cleanup

2025-07-27 18:31:30 +03:00
parent a94b80c1f4
commit e2c495d83c
15 changed files with 3883 additions and 3335 deletions
--- a/test_imbalance_calculation.py
+++ b/test_imbalance_calculation.py
@ -0,0 +1,118 @@
+#!/usr/bin/env python3
+"""
+Test script for imbalance calculation logic
+"""
+
+import time
+import logging
+from datetime import datetime
+from core.data_provider import DataProvider
+
+# Set up logging
+logging.basicConfig(level=logging.INFO)
+logger = logging.getLogger(__name__)
+
+def test_imbalance_calculation():
+    """Test the imbalance calculation logic with mock data"""
+    logger.info("Testing imbalance calculation logic...")
+    
+    # Initialize data provider
+    dp = DataProvider()
+    
+    # Create mock COB tick data
+    mock_ticks = []
+    current_time = time.time()
+    
+    # Create 10 mock ticks with different imbalances
+    for i in range(10):
+        tick = {
+            'symbol': 'ETH/USDT',
+            'timestamp': current_time - (10 - i),  # 10 seconds ago to now
+            'bids': [
+                [3800 + i, 100 + i * 10],  # Price, Volume
+                [3799 + i, 50 + i * 5],
+                [3798 + i, 25 + i * 2]
+            ],
+            'asks': [
+                [3801 + i, 80 + i * 8],   # Price, Volume
+                [3802 + i, 40 + i * 4],
+                [3803 + i, 20 + i * 2]
+            ],
+            'stats': {
+                'mid_price': 3800.5 + i,
+                'spread_bps': 2.5 + i * 0.1,
+                'imbalance': (i - 5) * 0.1  # Varying imbalance from -0.5 to +0.4
+            },
+            'source': 'mock'
+        }
+        mock_ticks.append(tick)
+    
+    # Add mock ticks to the data provider
+    for tick in mock_ticks:
+        dp.cob_raw_ticks['ETH/USDT'].append(tick)
+    
+    logger.info(f"Added {len(mock_ticks)} mock COB ticks")
+    
+    # Test the aggregation function
+    logger.info("\n=== Testing COB Aggregation ===")
+    target_second = int(current_time - 5)  # 5 seconds ago
+    
+    # Manually call the aggregation function
+    dp._aggregate_cob_1s('ETH/USDT', target_second)
+    
+    # Check the results
+    aggregated_data = list(dp.cob_1s_aggregated['ETH/USDT'])
+    if aggregated_data:
+        latest = aggregated_data[-1]
+        logger.info(f"Aggregated data created:")
+        logger.info(f"  Timestamp: {latest.get('timestamp')}")
+        logger.info(f"  Tick count: {latest.get('tick_count')}")
+        logger.info(f"  Current imbalance: {latest.get('imbalance', 0):.4f}")
+        logger.info(f"  Total volume: {latest.get('total_volume', 0):.2f}")
+        logger.info(f"  Bid buckets: {len(latest.get('bid_buckets', {}))}")
+        logger.info(f"  Ask buckets: {len(latest.get('ask_buckets', {}))}")
+        
+        # Check multi-timeframe imbalances
+        logger.info(f"  Imbalance 1s: {latest.get('imbalance_1s', 0):.4f}")
+        logger.info(f"  Imbalance 5s: {latest.get('imbalance_5s', 0):.4f}")
+        logger.info(f"  Imbalance 15s: {latest.get('imbalance_15s', 0):.4f}")
+        logger.info(f"  Imbalance 60s: {latest.get('imbalance_60s', 0):.4f}")
+    else:
+        logger.warning("No aggregated data created")
+    
+    # Test multiple aggregations to build history
+    logger.info("\n=== Testing Multi-timeframe Imbalances ===")
+    for i in range(1, 6):
+        target_second = int(current_time - 5 + i)
+        dp._aggregate_cob_1s('ETH/USDT', target_second)
+    
+    # Check the final results
+    final_data = list(dp.cob_1s_aggregated['ETH/USDT'])
+    logger.info(f"Created {len(final_data)} aggregated records")
+    
+    if final_data:
+        latest = final_data[-1]
+        logger.info(f"Final imbalance indicators:")
+        logger.info(f"  1s: {latest.get('imbalance_1s', 0):.4f}")
+        logger.info(f"  5s: {latest.get('imbalance_5s', 0):.4f}")
+        logger.info(f"  15s: {latest.get('imbalance_15s', 0):.4f}")
+        logger.info(f"  60s: {latest.get('imbalance_60s', 0):.4f}")
+    
+    # Test the COB data quality function
+    logger.info("\n=== Testing COB Data Quality Function ===")
+    quality = dp.get_cob_data_quality()
+    
+    eth_quality = quality.get('imbalance_indicators', {}).get('ETH/USDT', {})
+    if eth_quality:
+        logger.info("COB quality indicators:")
+        logger.info(f"  Imbalance 1s: {eth_quality.get('imbalance_1s', 0):.4f}")
+        logger.info(f"  Imbalance 5s: {eth_quality.get('imbalance_5s', 0):.4f}")
+        logger.info(f"  Imbalance 15s: {eth_quality.get('imbalance_15s', 0):.4f}")
+        logger.info(f"  Imbalance 60s: {eth_quality.get('imbalance_60s', 0):.4f}")
+        logger.info(f"  Total volume: {eth_quality.get('total_volume', 0):.2f}")
+        logger.info(f"  Bucket count: {eth_quality.get('bucket_count', 0)}")
+    
+    logger.info("\n✅ Imbalance calculation test completed successfully!")
+
+if __name__ == "__main__":
+    test_imbalance_calculation()