def setUp(self):
"""
Set up the Portfolio object that will store the
collection of Position objects, supplying it with
$500,000.00 USD in initial cash.
"""
ph = PriceHandlerMock()
cash = PriceParser.parse(500000.00)
self.portfolio = Portfolio(ph, cash)
def setUp(self):
"""
Set up the Portfolio object that will store the
collection of Position objects, supplying it with
$500,000.00 USD in initial cash.
"""
ph = PriceHandlerMock()
cash = Decimal("500000.00")
self.portfolio = Portfolio(ph, cash)
class TestLiquidateRebalancePositionSizer(unittest.TestCase):
def setUp(self):
price_handler_mock = PriceHandlerMock()
ticker_weights = {"AAA": 0.3, "BBB": 0.7}
self.position_sizer = LiquidateRebalancePositionSizer(ticker_weights)
self.portfolio = Portfolio(price_handler_mock,
PriceParser.parse(10000.00))
def test_will_add_positions(self):
"""
Tests that the position sizer will open up new positions with
the correct weights.
"""
order_a = SuggestedOrder("AAA", "BOT", 0)
order_b = SuggestedOrder("BBB", "BOT", 0)
sized_a = self.position_sizer.size_order(self.portfolio, order_a)
sized_b = self.position_sizer.size_order(self.portfolio, order_b)
self.assertEqual(sized_a.action, "BOT")
self.assertEqual(sized_b.action, "BOT")
self.assertEqual(sized_a.quantity, 60)
self.assertEqual(sized_b.quantity, 70)
def test_will_liquidate_positions(self):
"""
Ensure positions will be liquidated completely when asked.
Include a long & a short.
"""
self.portfolio._add_position("BOT", "AAA", 100,
PriceParser.parse(60.00), 0.0)
self.portfolio._add_position("BOT", "BBB", -100,
PriceParser.parse(60.00), 0.0)
exit_a = SuggestedOrder("AAA", "EXIT", 0)
exit_b = SuggestedOrder("BBB", "EXIT", 0)
sized_a = self.position_sizer.size_order(self.portfolio, exit_a)
sized_b = self.position_sizer.size_order(self.portfolio, exit_b)
self.assertEqual(sized_a.action, "SLD")
self.assertEqual(sized_b.action, "BOT")
self.assertEqual(sized_a.quantity, 100)
self.assertEqual(sized_a.quantity, 100)
def test_calculating_statistics(self):
"""
Purchase/sell multiple lots of AMZN, GOOG
at various prices/commissions to ensure
the arithmetic in calculating equity, drawdowns
and sharpe ratio is correct.
"""
# Create Statistics object
price_handler = PriceHandlerMock()
self.portfolio = Portfolio(price_handler, PriceParser.parse(500000.00))
portfolio_handler = PortfolioHandlerMock(self.portfolio)
statistics = SimpleStatistics(self.config, portfolio_handler)
# Check initialization was correct
self.assertEqual(PriceParser.display(statistics.equity[0]), 500000.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[0]), 00)
self.assertEqual(statistics.equity_returns[0], 0.0)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "AMZN", 100,
PriceParser.parse(566.56), PriceParser.parse(1.00)
)
t = "2000-01-01 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[1]), 499807.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[1]), 193.00)
self.assertEqual(statistics.equity_returns[1], -0.0386)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "AMZN", 200,
PriceParser.parse(566.395), PriceParser.parse(1.00)
)
t = "2000-01-02 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[2]), 499455.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[2]), 545.00)
self.assertEqual(statistics.equity_returns[2], -0.0705)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "GOOG", 200,
PriceParser.parse(707.50), PriceParser.parse(1.00)
)
t = "2000-01-03 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[3]), 499046.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[3]), 954.00)
self.assertEqual(statistics.equity_returns[3], -0.0820)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "AMZN", 100,
PriceParser.parse(565.83), PriceParser.parse(1.00)
)
t = "2000-01-04 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[4]), 499164.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[4]), 836.00)
self.assertEqual(statistics.equity_returns[4], 0.0236)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "GOOG", 200,
PriceParser.parse(705.545), PriceParser.parse(1.00)
)
t = "2000-01-05 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[5]), 499146.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[5]), 854.00)
self.assertEqual(statistics.equity_returns[5], -0.0036)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "AMZN", 200,
PriceParser.parse(565.59), PriceParser.parse(1.00)
)
t = "2000-01-06 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[6]), 499335.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[6]), 665.00)
self.assertEqual(statistics.equity_returns[6], 0.0379)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(707.92), PriceParser.parse(1.00)
)
t = "2000-01-07 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[7]), 499580.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[7]), 420.00)
self.assertEqual(statistics.equity_returns[7], 0.0490)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(707.90), PriceParser.parse(0.00)
)
t = "2000-01-08 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[8]), 499824.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[8]), 176.00)
self.assertEqual(statistics.equity_returns[8], 0.0488)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(707.92), PriceParser.parse(0.50)
)
t = "2000-01-09 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[9]), 500069.50)
self.assertEqual(PriceParser.display(statistics.drawdowns[9]), 00.00)
self.assertEqual(statistics.equity_returns[9], 0.0491)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(707.78), PriceParser.parse(1.00)
)
t = "2000-01-10 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[10]), 500300.50)
self.assertEqual(PriceParser.display(statistics.drawdowns[10]), 00.00)
self.assertEqual(statistics.equity_returns[10], 0.0462)
