folder stricture reorganize
This commit is contained in:
Dobromir Popov
318
tests/test_enhanced_order_flow_integration.py
Normal file
318
tests/test_enhanced_order_flow_integration.py
Normal file
@ -0,0 +1,318 @@
|
||||
#!/usr/bin/env python3
|
||||
"""
|
||||
Test Enhanced Order Flow Integration
|
||||
|
||||
Tests the enhanced order flow analysis capabilities including:
|
||||
- Aggressive vs passive participant ratios
|
||||
- Institutional vs retail trade detection
|
||||
- Market maker vs taker flow analysis
|
||||
- Order flow intensity measurements
|
||||
- Liquidity consumption and price impact analysis
|
||||
- Block trade and iceberg order detection
|
||||
- High-frequency trading activity detection
|
||||
|
||||
Usage:
|
||||
python test_enhanced_order_flow_integration.py
|
||||
"""
|
||||
|
||||
import asyncio
|
||||
import logging
|
||||
import time
|
||||
import json
|
||||
from datetime import datetime, timedelta
|
||||
from core.bookmap_integration import BookmapIntegration
|
||||
|
||||
# Configure logging
|
||||
logging.basicConfig(
|
||||
level=logging.INFO,
|
||||
format='%(asctime)s - %(levelname)s - %(message)s',
|
||||
handlers=[
|
||||
logging.StreamHandler(),
|
||||
logging.FileHandler('enhanced_order_flow_test.log')
|
||||
]
|
||||
)
|
||||
logger = logging.getLogger(__name__)
|
||||
|
||||
class EnhancedOrderFlowTester:
|
||||
"""Test enhanced order flow analysis features"""
|
||||
|
||||
def __init__(self):
|
||||
self.bookmap = None
|
||||
self.symbols = ['ETHUSDT', 'BTCUSDT']
|
||||
self.test_duration = 300 # 5 minutes
|
||||
self.metrics_history = []
|
||||
|
||||
async def setup_integration(self):
|
||||
"""Initialize the Bookmap integration"""
|
||||
try:
|
||||
logger.info("Setting up Enhanced Order Flow Integration...")
|
||||
self.bookmap = BookmapIntegration(symbols=self.symbols)
|
||||
|
||||
# Add callbacks for testing
|
||||
self.bookmap.add_cnn_callback(self._cnn_callback)
|
||||
self.bookmap.add_dqn_callback(self._dqn_callback)
|
||||
|
||||
logger.info(f"Integration setup complete for symbols: {self.symbols}")
|
||||
return True
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Failed to setup integration: {e}")
|
||||
return False
|
||||
|
||||
def _cnn_callback(self, symbol: str, features: dict):
|
||||
"""CNN callback for testing"""
|
||||
logger.debug(f"CNN features received for {symbol}: {len(features.get('features', []))} dimensions")
|
||||
|
||||
def _dqn_callback(self, symbol: str, state: dict):
|
||||
"""DQN callback for testing"""
|
||||
logger.debug(f"DQN state received for {symbol}: {len(state.get('state', []))} dimensions")
|
||||
|
||||
async def start_streaming(self):
|
||||
"""Start real-time data streaming"""
|
||||
try:
|
||||
logger.info("Starting enhanced order flow streaming...")
|
||||
await self.bookmap.start_streaming()
|
||||
logger.info("Streaming started successfully")
|
||||
return True
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Failed to start streaming: {e}")
|
||||
return False
|
||||
|
||||
async def monitor_order_flow(self):
|
||||
"""Monitor and analyze order flow for test duration"""
|
||||
logger.info(f"Monitoring enhanced order flow for {self.test_duration} seconds...")
