def test_create_trade_fx_USDCAD(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
blt.connect_market_data()
blt.define_generic("USDCAD", "CAD", 0, 1, 0, True)
blt.map_instrument("USDCAD", "USDCAD")
ts = pd.Timestamp('2015-08-03T12:00:00')
evs = blt._create_trade(ts, "USDCAD", quantity=1000, price=1.31)
ev_exp = [
blotter._Event(
"TRADE", {
"timestamp": ts,
"instrument": "USDCAD",
"ccy": "CAD",
"price": 1.31,
"quantity": 1000,
"multiplier": 1,
"commission": 0
}),
blotter._Event("CASH", {
"timestamp": ts,
"ccy": "CAD",
"quantity": -1000 * 1.31
}),
blotter._Event("CASH", {
"timestamp": ts,
"ccy": "USD",
"quantity": 1000
})
]
self.assertEventsEqual(evs, ev_exp)
def setup(self):
# TODO handle these paths in a better way
ts = pd.date_range('2008-01-02', '2008-05-30', freq='b')
ts = ts + pd.Timedelta("16h")
self.ts_daily = ts
cdir = os.path.dirname(__file__)
updir = os.path.split(cdir)[0]
rate_fp = os.path.join(updir, 'doc/data/daily_interest_rates.csv')
prices_fp = os.path.join(updir, 'doc/data/prices')
aud_fp = os.path.join(updir, 'doc/data/prices/AUDUSD.csv')
aud = pd.read_csv(aud_fp, index_col=0, parse_dates=True)
jpy_fp = os.path.join(updir, 'doc/data/prices/USDJPY.csv')
jpy = pd.read_csv(jpy_fp, index_col=0, parse_dates=True)
self.prices = pd.concat([aud, jpy], axis=1)
self.blt = blotter.Blotter(prices=prices_fp, interest_rates=rate_fp)
self.blt.connect_market_data()
self.blt.define_generic("AUDUSD", ccy="USD", margin=0, multiplier=1,
commission=2.5, isFX=True)
self.blt.define_generic("USDJPY", ccy="JPY", margin=0, multiplier=1,
commission=2.5, isFX=True)
self.blt.map_instrument("AUDUSD", "AUDUSD")
self.blt.map_instrument("USDJPY", "USDJPY")
idx = pd.date_range("2008-01-02T00:00:00", "2008-01-02T23:59:59",
freq="5T")
self.intraday_prices = pd.DataFrame(0.8, index=idx, columns=["AUDUSD"])
def test_create_read_log(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
# test events can be properly read error free
blt.read_log(self.log)
evs = blt._create_log_events(self.log)
ts1 = pd.Timestamp('2016-12-01T10:00:00')
ts2 = pd.Timestamp('2016-12-02T10:00:00')
exp_evs = [
blotter._Event(
"TRADE", {
"timestamp": ts1,
"instrument": "CLZ16",
"ccy": "USD",
"price": 53.46,
"quantity": 100,
"multiplier": 1,
"commission": 2.50
}),
blotter._Event(
"TRADE", {
"timestamp": ts2,
"instrument": "CLZ16",
"ccy": "USD",
"price": 55.32,
"ntc_price": 55.32,
"quantity": 100,
"multiplier": 1,
"commission": 2.50
})
]
self.assertEventsEqual(evs, exp_evs)
def test_create_short_margin_event(self):
blt = blotter.Blotter(self.prices,
self.rates,
base_ccy="USD",
margin_charge=0.015)
blt.connect_market_data()
ts = pd.Timestamp('2015-08-04T00:00:00')
qty = -1
price = 0
blt.define_generic("ES", "USD", 0.05, 1, 2.5)
blt.map_instrument("ES", "ESZ15")
blt._trade(ts, "ESZ15", qty, price)
ts = pd.Timestamp('2015-08-05T00:00:00')
ev = blt.create_events(ts, "MARGIN")
rates = pd.read_csv(self.rates, index_col=0, parse_dates=True)
es_fp = os.path.join(self.prices, 'ESZ15.csv')
es = pd.read_csv(es_fp, index_col=0, parse_dates=True)
es_notional = float(es.loc[ts].values * np.abs(qty) * 0.05)
quantity = es_notional * (rates.loc[ts, "USD"] + 0.015) / 365
ev_exp = [
blotter._Event("INTEREST", {
"timestamp": ts,
"ccy": "USD",
"quantity": quantity
})
]
self.assertEventsEqual(ev, ev_exp)
def test_automatic_events_closed_pnl_mark(self):
blt = blotter.Blotter(self.prices,
self.rates,
accrual_time=pd.Timedelta(0, unit='h'),
eod_time=pd.Timedelta(0, unit='h'),
sweep_time=pd.Timedelta(0, unit='h'))
blt.connect_market_data()
blt.define_generic("ES",
ccy="USD",
margin=0,
multiplier=1,
commission=0,
isFX=False)
blt.map_instrument("ES", "ESZ15")
ts = pd.Timestamp("2015-08-04T11:00:00")
blt.trade(ts, "ESZ15", 1, 2000)