# Test that results are calculated correctly.
results = statistics.get_results()
self.assertEqual(results["max_drawdown"], 954.00)
self.assertEqual(results["max_drawdown_pct"], 0.1908)
self.assertAlmostEqual(float(results["sharpe"]), 1.7575)
def test_calculating_statistics(self):
"""
Purchase/sell multiple lots of AMZN, GOOG
at various prices/commissions to ensure
the arithmetic in calculating equity, drawdowns
and sharpe ratio is correct.
"""
# Create Statistics object
price_handler = PriceHandlerMock()
self.portfolio = Portfolio(price_handler, Decimal("500000.00"))
portfolio_handler = PortfolioHandlerMock(self.portfolio)
statistics = SimpleStatistics(portfolio_handler)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "AMZN", 100,
Decimal("566.56"), Decimal("1.00")
)
t = "2000-01-01 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499807.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("193.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("-0.0386"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "AMZN", 200,
Decimal
("566.395"), Decimal("1.00")
)
t = "2000-01-02 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499455.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("545.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("-0.0705"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "GOOG", 200,
Decimal("707.50"), Decimal("1.00")
)
t = "2000-01-03 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499046.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("954.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("-0.0820"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "AMZN", 100,
Decimal("565.83"), Decimal("1.00")
)
t = "2000-01-04 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499164.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("836.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0236"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"BOT", "GOOG", 200,
Decimal("705.545"), Decimal("1.00")
)
t = "2000-01-05 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499146.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("854.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("-0.0036"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "AMZN", 200,
Decimal("565.59"), Decimal("1.00")
)
t = "2000-01-06 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499335.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("665.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0379"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("707.92"), Decimal("1.00")
)
t = "2000-01-07 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499580.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("420.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0490"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("707.90"), Decimal("0.00")
)
t = "2000-01-08 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("499824.00"))
self.assertEqual(statistics.drawdowns[t], Decimal("176.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0488"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("707.92"), Decimal("0.50")
)
t = "2000-01-09 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("500069.50"))
self.assertEqual(statistics.drawdowns[t], Decimal("00.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0491"))
# Perform transaction and test statistics at this tick
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("707.78"), Decimal("1.00")
)
t = "2000-01-10 00:00:00"
statistics.update(t)
self.assertEqual(statistics.equity[t], Decimal("500300.50"))
self.assertEqual(statistics.drawdowns[t], Decimal("00.00"))
self.assertEqual(statistics.equity_returns[t], Decimal("0.0462"))
# Test that results are calculated correctly.
results = statistics.get_results()
self.assertEqual(results["max_drawdown"], Decimal("954.00"))
self.assertEqual(results["max_drawdown_pct"], Decimal("0.1908"))
self.assertAlmostEqual(float(results["sharpe"]), 1.8353)
def test_calculating_statistics(self):
"""
Purchase/sell multiple lots of AMZN, GOOG
at various prices/commissions to ensure
the arithmetic in calculating equity, drawdowns
and sharpe ratio is correct.
