def setUp(self):
self.price_events = Queue.Queue()
self.order_events = Queue.Queue()
stoprequest = threading.Event()
self.ticker = MockPriceStream(self.price_events, stoprequest)
# bid=3, ask=4
self.ticker.newprice(3, 4)
# self.ticker.stream_to_queue()
self.pf = Portfolio(self.ticker, self.order_events, "EUR", 1, 10000, 0.02)
self.leverage_pf = Portfolio(self.ticker, self.order_events, "EUR", 20, 10000, 0.02)
def setUp(self):
self.price_events = Queue.Queue()
self.order_events = Queue.Queue()
stoprequest = threading.Event()
self.ticker = MockPriceStream(self.price_events, stoprequest)
#bid=3, ask=4
self.ticker.newprice(3, 4)
# self.ticker.stream_to_queue()
self.pf = Portfolio(self.ticker, self.order_events, "EUR", 1, 10000,
0.02)
self.leverage_pf = Portfolio(self.ticker, self.order_events, "EUR", 20,
10000, 0.02)
prices = StreamingForexPrices_OANDA(STREAM_DOMAIN, ACCESS_TOKEN,
ACCOUNT_ID, instruments, events,
stoprequest)
# Create the execution handler making sure to
# provide authentication commands
execution = ExecutionAtOANDA(API_DOMAIN, ACCESS_TOKEN, ACCOUNT_ID,
events)
# Create the strategy/signal generator, passing the
# instrument, quantity of units and the events queue
strategy = TestRandomStrategy(events)
# Create the portfolio object that will be used to
# compare the OANDA positions with the local, to
# ensure backtesting integrity.
portfolio = Portfolio(prices, events, equity=units)
# Create two separate threads: One for the trading loop
# and another for the market price streaming class
trade_thread = threading.Thread(target=trade,
args=(events, strategy, portfolio,
execution, stoprequest))
price_thread = threading.Thread(target=prices.stream_to_queue, args=[])
# Start both threads
trade_thread.start()
price_thread.start()
# say to the threads if i have pressed ctrl+c
try:
while trade_thread.is_alive():
class Test_Portfolio(unittest.TestCase):
"""
Unit tests for the class Portfolio
"""
def setUp(self):
self.price_events = Queue.Queue()
self.order_events = Queue.Queue()
stoprequest = threading.Event()
self.ticker = MockPriceStream(self.price_events, stoprequest)
# bid=3, ask=4
self.ticker.newprice(3, 4)
# self.ticker.stream_to_queue()
self.pf = Portfolio(self.ticker, self.order_events, "EUR", 1, 10000, 0.02)
self.leverage_pf = Portfolio(self.ticker, self.order_events, "EUR", 20, 10000, 0.02)
def test_correct_init(self):
self.assertEqual(self.pf.balance, self.pf.equity)
self.assertEqual(self.pf.trade_units, 200)
def test_risk_position_size(self):
self.assertEqual(self.pf.calc_risk_position_size(), 200)
self.assertEqual(self.leverage_pf.calc_risk_position_size(), 10)
def test_add_new_position(self):
self.pf.add_new_position("LONG", "EUR_USD", 100, 500, 4, 3)
self.assertEqual(self.pf.positions["EUR_USD"].side, "LONG")
self.assertEqual(self.pf.positions["EUR_USD"].market, "EUR_USD")
self.assertEqual(self.pf.positions["EUR_USD"].units, 100)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 500)
self.assertEqual(self.pf.positions["EUR_USD"].avg_price, 4)
self.assertEqual(self.pf.positions["EUR_USD"].cur_price, 3)
self.pf.add_new_position("SHORT", "EUR_CHF", 100, 500, 3, 4)
self.assertEqual(self.pf.positions["EUR_CHF"].side, "SHORT")
self.assertEqual(self.pf.positions["EUR_CHF"].market, "EUR_CHF")
self.assertEqual(self.pf.positions["EUR_CHF"].units, 100)
self.assertEqual(self.pf.positions["EUR_CHF"].exposure, 500)