ts = pd.Timestamp("2015-08-04T12:00:00")
hlds = blt.get_instruments()
for instr, qty in hlds.iteritems():
blt.trade(ts, instr, -qty, 2001)
ts = pd.Timestamp("2015-08-05T00:00:00")
blt.automatic_events(ts)
pnl_history = blt.get_pnl_history()
usd = pd.DataFrame([[1.0, 1.0, 0.0]],
index=[ts],
columns=["pnl", "closed pnl", "open pnl"])
pnl_history_exp = {"USD": usd}
self.assertDictDataFrameEqual(pnl_history, pnl_history_exp)
def test_create_trade_0_quantity(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
blt.connect_market_data()
blt.define_generic("ES", "USD", 0, 1, 0, False)
blt.map_instrument("ES", "ESZ15")
ts = pd.Timestamp('2015-08-03T12:00:00')
evs = blt._create_trade(ts, "ESZ15", 0, 1800)
self.assertEqual(evs, [])
def test_pnl(self):
blt = blotter.Blotter()
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'prices': pd.Series([53.46, 52], index=['CLZ6', 'COZ6'])
}
ev = [blotter._Event('PNL', data)]
blt.dispatch_events(ev)
def test_cash(self):
blt = blotter.Blotter()
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'ccy': 'USD',
'quantity': 1000
}
ev = [blotter._Event('CASH', data)]
blt.dispatch_events(ev)
def test_sweep(self):
blt = blotter.Blotter()
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'ccy1': 'USD',
'quantity1': 1000,
'ccy2': 'CAD',
'quantity2': -1300
}
ev = [blotter._Event('PNL_SWEEP', data)]
blt.dispatch_events(ev)
def test_create_pnl_sweep_no_event_base(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
blt.connect_market_data()
ts = pd.Timestamp('2015-08-03T12:00:00')
blt._holdings.record_trade(ts, 'CLZ15', 50.50, 1, 1, 0, "USD")
ts = pd.Timestamp('2015-08-03T14:00:00')
blt._holdings.record_trade(ts, 'CLZ15', 51.50, -1, 1, 0, "USD")
ts = pd.Timestamp('2015-08-04T00:00:00')
evs = blt.create_events(ts, "PNL_SWEEP")
evs_exp = []
self.assertEqual(evs, evs_exp)
def test_trade(self):
blt = blotter.Blotter()
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'instrument': 'CLZ6',
'price': 53.46,
'quantity': 100,
'multiplier': 1,
'commission': 2.50,
'ccy': 'USD'
}
ev = [blotter._Event('TRADE', data)]
blt.dispatch_events(ev)
def test_get_meta_data(self):
blt = blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
# currency of instrument defaults to base ccy of blotter when not given
blt.define_generic("CL",
margin=0.1,
multiplier=100,
commission=2.5,
isFX=False)
meta = namedtuple(
'metadata', ['ccy', 'margin', 'multiplier', 'commission', 'isFX'])
metadata_exp = meta("USD", 0.1, 100, 2.5, False)
metadata = blt._gnrc_meta["CL"]
self.assertEqual(metadata, metadata_exp)
def test_read_meta(self):
blt = blotter.Blotter()
blt.read_meta(self.meta_log)
blt.define_generic(
**{
'generic': 'CL',
'ccy': 'CAD',
'margin': 0.1,
'multiplier': 100,
'commission': 2.5,
'isFX': False
})
blt.map_instrument('CL', 'CLU16')
blt.map_instrument('CL', 'CLZ16')
blt.define_generic(
**{
'generic': 'USDCAD',
'ccy': 'CAD',
'margin': 0,
'multiplier': 1,
'commission': 2.5,
'isFX': True
})
blt.map_instrument('USDCAD', 'USDCAD')
gen_meta_exp = {}
gen_meta_exp["CL"] = blotter._metadata(
**{
'ccy': 'CAD',
'margin': 0.1,
'multiplier': 100,
'commission': 2.5,
'isFX': False
})
gen_meta_exp["USDCAD"] = blotter._metadata(
**{
'ccy': 'CAD',
'margin': 0,
'multiplier': 1,
'commission': 2.5,
'isFX': True
})
map_instr_exp = {"USDCAD": "USDCAD", "CLU16": "CL", "CLZ16": "CL"}
self.assertEqual(blt._gnrc_meta, gen_meta_exp)
self.assertEqual(blt._instr_map, map_instr_exp)
def test_write_log(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
blt.define_generic("CL", "USD", 0.1, 1, 2.50)
blt.map_instrument("CL", "CLZ16")
ts1 = pd.Timestamp('2016-12-01T10:00:00')
ts2 = pd.Timestamp('2016-12-02T10:00:00')
blt._trade(ts1, "CLZ16", quantity=100, price=53.46)
