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521 lines
17 KiB
521 lines
17 KiB
2 years ago
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{-# LANGUAGE OverloadedRecordDot #-}
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{-# LANGUAGE QuasiQuotes #-}
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module Test.Transaq.Parsing
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(
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unitTests
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) where
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import Control.Monad.State (execState)
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import Data.AEq ((~==))
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import qualified Data.ByteString as BS
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import Test.Tasty (TestTree, testGroup)
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import Test.Tasty.HUnit (assertBool, assertFailure, testCase,
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(@=?))
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import Text.RawString.QQ
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import Transaq (AllTradesTradeB (..), CandleB (..),
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CandleKind, CandleKindB (..),
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ClientDataB (..), ConnectionState (..),
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MarketInfoB (..), OrderNotificationB (..),
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OrderStatus (..), QuotationB (..),
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QuoteB (..), ResponseAllTrades (..),
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ResponseCandleKinds (..),
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ResponseCandlesB (..),
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ResponseCandlesStatus (..),
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ResponseClient (..), ResponseMarkets (..),
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ResponseOrders (..),
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ResponseQuotations (..),
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ResponseQuotes (..), ResponseResult (..),
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ResponseSecInfoB (..),
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ResponseSecurities (..),
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ResponseServerStatusB (..),
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ResponseTrades (..), SecurityB (..),
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SecurityId (..), TradeDirection (..),
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TradeNotificationB (..),
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TradingPeriod (..), TransaqResponse (..))
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import Transaq.Parsing
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import Xeno.SAX (process)
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unitTests :: TestTree
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unitTests = testGroup "Parsing"
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[
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unitTestsStreaming
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]
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unitTestsStreaming :: TestTree
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unitTestsStreaming = testGroup "Parsing via xeno-sax"
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[
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testParseResultStreaming
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, testParseClientStreaming
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, testParseCandleKindsStreaming
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, testParseCandlesStreaming
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, testParseServerStatusStreaming
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, testParseMarketsStreaming
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, testParseSecuritiesStreaming
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, testParseSecInfoStreaming
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, testParseQuotationsStreaming
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, testParseAllTradesStreaming
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, testParseQuotesStreaming
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, testParseOrdersStreaming
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, testParseTradesStreaming
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]
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testParseResultStreaming :: TestTree
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testParseResultStreaming = testGroup "Parsing result"
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[
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testParseResultSuccess
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, testParseResultSuccessWithTransactionId
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, testParseResultFailure
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]
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where
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resultSuccess = [r|<result success="true" />|] :: BS.ByteString
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testParseResultSuccess = testCase "Parse success result" $ do
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[TransaqResponseResult (ResponseSuccess Nothing)] @=?
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parseTransaqResponses resultSuccess
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resultSuccessWithTransactionId = [r|<result success="true" transactionid="12" />|] :: BS.ByteString
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testParseResultSuccessWithTransactionId = testCase "Parse success result with transaction ID" $ do
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[TransaqResponseResult (ResponseSuccess (Just 12))] @=?
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parseTransaqResponses resultSuccessWithTransactionId
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resultFailure = [r|<result success="false" />|] :: BS.ByteString
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testParseResultFailure = testCase "Parse failure result" $ do
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[TransaqResponseResult (ResponseFailure "")] @=?
