def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Assert
assert position.symbol == AUDUSD_SIM.id.symbol
assert position.venue == AUDUSD_SIM.id.venue
assert not position.is_opposite_side(fill.order_side)
assert not position != position # Equality operator test
assert position.from_order == ClientOrderId(
"O-19700101-000000-000-001-1")
assert position.quantity == Quantity.from_int(100000)
assert position.peak_qty == Quantity.from_int(100000)
assert position.entry == OrderSide.BUY
assert position.side == PositionSide.LONG
assert position.ts_opened == 0
assert position.duration_ns == 0
assert position.avg_px_open == Decimal("1.00001")
assert position.event_count == 1
assert position.client_order_ids == [order.client_order_id]
assert position.venue_order_ids == [VenueOrderId("1")]
assert position.execution_ids == [
ExecutionId("E-19700101-000000-000-001-1")
]
assert position.last_execution_id == ExecutionId(
"E-19700101-000000-000-001-1")
assert position.id == PositionId("P-123456")
assert len(position.events) == 1
assert position.is_long
assert not position.is_short
assert position.is_open
assert not position.is_closed
assert position.realized_points == 0
assert position.realized_return == 0
assert position.realized_pnl == Money(-2.00, USD)
assert position.unrealized_pnl(last) == Money(49.00, USD)
assert position.total_pnl(last) == Money(47.00, USD)
assert position.commissions() == [Money(2.00, USD)]
assert repr(
position) == "Position(LONG 100_000 AUD/USD.SIM, id=P-123456)"
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Assert
assert position.symbol == AUDUSD_SIM.id.symbol
assert position.venue == AUDUSD_SIM.id.venue
assert not position.is_opposite_side(fill.order_side)
self.assertFalse(position != position) # Equality operator test
self.assertEqual(ClientOrderId("O-19700101-000000-000-001-1"),
position.from_order)
self.assertEqual(Quantity.from_int(100000), position.quantity)
self.assertEqual(Quantity.from_int(100000), position.peak_qty)
self.assertEqual(OrderSide.BUY, position.entry)
self.assertEqual(PositionSide.LONG, position.side)
self.assertEqual(0, position.opened_timestamp_ns)
self.assertEqual(0, position.open_duration_ns)
self.assertEqual(Decimal("1.00001"), position.avg_px_open)
self.assertEqual(1, position.event_count)
self.assertEqual([order.client_order_id], position.client_order_ids)
self.assertEqual([VenueOrderId("1")], position.venue_order_ids)
self.assertEqual([ExecutionId("E-19700101-000000-000-001-1")],
position.execution_ids)
self.assertEqual(ExecutionId("E-19700101-000000-000-001-1"),
position.last_execution_id)
self.assertEqual(PositionId("P-123456"), position.id)
self.assertEqual(1, len(position.events))
self.assertTrue(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-2.00, USD), position.realized_pnl)
self.assertEqual(Money(49.00, USD), position.unrealized_pnl(last))
self.assertEqual(Money(47.00, USD), position.total_pnl(last))
self.assertEqual([Money(2.00, USD)], position.commissions())
self.assertEqual("Position(LONG 100_000 AUD/USD.SIM, id=P-123456)",
repr(position))
def test_position_filled_with_buy_order_then_sell_order_returns_expected_attributes(
self, ):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(150000),
)
fill1 = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
execution_ns=1_000_000_000,
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
fill2 = OrderFilled(
self.account_id,
order.client_order_id,
VenueOrderId("2"),
ExecutionId("E2"),
PositionId("T123456"),
StrategyId("S-001"),
order.instrument_id,
OrderSide.SELL,
order.quantity,
Price.from_str("1.00011"),
AUDUSD_SIM.quote_currency,
Money(0, USD),
LiquiditySide.TAKER,
2_000_000_000,
uuid4(),
0,
)
last = Price.from_str("1.00050")
# Act
position.apply(fill2)
# Assert
assert position.is_opposite_side(fill2.order_side)
self.assertEqual(Quantity.zero(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(1_000_000_000, position.opened_timestamp_ns)
self.assertEqual(1_000_000_000, position.open_duration_ns)
self.assertEqual(Decimal("1.00001"), position.avg_px_open)
self.assertEqual(2, position.event_count)
self.assertEqual(2_000_000_000, position.closed_timestamp_ns)
self.assertEqual(Decimal("1.00011"), position.avg_px_close)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertFalse(position.is_open)
self.assertTrue(position.is_closed)
self.assertEqual(Decimal("0.00010"), position.realized_points)
self.assertEqual(Decimal("0.00009999900000999990000099999000"),
position.realized_return)
self.assertEqual(Money(12.00, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(12.00, USD), position.total_pnl(last))
self.assertEqual([Money(3.00, USD)], position.commissions())
self.assertEqual("Position(FLAT AUD/USD.SIM, id=P-123456)",
repr(position))
def test_position_closed_and_reopened_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(150000),
)
fill1 = TestEventStubs.order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
ts_filled_ns=1_000_000_000,
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
fill2 = OrderFilled(
self.trader_id,
StrategyId("S-001"),
self.account_id,
order.instrument_id,
order.client_order_id,
VenueOrderId("2"),
TradeId("E2"),
PositionId("P-123456"),
OrderSide.SELL,
OrderType.MARKET,
order.quantity,
Price.from_str("1.00011"),
AUDUSD_SIM.quote_currency,
Money(0, USD),
LiquiditySide.TAKER,
UUID4(),
2_000_000_000,
0,
)
position.apply(fill2)
fill3 = OrderFilled(
self.trader_id,
StrategyId("S-001"),
self.account_id,
order.instrument_id,
order.client_order_id,
VenueOrderId("2"),
TradeId("E3"),
PositionId("P-123456"),
OrderSide.BUY,
OrderType.MARKET,
order.quantity,
Price.from_str("1.00012"),
AUDUSD_SIM.quote_currency,
Money(0, USD),
LiquiditySide.TAKER,
UUID4(),
3_000_000_000,
0,
)
# Act
position.apply(fill3)
# Assert
last = Price.from_str("1.00030")
assert position.is_opposite_side(fill2.order_side)
assert position.quantity == Quantity.from_int(150000)
assert position.side == PositionSide.LONG
assert position.ts_opened == 1_000_000_000
assert position.duration_ns == 0
assert position.avg_px_open == Decimal("1.00001")
assert position.event_count == 3
assert position.ts_closed == 0
assert position.avg_px_close == Decimal("1.00011")
assert position.is_long
assert position.is_open
assert not position.is_short
assert not position.is_closed
assert position.realized_points == Decimal("0.00010")
assert position.realized_return == Decimal(
"0.00009999900000999990000099999000")
assert position.realized_pnl == Money(12.00, USD)
assert position.unrealized_pnl(last) == Money(43.50, USD)
assert position.total_pnl(last) == Money(55.50, USD)
assert position.commissions() == [Money(3.00, USD)]
assert repr(
position) == "Position(LONG 150_000 AUD/USD.SIM, id=P-123456)"
