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test_snapshots.py
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from base import BaseTest
from polygon.rest.models import (
TickerSnapshot,
OptionContractSnapshot,
SnapshotTickerFullBook,
Agg,
MinuteSnapshot,
LastQuote,
LastTrade,
OrderBookQuote,
UnderlyingAsset,
LastQuoteOptionContractSnapshot,
LastTradeOptionContractSnapshot,
Greeks,
OptionDetails,
DayOptionContractSnapshot,
UniversalSnapshot,
UniversalSnapshotDetails,
UniversalSnapshotLastQuote,
UniversalSnapshotLastTrade,
UniversalSnapshotUnderlyingAsset,
UniversalSnapshotSession,
IndicesSnapshot,
IndicesSession,
)
class SnapshotsTest(BaseTest):
def test_list_universal_snapshots(self):
expected = [
UniversalSnapshot(
ticker="O:NCLH221014C00005000",
implied_volatility=0.3048997097864957,
type="options",
market_status="closed",
name="NCLH $5 Call",
open_interest=8921,
break_even_price=171.075,
details=UniversalSnapshotDetails(
contract_type="call",
exercise_style="american",
expiration_date="2022-10-14",
shares_per_contract=100,
strike_price=5,
underlying_ticker="NCLH",
),
greeks=Greeks(
delta=0.5520187372272933,
gamma=0.00706756515659829,
theta=-0.018532772783847958,
vega=0.7274811132998142,
),
last_quote=UniversalSnapshotLastQuote(
ask=21.25,
ask_size=110,
bid=20.9,
bid_size=172,
last_updated=1636573458756383500,
midpoint=21.075,
timeframe="REAL-TIME",
),
last_trade=UniversalSnapshotLastTrade(
conditions=[209],
exchange=316,
price=0.05,
sip_timestamp=1675280958783136800,
size=2,
timeframe="REAL-TIME",
),
session=UniversalSnapshotSession(
change=-0.05,
change_percent=-1.07,
close=6.65,
early_trading_change=-0.01,
early_trading_change_percent=-0.03,
high=7.01,
late_trading_change=-0.4,
late_trading_change_percent=-0.02,
low=5.42,
open=6.7,
previous_close=6.71,
volume=67,
),
underlying_asset=UniversalSnapshotUnderlyingAsset(
change_to_break_even=23.123999999999995,
last_updated=1636573459862384600,
price=147.951,
ticker="AAPL",
timeframe="REAL-TIME",
),
),
UniversalSnapshot(
last_quote=UniversalSnapshotLastQuote(
ask=21.25,
ask_size=110,
bid=20.9,
bid_size=172,
last_updated=1636573458756383500,
timeframe="REAL-TIME",
),
last_trade=UniversalSnapshotLastTrade(
conditions=[209],
exchange=316,
id="4064",
last_updated=1675280958783136800,
price=0.05,
size=2,
timeframe="REAL-TIME",
),
market_status="closed",
name="Apple Inc.",
session=UniversalSnapshotSession(
change=-1.05,
change_percent=-4.67,
close=21.4,
early_trading_change=-0.39,
early_trading_change_percent=-0.07,
high=22.49,
late_trading_change=1.2,
late_trading_change_percent=3.92,
low=21.35,
open=22.49,
previous_close=22.45,
volume=37,
),
ticker="AAPL",
type="stocks",
),
UniversalSnapshot(
error="NOT_FOUND", message="Ticker not found.", ticker="TSLAAPL"
),
]
snapshots = [s for s in self.c.list_universal_snapshots()]
self.assertEqual(snapshots, expected)
def test_get_snapshot_all(self):
snapshots = self.c.get_snapshot_all("stocks")
expected = [
TickerSnapshot(
day=Agg(
open=20.64,
high=20.64,
low=20.506,
close=20.506,
volume=37216,
vwap=20.616,
timestamp=None,
transactions=None,
),
last_quote=LastQuote(
ticker=None,
trf_timestamp=None,
sequence_number=None,
sip_timestamp=1605192959994246100,
participant_timestamp=None,
ask_price=20.6,
ask_size=22,
ask_exchange=None,
conditions=None,
indicators=None,
bid_price=20.5,
bid_size=13,
bid_exchange=None,
tape=None,
),
last_trade=LastTrade(
ticker=None,
trf_timestamp=None,
sequence_number=None,
sip_timestamp=1605192894630916600,
participant_timestamp=None,
conditions=[14, 41],
correction=None,
id="71675577320245",
price=20.506,
trf_id=None,
size=2416,
exchange=4,
tape=None,
),
min=MinuteSnapshot(
accumulated_volume=37216,
open=20.506,
high=20.506,
low=20.506,
close=20.506,
volume=5000,
vwap=20.5105,
timestamp=1684428600000,
transactions=5,
),
prev_day=Agg(
open=20.79,
high=21,
low=20.5,
close=20.63,
volume=292738,
vwap=20.6939,
timestamp=None,
transactions=None,
),
ticker="BCAT",
todays_change=-0.124,
todays_change_percent=-0.601,
updated=1605192894630916600,
)
]
self.assertEqual(snapshots, expected)
def test_get_snapshot_ticker(self):
snapshots = self.c.get_snapshot_ticker("stocks", "AAPL")
expected = TickerSnapshot(
day=Agg(
open=161.84,
high=166.2,
low=159.8,
close=160.315,
volume=68840127,
vwap=162.7124,
timestamp=None,
transactions=None,
),
last_quote=LastQuote(
ticker=None,
trf_timestamp=None,
sequence_number=None,
sip_timestamp=1651251948407646487,
participant_timestamp=None,
ask_price=159.99,
ask_size=5,
ask_exchange=None,
conditions=None,
