cob data providers tests
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Dobromir Popov
276
tests/cob/test_cob_comparison.py
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276
tests/cob/test_cob_comparison.py
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#!/usr/bin/env python3
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"""
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Compare COB data quality between DataProvider and COBIntegration
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This test compares:
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1. DataProvider COB collection (used in our test)
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2. COBIntegration direct access (used in cob_realtime_dashboard.py)
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To understand why cob_realtime_dashboard.py gets more stable data.
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"""
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import asyncio
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import logging
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import time
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from collections import deque
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from datetime import datetime, timedelta
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import matplotlib.pyplot as plt
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import numpy as np
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import pandas as pd
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from core.data_provider import DataProvider, MarketTick
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from core.config import get_config
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# Try to import COBIntegration like cob_realtime_dashboard does
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try:
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from core.cob_integration import COBIntegration
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COB_INTEGRATION_AVAILABLE = True
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except ImportError:
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COB_INTEGRATION_AVAILABLE = False
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# Configure logging
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logging.basicConfig(level=logging.INFO, format='%(asctime)s - %(levelname)s - %(message)s')
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logger = logging.getLogger(__name__)
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class COBComparisonTester:
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def __init__(self, symbol='ETH/USDT', duration_seconds=15):
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self.symbol = symbol
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self.duration = timedelta(seconds=duration_seconds)
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# Data storage for both methods
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self.dp_ticks = deque() # DataProvider ticks
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self.cob_data = deque() # COBIntegration data
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# Initialize DataProvider (method 1)
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logger.info("Initializing DataProvider...")
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self.data_provider = DataProvider()
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self.dp_cob_received = 0
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# Initialize COBIntegration (method 2)
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self.cob_integration = None
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self.cob_received = 0
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if COB_INTEGRATION_AVAILABLE:
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logger.info("Initializing COBIntegration...")
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self.cob_integration = COBIntegration(symbols=[self.symbol])
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else:
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logger.warning("COBIntegration not available - will only test DataProvider")
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self.start_time = None
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self.subscriber_id = None
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def _dp_cob_callback(self, symbol: str, cob_data: dict):
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"""Callback for DataProvider COB data"""
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self.dp_cob_received += 1
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if 'stats' in cob_data and 'mid_price' in cob_data['stats']:
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mid_price = cob_data['stats']['mid_price']
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if mid_price > 0:
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synthetic_tick = MarketTick(
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symbol=symbol,
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timestamp=cob_data.get('timestamp', datetime.now()),
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price=mid_price,
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volume=cob_data.get('stats', {}).get('total_volume', 0),
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quantity=0,
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side='dp_cob',
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trade_id=f"dp_{self.dp_cob_received}",
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is_buyer_maker=False,
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raw_data=cob_data
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)
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self.dp_ticks.append(synthetic_tick)
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if self.dp_cob_received % 20 == 0:
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logger.info(f"[DataProvider] Update #{self.dp_cob_received}: {symbol} @ ${mid_price:.2f}")
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def _cob_integration_callback(self, symbol: str, data: dict):
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"""Callback for COBIntegration data"""
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self.cob_received += 1
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# Store COBIntegration data directly
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cob_record = {
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'symbol': symbol,
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'timestamp': datetime.now(),
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'data': data,
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'source': 'cob_integration'
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}
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self.cob_data.append(cob_record)
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if self.cob_received % 20 == 0:
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stats = data.get('stats', {})
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mid_price = stats.get('mid_price', 0)
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logger.info(f"[COBIntegration] Update #{self.cob_received}: {symbol} @ ${mid_price:.2f}")
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async def run_comparison_test(self):
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"""Run the comparison test"""
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logger.info(f"Starting COB comparison test for {self.symbol} for {self.duration.total_seconds()} seconds...")
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# Start DataProvider COB collection
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try:
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logger.info("Starting DataProvider COB collection...")
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self.data_provider.start_cob_collection()
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self.data_provider.subscribe_to_cob(self._dp_cob_callback)
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await self.data_provider.start_real_time_streaming()
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logger.info("DataProvider streaming started")
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except Exception as e:
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logger.error(f"Failed to start DataProvider: {e}")
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# Start COBIntegration if available
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if self.cob_integration:
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try:
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logger.info("Starting COBIntegration...")
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self.cob_integration.add_dashboard_callback(self._cob_integration_callback)
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await self.cob_integration.start()
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logger.info("COBIntegration started")
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except Exception as e:
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logger.error(f"Failed to start COBIntegration: {e}")
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# Collect data for specified duration
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self.start_time = datetime.now()
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while datetime.now() - self.start_time < self.duration:
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await asyncio.sleep(1)
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logger.info(f"DataProvider: {len(self.dp_ticks)} ticks | COBIntegration: {len(self.cob_data)} updates")
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# Stop data collection
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try:
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await self.data_provider.stop_real_time_streaming()
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if self.cob_integration:
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await self.cob_integration.stop()
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except Exception as e:
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logger.error(f"Error stopping data collection: {e}")
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logger.info(f"Comparison complete:")
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logger.info(f" DataProvider: {len(self.dp_ticks)} ticks received")
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logger.info(f" COBIntegration: {len(self.cob_data)} updates received")
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# Analyze and plot the differences
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self.analyze_differences()
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self.create_comparison_plots()
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def analyze_differences(self):
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"""Analyze the differences between the two data sources"""
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logger.info("Analyzing data quality differences...")
