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market_test.go
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package tasty //nolint:testpackage // testing private field
import (
"fmt"
"net/http"
"testing"
"time"
"github.com/shopspring/decimal"
"github.com/stretchr/testify/require"
)
func TestGetMarketMetrics(t *testing.T) {
setup()
defer teardown()
symbols := []string{"AAPL", "TSLA"}
mux.HandleFunc("/market-metrics", func(writer http.ResponseWriter, request *http.Request) {
fmt.Fprint(writer, marketMetricsResp)
})
resp, httpResp, err := client.GetMarketMetrics(symbols)
require.Nil(t, err)
require.NotNil(t, httpResp)
require.Equal(t, 2, len(resp))
aapl := resp[0]
require.Equal(t, decimal.NewFromFloat(0.224186663), aapl.ImpliedVolatilityIndex)
require.Equal(t, decimal.NewFromFloat(-0.014691909), aapl.ImpliedVolatilityIndex5DayChange)
require.Equal(t, decimal.NewFromFloat(0.02231313), aapl.ImpliedVolatilityIndexRank)
require.Equal(t, decimal.NewFromFloat(0.02231313), aapl.TosImpliedVolatilityIndexRank)
require.Equal(t, decimal.NewFromFloat(0.037374278), aapl.TwImpliedVolatilityIndexRank)
require.Equal(t, time.Date(2023, time.June, 7, 19, 55, 22, 151000000, time.UTC), aapl.TosImpliedVolatilityIndexRankUpdatedAt)
require.Equal(t, "tos", aapl.ImpliedVolatilityIndexRankSource)
require.Equal(t, decimal.NewFromFloat(0.031249801), aapl.ImpliedVolatilityPercentile)
require.Equal(t, time.Date(2023, time.June, 7, 19, 55, 22, 110000000, time.UTC), aapl.ImpliedVolatilityUpdatedAt)
require.Equal(t, decimal.NewFromFloat(899091.420242437), aapl.LiquidityValue)
require.Equal(t, decimal.NewFromFloat(1.516319123), aapl.LiquidityRank)
require.Equal(t, 4, aapl.LiquidityRating)
require.Equal(t, time.Date(2023, time.June, 7, 19, 55, 23, 376000000, time.UTC), aapl.UpdatedAt)
require.Equal(t, decimal.NewFromFloat(1.265634436), aapl.Beta)
require.Equal(t, time.Date(2023, time.June, 4, 17, 0, 35, 805000000, time.UTC), aapl.BetaUpdatedAt)
require.Equal(t, decimal.NewFromFloat(0.79), aapl.CorrSpy3month)
require.Equal(t, decimal.NewFromFloat(0.24), aapl.DividendRatePerShare)
require.True(t, aapl.AnnualDividendPerShare.Equal(decimal.Zero))
require.Equal(t, decimal.NewFromFloat(0.006396146), aapl.DividendYield)
require.Equal(t, "2023-05-12", aapl.DividendExDate)
require.Equal(t, "2022-08-05", aapl.DividendNextDate)
require.Equal(t, "2023-05-18", aapl.DividendPayDate)
require.Equal(t, time.Date(2023, time.May, 8, 0, 16, 36, 676000000, time.UTC), aapl.DividendUpdatedAt)
require.Equal(t, "XNAS", aapl.ListedMarket)
require.Equal(t, "Easy To Borrow", aapl.Lendability)
require.True(t, aapl.BorrowRate.Equal(decimal.Zero))
require.Equal(t, 2846108626900, aapl.MarketCap)
require.Equal(t, decimal.NewFromFloat(21.87), aapl.ImpliedVolatility30Day)
require.Equal(t, decimal.NewFromFloat(20.02), aapl.HistoricalVolatility30Day)
require.Equal(t, decimal.NewFromFloat(19.55), aapl.HistoricalVolatility60Day)
require.Equal(t, decimal.NewFromFloat(20.24), aapl.HistoricalVolatility90Day)
require.Equal(t, decimal.NewFromFloat(1.85), aapl.IvHv30DayDifference)
require.True(t, aapl.PriceEarningsRatio.Equal(decimal.Zero))
require.True(t, aapl.EarningsPerShare.Equal(decimal.Zero))
// Option Expiration IVs
optExpiryIVs := aapl.OptionExpirationImpliedVolatilities
require.Equal(t, 3, len(optExpiryIVs))
require.Equal(t, "2023-06-09", optExpiryIVs[0].ExpirationDate)
