databento-python/tests/test_historical_data.py at 412468c756c26a0feefdd732d72aa2eb5ca405f2 · databento/databento-python · GitHub

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import pytest

import databento
from databento.common.constants import SCHEMA_STRUCT_MAP


def test_mbo_fields() -> None:
    """
    Test that columns match the MBO struct.
    """
    # Arrange
    struct = SCHEMA_STRUCT_MAP[databento.Schema.MBO]

    fields = set(f for f in dir(struct) if not f.startswith(("_", "pretty_")))
    fields.remove("record_size")
    fields.remove("size_hint")
    fields.remove("ts_index")
    fields.remove("ts_out")

    # Act
    difference = fields.symmetric_difference(struct._ordered_fields)

    # Assert
    assert not difference


@pytest.mark.parametrize(
    "schema,level_count",
    [
        (databento.Schema.TBBO, 1),
        (databento.Schema.MBP_1, 1),
        (databento.Schema.MBP_10, 10),
    ],
)
def test_mbp_fields(
    schema: databento.Schema,
    level_count: int,
) -> None:
    """
    Test that columns match the MBP structs.
    """
    # Arrange
    struct = SCHEMA_STRUCT_MAP[schema]

    fields = set(f for f in dir(struct) if not f.startswith(("_", "pretty_")))
    fields.remove("record_size")
    fields.remove("size_hint")
    fields.remove("ts_index")
    fields.remove("ts_out")

    # Act
    difference = fields.symmetric_difference(struct._ordered_fields)

    # Assert
    assert "levels" in difference

    # bid/ask size, price, ct for each level, plus the levels field
    assert len(difference) == 6 * level_count + 1


@pytest.mark.parametrize(
    "schema",
    [
        databento.Schema.OHLCV_1S,
        databento.Schema.OHLCV_1M,
        databento.Schema.OHLCV_1H,
        databento.Schema.OHLCV_1D,
    ],
)
def test_ohlcv_fields(
    schema: databento.Schema,
) -> None:
    """
    Test that columns match the OHLCV structs.
    """
    # Arrange
    struct = SCHEMA_STRUCT_MAP[schema]

    fields = set(f for f in dir(struct) if not f.startswith(("_", "pretty_")))
    fields.remove("record_size")
    fields.remove("size_hint")
    fields.remove("ts_index")
    fields.remove("ts_out")

    # Act
    difference = fields.symmetric_difference(struct._ordered_fields)

    # Assert
    assert not difference


def test_trades_struct() -> None:
    """
    Test that columns match the Trades struct.
    """
    # Arrange
    struct = SCHEMA_STRUCT_MAP[databento.Schema.TRADES]

    fields = set(f for f in dir(struct) if not f.startswith(("_", "pretty_")))
    fields.remove("record_size")
    fields.remove("size_hint")
    fields.remove("ts_index")
    fields.remove("ts_out")

    # Act
    difference = fields.symmetric_difference(struct._ordered_fields)

    # Assert
    assert not difference


def test_definition_struct() -> None:
    """
    Test that columns match the Definition struct.
    """
    # Arrange
    struct = SCHEMA_STRUCT_MAP[databento.Schema.DEFINITION]

    fields = set(f for f in dir(struct) if not f.startswith(("_", "pretty_")))
    fields.remove("record_size")
    fields.remove("size_hint")
    fields.remove("ts_index")
    fields.remove("ts_out")

    # Act
    difference = fields.symmetric_difference(struct._ordered_fields)

    # Assert
    assert not difference


def test_imbalance_struct() -> None:
    """
    Test that columns match the Imbalance struct.
    """
    # Arrange
    struct = SCHEMA_STRUCT_MAP[databento.Schema.IMBALANCE]

    fields = set(f for f in dir(struct) if not f.startswith(("_", "pretty_")))
    fields.remove("record_size")
    fields.remove("size_hint")
    fields.remove("ts_index")
    fields.remove("ts_out")

    # Act
    difference = fields.symmetric_difference(struct._ordered_fields)

    # Assert
    assert not difference


def test_statistics_struct() -> None:
    """
    Test that columns match the Statistics struct.
    """
    # Arrange
    struct = SCHEMA_STRUCT_MAP[databento.Schema.STATISTICS]

    fields = set(f for f in dir(struct) if not f.startswith(("_", "pretty_")))
    fields.remove("record_size")
    fields.remove("size_hint")
    fields.remove("ts_index")
    fields.remove("ts_out")

    # Act
    difference = fields.symmetric_difference(struct._ordered_fields)

    # Assert
    assert not difference