"""
# Create Statistics object
price_handler = PriceHandlerMock()
self.portfolio = Portfolio(price_handler, PriceParser.parse(500000.00))
portfolio_handler = PortfolioHandlerMock(self.portfolio)
statistics = SimpleStatistics(self.config, portfolio_handler)
# Check initialization was correct
self.assertEqual(PriceParser.display(statistics.equity[0]), 500000.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[0]), 00)
self.assertEqual(statistics.equity_returns[0], 0.0)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("BOT", "AMZN", 100,
PriceParser.parse(566.56),
PriceParser.parse(1.00))
t = "2000-01-01 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[1]), 499807.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[1]), 193.00)
self.assertEqual(statistics.equity_returns[1], -0.0386)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("BOT", "AMZN", 200,
PriceParser.parse(566.395),
PriceParser.parse(1.00))
t = "2000-01-02 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[2]), 499455.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[2]), 545.00)
self.assertEqual(statistics.equity_returns[2], -0.0705)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("BOT", "GOOG", 200,
PriceParser.parse(707.50),
PriceParser.parse(1.00))
t = "2000-01-03 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[3]), 499046.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[3]), 954.00)
self.assertEqual(statistics.equity_returns[3], -0.0820)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "AMZN", 100,
PriceParser.parse(565.83),
PriceParser.parse(1.00))
t = "2000-01-04 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[4]), 499164.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[4]), 836.00)
self.assertEqual(statistics.equity_returns[4], 0.0236)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("BOT", "GOOG", 200,
PriceParser.parse(705.545),
PriceParser.parse(1.00))
t = "2000-01-05 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[5]), 499146.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[5]), 854.00)
self.assertEqual(statistics.equity_returns[5], -0.0036)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "AMZN", 200,
PriceParser.parse(565.59),
PriceParser.parse(1.00))
t = "2000-01-06 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[6]), 499335.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[6]), 665.00)
self.assertEqual(statistics.equity_returns[6], 0.0379)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "GOOG", 100,
PriceParser.parse(707.92),
PriceParser.parse(1.00))
t = "2000-01-07 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[7]), 499580.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[7]), 420.00)
self.assertEqual(statistics.equity_returns[7], 0.0490)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "GOOG", 100,
PriceParser.parse(707.90),
PriceParser.parse(0.00))
t = "2000-01-08 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[8]), 499824.00)
self.assertEqual(PriceParser.display(statistics.drawdowns[8]), 176.00)
self.assertEqual(statistics.equity_returns[8], 0.0488)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "GOOG", 100,
PriceParser.parse(707.92),
PriceParser.parse(0.50))
t = "2000-01-09 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[9]), 500069.50)
self.assertEqual(PriceParser.display(statistics.drawdowns[9]), 00.00)
self.assertEqual(statistics.equity_returns[9], 0.0491)
# Perform transaction and test statistics at this tick
self.portfolio.transact_position("SLD", "GOOG", 100,
PriceParser.parse(707.78),
PriceParser.parse(1.00))
t = "2000-01-10 00:00:00"
statistics.update(t, portfolio_handler)
self.assertEqual(PriceParser.display(statistics.equity[10]), 500300.50)
self.assertEqual(PriceParser.display(statistics.drawdowns[10]), 00.00)
self.assertEqual(statistics.equity_returns[10], 0.0462)
# Test that results are calculated correctly.
results = statistics.get_results()
self.assertEqual(results["max_drawdown"], 954.00)
self.assertEqual(results["max_drawdown_pct"], 0.1908)
self.assertAlmostEqual(float(results["sharpe"]), 1.7575)
class TestAmazonGooglePortfolio(unittest.TestCase):
"""
Test a portfolio consisting of Amazon and
Google/Alphabet with various orders to create
round-trips for both.
These orders were carried out in the Interactive Brokers
demo account and checked for cash, equity and PnL
equality.
"""
def setUp(self):
"""
Set up the Portfolio object that will store the
collection of Position objects, supplying it with
$500,000.00 USD in initial cash.
"""
ph = PriceHandlerMock()
cash = Decimal("500000.00")
self.portfolio = Portfolio(ph, cash)
def test_calculate_round_trip(self):
"""
Purchase/sell multiple lots of AMZN and GOOG
at various prices/commissions to check the
arithmetic and cost handling.