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parseTransaqResponses resultFailure
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testParseClientStreaming :: TestTree
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testParseClientStreaming = testCase "Parse ResponseClient - valid XML" $ do
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case parseTransaqResponses validClient of
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[TransaqResponseClient (ResponseClient clientData)] -> do
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"FOO" @=? cClientId clientData
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"TYPE" @=? cType clientData
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"CURRENCY" @=? cCurrency clientData
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"MARKET" @=? cMarket clientData
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"UNION" @=? cUnion clientData
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Just "FORTS_ACC" @=? cForts clientData
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_ -> assertFailure "Invalid <client> parse"
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where
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validClient =
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[r|
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<client id="FOO">
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<type>TYPE</type>
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<currency>CURRENCY</currency>
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<market>MARKET</market>
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<union>UNION</union>
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<forts_acc>FORTS_ACC</forts_acc>
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</client>
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|] :: BS.ByteString
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testParseCandleKindsStreaming :: TestTree
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testParseCandleKindsStreaming = testCase "Parse CandleKind - valid XML" $ do
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let candleKinds = parseTransaqResponses validCandleKinds
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let [TransaqResponseCandleKinds (ResponseCandleKinds [m10, m15])] = candleKinds
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4 @=? kCandleKindId m10
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600 @=? kPeriod m10
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"M10" @=? kName m10
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5 @=? kCandleKindId m15
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900 @=? kPeriod m15
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"M15" @=? kName m15
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where
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validCandleKinds =
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[r|
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<candlekinds>
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<kind>
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<id>4</id>
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<period>600</period>
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<name>M10</name>
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</kind>
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<kind>
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<id>5</id>
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<period>900</period>
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<name>M15</name>
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</kind>
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</candlekinds>
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|] :: BS.ByteString
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testParseCandlesStreaming :: TestTree
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testParseCandlesStreaming = testCase "Parse Candles - valid XML" $ do
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let [TransaqResponseCandles responseCandles] = parseTransaqResponses validCandles
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SecurityId "foo" "bar" @=? cSecurity responseCandles
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1 @=? cPeriodId responseCandles
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StatusEndOfHistory @=? cStatus responseCandles
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1 @=? (length . cCandles) responseCandles
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let candle = head . cCandles $ responseCandles
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assertBool "Candle open mismatch" (41.3 ~== cOpen candle)
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assertBool "Candle high mismatch" (42 ~== cHigh candle)
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assertBool "Candle low mismatch" (40 ~== cLow candle)
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assertBool "Candle close mismatch" (41.6 ~== cClose candle)
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1234 @=? cVolume candle
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78 @=? cOpenInterest candle
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where
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validCandles =
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[r|
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<candles secid="12" period="1" status="0" board="foo" seccode="bar">
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<candle date="05.01.2024 12:30:00.123" open="41.3" high="42" low="40" close="41.6" volume="1234" oi="78" />
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</candles>
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|] :: BS.ByteString
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testParseServerStatusStreaming :: TestTree
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testParseServerStatusStreaming = testCase "Parse ServerStatus - valid XML" $ do
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let [TransaqResponseServerStatus serverStatus] = parseTransaqResponses validServerStatus
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Just 22 @=? serverId serverStatus
