def setUp(self):
fee = 0.00
fill_1 = FillEvent('1:00', 'BTC', 12, 'BUY', 100.0, 'GDAX', fee=fee)
fill_2 = FillEvent('2:00', 'BTC', 17, 'BUY', 99.0, 'GDAX', fee=fee)
fill_3 = FillEvent('3:00', 'BTC', 9, 'SELL', 101.0, 'GDAX', fee=fee)
fill_4 = FillEvent('4:00', 'BTC', 4, 'SELL', 105.0, 'GDAX', fee=fee)
fill_5 = FillEvent('5:00', 'BTC', 3, 'BUY', 103.0, 'GDAX', fee=fee)
self.position = Position(fill_1)
self.position.add_new_fill(fill_2)
self.position.add_new_fill(fill_3)
self.position.add_new_fill(fill_4)
self.position.add_new_fill(fill_5)
self.price_bar = PriceBar("6:00", 100.0, 95.0, 110.0, 105.0, 100,
'BTC')
def setUp(self):
first_fill = FillEvent('0:00',
'BTC',
10,
'SELL',
1000.00,
'GDAX',
fee=50.00)
self.second_fill = FillEvent('1:00',
'BTC',
20,
'SELL',
1000.00,
'GDAX',
fee=100.00)
self.position = Position(first_fill)
def setUp(self):
first_fill = FillEvent('0:00',
'BTC',
10,
'BUY',
1000.00,
'GDAX',
fee=0.0)
second_fill = FillEvent('1:00',
'BTC',
10,
'SELL',
1100.00,
'GDAX',
fee=0.0)
self.position = Position(first_fill)
self.position.add_new_fill(second_fill)
def test_add_new_fill_with_invalid_exchange(self):
fill = FillEvent('0:00',
'BTC',
10,
'BUY',
1000.00,
'INVALID',
fee=50.00)
self.assertRaises(ValueError, self.position.add_new_fill, fill)
def execute_order(self, event: OrderEvent):
"""Creates a fake FillEvent and adds it to the event queue."""
fill_event = FillEvent(int(time.time()),
event.symbol,
event.quantity,
event.direction,
price=0,
exchange='GDAX')
self.events.add_event(fill_event)
def setUp(self):
self.events = EventQueue()
self.portfolio = Portfolio()
position_sizer = PositionSizerMock()
risk_manager = RiskManagerMock()
self.portfolio_handler = PortfolioHandler(self.events, self.portfolio,
position_sizer, risk_manager)
self.fill = FillEvent(timeindex='0:00',
symbol='BTC',
quantity=10,
price=100,
direction='BUY',
exchange='GDAX')
def setUp(self):
fill = FillEvent('0:00', 'BTC', 10, "BUY", 100, 'GDAX', fee=5.0)
self.portfolio = Portfolio(cash=10000.0)
self.portfolio.add_new_fill(fill)