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# Analyze DataProvider data
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dp_order_book_count = 0
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dp_mid_prices = []
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for tick in self.dp_ticks:
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if hasattr(tick, 'raw_data') and tick.raw_data:
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if 'bids' in tick.raw_data and 'asks' in tick.raw_data:
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dp_order_book_count += 1
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if 'stats' in tick.raw_data and 'mid_price' in tick.raw_data['stats']:
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dp_mid_prices.append(tick.raw_data['stats']['mid_price'])
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# Analyze COBIntegration data
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cob_order_book_count = 0
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cob_mid_prices = []
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for record in self.cob_data:
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data = record['data']
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if 'bids' in data and 'asks' in data:
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cob_order_book_count += 1
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if 'stats' in data and 'mid_price' in data['stats']:
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cob_mid_prices.append(data['stats']['mid_price'])
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logger.info("Data Quality Analysis:")
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logger.info(f" DataProvider:")
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logger.info(f" Total updates: {len(self.dp_ticks)}")
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logger.info(f" With order book data: {dp_order_book_count}")
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logger.info(f" Mid prices collected: {len(dp_mid_prices)}")
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if dp_mid_prices:
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logger.info(f" Price range: ${min(dp_mid_prices):.2f} - ${max(dp_mid_prices):.2f}")
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logger.info(f" COBIntegration:")
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logger.info(f" Total updates: {len(self.cob_data)}")
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logger.info(f" With order book data: {cob_order_book_count}")
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logger.info(f" Mid prices collected: {len(cob_mid_prices)}")
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if cob_mid_prices:
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logger.info(f" Price range: ${min(cob_mid_prices):.2f} - ${max(cob_mid_prices):.2f}")
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def create_comparison_plots(self):
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"""Create comparison plots showing the difference"""
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logger.info("Creating comparison plots...")
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fig, (ax1, ax2) = plt.subplots(2, 1, figsize=(15, 12))
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# Plot 1: Price comparison
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dp_times = []
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dp_prices = []
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for tick in self.dp_ticks:
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if tick.price > 0:
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dp_times.append(tick.timestamp)
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dp_prices.append(tick.price)
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cob_times = []
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cob_prices = []
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for record in self.cob_data:
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data = record['data']
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if 'stats' in data and 'mid_price' in data['stats']:
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cob_times.append(record['timestamp'])
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cob_prices.append(data['stats']['mid_price'])
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if dp_times:
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ax1.plot(pd.to_datetime(dp_times), dp_prices, 'b-', alpha=0.7, label='DataProvider COB', linewidth=1)
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if cob_times:
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ax1.plot(pd.to_datetime(cob_times), cob_prices, 'r-', alpha=0.7, label='COBIntegration', linewidth=1)
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ax1.set_title('Price Comparison: DataProvider vs COBIntegration')
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ax1.set_ylabel('Price (USDT)')
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ax1.legend()
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ax1.grid(True, alpha=0.3)
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# Plot 2: Data quality comparison (order book depth)
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dp_bid_counts = []
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dp_ask_counts = []
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dp_ob_times = []
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for tick in self.dp_ticks:
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if hasattr(tick, 'raw_data') and tick.raw_data:
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if 'bids' in tick.raw_data and 'asks' in tick.raw_data:
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dp_bid_counts.append(len(tick.raw_data['bids']))
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dp_ask_counts.append(len(tick.raw_data['asks']))
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dp_ob_times.append(tick.timestamp)
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cob_bid_counts = []
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cob_ask_counts = []
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cob_ob_times = []
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for record in self.cob_data:
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data = record['data']
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if 'bids' in data and 'asks' in data:
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cob_bid_counts.append(len(data['bids']))
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cob_ask_counts.append(len(data['asks']))
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cob_ob_times.append(record['timestamp'])
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if dp_ob_times:
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ax2.plot(pd.to_datetime(dp_ob_times), dp_bid_counts, 'b--', alpha=0.7, label='DP Bid Levels')
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ax2.plot(pd.to_datetime(dp_ob_times), dp_ask_counts, 'b:', alpha=0.7, label='DP Ask Levels')
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if cob_ob_times:
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ax2.plot(pd.to_datetime(cob_ob_times), cob_bid_counts, 'r--', alpha=0.7, label='COB Bid Levels')
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ax2.plot(pd.to_datetime(cob_ob_times), cob_ask_counts, 'r:', alpha=0.7, label='COB Ask Levels')
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ax2.set_title('Order Book Depth Comparison')
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ax2.set_ylabel('Number of Levels')
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ax2.set_xlabel('Time')
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ax2.legend()
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ax2.grid(True, alpha=0.3)
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plt.tight_layout()
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plot_filename = f"cob_comparison_{self.symbol.replace('/', '_')}_{datetime.now():%Y%m%d_%H%M%S}.png"
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plt.savefig(plot_filename, dpi=150)
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logger.info(f"Comparison plot saved to {plot_filename}")
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plt.show()
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async def main():
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tester = COBComparisonTester()
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await tester.run_comparison_test()
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if __name__ == "__main__":
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try:
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asyncio.run(main())
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except KeyboardInterrupt:
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logger.info("Test interrupted by user.")
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