class TestPortfolio(unittest.TestCase):
def setUp(self):
home_currency = "GBP"
leverage = 20
equity = Decimal("100000.00")
risk_per_trade = Decimal("0.02")
ticker = TickerMock()
events = {}
self.port = Portfolio(
ticker, events, home_currency=home_currency,
leverage=leverage, equity=equity,
risk_per_trade=risk_per_trade
)
def test_add_position_long(self):
position_type = "long"
currency_pair = "GBPUSD"
units = Decimal("2000")
ticker = TickerMock()
self.port.add_new_position(
position_type,
currency_pair,
units, ticker
)
ps = self.port.positions[currency_pair]
self.assertEquals(ps.position_type, position_type)
self.assertEquals(ps.currency_pair, currency_pair)
self.assertEquals(ps.units, units)
self.assertEquals(ps.avg_price, ticker.prices[currency_pair]["ask"])
self.assertEquals(ps.cur_price, ticker.prices[currency_pair]["bid"])
def test_add_position_short(self):
position_type = "short"
currency_pair = "GBPUSD"
units = Decimal("2000")
ticker = TickerMock()
self.port.add_new_position(
position_type,
currency_pair,
units, ticker
)
ps = self.port.positions[currency_pair]
self.assertEquals(ps.position_type, position_type)
self.assertEquals(ps.currency_pair, currency_pair)
self.assertEquals(ps.units, units)
self.assertEquals(ps.avg_price, ticker.prices[currency_pair]["bid"])
self.assertEquals(ps.cur_price, ticker.prices[currency_pair]["ask"])
def test_add_position_units_long(self):
position_type = "long"
currency_pair = "GBPUSD"
units = Decimal("2000")
ticker = TickerMock()
# Test for no position
alt_currency_pair = "USDCAD"
apu = self.port.add_position_units(
alt_currency_pair, units
)
self.assertFalse(apu)
# Add a position and test for real position
self.port.add_new_position(
position_type,
currency_pair,
units, ticker
)
ps = self.port.positions[currency_pair]
# Test for addition of units
ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
apu = self.port.add_position_units(
currency_pair, units
)
self.assertTrue(apu)
self.assertEqual(ps.avg_price, Decimal("1.511385"))
def test_add_position_units_short(self):
position_type = "short"
currency_pair = "GBPUSD"
units = Decimal("2000")
ticker = TickerMock()
# Test for no position
alt_currency_pair = "USDCAD"
apu = self.port.add_position_units(
alt_currency_pair, units
)
self.assertFalse(apu)
# Add a position and test for real position
self.port.add_new_position(
position_type,
currency_pair,
units, ticker
)
ps = self.port.positions[currency_pair]
# Test for addition of units
ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
apu = self.port.add_position_units(
currency_pair, units
)
self.assertTrue(apu)
self.assertEqual(ps.avg_price, Decimal("1.51103"))
def test_remove_position_units_long(self):
position_type = "long"
currency_pair = "GBPUSD"
units = Decimal("2000")
ticker = TickerMock()
# Test for no position
alt_currency_pair = "USDCAD"
apu = self.port.remove_position_units(
alt_currency_pair, units
)
self.assertFalse(apu)
# Add a position and then add units to it
self.port.add_new_position(
position_type,
currency_pair,
units, ticker
)
ps = self.port.positions[currency_pair]
# Test for addition of units
ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
add_units = Decimal("8000")
apu = self.port.add_position_units(
currency_pair, add_units
)
self.assertEqual(ps.units, 10000)
self.assertEqual(ps.avg_price, Decimal("1.516122"))
# Test removal of (some) of the units
ticker.prices["GBPUSD"]["bid"] = Decimal("1.52017")
ticker.prices["GBPUSD"]["ask"] = Decimal("1.52134")
ticker.prices["USDGBP"]["bid"] = Decimal("0.65782")
ticker.prices["USDGBP"]["ask"] = Decimal("0.65732")
remove_units = Decimal("3000")
rpu = self.port.remove_position_units(
currency_pair, remove_units
)
self.assertTrue(rpu)
self.assertEqual(ps.units, Decimal("7000"))
self.assertEqual(self.port.balance, Decimal("100007.99"))
