def size_order(self, portfolio, initial_order):
"""
Size the order to reflect the dollar-weighting of the
current equity account size based on pre-specified
ticker weights.
"""
ticker = initial_order.ticker
if initial_order.action == "EXIT":
# Obtain current quantity and liquidate
cur_quantity = portfolio.positions[ticker].quantity
if cur_quantity > 0:
initial_order.action = "SLD"
initial_order.quantity = cur_quantity
else:
initial_order.action = "BOT"
initial_order.quantity = cur_quantity
else:
weight = self.ticker_weights[ticker]
# Determine total portfolio value, work out dollar weight
# and finally determine integer quantity of shares to purchase
price = portfolio.price_handler.tickers[ticker]["adj_close"]
price = PriceParser.display(price)
equity = PriceParser.display(portfolio.equity)
dollar_weight = weight * equity
weighted_quantity = int(floor(dollar_weight / price))
initial_order.quantity = weighted_quantity
return initial_order
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 test_get_best_bid_ask(self):
"""
Tests that the 'get_best_bid_ask' method produces the
correct values depending upon validity of ticker.
"""
bid, ask = self.price_handler.get_best_bid_ask("AMZN")
self.assertEqual(PriceParser.display(bid, 5), 502.10001)
self.assertEqual(PriceParser.display(ask, 5), 502.11999)
bid, ask = self.price_handler.get_best_bid_ask("C")
def test_get_best_bid_ask(self):
"""
Tests that the 'get_best_bid_ask' method produces the
correct values depending upon validity of ticker.
"""
bid, ask = self.price_handler.get_best_bid_ask("AMZN")
self.assertEqual(PriceParser.display(bid, 5), 502.10001)
self.assertEqual(PriceParser.display(ask, 5), 502.11999)
bid, ask = self.price_handler.get_best_bid_ask("C")
def record_trade(self, fill):
"""
Append all details about the FillEvent to the CSV trade log.
"""
fname = os.path.expanduser(os.path.join(self.config.OUTPUT_DIR, self.csv_filename))
with open(fname, 'a') as csvfile:
writer = csv.writer(csvfile)
writer.writerow([
fill.timestamp, fill.ticker,
fill.action, fill.quantity,
fill.exchange, PriceParser.display(fill.price, 4),
PriceParser.display(fill.commission, 4)
])
def record_trade(self, fill):
"""
Append all details about the FillEvent to the CSV trade log.
"""
fname = os.path.expanduser(os.path.join(self.config.OUTPUT_DIR, self.csv_filename))
with open( fname, 'a') as csvfile:
writer = csv.writer(csvfile)
writer.writerow([
fill.timestamp, fill.ticker,
fill.action, fill.quantity,
fill.exchange, PriceParser.display(fill.price, 4),
PriceParser.display(fill.commission, 4)
])
def test_realised_unrealised_calcs(self):
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl), -1.00
)
self.assertEqual(
PriceParser.display(self.position.realised_pnl), 0.00
)
self.position.update_market_value(
PriceParser.parse(75.77), PriceParser.parse(75.79)
)
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl), 99.00
)
self.position.transact_shares(
"SLD", 100,
PriceParser.parse(75.78), PriceParser.parse(1.00)
)
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl), 99.00
) # still high
self.assertEqual(
PriceParser.display(self.position.realised_pnl), 98.00
)
self.position.update_market_value(
PriceParser.parse(75.77), PriceParser.parse(75.79)
)
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl), 0.00
)
def test_open_short_position(self):
self.assertEqual(PriceParser.display(self.position.cost_basis), -7768.00)
self.assertEqual(PriceParser.display(self.position.market_value), -7769.00)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), -1.00)
self.assertEqual(PriceParser.display(self.position.realised_pnl), -1.0)
self.position.update_market_value(
PriceParser.parse(77.72), PriceParser.parse(77.72)
)
self.assertEqual(PriceParser.display(self.position.cost_basis), -7768.00)
