def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'buy_call': {'contract': 'CALL', 'side': 'BUY', 'quantity': +1,
'strike': 85, 'price': 1.18, 'net_price': 2.55},
'buy_put': {'contract': 'PUT', 'side': 'BUY', 'quantity': +1,
'strike': 80, 'price': 1.37, 'net_price': 0.0},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_call']['contract'],
side=self.orders['buy_call']['side'],
quantity=self.orders['buy_call']['quantity'],
strike=self.orders['buy_call']['strike'],
price=self.orders['buy_call']['price'],
net_price=self.orders['buy_call']['net_price']
)
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_put']['contract'],
side=self.orders['buy_put']['side'],
quantity=self.orders['buy_put']['quantity'],
strike=self.orders['buy_put']['strike'],
price=self.orders['buy_put']['price'],
net_price=self.orders['buy_put']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.long_strangle = StageLongStrangle(
filled_orders=filled_orders, contract_right=self.contract_right
)
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
"buy_call": {
"contract": "CALL",
"side": "BUY",
"quantity": +1,
"strike": 85,
"price": 1.18,
"net_price": 2.55,
},
"buy_put": {
"contract": "PUT",
"side": "BUY",
"quantity": +1,
"strike": 80,
"price": 1.37,
"net_price": 0.0,
},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread="STRANGLE",
contract=self.orders["buy_call"]["contract"],
side=self.orders["buy_call"]["side"],
quantity=self.orders["buy_call"]["quantity"],
strike=self.orders["buy_call"]["strike"],
price=self.orders["buy_call"]["price"],
net_price=self.orders["buy_call"]["net_price"],
)
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread="STRANGLE",
contract=self.orders["buy_put"]["contract"],
side=self.orders["buy_put"]["side"],
quantity=self.orders["buy_put"]["quantity"],
strike=self.orders["buy_put"]["strike"],
price=self.orders["buy_put"]["price"],
net_price=self.orders["buy_put"]["net_price"],
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.long_strangle = StageLongStrangle(filled_orders=filled_orders, contract_right=self.contract_right)
class TestStageLongStrangle(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
"buy_call": {
"contract": "CALL",
"side": "BUY",
"quantity": +1,
"strike": 85,
"price": 1.18,
"net_price": 2.55,
},
"buy_put": {
"contract": "PUT",
"side": "BUY",
"quantity": +1,
"strike": 80,
"price": 1.37,
"net_price": 0.0,
},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread="STRANGLE",
contract=self.orders["buy_call"]["contract"],
side=self.orders["buy_call"]["side"],
quantity=self.orders["buy_call"]["quantity"],
strike=self.orders["buy_call"]["strike"],
price=self.orders["buy_call"]["price"],
net_price=self.orders["buy_call"]["net_price"],
)
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread="STRANGLE",
contract=self.orders["buy_put"]["contract"],
side=self.orders["buy_put"]["side"],
quantity=self.orders["buy_put"]["quantity"],
strike=self.orders["buy_put"]["strike"],
price=self.orders["buy_put"]["price"],
net_price=self.orders["buy_put"]["net_price"],
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.long_strangle = StageLongStrangle(filled_orders=filled_orders, contract_right=self.contract_right)
def test_create_even_stage1(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_strangle.create_even_stage1()
self.method_test_create_stage(
stage=even_stage,
name="EVEN",
expression="{price_a} == {current_price}",
detail={
"price_a": 87.55,
"amount_a": 0.0,
"price_b": 0.0,
"amount_b": 0.0,
"left_status": "",
"left_expression": "",
"right_status": "",
"right_expression": "",
},
)
self.check_in_stage(stage_cls=even_stage, price=87.55, expect=True)
self.check_in_stage(stage_cls=even_stage, price=87, expect=False)
self.check_get_status(stage_cls=even_stage, new_price=87.55, old_price=87.55, expect="UNKNOWN")
def test_create_even_stage2(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_strangle.create_even_stage2()
self.method_test_create_stage(
stage=even_stage,
name="EVEN",
expression="{price_a} == {current_price}",
detail={
"price_a": 77.45,
"amount_a": 0.0,
"price_b": 0.0,
"amount_b": 0.0,
"left_status": "",
"left_expression": "",
"right_status": "",
"right_expression": "",
},
)
self.check_in_stage(stage_cls=even_stage, price=77.45, expect=True)
self.check_in_stage(stage_cls=even_stage, price=77.5, expect=False)
self.check_get_status(stage_cls=even_stage, new_price=77.45, old_price=77.45, expect="UNKNOWN")
def test_create_profit_stage1(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_strangle.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name="PROFIT",
expression="{price_a} < {current_price}",
detail={
"price_a": 87.55,
"amount_a": 0.0,
"price_b": 0.0,
"amount_b": 0.0,
"left_status": "DECREASING",
"left_expression": "{price_a} < {new_price} < {old_price}",
"right_status": "PROFITING",
"right_expression": "{price_a} < {old_price} < {new_price}",
},
)
self.check_in_stage(stage_cls=profit_stage, price=88, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=87, expect=False)