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Connected @=? state serverStatus
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Just True @=? recover serverStatus
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Just "TZ" @=? serverTimezone serverStatus
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Just 42 @=? systemVersion serverStatus
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Just 51 @=? build serverStatus
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where
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validServerStatus =
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[r|<server_status id="22" connected="true" recover="true" server_tz="TZ" sys_ver="42" build="51" /> |] :: BS.ByteString
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testParseMarketsStreaming :: TestTree
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testParseMarketsStreaming = testCase "Parse ResponseMarkets - valid XML" $ do
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let markets = parseTransaqResponses validMarkets
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let [TransaqResponseMarkets (ResponseMarkets [foo, bar])] = markets
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1 @=? marketId foo
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"FOO" @=? marketName foo
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2 @=? marketId bar
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"BAR" @=? marketName bar
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where
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validMarkets =
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[r|
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<markets>
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<market id="1">FOO</market>
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<market id="2">BAR</market>
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</markets>
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|] :: BS.ByteString
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testParseSecuritiesStreaming :: TestTree
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testParseSecuritiesStreaming = testCase "Parse ResponseSecurities - valid XML" $ do
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let [TransaqResponseSecurities (ResponseSecurities securities)] = parseTransaqResponses validSecurities
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1 @=? length securities
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let sec = head securities
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"SECCODE" @=? sSeccode sec
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"CLASS" @=? sInstrClass sec
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"BOARD" @=? sBoard sec
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"15" @=? sMarket sec
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"CURRENCY" @=? sCurrency sec
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"SHORTNAME" @=? sShortName sec
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3 @=? sDecimals sec
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assertBool "Minstep is not valid" (0.1 ~== sMinStep sec)
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10 @=? sLotSize sec
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1 @=? sLotDivider sec
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assertBool "Point cost is not valid" (6.28 ~== sPointCost sec)
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"SECTYPE" @=? sSecType sec
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where
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validSecurities =
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[r|
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<securities>
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<security secid="1" active="true">
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<seccode>SECCODE</seccode>
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<instrclass>CLASS</instrclass>
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<board>BOARD</board>
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<market>15</market>
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<currency>CURRENCY</currency>
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<shortname>SHORTNAME</shortname>
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<decimals>3</decimals>
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<minstep>0.1</minstep>
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<lotsize>10</lotsize>
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<lotdivider>1</lotdivider>
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<point_cost>6.28</point_cost>
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<optmask usecredit="yes" bymarket="no" nosplit="yes" fok="no" ioc="no" />
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<sectype>SECTYPE</sectype>
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<sec_tz>SECTZ</sec_tz>
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<quotestype>1</quotestype>
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<MIC>FOO</MIC>
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<currencyid>CURRENCYID</currencyid>
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</security>
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</securities>
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|] :: BS.ByteString
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testParseSecInfoStreaming :: TestTree
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testParseSecInfoStreaming = testCase "Parse ResponseSecInfo - valid XML" $ do
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let [TransaqResponseSecInfo sec] = parseTransaqResponses validSecInfo
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"SECNAME" @=? secName sec
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"SECCODE" @=? sec.secCode
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44 @=? market sec
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"PNAME" @=? pname sec
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assertBool "Clearing price is not valid" (12.34 ~== clearingPrice sec)