self.assertEqual(PriceParser.display(self.position.market_value), -7772.00)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), -4.00)
self.assertEqual(PriceParser.display(self.position.realised_pnl), -4.0)
def test_open_short_position(self):
self.assertEqual(PriceParser.display(self.position.cost_basis),
-7768.00)
self.assertEqual(PriceParser.display(self.position.market_value),
-7769.00)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl),
-1.00)
self.assertEqual(PriceParser.display(self.position.realised_pnl), -1.0)
self.position.update_market_value(PriceParser.parse(77.72),
PriceParser.parse(77.72))
self.assertEqual(PriceParser.display(self.position.cost_basis),
-7768.00)
self.assertEqual(PriceParser.display(self.position.market_value),
-7772.00)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl),
-4.00)
self.assertEqual(PriceParser.display(self.position.realised_pnl), -4.0)
def test_realised_unrealised_calcs(self):
self.assertEqual(PriceParser.display(self.position.unrealised_pnl),
-1.00)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 0.00)
self.position.update_market_value(PriceParser.parse(75.77),
PriceParser.parse(75.79))
self.assertEqual(PriceParser.display(self.position.unrealised_pnl),
99.00)
self.position.transact_shares("SLD", 100, PriceParser.parse(75.78),
PriceParser.parse(1.00))
self.assertEqual(PriceParser.display(self.position.unrealised_pnl),
99.00) # still high
self.assertEqual(PriceParser.display(self.position.realised_pnl),
98.00)
self.position.update_market_value(PriceParser.parse(75.77),
PriceParser.parse(75.79))
self.assertEqual(PriceParser.display(self.position.unrealised_pnl),
0.00)
def test_calculate_round_trip(self):
"""
After the subsequent purchase, carry out two more buys/longs
and then close the position out with two additional sells/shorts.
The following prices have been tested against those calculated
via Interactive Brokers' Trader Workstation (TWS).
"""
self.position.transact_shares("BOT", 100, PriceParser.parse(74.63),
PriceParser.parse(1.00))
self.position.transact_shares("BOT", 250, PriceParser.parse(74.620),
PriceParser.parse(1.25))
self.position.transact_shares("SLD", 200, PriceParser.parse(74.58),
PriceParser.parse(1.00))
self.position.transact_shares("SLD", 250, PriceParser.parse(75.26),
PriceParser.parse(1.25))
self.position.update_market_value(PriceParser.parse(77.75),
PriceParser.parse(77.77))
self.assertEqual(self.position.action, "BOT")
self.assertEqual(self.position.ticker, "XOM")
self.assertEqual(self.position.quantity, 0)
self.assertEqual(self.position.buys, 450)
self.assertEqual(self.position.sells, 450)
self.assertEqual(self.position.net, 0)
self.assertEqual(PriceParser.display(self.position.avg_bot, 5),
74.65778)
self.assertEqual(PriceParser.display(self.position.avg_sld, 5),
74.95778)
self.assertEqual(PriceParser.display(self.position.total_bot),
33596.00)
self.assertEqual(PriceParser.display(self.position.total_sld),
33731.00)
self.assertEqual(PriceParser.display(self.position.net_total), 135.00)
self.assertEqual(PriceParser.display(self.position.total_commission),
5.50)
self.assertEqual(PriceParser.display(self.position.net_incl_comm),
129.50)
self.assertEqual(PriceParser.display(self.position.avg_price, 3),
74.665)
self.assertEqual(PriceParser.display(self.position.cost_basis), 0.00)
self.assertEqual(PriceParser.display(self.position.market_value), 0.00)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl),
0.00)
self.assertEqual(PriceParser.display(self.position.realised_pnl),
129.50)
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_stream_all_ticks(self):
"""
The initialisation of the class will open the three
test CSV files, then merge and sort them. They will
then be stored in a member "tick_stream". This will
be used for streaming the ticks.