|
||||
|
||||
start_time = time.time()
|
||||
iteration = 0
|
||||
|
||||
while time.time() - start_time < self.test_duration:
|
||||
try:
|
||||
iteration += 1
|
||||
|
||||
# Test each symbol
|
||||
for symbol in self.symbols:
|
||||
await self._analyze_symbol_flow(symbol, iteration)
|
||||
|
||||
# Wait 10 seconds between analyses
|
||||
await asyncio.sleep(10)
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Error during monitoring iteration {iteration}: {e}")
|
||||
await asyncio.sleep(5)
|
||||
|
||||
logger.info("Order flow monitoring completed")
|
||||
|
||||
async def _analyze_symbol_flow(self, symbol: str, iteration: int):
|
||||
"""Analyze order flow for a specific symbol"""
|
||||
try:
|
||||
# Get enhanced order flow metrics
|
||||
flow_metrics = self.bookmap.get_enhanced_order_flow_metrics(symbol)
|
||||
if not flow_metrics:
|
||||
logger.warning(f"No flow metrics available for {symbol}")
|
||||
return
|
||||
|
||||
# Log key metrics
|
||||
aggressive_passive = flow_metrics['aggressive_passive']
|
||||
institutional_retail = flow_metrics['institutional_retail']
|
||||
flow_intensity = flow_metrics['flow_intensity']
|
||||
price_impact = flow_metrics['price_impact']
|
||||
maker_taker = flow_metrics['maker_taker_flow']
|
||||
|
||||
logger.info(f"\n=== {symbol} Order Flow Analysis (Iteration {iteration}) ===")
|
||||
logger.info(f"Aggressive Ratio: {aggressive_passive['aggressive_ratio']:.2%}")
|
||||
logger.info(f"Passive Ratio: {aggressive_passive['passive_ratio']:.2%}")
|
||||
logger.info(f"Institutional Ratio: {institutional_retail['institutional_ratio']:.2%}")
|
||||
logger.info(f"Retail Ratio: {institutional_retail['retail_ratio']:.2%}")
|
||||
logger.info(f"Flow Intensity: {flow_intensity['current_intensity']:.2f} ({flow_intensity['intensity_category']})")
|
||||
logger.info(f"Price Impact: {price_impact['avg_impact']:.2f} bps ({price_impact['impact_category']})")
|
||||
logger.info(f"Buy Pressure: {maker_taker['buy_pressure']:.2%}")
|
||||
logger.info(f"Sell Pressure: {maker_taker['sell_pressure']:.2%}")
|
||||
|
||||
# Trade size analysis
|
||||
size_dist = flow_metrics['size_distribution']
|
||||
total_trades = sum(size_dist.values())
|
||||
if total_trades > 0:
|
||||
logger.info(f"Trade Size Distribution (last 100 trades):")
|
||||
logger.info(f" Micro (<$1K): {size_dist.get('micro', 0)} ({size_dist.get('micro', 0)/total_trades:.1%})")
|
||||
logger.info(f" Small ($1K-$10K): {size_dist.get('small', 0)} ({size_dist.get('small', 0)/total_trades:.1%})")
|
||||
logger.info(f" Medium ($10K-$50K): {size_dist.get('medium', 0)} ({size_dist.get('medium', 0)/total_trades:.1%})")
|
||||
logger.info(f" Large ($50K-$100K): {size_dist.get('large', 0)} ({size_dist.get('large', 0)/total_trades:.1%})")
|
||||
logger.info(f" Block (>$100K): {size_dist.get('block', 0)} ({size_dist.get('block', 0)/total_trades:.1%})")
|
||||
|
||||
# Volume analysis
|
||||
if 'volume_stats' in flow_metrics and flow_metrics['volume_stats']:
|
||||
volume_stats = flow_metrics['volume_stats']
|
||||
logger.info(f"24h Volume: {volume_stats.get('volume_24h', 0):,.0f}")
|
||||
logger.info(f"24h Quote Volume: ${volume_stats.get('quote_volume_24h', 0):,.0f}")
|
||||
|
||||
# Store metrics for analysis
|
||||
self.metrics_history.append({
|
||||
'timestamp': datetime.now(),
|
||||