def test_remove_position_units_short(self):
position_type = "short"
currency_pair = "GBPUSD"
units = Decimal("2000")
ticker = TickerMock()
# Test for no position
alt_currency_pair = "USDCAD"
apu = self.port.remove_position_units(
alt_currency_pair, units
)
self.assertFalse(apu)
# Add a position and then add units to it
self.port.add_new_position(
position_type,
currency_pair,
units, ticker
)
ps = self.port.positions[currency_pair]
# Test for addition of units
ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
add_units = Decimal("8000")
apu = self.port.add_position_units(
currency_pair, add_units
)
self.assertEqual(ps.units, 10000)
self.assertEqual(ps.avg_price, Decimal("1.51568"))
# Test removal of (some) of the units
ticker.prices["GBPUSD"]["bid"] = Decimal("1.52017")
ticker.prices["GBPUSD"]["ask"] = Decimal("1.52134")
ticker.prices["USDGBP"]["bid"] = Decimal("0.65782")
ticker.prices["USDGBP"]["ask"] = Decimal("0.65732")
remove_units = Decimal("3000")
rpu = self.port.remove_position_units(
currency_pair, remove_units
)
self.assertTrue(rpu)
self.assertEqual(ps.units, Decimal("7000"))
self.assertEqual(self.port.balance, Decimal("99988.83"))
def test_close_position_long(self):
position_type = "long"
currency_pair = "GBPUSD"
units = Decimal("2000")
ticker = TickerMock()
# Test for no position
alt_currency_pair = "USDCAD"
apu = self.port.remove_position_units(
alt_currency_pair, units
)
self.assertFalse(apu)
# Add a position and then add units to it
self.port.add_new_position(
position_type,
currency_pair,
units, ticker
)
ps = self.port.positions[currency_pair]
# Test for addition of units
ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
add_units = Decimal("8000")
apu = self.port.add_position_units(
currency_pair, add_units
)
self.assertEqual(ps.units, 10000)
self.assertEqual(ps.avg_price, Decimal("1.516122"))
# Test removal of (some) of the units
ticker.prices["GBPUSD"]["bid"] = Decimal("1.52017")
ticker.prices["GBPUSD"]["ask"] = Decimal("1.52134")
ticker.prices["USDGBP"]["bid"] = Decimal("0.65782")
ticker.prices["USDGBP"]["ask"] = Decimal("0.65732")
remove_units = Decimal("3000")
rpu = self.port.remove_position_units(
currency_pair, remove_units
)
self.assertTrue(rpu)
self.assertEqual(ps.units, Decimal("7000"))
self.assertEqual(self.port.balance, Decimal("100007.99"))
# Close the position
cp = self.port.close_position(currency_pair)
self.assertTrue(cp)
self.assertRaises(ps) # Key doesn't exist
self.assertEqual(self.port.balance, Decimal("100026.63"))
def test_close_position_short(self):
position_type = "short"
currency_pair = "GBPUSD"
units = Decimal("2000")
ticker = TickerMock()
# Test for no position
alt_currency_pair = "USDCAD"
apu = self.port.remove_position_units(
alt_currency_pair, units
)
self.assertFalse(apu)
# Add a position and then add units to it
self.port.add_new_position(
position_type,
currency_pair,
units, ticker
)
ps = self.port.positions[currency_pair]
# Test for addition of units
ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
add_units = Decimal("8000")
apu = self.port.add_position_units(
currency_pair, add_units
)
self.assertEqual(ps.units, 10000)
self.assertEqual(ps.avg_price, Decimal("1.51568"))
# Test removal of (some) of the units
ticker.prices["GBPUSD"]["bid"] = Decimal("1.52017")
ticker.prices["GBPUSD"]["ask"] = Decimal("1.52134")
ticker.prices["USDGBP"]["bid"] = Decimal("0.65782")
ticker.prices["USDGBP"]["ask"] = Decimal("0.65732")
remove_units = Decimal("3000")
rpu = self.port.remove_position_units(
currency_pair, remove_units
)
self.assertTrue(rpu)
self.assertEqual(ps.units, Decimal("7000"))
self.assertEqual(self.port.balance, Decimal("99988.83"))
# Close the position
cp = self.port.close_position(currency_pair)
self.assertTrue(cp)
self.assertRaises(ps) # Key doesn't exist
self.assertEqual(self.port.balance, Decimal("99962.77"))