indicators=None,
bid_price=159.98,
bid_size=3,
bid_exchange=None,
tape=None,
),
last_trade=LastTrade(
ticker=None,
trf_timestamp=None,
sequence_number=None,
sip_timestamp=1651251948294080343,
participant_timestamp=None,
conditions=None,
correction=None,
id="121351",
price=159.99,
trf_id=None,
size=200,
exchange=12,
tape=None,
),
min=MinuteSnapshot(
accumulated_volume=68834255,
open=160.71,
high=160.71,
low=160.3,
close=160.3,
volume=197226,
vwap=160.5259,
timestamp=1684428600000,
transactions=5,
),
prev_day=Agg(
open=159.25,
high=164.515,
low=158.93,
close=163.64,
volume=130149192,
vwap=161.8622,
timestamp=None,
transactions=None,
),
ticker="AAPL",
todays_change=-3.65,
todays_change_percent=-2.231,
updated=1651251948294080343,
)
self.assertEqual(snapshots, expected)
def test_get_snapshot_option(self):
snapshots = self.c.get_snapshot_option("AAPL", "O:AAPL230616C00150000")
expected = OptionContractSnapshot(
break_even_price=179.075,
day=DayOptionContractSnapshot(
change=-2.3999999999999986,
change_percent=-7.643312101910824,
close=29,
high=32.25,
last_updated=1651204800000000000,
low=29,
open=29.99,
previous_close=31.4,
volume=8,
vwap=30.7738,
),
details=OptionDetails(
contract_type="call",
exercise_style="american",
expiration_date="2023-06-16",
shares_per_contract=100,
strike_price=150,
ticker="O:AAPL230616C00150000",
),
greeks=Greeks(
delta=0.6436614934293701,
gamma=0.0061735291012820675,
theta=-0.028227189324641973,
vega=0.6381159723175714,
),
implied_volatility=0.3570277203465058,
last_quote=LastQuoteOptionContractSnapshot(
ask=29.25,
ask_size=209,
bid=28.9,
bid_size=294,
last_updated=1651254260800059648,
midpoint=29.075,
timeframe="REAL-TIME",
),
last_trade=LastTradeOptionContractSnapshot(
price=29.25,
sip_timestamp=1678718527714665700,
size=1,
conditions=[209],
exchange=309,
timeframe="REAL-TIME",
),
open_interest=8133,
underlying_asset=UnderlyingAsset(
change_to_break_even=19.11439999999999,
last_updated=1651254263172073152,
price=159.9606,
ticker="AAPL",
timeframe="REAL-TIME",
),
)
self.assertEqual(snapshots, expected)
def test_list_snapshot_options_chain(self):
snapshots = [s for s in self.c.list_snapshot_options_chain("AAPL")]
expected = [
OptionContractSnapshot(
break_even_price=179.075,
day=DayOptionContractSnapshot(
change=-2.3999999999999986,
change_percent=-7.643312101910824,
close=29,
high=32.25,
last_updated=1651204800000000000,
low=29,
open=29.99,
previous_close=31.4,
volume=8,
vwap=30.7738,
),
details=OptionDetails(
contract_type="call",
exercise_style="american",
expiration_date="2023-06-16",
shares_per_contract=100,
strike_price=150,
ticker="O:AAPL230616C00150000",
),
greeks=Greeks(
delta=0.6436614934293701,
gamma=0.0061735291012820675,
theta=-0.028227189324641973,
vega=0.6381159723175714,
),
implied_volatility=0.3570277203465058,
last_quote=LastQuoteOptionContractSnapshot(
ask=29.25,
ask_size=209,
bid=28.9,
bid_size=294,
last_updated=1651254260800059648,
midpoint=29.075,
timeframe="REAL-TIME",
),
last_trade=LastTradeOptionContractSnapshot(
price=29.25,
sip_timestamp=1678718527714665700,
size=1,
conditions=[209],
exchange=309,
timeframe="REAL-TIME",
),
open_interest=8133,
underlying_asset=UnderlyingAsset(
change_to_break_even=19.11439999999999,
last_updated=1651254263172073152,
price=159.9606,
ticker="AAPL",
timeframe="REAL-TIME",
),
)
]
self.assertEqual(snapshots, expected)
def test_get_snapshot_crypto_book(self):
snapshots = self.c.get_snapshot_crypto_book("X:BTCUSD")
expected = SnapshotTickerFullBook(
ticker="X:BTCUSD",
bids=[
OrderBookQuote(price=16303.17, exchange_shares={"1": 2}),
OrderBookQuote(
price=16302.94, exchange_shares={"1": 0.02859424, "6": 0.023455}
),
],
asks=[
OrderBookQuote(price=11454, exchange_shares={"2": 1}),
OrderBookQuote(price=11455, exchange_shares={"2": 1}),
],
bid_count=694.951789670001,
ask_count=593.1412981600005,
spread=-4849.17,
updated=1605295074162,
)
self.assertEqual(snapshots, expected)
def test_get_snapshot_indices(self):
ticker_any_of = ["SPX", "APx", "APy"]
summary_results = self.c.get_snapshot_indices(ticker_any_of)
expected = [
IndicesSnapshot(
value=3822.39,
name="S&P 500",
type="indices",
ticker="SPX",
market_status="closed",
session=IndicesSession(
change=-50.01,
change_percent=-1.45,
close=3822.39,
high=3834.41,
low=38217.11,
open=3827.38,
previous_close=3812.19,
),
),
IndicesSnapshot(
ticker="APx",
message="Ticker not found.",
error="NOT_FOUND",
),
IndicesSnapshot(
ticker="APy",
error="NOT_ENTITLED",
message="Not entitled to this ticker.",
),
]
self.assertEqual(summary_results, expected)