'symbol': symbol,
|
||||
'iteration': iteration,
|
||||
'metrics': flow_metrics
|
||||
})
|
||||
|
||||
# Test CNN and DQN features
|
||||
await self._test_model_features(symbol)
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Error analyzing flow for {symbol}: {e}")
|
||||
|
||||
async def _test_model_features(self, symbol: str):
|
||||
"""Test CNN and DQN feature extraction"""
|
||||
try:
|
||||
# Test CNN features
|
||||
cnn_features = self.bookmap.get_cnn_features(symbol)
|
||||
if cnn_features is not None:
|
||||
logger.info(f"CNN Features: {len(cnn_features)} dimensions")
|
||||
logger.info(f" Order book features: {cnn_features[:80].mean():.4f} (avg)")
|
||||
logger.info(f" Liquidity metrics: {cnn_features[80:90].mean():.4f} (avg)")
|
||||
logger.info(f" Imbalance features: {cnn_features[90:95].mean():.4f} (avg)")
|
||||
logger.info(f" Enhanced flow features: {cnn_features[95:].mean():.4f} (avg)")
|
||||
|
||||
# Test DQN features
|
||||
dqn_features = self.bookmap.get_dqn_state_features(symbol)
|
||||
if dqn_features is not None:
|
||||
logger.info(f"DQN State: {len(dqn_features)} dimensions")
|
||||
logger.info(f" Order book state: {dqn_features[:20].mean():.4f} (avg)")
|
||||
logger.info(f" Market indicators: {dqn_features[20:30].mean():.4f} (avg)")
|
||||
logger.info(f" Enhanced flow state: {dqn_features[30:].mean():.4f} (avg)")
|
||||
|
||||
# Test dashboard data
|
||||
dashboard_data = self.bookmap.get_dashboard_data(symbol)
|
||||
if dashboard_data and 'enhanced_order_flow' in dashboard_data:
|
||||
logger.info("Dashboard data includes enhanced order flow metrics")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Error testing model features for {symbol}: {e}")
|
||||
|
||||
async def stop_streaming(self):
|
||||
"""Stop data streaming"""
|
||||
try:
|
||||
logger.info("Stopping order flow streaming...")
|
||||
await self.bookmap.stop_streaming()
|
||||
logger.info("Streaming stopped")
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Error stopping streaming: {e}")
|
||||
|
||||
def generate_summary_report(self):
|
||||
"""Generate a summary report of the test"""
|
||||
try:
|
||||
logger.info("\n" + "="*60)
|
||||
logger.info("ENHANCED ORDER FLOW ANALYSIS SUMMARY")
|
||||
logger.info("="*60)
|
||||
|
||||
if not self.metrics_history:
|
||||
logger.warning("No metrics data collected during test")
|
||||
return
|
||||
|
||||
# Group by symbol
|
||||
symbol_data = {}
|
||||
for entry in self.metrics_history:
|
||||
symbol = entry['symbol']
|
||||
if symbol not in symbol_data:
|
||||
symbol_data[symbol] = []
|
||||
symbol_data[symbol].append(entry)
|
||||
|
||||
# Analyze each symbol
|
||||
for symbol, data in symbol_data.items():
|
||||
logger.info(f"\n--- {symbol} Analysis ---")
|
||||
logger.info(f"Data points collected: {len(data)}")
|
||||
|
||||
if len(data) > 0:
|
||||
# Calculate averages
|
||||
avg_aggressive = sum(d['metrics']['aggressive_passive']['aggressive_ratio'] for d in data) / len(data)
|
||||
avg_institutional = sum(d['metrics']['institutional_retail']['institutional_ratio'] for d in data) / len(data)
|
||||
avg_intensity = sum(d['metrics']['flow_intensity']['current_intensity'] for d in data) / len(data)
|
||||
avg_impact = sum(d['metrics']['price_impact']['avg_impact'] for d in data) / len(data)
|
||||
|
||||
