A video I took of Romeo, our mom's Yorkie, play-fighting with Baron, my sister's black-headed parrot.
Ok to everyone worried about the caique–he LOVES messing with our dog and he does this constantly. If you have never owned a caique then you may not know that they do play VERY rough and this is their normal type of play.
Watch at 30 seconds to a minute where the caique is obviously not running away but turning over on his back and waiting for the dog. And then he hops towards the dog to pester him more. At around 1:40 he does get a little tired and annoyed and thats why you hear him make those sounds. Overall, the dog & him get along just great, probably honestly a little more worried about the dog because the caique bites him a little too hard sometimes.