self.assertEqual(self.pf.positions["EUR_CHF"].avg_price, 3)
self.assertEqual(self.pf.positions["EUR_CHF"].cur_price, 4)
def test_add_position_units(self):
self.pf.add_new_position("LONG", "EUR_USD", 100, 500, 4, 3)
self.pf.add_position_units("EUR_USD", 300, 500, 8, 4)
self.assertEqual(self.pf.positions["EUR_USD"].side, "LONG")
self.assertEqual(self.pf.positions["EUR_USD"].market, "EUR_USD")
self.assertEqual(self.pf.positions["EUR_USD"].units, 400)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 1000)
self.assertEqual(self.pf.positions["EUR_USD"].avg_price, 7)
self.assertEqual(self.pf.positions["EUR_USD"].cur_price, 4)
self.pf.add_new_position("SHORT", "EUR_CHF", 100, 500, 3, 4)
self.pf.add_position_units("EUR_CHF", 300, 500, 4, 8)
self.assertEqual(self.pf.positions["EUR_CHF"].side, "SHORT")
self.assertEqual(self.pf.positions["EUR_CHF"].market, "EUR_CHF")
self.assertEqual(self.pf.positions["EUR_CHF"].units, 400)
self.assertEqual(self.pf.positions["EUR_CHF"].exposure, 1000)
self.assertEqual(self.pf.positions["EUR_CHF"].avg_price, 3)
self.assertEqual(self.pf.positions["EUR_CHF"].cur_price, 8)
def test_remove_position_units(self):
self.pf.add_new_position("LONG", "EUR_USD", 100, 500, 4, 3)
self.pf.remove_position_units("EUR_USD", 50, 2)
self.assertEqual(self.pf.positions["EUR_USD"].side, "LONG")
self.assertEqual(self.pf.positions["EUR_USD"].units, 50)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 450)
self.assertEqual(self.pf.balance, 9950)
def test_close_position(self):
self.pf.add_new_position("LONG", "EUR_USD", 100, 500, 4, 3)
self.pf.close_position("EUR_USD", 2)
self.assertEqual(self.pf.balance, 9500)
def test_execute_fill_event_new_position_long(self):
buyevent = FillEvent("EUR_USD", 200, "LONG", 4)
self.pf.execute_fill_event(buyevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, "LONG")
self.assertEqual(self.pf.positions["EUR_USD"].market, "EUR_USD")
self.assertEqual(self.pf.positions["EUR_USD"].units, 200)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 200)
self.assertEqual(self.pf.positions["EUR_USD"].avg_price, 4)
self.assertEqual(self.pf.positions["EUR_USD"].cur_price, 3)
def test_execute_fill_event_new_position_short(self):
sellevent = FillEvent("EUR_USD", 100, "SHORT", 3)
self.leverage_pf.execute_fill_event(sellevent)
self.assertEqual(self.leverage_pf.positions["EUR_USD"].side, "SHORT")
self.assertEqual(self.leverage_pf.positions["EUR_USD"].market, "EUR_USD")
self.assertEqual(self.leverage_pf.positions["EUR_USD"].units, 100)
self.assertEqual(self.leverage_pf.positions["EUR_USD"].exposure, 2000)
self.assertEqual(self.leverage_pf.positions["EUR_USD"].avg_price, 3)
# self.assertEqual(self.pf.positions["EUR_CHF"].cur_price, 4)
def test_execute_fill_event_add_to_position(self):
buyevent = FillEvent("EUR_USD", 200, "LONG", 4)
self.pf.execute_fill_event(buyevent)
buyevent = FillEvent("EUR_USD", 200, "LONG", 4)
self.pf.execute_fill_event(buyevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, "LONG")
self.assertEqual(self.pf.positions["EUR_USD"].market, "EUR_USD")
self.assertEqual(self.pf.positions["EUR_USD"].units, 400)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 400)
def test_execute_fill_event_remove_from_position(self):
buyevent = FillEvent("EUR_USD", 200, "LONG", 4)
self.pf.execute_fill_event(buyevent)
self.pf.execute_fill_event(buyevent)
sellevent = FillEvent("EUR_USD", 200, "SHORT", 2)