logger.info(f"Average Aggressive Ratio: {avg_aggressive:.2%}")
|
||||
logger.info(f"Average Institutional Ratio: {avg_institutional:.2%}")
|
||||
logger.info(f"Average Flow Intensity: {avg_intensity:.2f}")
|
||||
logger.info(f"Average Price Impact: {avg_impact:.2f} bps")
|
||||
|
||||
# Detect trends
|
||||
first_half = data[:len(data)//2] if len(data) > 1 else data
|
||||
second_half = data[len(data)//2:] if len(data) > 1 else data
|
||||
|
||||
if len(first_half) > 0 and len(second_half) > 0:
|
||||
first_aggressive = sum(d['metrics']['aggressive_passive']['aggressive_ratio'] for d in first_half) / len(first_half)
|
||||
second_aggressive = sum(d['metrics']['aggressive_passive']['aggressive_ratio'] for d in second_half) / len(second_half)
|
||||
|
||||
trend = "increasing" if second_aggressive > first_aggressive else "decreasing"
|
||||
logger.info(f"Aggressive trading trend: {trend}")
|
||||
|
||||
logger.info("\n" + "="*60)
|
||||
logger.info("Test completed successfully!")
|
||||
logger.info("Enhanced order flow analysis is working correctly.")
|
||||
logger.info("="*60)
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Error generating summary report: {e}")
|
||||
|
||||
async def run_enhanced_order_flow_test():
|
||||
"""Run the complete enhanced order flow test"""
|
||||
tester = EnhancedOrderFlowTester()
|
||||
|
||||
try:
|
||||
# Setup
|
||||
logger.info("Starting Enhanced Order Flow Integration Test")
|
||||
logger.info("This test will demonstrate:")
|
||||
logger.info("- Aggressive vs Passive participant analysis")
|
||||
logger.info("- Institutional vs Retail trade detection")
|
||||
logger.info("- Order flow intensity measurements")
|
||||
logger.info("- Price impact and liquidity consumption analysis")
|
||||
logger.info("- Block trade and iceberg order detection")
|
||||
logger.info("- Enhanced CNN and DQN feature extraction")
|
||||
|
||||
if not await tester.setup_integration():
|
||||
logger.error("Failed to setup integration")
|
||||
return False
|
||||
|
||||
# Start streaming
|
||||
if not await tester.start_streaming():
|
||||
logger.error("Failed to start streaming")
|
||||
return False
|
||||
|
||||
# Wait for initial data
|
||||
logger.info("Waiting 30 seconds for initial data...")
|
||||
await asyncio.sleep(30)
|
||||
|
||||
# Monitor order flow
|
||||
await tester.monitor_order_flow()
|
||||
|
||||
# Generate report
|
||||
tester.generate_summary_report()
|
||||
|
||||
return True
|
||||
|
||||
except Exception as e:
|
||||
logger.error(f"Test failed: {e}")
|
||||
return False
|
||||
|
||||
finally:
|
||||
# Cleanup
|
||||
try:
|
||||
await tester.stop_streaming()
|
||||
except Exception as e:
|
||||
logger.error(f"Error during cleanup: {e}")
|
||||
|
||||
if __name__ == "__main__":
|
||||
try:
|
||||
# Run the test
|
||||
success = asyncio.run(run_enhanced_order_flow_test())
|
||||
|
||||
if success:
|
||||
print("\n✅ Enhanced Order Flow Integration Test PASSED")
|
||||
print("All enhanced order flow analysis features are working correctly!")
|
||||
else:
|
||||
print("\n❌ Enhanced Order Flow Integration Test FAILED")
|
||||
print("Check the logs for details.")
|
||||
|
||||
except KeyboardInterrupt:
|
||||
print("\n⚠️ Test interrupted by user")
|
||||
except Exception as e:
|
||||
print(f"\n💥 Test crashed: {e}")
|
||||
Reference in New Issue
Block a user