dataset("$tmp_dir/5049-h-2.h5", attributes_, data;)

from, to = HDF5.h5open("$tmp_dir/5049-h-2.h5") do f
HDF5.read_attribute(f, "from"), HDF5.read_attribute(f, "to")
end
# write subset
MarketDataFeeds.create_dataset("$tmp_dir/5049-h-2.h5", attributes_, data;)
from, to = HDF5.h5open("$tmp_dir/5049-h-2.h5") do f
HDF5.read_attribute(f, "from"), HDF5.read_attribute(f, "to")
end

# append latest data
sync!("$tmp_dir/5049-h-2.h5")
# append latest data
sync!("$tmp_dir/5049-h-2.h5")

HDF5.h5open("$tmp_dir/5049-h-2.h5") do f
t_index = findfirst(==("t"), HDF5.read_attribute(f, "fields"))
@test !isnothing(t_index)
@test f["bars"][][begin, t_index] == HDF5.read_attribute(f, "from") == from
@test f["bars"][][end, t_index] == HDF5.read_attribute(f, "to")
end
HDF5.h5open("$tmp_dir/5049-h-2.h5") do f
t_index = findfirst(==("t"), HDF5.read_attribute(f, "fields"))
@test !isnothing(t_index)
@test f["bars"][][begin, t_index] == HDF5.read_attribute(f, "from") == from
@test f["bars"][][end, t_index] == HDF5.read_attribute(f, "to")
end

# filter bars
filter_times("$tmp_dir/5049-h-3.h5", "$tmp_dir/5049-h-2.h5"; from, to)
# filter bars
filter_times("$tmp_dir/5049-h-3.h5", "$tmp_dir/5049-h-2.h5"; from, to)

from_, to_ = HDF5.h5open("$tmp_dir/5049-h-3.h5") do f
HDF5.read_attribute(f, "from"), HDF5.read_attribute(f, "to")
end
from_, to_ = HDF5.h5open("$tmp_dir/5049-h-3.h5") do f
HDF5.read_attribute(f, "from"), HDF5.read_attribute(f, "to")
end

@test from_ == from
@test to_ == to
@test from_ == from
@test to_ == to

# convert between providers
date_from = today() - Month(2)
date_to = date_from + Month(1)
# convert between providers
date_from = today() - Month(2)
date_to = date_from + Month(1)

aggregates_h5(; path="$tmp_dir/AAPL-d-1.h5", ticker="AAPL", timespan="day", from=date_from, to=date_to)
aggregates_h5(; path="$tmp_dir/AAPL-d-1.h5", ticker="AAPL", timespan="day", from=date_from, to=date_to)

to = HDF5.h5open(f -> HDF5.read_attribute(f, "to"), "$tmp_dir/AAPL-d-1.h5")
to = HDF5.h5open(f -> HDF5.read_attribute(f, "to"), "$tmp_dir/AAPL-d-1.h5")

l = readlines("conids.txt")
conids = Dict((Pair(split(l, ';')...) for l in l))
l = readlines("conids.txt")
conids = Dict((Pair(split(l, ';')...) for l in l))

change_provider!("$tmp_dir/AAPL-d-1.h5"; conids)
sync!("$tmp_dir/AAPL-d-1.h5")
change_provider!("$tmp_dir/AAPL-d-1.h5"; conids)
sync!("$tmp_dir/AAPL-d-1.h5")

to_ = HDF5.h5open(f -> HDF5.read_attribute(f, "to"), "$tmp_dir/AAPL-d-1.h5")
to_ = HDF5.h5open(f -> HDF5.read_attribute(f, "to"), "$tmp_dir/AAPL-d-1.h5")

# test if new data was fetched
@test to_ > to
# test if new data was fetched
@test to_ > to
else @warn "`IBKR_HOST` environment variable not found or IBKR session not authenticated; skipping tests" end

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