self.pf.execute_fill_event(sellevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, "LONG")
self.assertEqual(self.pf.positions["EUR_USD"].market, "EUR_USD")
self.assertEqual(self.pf.positions["EUR_USD"].units, 200)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 200)
self.assertEqual(self.pf.balance, 9800)
def test_execute_signal_remove_position(self):
buyevent = FillEvent("EUR_USD", 200, "LONG", 4)
self.pf.execute_fill_event(buyevent)
sellevent = FillEvent("EUR_USD", 200, "SHORT", 4)
self.pf.execute_fill_event(sellevent)
self.assertNotIn("EUR_USD", self.pf.positions.keys())
def test_execute_signal_invert_position(self):
buyevent = FillEvent("EUR_USD", 200, "LONG", 4)
self.pf.execute_fill_event(buyevent)
sellevent = FillEvent("EUR_USD", 400, "SHORT", 2)
self.pf.execute_fill_event(sellevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, "SHORT")
self.assertEqual(self.pf.positions["EUR_USD"].market, "EUR_USD")
self.assertEqual(self.pf.positions["EUR_USD"].units, 200)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 200)
self.assertEqual(self.pf.balance, 9800)
class Test_Portfolio(unittest.TestCase):
"""
Unit tests for the class Portfolio
"""
def setUp(self):
self.price_events = Queue.Queue()
self.order_events = Queue.Queue()
stoprequest = threading.Event()
self.ticker = MockPriceStream(self.price_events, stoprequest)
#bid=3, ask=4
self.ticker.newprice(3, 4)
# self.ticker.stream_to_queue()
self.pf = Portfolio(self.ticker, self.order_events, "EUR", 1, 10000,
0.02)
self.leverage_pf = Portfolio(self.ticker, self.order_events, "EUR", 20,
10000, 0.02)
def test_correct_init(self):
self.assertEqual(self.pf.balance, self.pf.equity)
self.assertEqual(self.pf.trade_units, 200)
def test_risk_position_size(self):
self.assertEqual(self.pf.calc_risk_position_size(), 200)
self.assertEqual(self.leverage_pf.calc_risk_position_size(), 10)
def test_add_new_position(self):
self.pf.add_new_position('LONG', "EUR_USD", 100, 500, 4, 3)
self.assertEqual(self.pf.positions["EUR_USD"].side, 'LONG')
self.assertEqual(self.pf.positions["EUR_USD"].market, 'EUR_USD')
self.assertEqual(self.pf.positions["EUR_USD"].units, 100)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 500)
self.assertEqual(self.pf.positions["EUR_USD"].avg_price, 4)
self.assertEqual(self.pf.positions["EUR_USD"].cur_price, 3)
self.pf.add_new_position('SHORT', "EUR_CHF", 100, 500, 3, 4)
self.assertEqual(self.pf.positions["EUR_CHF"].side, 'SHORT')
self.assertEqual(self.pf.positions["EUR_CHF"].market, 'EUR_CHF')
self.assertEqual(self.pf.positions["EUR_CHF"].units, 100)
self.assertEqual(self.pf.positions["EUR_CHF"].exposure, 500)
self.assertEqual(self.pf.positions["EUR_CHF"].avg_price, 3)
self.assertEqual(self.pf.positions["EUR_CHF"].cur_price, 4)
def test_add_position_units(self):
self.pf.add_new_position('LONG', "EUR_USD", 100, 500, 4, 3)
self.pf.add_position_units("EUR_USD", 300, 500, 8, 4)
self.assertEqual(self.pf.positions["EUR_USD"].side, 'LONG')
self.assertEqual(self.pf.positions["EUR_USD"].market, 'EUR_USD')
self.assertEqual(self.pf.positions["EUR_USD"].units, 400)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 1000)
self.assertEqual(self.pf.positions["EUR_USD"].avg_price, 7)
self.assertEqual(self.pf.positions["EUR_USD"].cur_price, 4)
self.pf.add_new_position('SHORT', "EUR_CHF", 100, 500, 3, 4)
self.pf.add_position_units("EUR_CHF", 300, 500, 4, 8)