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assertBool "Min price is not valid" (10 ~== minPrice sec)
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assertBool "Max price is not valid" (20 ~== maxPrice sec)
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assertBool "Point cost is not valid" (6.28 ~== pointCost sec)
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where
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validSecInfo =
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[r|
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<sec_info secid="4">
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<secname>SECNAME</secname>
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<seccode>SECCODE</seccode>
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<market>44</market>
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<pname>PNAME</pname>
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<clearing_price>12.34</clearing_price>
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<minprice>10</minprice>
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<maxprice>20</maxprice>
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<point_cost>6.28</point_cost>
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</sec_info>
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|] :: BS.ByteString
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testParseQuotationsStreaming :: TestTree
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testParseQuotationsStreaming = testCase "Parse ResponseQuotations - valid XML (full)" $ do
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let [TransaqResponseQuotations (ResponseQuotations quotations)] = parseTransaqResponses validQuotations
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1 @=? length quotations
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let q = head quotations
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1 @=? qSecId q
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"BOARD" @=? qBoard q
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"SECCODE" @=? qSeccode q
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let (Just open') = qOpen q
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assertBool "Open is not valid" (12.34 ~== open')
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let (Just waprice') = qWaprice q
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assertBool "WA price is not valid" (13.8 ~== waprice')
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Just 40 @=? qBidDepth q
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Just 140 @=? qBidDepthT q
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Just 10 @=? qNumBids q
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let (Just bid') = qBid q
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assertBool "Bid is not valid" (11.01 ~== bid')
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Just 50 @=? qOfferDepth q
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Just 150 @=? qOfferDepthT q
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Just 15 @=? qNumOffers q
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let (Just offer') = qOffer q
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assertBool "Offer is not valid" (11.05 ~== offer')
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Just 1000 @=? qNumTrades q
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Just 50000 @=? qVolToday q
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Just 1000 @=? qOpenPositions q
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let (Just last') = qLastPrice q
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assertBool "Last price is not valid" (11.03 ~== last')
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Just 8 @=? qQuantity q
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-- TODO check time
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let (Just valtoday') = qValToday q
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assertBool "Val today is not valid" (12345678 ~== valtoday')
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where
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validQuotations =
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[r|
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<quotations>
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<quotation secid="1">
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<board>BOARD</board>
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<seccode>SECCODE</seccode>
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<open>12.34</open>
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<waprice>13.8</waprice>
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<biddepth>40</biddepth>
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<biddeptht>140</biddeptht>
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<numbids>10</numbids>
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<bid>11.01</bid>
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<offerdepth>50</offerdepth>
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<offerdeptht>150</offerdeptht>
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<numoffers>15</numoffers>
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<offer>11.05</offer>
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<numtrades>1000</numtrades>
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<voltoday>50000</voltoday>
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<openpositions>1000</openpositions>
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<last>11.03</last>
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<quantity>8</quantity>
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<time>05.01.2024 19:34:18.234</time>
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<valtoday>12345678</valtoday>
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</quotation>
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</quotations>
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|] :: BS.ByteString
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testParseAllTradesStreaming :: TestTree
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testParseAllTradesStreaming = testCase "Parse ResponseAllTrades - valid XML (full)" $ do