require.Equal(t, "Standard", optExpiryIVs[0].OptionChainType)
require.Equal(t, "PM", optExpiryIVs[0].SettlementType)
require.Equal(t, decimal.NewFromFloat(0.288187496), optExpiryIVs[0].ImpliedVolatility)
// Liquidity Running State
liquidityRunningState := aapl.LiquidityRunningState
require.Equal(t, decimal.NewFromFloat(38347762.009590656), liquidityRunningState.Sum)
require.Equal(t, 48, liquidityRunningState.Count)
require.Equal(t, time.Date(2023, time.June, 3, 10, 0, 10, 347000000, time.UTC), liquidityRunningState.StartedAt)
require.Equal(t, time.Date(2023, time.June, 7, 19, 55, 22, 110000000, time.UTC), liquidityRunningState.UpdatedAt)
// Earnings
earnings := aapl.Earnings
require.True(t, earnings.Visible)
require.Equal(t, "2023-07-27", earnings.ExpectedReportDate)
require.False(t, earnings.Estimated)
require.Zero(t, earnings.LateFlag)
require.Equal(t, "2023-06-01", earnings.QuarterEndDate)
require.Equal(t, decimal.NewFromFloat(1.2), earnings.ActualEPS)
require.Equal(t, decimal.NewFromFloat(1.18), earnings.ConsensusEstimate)
require.Equal(t, time.Date(2023, time.June, 7, 11, 1, 36, 77000000, time.UTC), earnings.UpdatedAt)
}
func TestGetMarketMetricsError(t *testing.T) {
setup()
defer teardown()
symbols := []string{"AAPL", "TSLA"}
mux.HandleFunc("/market-metrics", func(writer http.ResponseWriter, request *http.Request) {
writer.WriteHeader(401)
fmt.Fprint(writer, tastyUnauthorizedError)
})
_, _, err := client.GetMarketMetrics(symbols)
expectedUnauthorized(t, err)
}
func TestGetHistoricDividends(t *testing.T) {
setup()
defer teardown()
symbol := "AAPL"
mux.HandleFunc(fmt.Sprintf("/market-metrics/historic-corporate-events/dividends/%s", symbol), func(writer http.ResponseWriter, request *http.Request) {
fmt.Fprint(writer, historicDividendsResp)
})
resp, httpResp, err := client.GetHistoricDividends(symbol)
require.Nil(t, err)
require.NotNil(t, httpResp)
require.Equal(t, 39, len(resp))
require.Equal(t, "2023-05-12", resp[0].OccurredDate)
require.Equal(t, decimal.NewFromFloat(0.24), resp[0].Amount)
}
func TestGetHistoricDividendsError(t *testing.T) {
setup()
defer teardown()
symbol := "AAPL"
mux.HandleFunc(fmt.Sprintf("/market-metrics/historic-corporate-events/dividends/%s", symbol), func(writer http.ResponseWriter, request *http.Request) {
writer.WriteHeader(401)
fmt.Fprint(writer, tastyUnauthorizedError)
})
_, _, err := client.GetHistoricDividends(symbol)
expectedUnauthorized(t, err)
}
func TestGetHistoricEarnings(t *testing.T) {
setup()
defer teardown()
startDate := time.Now().AddDate(-1, 0, 0)
symbol := "AAPL"
mux.HandleFunc(fmt.Sprintf("/market-metrics/historic-corporate-events/earnings-reports/%s", symbol), func(writer http.ResponseWriter, request *http.Request) {
fmt.Fprint(writer, historicEarningsResp)
})
resp, httpResp, err := client.GetHistoricEarnings(symbol, startDate)
require.Nil(t, err)
require.NotNil(t, httpResp)
require.Equal(t, 4, len(resp))
require.Equal(t, "2022-06-30", resp[0].OccurredDate)
require.Equal(t, decimal.NewFromFloat(1.2), resp[0].Eps)
}
func TestGetHistoricEarningsError(t *testing.T) {
setup()
defer teardown()
startDate := time.Now().AddDate(-1, 0, 0)
symbol := "AAPL"
mux.HandleFunc(fmt.Sprintf("/market-metrics/historic-corporate-events/earnings-reports/%s", symbol), func(writer http.ResponseWriter, request *http.Request) {
writer.WriteHeader(401)
fmt.Fprint(writer, tastyUnauthorizedError)
})
_, _, err := client.GetHistoricEarnings(symbol, startDate)