blt._trade(ts2, "CLZ16", quantity=100, price=55.32, ntc_price=55.32)
tmp_file = tempfile.mktemp()
blt.write_log(tmp_file)
with open(tmp_file, 'r') as fp:
output_str = fp.read()
with open(self.log, 'r') as fp:
expected_output_str = fp.read()
self.assertMultiLineEqual(expected_output_str, output_str)
def test_create_pnl_sweep_no_event_open_pnl_only(self):
blt = blotter.Blotter(self.prices,
self.rates,
base_ccy="USD",
sweep_time=None,
accrual_time=pd.Timedelta("0h"),
eod_time=pd.Timedelta("0h"))
blt.connect_market_data()
ts = pd.Timestamp('2015-08-03T12:00:00')
pos = 1
blt.define_generic("SXM", "CAD", 0, 1, 0)
blt.map_instrument("SXM", "SXMZ15")
blt.trade(ts, 'SXMZ15', pos, price=800, ntc_price=800)
ts = pd.Timestamp('2015-08-04T00:00:00')
blt.automatic_events(ts)
evs = blt.create_events(ts, "PNL_SWEEP")
evs_exp = []
self.assertEventsEqual(evs, evs_exp)
def test_empty_automatic_events(self):
blt = blotter.Blotter(self.prices,
self.rates,
accrual_time=None,
eod_time=None,
sweep_time=None)
blt.connect_market_data()
blt.define_generic("ES",
ccy="USD",
margin=0,
multiplier=1,
commission=0,
isFX=False)
blt.map_instrument("ES", "ESZ15")
ts = pd.Timestamp("2015-08-04T11:00:00")
blt.trade(ts, "ESZ15", 1, 2000)
ts = pd.Timestamp("2015-08-05T00:00:00")
blt.automatic_events(ts)
def test_automatic_events_future_type_creation(self):
blt = blotter.Blotter(self.prices,
self.rates,
accrual_time=pd.Timedelta(0, unit='h'),
eod_time=pd.Timedelta(0, unit='h'),
sweep_time=pd.Timedelta(0, unit='h'))
blt.connect_market_data()
blt.define_generic("ES", "USD", 0.1, 100, 2.50)
blt.map_instrument("ES", "ESZ15")
ts = pd.Timestamp('2015-08-04T10:00:00')
number_instr = 1
blt._trade(ts, "ESZ15", number_instr, 2000)
blt.automatic_events(pd.Timestamp('2015-08-05T10:00:00'))
ev_types = []
for ev in blt.event_log:
ev_types.append(ev.split("|")[0])
ev_types_exp = ["TRADE", "INTEREST", "PNL"]
self.assertEqual(ev_types, ev_types_exp)
def test_create_pnl_sweep_event_closed_pnl(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
blt.connect_market_data()
ts = pd.Timestamp('2015-08-03T12:00:00')
blt._holdings.record_trade(ts, 'CLZ15', 50.50, 1, 1, 0, "CAD")
ts = pd.Timestamp('2015-08-03T14:00:00')
blt._holdings.record_trade(ts, 'CLZ15', 51.50, -1, 1, 0, "CAD")
ts = pd.Timestamp('2015-08-04T00:00:00')
evs = blt.create_events(ts, "PNL_SWEEP")
evs_exp = [
blotter._Event(
"PNL_SWEEP", {
"timestamp": ts,
"ccy1": "CAD",
"quantity1": -1.00,
"ccy2": "USD",
"quantity2": 1 / 1.3125
})
]
self.assertEventsEqual(evs, evs_exp)
def test_create_trade_future(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
blt.connect_market_data()
blt.define_generic("ES", "USD", 0, 1, 0, False)
blt.map_instrument("ES", "ESZ15")
ts = pd.Timestamp('2015-08-03T12:00:00')
evs = blt._create_trade(ts, "ESZ15", quantity=1, price=1800)
ev_exp = [
blotter._Event(
"TRADE", {
"timestamp": ts,
"instrument": "ESZ15",
"ccy": "USD",
"price": 1800,
"quantity": 1,
"multiplier": 1,
"commission": 0
})
]
self.assertEventsEqual(evs, ev_exp)
def test_write_meta(self):
blt = blotter.Blotter()
blt.define_generic(
**{
'generic': 'CL',
'ccy': 'CAD',
'margin': 0.1,
'multiplier': 100,
'commission': 2.5,
'isFX': False
})
blt.map_instrument('CL', 'CLU16')
blt.map_instrument('CL', 'CLZ16')
blt.define_generic(
**{
'generic': 'USDCAD',
'ccy': 'CAD',
'margin': 0,
'multiplier': 1,
'commission': 2.5,
'isFX': True
})
blt.map_instrument('USDCAD', 'USDCAD')
tmp_file = tempfile.mktemp()
blt.write_meta(tmp_file)
with open(tmp_file, 'r') as fp:
output_str = fp.read()
with open(self.meta_log, 'r') as fp:
expected_output_str = fp.read()
self.assertMultiLineEqual(expected_output_str, output_str)
def make_blotter(self):
blt = blotter.Blotter(self.prices, self.rates)
return blt