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let [TransaqResponseAllTrades (ResponseAllTrades trades)] = parseTransaqResponses validAllTrades
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2 @=? length trades
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let [t1, t2] = trades
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1 @=? attSecId t1
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"SEC1" @=? attSecCode t1
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14 @=? attTradeNo t1
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-- TODO check time
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"BOARD" @=? attBoard t1
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assertBool "Price is not valid" (12.34 ~== attPrice t1)
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10 @=? attQuantity t1
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Buy @=? attBuysell t1
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100 @=? attOpenInterest t1
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PeriodNormal @=? attPeriod t1
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2 @=? attSecId t2
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"SEC2" @=? attSecCode t2
|
||
|
|
15 @=? attTradeNo t2
|
||
|
|
-- TODO check time
|
||
|
|
"BOARD" @=? attBoard t2
|
||
|
|
assertBool "Price is not valid" (12.35 ~== attPrice t2)
|
||
|
|
11 @=? attQuantity t2
|
||
|
|
Sell @=? attBuysell t2
|
||
|
|
200 @=? attOpenInterest t2
|
||
|
|
PeriodNormal @=? attPeriod t2
|
||
|
|
where
|
||
|
|
validAllTrades =
|
||
|
|
[r|
|
||
|
|
<alltrades>
|
||
|
|
<trade secid="1">
|
||
|
|
<seccode>SEC1</seccode>
|
||
|
|
<tradeno>14</tradeno>
|
||
|
|
<time>05.01.2024 19:34:18.234</time>
|
||
|
|
<board>BOARD</board>
|
||
|
|
<price>12.34</price>
|
||
|
|
<quantity>10</quantity>
|
||
|
|
<buysell>B</buysell>
|
||
|
|
<openinterest>100</openinterest>
|
||
|
|
<period>N</period>
|
||
|
|
</trade>
|
||
|
|
<trade secid="2">
|
||
|
|
<seccode>SEC2</seccode>
|
||
|
|
<tradeno>15</tradeno>
|
||
|
|
<time>05.01.2024 19:34:19.234</time>
|
||
|
|
<board>BOARD</board>
|
||
|
|
<price>12.35</price>
|
||
|
|
<quantity>11</quantity>
|
||
|
|
<buysell>S</buysell>
|
||
|
|
<openinterest>200</openinterest>
|
||
|
|
<period>N</period>
|
||
|
|
</trade>
|
||
|
|
</alltrades>
|
||
|
|
|] :: BS.ByteString
|
||
|
|
|
||
|
|
testParseQuotesStreaming :: TestTree
|
||
|
|
testParseQuotesStreaming = testCase "Parse ResponseQuotes - valid XML (full)" $ do
|
||
|
|
let [TransaqResponseQuotes (ResponseQuotes quotes)] = parseTransaqResponses validQuotes
|
||
|
|
2 @=? length quotes
|
||
|
|
|
||
|
|
let [q1, q2] = quotes
|
||
|
|
|
||
|
|
1 @=? q1.secId
|
||
|
|
"BOARD" @=? q1.board
|
||
|
|
assertBool "Price is not valid" (12.34 ~== q1.price)
|
||
|
|
Just "SOURCE" @=? q1.source
|
||
|
|
Just 10 @=? q1.buy
|
||
|
|
Nothing @=? q1.sell
|
||
|
|
|
||
|
|
2 @=? q2.secId
|
||
|
|
"BOARD" @=? q2.board
|
||
|
|
assertBool "Price is not valid" (12.35 ~== q2.price)
|
||
|
|
Just "SOURCE" @=? q2.source
|
||
|
|
Nothing @=? q2.buy
|
||
|
|
Just 11 @=? q2.sell
|
||
|
|
where
|
||
|
|
validQuotes =
|
||
|
|
[r|
|
||
|
|
<quotes>
|
||
|
|
<quote secid="1">
|
||
|
|
<board>BOARD</board>
|
||
|
|
<seccode>SEC1</seccode>
|
||
|
|
<price>12.34</price>
|
||
|
|
<source>SOURCE</source>
|
||
|
|
<buy>10</buy>
|
||
|
|
</quote>
|
||
|
|
<quote secid="2">
|
||
|
|
<board>BOARD</board>
|
||
|
|
<seccode>SEC2</seccode>
|
||
|
|
<price>12.35</price>
|
||
|
|
<source>SOURCE</source>
|
||
|
|
<sell>11</sell>
|
||
|
|
</quote>
|
||
|
|
</quotes>
|
||
|
|
|] :: BS.ByteString
|
||
|
|
|
||
|
|
testParseOrdersStreaming :: TestTree
|
||
|
|
testParseOrdersStreaming = testCase "Parse ResponseOrders - valid XML (full)" $ do
|
||
|
|
let [TransaqResponseOrders (ResponseOrders orders)] = parseTransaqResponses validOrders
|
||
|
|
1 @=? length orders
|
||
|
|
|
||
|
|
let order = head orders
|
||
|
|
|
||
|
|
12 @=? oTransactionId order
|
||
|
|
42 @=? oOrderNo order
|
||
|
|
1 @=? oSecId order
|
||
|
|
"BOARD" @=? oBoard order
|
||
|
|
"SEC1" @=? oSecCode order
|
||
|
|
Just "CLIENT" @=? oClient order
|
||
|
|
Just "UNION" @=? oUnion order
|
||
|
|
Just OrderActive @=? oStatus order
|
||
|
|
Just Buy @=? oBuysell order
|
||
|
|
|
||
|
|
let Just price' = oPrice order
|
||
|
|
assertBool "Price is not valid" (12.34 ~== price')
|
||
|
|
|
||
|
|
Just 12 @=? oQuantity order
|
||
|
|
|
||
|
|
where
|
||
|
|
validOrders =
|
||
|
|
[r|
|
||
|
|
<orders>
|
||
|
|
<order transactionid="12">
|
||
|
|
<orderno>42</orderno>
|
||
|
|
<secid>1</secid>
|
||
|
|
<board>BOARD</board>
|
||
|
|
<seccode>SEC1</seccode>
|
||
|
|
<client>CLIENT</client>
|
||
|
|
<union>UNION</union>
|
||
|
|
<status>active</status>
|
||
|
|
<buysell>B</buysell>
|
||
|
|
<time>05.01.2024 19:34:19.234</time>
|
||
|
|
<price>12.34</price>
|
||
|
|
<quantity>12</quantity>
|
||
|
|
</order>
|
||
|
|
</orders>
|
||
|
|
|] :: BS.ByteString
|
||
|
|
|
||
|
|
testParseTradesStreaming :: TestTree
|
||
|
|
testParseTradesStreaming = testCase "Parse ResponseTrades - valid XML (full)" $ do
|
||
|
|
let [TransaqResponseTrades (ResponseTrades trades)] = parseTransaqResponses validTrades
|
||
|
|
1 @=? length trades
|
||
|
|
|
||
|
|
let trade = head trades
|
||
|
|
|
||
|
|
1 @=? tSecId trade
|
||
|
|
12 @=? tTradeNo trade
|
||
|
|
42 @=? tOrderNo trade
|
||
|
|
"BOARD" @=? tBoard trade
|
||
|
|
"SEC1" @=? tSecCode trade
|
||
|
|
"CLIENT" @=? tClient trade
|
||
|
|
"UNION" @=? tUnion trade
|
||
|
|
Buy @=? tBuysell trade
|
||
|
|
-- TODO check time
|
||
|
|
|
||
|
|
True @=? (123.4 ~== tValue trade)
|
||
|
|
True @=? (0.5 ~== tComission trade)
|
||
|
|
10 @=? tQuantity trade
|
||
|
|
True @=? (12.34 ~== tPrice trade)
|
||
|
|
where
|
||
|
|
validTrades =
|
||
|
|
[r|
|
||
|
|
<trades>
|
||
|
|
<trade>
|
||
|
|
<secid>1</secid>
|
||
|
|
<tradeno>12</tradeno>
|
||
|
|
<orderno>42</orderno>
|
||
|
|
<board>BOARD</board>
|
||
|
|
<seccode>SEC1</seccode>
|
||
|
|
<client>CLIENT</client>
|
||
|
|
<union>UNION</union>
|
||
|
|
<buysell>B</buysell>
|
||
|
|
<time>05.01.2024 19:34:19.234</time>
|
||
|
|
<value>123.40</value>
|
||
|
|
<comission>0.5</comission>
|
||
|
|
<quantity>10</quantity>
|
||
|
|
<price>12.34</price>
|
||
|
|
</trade>
|
||
|
|
</trades>
|
||
|
|
|] :: BS.ByteString
|