expectedUnauthorized(t, err)
}
const marketMetricsResp = `{
"data": {
"items": [
{
"symbol": "AAPL",
"implied-volatility-index": "0.224186663",
"implied-volatility-index-5-day-change": "-0.014691909",
"implied-volatility-index-rank": "0.02231313",
"tos-implied-volatility-index-rank": "0.02231313",
"tw-implied-volatility-index-rank": "0.037374278",
"tos-implied-volatility-index-rank-updated-at": "2023-06-07T19:55:22.151Z",
"implied-volatility-index-rank-source": "tos",
"implied-volatility-percentile": "0.031249801",
"implied-volatility-updated-at": "2023-06-07T19:55:22.110Z",
"liquidity-value": "899091.420242437",
"liquidity-rank": "1.516319123",
"liquidity-rating": 4,
"updated-at": "2023-06-07T19:55:23.376Z",
"option-expiration-implied-volatilities": [
{
"expiration-date": "2023-06-09",
"option-chain-type": "Standard",
"settlement-type": "PM",
"implied-volatility": "0.288187496"
},
{
"expiration-date": "2023-06-16",
"option-chain-type": "Standard",
"settlement-type": "PM",
"implied-volatility": "0.253236223"
},
{
"expiration-date": "2023-06-23",
"option-chain-type": "Standard",
"settlement-type": "PM",
"implied-volatility": "0.23260259"
}
],
"liquidity-running-state": {
"sum": "38347762.009590656",
"count": 48,
"started-at": "2023-06-03T10:00:10.347Z",
"updated-at": "2023-06-07T19:55:22.110Z"
},
"beta": "1.265634436",
"beta-updated-at": "2023-06-04T17:00:35.805Z",
"corr-spy-3month": "0.79",
"dividend-rate-per-share": "0.24",
"annual-dividend-per-share": "0.0",
"dividend-yield": "0.006396146",
"dividend-ex-date": "2023-05-12",
"dividend-next-date": "2022-08-05",
"dividend-pay-date": "2023-05-18",
"dividend-updated-at": "2023-05-08T00:16:36.676Z",
"earnings": {
"visible": true,
"expected-report-date": "2023-07-27",
"estimated": false,
"late-flag": 0,
"quarter-end-date": "2023-06-01",
"actual-eps": "1.2",
"consensus-estimate": "1.18",
"updated-at": "2023-06-07T11:01:36.077Z"
},
"listed-market": "XNAS",
"lendability": "Easy To Borrow",
"borrow-rate": "0.0",
"market-cap": 2846108626900,
"implied-volatility-30-day": "21.87",
"historical-volatility-30-day": "20.02",
"historical-volatility-60-day": "19.55",
"historical-volatility-90-day": "20.24",
"iv-hv-30-day-difference": "1.85",
"price-earnings-ratio": "0.0",
"earnings-per-share": "0.0"
},
{
"symbol": "TSLA",
"implied-volatility-index": "0.550920788",
"implied-volatility-index-5-day-change": "0.006567415",
"implied-volatility-index-rank": "0.12821369",
"tos-implied-volatility-index-rank": "0.12821369",
"tw-implied-volatility-index-rank": "0.425296508",
"tos-implied-volatility-index-rank-updated-at": "2023-06-07T19:46:31.514Z",
"implied-volatility-index-rank-source": "tos",
"implied-volatility-percentile": "0.107956139",
"implied-volatility-updated-at": "2023-06-07T19:46:31.503Z",
"liquidity-value": "183478.567652843",
"liquidity-rank": "0.397819778",
"liquidity-rating": 4,
"created-at": "2019-01-20T18:02:44.206-06:00",
"updated-at": "2023-06-07T19:46:32.482Z",
"option-expiration-implied-volatilities": [
{
"expiration-date": "2023-06-09",
"option-chain-type": "Standard",
"settlement-type": "PM",
"implied-volatility": "0.61080228"
},
{
"expiration-date": "2023-06-16",
"option-chain-type": "Standard",
"settlement-type": "PM",
"implied-volatility": "0.562039188"
},
{
"expiration-date": "2023-06-23",
"option-chain-type": "Standard",
"settlement-type": "PM",
"implied-volatility": "0.527234346"