"""
# Stream to Tick #1 (GOOG)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["GOOG"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:01.358000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["bid"], 5),
683.56000)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["ask"], 5),
683.58000)
# Stream to Tick #2 (AMZN)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["AMZN"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:01.562000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["bid"], 5),
502.10001)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["ask"], 5),
502.11999)
# Stream to Tick #3 (MSFT)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["MSFT"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:01.578000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["bid"], 5),
50.14999)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["ask"], 5),
50.17001)
# Stream to Tick #10 (GOOG)
for i in range(4, 11):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["GOOG"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:05.215000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["bid"], 5),
683.56001)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["ask"], 5),
683.57999)
# Stream to Tick #20 (GOOG)
for i in range(11, 21):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["MSFT"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:09.904000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["bid"], 5),
50.15000)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["ask"], 5),
50.17000)
# Stream to Tick #30 (final tick, AMZN)
for i in range(21, 31):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["AMZN"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"), "01-02-2016 00:00:14.616000")
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["bid"], 5),
502.10015)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["ask"], 5),
502.11985)
def test_display(self):
parsed = PriceParser.parse(self.float)
displayed = PriceParser.display(parsed)
self.assertEqual(displayed, 10.12)
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_unparsed_display(self):
displayed = PriceParser.display(self.float)
self.assertEqual(displayed, 10.12)
def test_unparsed_display(self):
displayed = PriceParser.display(self.float)
self.assertEqual(displayed, 10.12)
def test_calculate_round_trip(self):
"""
After the subsequent sale, carry out two more sells/shorts
and then close the position out with two additional buys/longs.
The following prices have been tested against those calculated
via Interactive Brokers' Trader Workstation (TWS).
"""
self.position.transact_shares(
"SLD", 100, PriceParser.parse(77.68), PriceParser.parse(1.00)
)
self.position.transact_shares(
"SLD", 50, PriceParser.parse(77.70), PriceParser.parse(1.00)
)
self.position.transact_shares(
"BOT", 100, PriceParser.parse(77.77), PriceParser.parse(1.00)
)
self.position.transact_shares(
"BOT", 150, PriceParser.parse(77.73), PriceParser.parse(1.00)
)
self.position.update_market_value(
PriceParser.parse(77.72), PriceParser.parse(77.72)
)
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "PG")
self.assertEqual(self.position.quantity, 0)
self.assertEqual(self.position.buys, 250)
self.assertEqual(self.position.sells, 250)
self.assertEqual(self.position.net, 0)
self.assertEqual(
PriceParser.display(self.position.avg_bot, 3), 77.746
)
self.assertEqual(
PriceParser.display(self.position.avg_sld, 3), 77.688
)
self.assertEqual(PriceParser.display(self.position.total_bot), 19436.50)
self.assertEqual(PriceParser.display(self.position.total_sld), 19422.00)
self.assertEqual(PriceParser.display(self.position.net_total), -14.50)
self.assertEqual(PriceParser.display(self.position.total_commission), 5.00)
self.assertEqual(PriceParser.display(self.position.net_incl_comm), -19.50)
self.assertEqual(
PriceParser.display(self.position.avg_price, 5), 77.67600
)
self.assertEqual(PriceParser.display(self.position.cost_basis), 0.00)
self.assertEqual(PriceParser.display(self.position.market_value), 0.00)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), 0.00)
self.assertEqual(PriceParser.display(self.position.realised_pnl), -19.50)
def test_calculate_round_trip(self):
"""
After the subsequent purchase, carry out two more buys/longs
and then close the position out with two additional sells/shorts.
The following prices have been tested against those calculated
via Interactive Brokers' Trader Workstation (TWS).
"""
self.position.transact_shares(
"BOT", 100, PriceParser.parse(74.63), PriceParser.parse(1.00)
)
self.position.transact_shares(
"BOT", 250, PriceParser.parse(74.620), PriceParser.parse(1.25)
)
self.position.transact_shares(
"SLD", 200, PriceParser.parse(74.58), PriceParser.parse(1.00)
)
self.position.transact_shares(
"SLD", 250, PriceParser.parse(75.26), PriceParser.parse(1.25)
)
self.position.update_market_value(
PriceParser.parse(77.75), PriceParser.parse(77.77)
)
self.assertEqual(self.position.action, "BOT")
self.assertEqual(self.position.ticker, "XOM")
self.assertEqual(self.position.quantity, 0)
self.assertEqual(self.position.buys, 450)
self.assertEqual(self.position.sells, 450)
self.assertEqual(self.position.net, 0)
self.assertEqual(
PriceParser.display(self.position.avg_bot, 5), 74.65778
)
self.assertEqual(
PriceParser.display(self.position.avg_sld, 5), 74.95778
)
self.assertEqual(PriceParser.display(self.position.total_bot), 33596.00)
self.assertEqual(PriceParser.display(self.position.total_sld), 33731.00)
self.assertEqual(PriceParser.display(self.position.net_total), 135.00)
self.assertEqual(PriceParser.display(self.position.total_commission), 5.50)
self.assertEqual(PriceParser.display(self.position.net_incl_comm), 129.50)
self.assertEqual(
PriceParser.display(self.position.avg_price, 3), 74.665
)
self.assertEqual(PriceParser.display(self.position.cost_basis), 0.00)
self.assertEqual(PriceParser.display(self.position.market_value), 0.00)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), 0.00)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 129.50)
def test_calculate_round_trip(self):
"""
After the subsequent sale, carry out two more sells/shorts
and then close the position out with two additional buys/longs.
