test_build_liquidity_summary passess

tests/test_liquidity_universe.py

@@ -6,6 +6,7 @@
 from tradingstrategy.liquidity import GroupedLiquidityUniverse, LiquidityDataUnavailable
 from tradingstrategy.pair import DEXPair, LegacyPairUniverse, PandasPairUniverse
 from tradingstrategy.timebucket import TimeBucket
+from tradingstrategy.utils.forward_fill import forward_fill
 from tradingstrategy.utils.liquidity_filter import build_liquidity_summary
 from tradingstrategy.utils.token_filter import filter_pairs_default
 
@@ -194,6 +195,9 @@ def test_build_liquidity_summary(persistent_test_client: Client):
     )
 
     liquidity_df = client.fetch_all_liquidity_samples(TimeBucket.d7).to_pandas()
+    liquidity_df = liquidity_df.loc[liquidity_df["pair_id"].isin(pairs_df["pair_id"])]  # Filter to our pair set before forward fill
+    liquidity_df = liquidity_df.set_index("timestamp").groupby("pair_id")
+    liquidity_df = forward_fill(liquidity_df, TimeBucket.d7.to_frequency(), columns=("close",))
     historical_max, today = build_liquidity_summary(liquidity_df, pairs_df["pair_id"])
     assert len(historical_max) > 100
     print(historical_max.most_common(10))

tradingstrategy/utils/liquidity_filter.py

@@ -35,18 +35,16 @@ def get_somewhat_realistic_max_liquidity(
         Cannot have more than 100M USD
 
     """
-
     try:
         liquidity_samples = liquidity_df.obj.loc[pair_id]["close"].nlargest(samples)
         sample = min(liquidity_samples)
-        import ipdb ; ipdb.set_trace()
         if sample > broken_liquidity:
             # Filter out bad data
-            return 0
+            return -1
         return sample
     except KeyError:
         # Pair not available, because liquidity data is not there, or zero, or broken
-        return 0
+        return -1
 
 
 def get_liquidity_today(
@@ -71,7 +69,7 @@ def get_liquidity_today(
         return sample
     except KeyError:
         # Pair not available, because liquidity data is not there, or zero, or broken
-        return 0
+        return -1
 
 
 def build_liquidity_summary(
@@ -99,7 +97,11 @@ def build_liquidity_summary(
         Ensure the data is indexed by the time we run this code.
 
     :return:
-        Two counters of historical max liquidity, liquidity today
+        Two counters of historical max liquidity, liquidity today.
+
+        All in USD.
+
+        Pair liquidity value is set to `-1` if the lookup failed (data not available, data contains inrealistic values, etc.)
     """
 
     assert isinstance(liquidity_df, (pd.DataFrame, DataFrameGroupBy))