}
],
"liquidity-running-state": {
"sum": "7312230.924219939",
"count": 48,
"started-at": "2023-06-03T10:00:10.344Z",
"updated-at": "2023-06-07T19:46:31.503Z"
},
"beta": "1.806768437",
"beta-updated-at": "2023-06-04T17:00:13.353Z",
"corr-spy-3month": "0.66",
"dividend-rate-per-share": "0.0",
"annual-dividend-per-share": "0.0",
"dividend-yield": "0.0",
"earnings": {
"visible": true,
"expected-report-date": "2023-07-19",
"estimated": false,
"late-flag": 0,
"quarter-end-date": "2023-06-01",
"actual-eps": "0.65",
"consensus-estimate": "0.7",
"updated-at": "2023-06-07T11:02:19.083Z"
},
"listed-market": "XNAS",
"lendability": "Easy To Borrow",
"borrow-rate": "0.0",
"market-cap": 678178835284,
"implied-volatility-30-day": "54.91",
"historical-volatility-30-day": "36.63",
"historical-volatility-60-day": "44.98",
"historical-volatility-90-day": "48.42",
"iv-hv-30-day-difference": "18.28",
"price-earnings-ratio": "0.0",
"earnings-per-share": "0.0"
}
]
}
}`
const historicDividendsResp = `{
"data": {
"items": [
{ "occurred-date": "2023-05-12", "amount": "0.24" },
{ "occurred-date": "2023-02-10", "amount": "0.23" },
{ "occurred-date": "2022-11-04", "amount": "0.23" },
{ "occurred-date": "2022-08-05", "amount": "0.23" },
{ "occurred-date": "2022-05-06", "amount": "0.23" },
{ "occurred-date": "2022-02-04", "amount": "0.22" },
{ "occurred-date": "2021-11-05", "amount": "0.22" },
{ "occurred-date": "2021-08-06", "amount": "0.22" },
{ "occurred-date": "2021-05-07", "amount": "0.22" },
{ "occurred-date": "2021-02-05", "amount": "0.205" },
{ "occurred-date": "2020-11-06", "amount": "0.205" },
{ "occurred-date": "2020-08-07", "amount": "0.205" },
{ "occurred-date": "2020-05-08", "amount": "0.205" },
{ "occurred-date": "2020-02-07", "amount": "0.1925" },
{ "occurred-date": "2019-11-07", "amount": "0.1925" },
{ "occurred-date": "2019-08-09", "amount": "0.1925" },
{ "occurred-date": "2019-05-10", "amount": "0.1925" },
{ "occurred-date": "2019-02-08", "amount": "0.1825" },
{ "occurred-date": "2018-11-08", "amount": "0.1825" },
{ "occurred-date": "2018-08-10", "amount": "0.1825" },
{ "occurred-date": "2018-05-11", "amount": "0.1825" },
{ "occurred-date": "2018-02-09", "amount": "0.1575" },
{ "occurred-date": "2017-11-10", "amount": "0.1575" },
{ "occurred-date": "2017-08-10", "amount": "0.1575" },
{ "occurred-date": "2017-05-11", "amount": "0.1575" },
{ "occurred-date": "2017-02-09", "amount": "0.1425" },
{ "occurred-date": "2016-11-03", "amount": "0.1425" },
{ "occurred-date": "2016-08-04", "amount": "0.1425" },
{ "occurred-date": "2016-05-05", "amount": "0.1425" },
{ "occurred-date": "2016-02-04", "amount": "0.13" },
{ "occurred-date": "2015-11-05", "amount": "0.13" },
{ "occurred-date": "2015-08-06", "amount": "0.13" },
{ "occurred-date": "2015-05-07", "amount": "0.13" },
{ "occurred-date": "2015-02-05", "amount": "0.1175" },
{ "occurred-date": "2014-11-06", "amount": "0.1175" },
{ "occurred-date": "2014-08-07", "amount": "0.1175" },
{ "occurred-date": "2014-05-08", "amount": "0.1175" },
{ "occurred-date": "2014-02-06", "amount": "0.108928571" },
{ "occurred-date": "2013-11-06", "amount": "0.108928571" }
]
}
}`
const historicEarningsResp = `{
"data": {
"items": [
{ "occurred-date": "2022-06-30", "eps": "1.2" },
{ "occurred-date": "2022-09-30", "eps": "1.29" },
{ "occurred-date": "2022-12-31", "eps": "1.89" },
{ "occurred-date": "2023-03-31", "eps": "1.53" }
]
}
}`