The following prices have been tested against those calculated
via Interactive Brokers' Trader Workstation (TWS).
"""
self.position.transact_shares("SLD", 100, PriceParser.parse(77.68),
PriceParser.parse(1.00))
self.position.transact_shares("SLD", 50, PriceParser.parse(77.70),
PriceParser.parse(1.00))
self.position.transact_shares("BOT", 100, PriceParser.parse(77.77),
PriceParser.parse(1.00))
self.position.transact_shares("BOT", 150, PriceParser.parse(77.73),
PriceParser.parse(1.00))
self.position.update_market_value(PriceParser.parse(77.72),
PriceParser.parse(77.72))
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "PG")
self.assertEqual(self.position.quantity, 0)
self.assertEqual(self.position.buys, 250)
self.assertEqual(self.position.sells, 250)
self.assertEqual(self.position.net, 0)
self.assertEqual(PriceParser.display(self.position.avg_bot, 3), 77.746)
self.assertEqual(PriceParser.display(self.position.avg_sld, 3), 77.688)
self.assertEqual(PriceParser.display(self.position.total_bot),
19436.50)
self.assertEqual(PriceParser.display(self.position.total_sld),
19422.00)
self.assertEqual(PriceParser.display(self.position.net_total), -14.50)
self.assertEqual(PriceParser.display(self.position.total_commission),
5.00)
self.assertEqual(PriceParser.display(self.position.net_incl_comm),
-19.50)
self.assertEqual(PriceParser.display(self.position.avg_price, 5),
77.67600)
self.assertEqual(PriceParser.display(self.position.cost_basis), 0.00)
self.assertEqual(PriceParser.display(self.position.market_value), 0.00)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl),
0.00)
self.assertEqual(PriceParser.display(self.position.realised_pnl),
-19.50)
def test_stream_all_ticks(self):
"""
The initialisation of the class will open the three
test CSV files, then merge and sort them. They will
then be stored in a member "tick_stream". This will
be used for streaming the ticks.
"""
# Stream to Tick #1 (GOOG)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["GOOG"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:01.358000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["bid"], 5),
683.56000
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["ask"], 5),
683.58000
)
# Stream to Tick #2 (AMZN)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["AMZN"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:01.562000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["bid"], 5),
502.10001
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["ask"], 5),
502.11999
)
# Stream to Tick #3 (MSFT)
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["MSFT"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:01.578000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["bid"], 5),
50.14999
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["ask"], 5),
50.17001
)
# Stream to Tick #10 (GOOG)
for i in range(4, 11):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["GOOG"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:05.215000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["bid"], 5),
683.56001
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["GOOG"]["ask"], 5),
683.57999
)
# Stream to Tick #20 (GOOG)
for i in range(11, 21):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["MSFT"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:09.904000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["bid"], 5),
50.15000
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["MSFT"]["ask"], 5),
50.17000
)
# Stream to Tick #30 (final tick, AMZN)
for i in range(21, 31):
self.price_handler.stream_next()
self.assertEqual(
self.price_handler.tickers["AMZN"]["timestamp"].strftime(
"%d-%m-%Y %H:%M:%S.%f"
),
"01-02-2016 00:00:14.616000"
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["bid"], 5),
502.10015
)
self.assertEqual(
PriceParser.display(self.price_handler.tickers["AMZN"]["ask"], 5),
502.11985
)
def test_display(self):
parsed = PriceParser.parse(self.float)
displayed = PriceParser.display(parsed)
self.assertEqual(displayed, 10.12)
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)