self.assertEqual(self.pf.positions["EUR_CHF"].side, 'SHORT')
self.assertEqual(self.pf.positions["EUR_CHF"].market, 'EUR_CHF')
self.assertEqual(self.pf.positions["EUR_CHF"].units, 400)
self.assertEqual(self.pf.positions["EUR_CHF"].exposure, 1000)
self.assertEqual(self.pf.positions["EUR_CHF"].avg_price, 3)
self.assertEqual(self.pf.positions["EUR_CHF"].cur_price, 8)
def test_remove_position_units(self):
self.pf.add_new_position('LONG', "EUR_USD", 100, 500, 4, 3)
self.pf.remove_position_units("EUR_USD", 50, 2)
self.assertEqual(self.pf.positions["EUR_USD"].side, 'LONG')
self.assertEqual(self.pf.positions["EUR_USD"].units, 50)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 450)
self.assertEqual(self.pf.balance, 9950)
def test_close_position(self):
self.pf.add_new_position('LONG', "EUR_USD", 100, 500, 4, 3)
self.pf.close_position("EUR_USD", 2)
self.assertEqual(self.pf.balance, 9500)
def test_execute_fill_event_new_position_long(self):
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, 'LONG')
self.assertEqual(self.pf.positions["EUR_USD"].market, 'EUR_USD')
self.assertEqual(self.pf.positions["EUR_USD"].units, 200)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 200)
self.assertEqual(self.pf.positions["EUR_USD"].avg_price, 4)
self.assertEqual(self.pf.positions["EUR_USD"].cur_price, 3)
def test_execute_fill_event_new_position_short(self):
sellevent = FillEvent("EUR_USD", 100, 'SHORT', 3)
self.leverage_pf.execute_fill_event(sellevent)
self.assertEqual(self.leverage_pf.positions["EUR_USD"].side, 'SHORT')
self.assertEqual(self.leverage_pf.positions["EUR_USD"].market,
'EUR_USD')
self.assertEqual(self.leverage_pf.positions["EUR_USD"].units, 100)
self.assertEqual(self.leverage_pf.positions["EUR_USD"].exposure, 2000)
self.assertEqual(self.leverage_pf.positions["EUR_USD"].avg_price, 3)
# self.assertEqual(self.pf.positions["EUR_CHF"].cur_price, 4)
def test_execute_fill_event_add_to_position(self):
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, 'LONG')
self.assertEqual(self.pf.positions["EUR_USD"].market, 'EUR_USD')
self.assertEqual(self.pf.positions["EUR_USD"].units, 400)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 400)
def test_execute_fill_event_remove_from_position(self):
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
self.pf.execute_fill_event(buyevent)
sellevent = FillEvent("EUR_USD", 200, 'SHORT', 2)
self.pf.execute_fill_event(sellevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, 'LONG')
self.assertEqual(self.pf.positions["EUR_USD"].market, 'EUR_USD')
self.assertEqual(self.pf.positions["EUR_USD"].units, 200)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 200)
self.assertEqual(self.pf.balance, 9800)
def test_execute_signal_remove_position(self):
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
sellevent = FillEvent("EUR_USD", 200, 'SHORT', 4)
self.pf.execute_fill_event(sellevent)
self.assertNotIn('EUR_USD', self.pf.positions.keys())
def test_execute_signal_invert_position(self):
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
sellevent = FillEvent("EUR_USD", 400, 'SHORT', 2)
self.pf.execute_fill_event(sellevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, 'SHORT')
self.assertEqual(self.pf.positions["EUR_USD"].market, 'EUR_USD')
self.assertEqual(self.pf.positions["EUR_USD"].units, 200)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 200)
self.assertEqual(self.pf.balance, 9800)