"""
# Buy 300 of AMZN over two transactions
self.portfolio.transact_position(
"BOT", "AMZN", 100,
Decimal("566.56"), Decimal("1.00")
)
self.portfolio.transact_position(
"BOT", "AMZN", 200,
Decimal("566.395"), Decimal("1.00")
)
# Buy 200 GOOG over one transaction
self.portfolio.transact_position(
"BOT", "GOOG", 200,
Decimal("707.50"), Decimal("1.00")
)
# Add to the AMZN position by 100 shares
self.portfolio.transact_position(
"SLD", "AMZN", 100,
Decimal("565.83"), Decimal("1.00")
)
# Add to the GOOG position by 200 shares
self.portfolio.transact_position(
"BOT", "GOOG", 200,
Decimal("705.545"), Decimal("1.00")
)
# Sell 200 of the AMZN shares
self.portfolio.transact_position(
"SLD", "AMZN", 200,
Decimal("565.59"), Decimal("1.00")
)
# Multiple transactions bundled into one (in IB)
# Sell 300 GOOG from the portfolio
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("704.92"), Decimal("1.00")
)
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("704.90"), Decimal("0.00")
)
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("704.92"), Decimal("0.50")
)
# Finally, sell the remaining GOOG 100 shares
self.portfolio.transact_position(
"SLD", "GOOG", 100,
Decimal("704.78"), Decimal("1.00")
)
# The figures below are derived from Interactive Brokers
# demo account using the above trades with prices provided
# by their demo feed.
self.assertEqual(self.portfolio.cur_cash, Decimal("499100.50"))
self.assertEqual(self.portfolio.equity, Decimal("499100.50"))
self.assertEqual(self.portfolio.unrealised_pnl, Decimal("0.00"))
self.assertEqual(self.portfolio.realised_pnl, Decimal("-899.50"))
class TestAmazonGooglePortfolio(unittest.TestCase):
"""
Test a portfolio consisting of Amazon and
Google/Alphabet with various orders to create
round-trips for both.
These orders were carried out in the Interactive Brokers
demo account and checked for cash, equity and PnL
equality.
"""
def setUp(self):
"""
Set up the Portfolio object that will store the
collection of Position objects, supplying it with
$500,000.00 USD in initial cash.
"""
ph = PriceHandlerMock()
cash = PriceParser.parse(500000.00)
self.portfolio = Portfolio(ph, cash)
def test_calculate_round_trip(self):
"""
Purchase/sell multiple lots of AMZN and GOOG
at various prices/commissions to check the
arithmetic and cost handling.
"""
# Buy 300 of AMZN over two transactions
self.portfolio.transact_position(
"BOT", "AMZN", 100,
PriceParser.parse(566.56), PriceParser.parse(1.00)
)
self.portfolio.transact_position(
"BOT", "AMZN", 200,
PriceParser.parse(566.395), PriceParser.parse(1.00)
)
# Buy 200 GOOG over one transaction
self.portfolio.transact_position(
"BOT", "GOOG", 200,
PriceParser.parse(707.50), PriceParser.parse(1.00)
)
# Add to the AMZN position by 100 shares
self.portfolio.transact_position(
"SLD", "AMZN", 100,
PriceParser.parse(565.83), PriceParser.parse(1.00)
)
# Add to the GOOG position by 200 shares
self.portfolio.transact_position(
"BOT", "GOOG", 200,
PriceParser.parse(705.545), PriceParser.parse(1.00)
)
# Sell 200 of the AMZN shares
self.portfolio.transact_position(
"SLD", "AMZN", 200,
PriceParser.parse(565.59), PriceParser.parse(1.00)
)
# Multiple transactions bundled into one (in IB)
# Sell 300 GOOG from the portfolio
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(704.92), PriceParser.parse(1.00)
)
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(704.90), PriceParser.parse(0.00)
)
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(704.92), PriceParser.parse(0.50)
)
# Finally, sell the remaining GOOG 100 shares
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(704.78), PriceParser.parse(1.00)
)
# The figures below are derived from Interactive Brokers
# demo account using the above trades with prices provided
# by their demo feed.
self.assertEqual(len(self.portfolio.positions), 0)
self.assertEqual(len(self.portfolio.closed_positions), 2)
self.assertEqual(PriceParser.display(self.portfolio.cur_cash), 499100.50)
self.assertEqual(PriceParser.display(self.portfolio.equity), 499100.50)
self.assertEqual(PriceParser.display(self.portfolio.unrealised_pnl), 0.00)
self.assertEqual(PriceParser.display(self.portfolio.realised_pnl), -899.50)
def setUp(self):
price_handler_mock = PriceHandlerMock()
ticker_weights = {"AAA": 0.3, "BBB": 0.7}
self.position_sizer = LiquidateRebalancePositionSizer(ticker_weights)
self.portfolio = Portfolio(price_handler_mock,
PriceParser.parse(10000.00))