self.check_get_status(profit_stage, new_price=89, old_price=90, expect="DECREASING")
self.check_get_status(profit_stage, new_price=89, old_price=88, expect="PROFITING")
self.check_get_status(profit_stage, new_price=88, old_price=88, expect="UNKNOWN")
def test_create_profit_stage2(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_strangle.create_profit_stage2()
self.method_test_create_stage(
stage=profit_stage,
name="PROFIT",
expression="{current_price} < {price_a}",
detail={
"price_a": 77.45,
"amount_a": 0.0,
"price_b": 0.0,
"amount_b": 0.0,
"left_status": "DECREASING",
"left_expression": "{old_price} < {new_price} < {price_a}",
"right_status": "PROFITING",
"right_expression": "{new_price} < {old_price} < {price_a}",
},
)
self.check_in_stage(stage_cls=profit_stage, price=76, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=78, expect=False)
self.check_get_status(profit_stage, new_price=77.3, old_price=76, expect="DECREASING")
self.check_get_status(profit_stage, new_price=76, old_price=77, expect="PROFITING")
self.check_get_status(profit_stage, new_price=76, old_price=76, expect="UNKNOWN")
def test_create_loss_stage1(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_strangle.create_loss_stage1()
self.method_test_create_stage(
stage=loss_stage,
name="LOSS",
expression="{price_a} < {current_price} < {price_b}",
detail={
"price_a": 85.0,
"amount_a": -255.0,
"price_b": 87.55,
"amount_b": 0.0,
"left_status": "RECOVERING",
"left_expression": "{price_a} < {old_price} < {new_price} < {price_b}",
"right_status": "LOSING",
"right_expression": "{price_a} < {new_price} < {old_price} < {price_b}",
},
)
self.check_in_stage(stage_cls=loss_stage, price=86, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=88, expect=False)
self.check_get_status(loss_stage, new_price=86.5, old_price=85.5, expect="RECOVERING")
self.check_get_status(loss_stage, new_price=85.5, old_price=86, expect="LOSING")
self.check_get_status(loss_stage, new_price=86, old_price=86, expect="UNKNOWN")
def test_create_loss_stage2(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_strangle.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name="LOSS",
expression="{price_a} < {current_price} < {price_b}",
detail={
"price_a": 77.45,
"amount_a": 0.0,
"price_b": 80.0,
"amount_b": -255.0,
"left_status": "RECOVERING",
"left_expression": "{price_a} < {new_price} < {old_price} < {price_b}",
"right_status": "LOSING",
"right_expression": "{price_a} < {old_price} < {new_price} < {price_b}",
},
)
self.check_in_stage(stage_cls=loss_stage, price=78, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=76, expect=False)
self.check_get_status(loss_stage, new_price=78, old_price=79, expect="RECOVERING")
self.check_get_status(loss_stage, new_price=79.5, old_price=79, expect="LOSING")
self.check_get_status(loss_stage, new_price=78, old_price=78, expect="UNKNOWN")
def test_create_max_loss_stage1(self):
"""
Create max loss stage using filled orders data
"""
max_loss_stage = self.long_strangle.create_max_loss_stage1()
self.method_test_create_stage(
stage=max_loss_stage,
name="MAX_LOSS",
expression="{price_a} <= {current_price} <= {price_b}",
detail={
"price_a": 82.5,
"amount_a": -255.0,
"price_b": 85.0,
"amount_b": -255.0,
"left_status": "EASING",
"left_expression": "{price_a} <= {old_price} < {new_price} <= {price_b}",
"right_status": "WORST",
"right_expression": "{price_a} <= {new_price} < {old_price} <= {price_b}",
},
)
self.check_in_stage(stage_cls=max_loss_stage, price=83, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=85.5, expect=False)
self.check_get_status(max_loss_stage, new_price=84, old_price=83.5, expect="EASING")
self.check_get_status(max_loss_stage, new_price=82.8, old_price=83.5, expect="WORST")
self.check_get_status(max_loss_stage, new_price=83, old_price=83, expect="UNKNOWN")
def test_create_max_loss_stage2(self):
"""
Create max loss stage using filled orders data
"""
max_loss_stage = self.long_strangle.create_max_loss_stage2()
self.method_test_create_stage(
stage=max_loss_stage,
name="MAX_LOSS",
expression="{price_a} <= {current_price} <= {price_b}",
detail={
"price_a": 80.0,
"amount_a": -255.0,
"price_b": 82.5,
"amount_b": -255.0,
"left_status": "EASING",
"left_expression": "{price_a} <= {new_price} < {old_price} <= {price_b}",
"right_status": "WORST",
"right_expression": "{price_a} <= {old_price} < {new_price} <= {price_b}",
},
)
self.check_in_stage(stage_cls=max_loss_stage, price=81, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=83, expect=False)
self.check_get_status(max_loss_stage, new_price=80.6, old_price=82, expect="EASING")
self.check_get_status(max_loss_stage, new_price=82.3, old_price=81, expect="WORST")
self.check_get_status(max_loss_stage, new_price=81, old_price=81, expect="UNKNOWN")
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print "run create_stages..."
stages = self.long_strangle.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
class TestStageLongStrangle(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'buy_call': {'contract': 'CALL', 'side': 'BUY', 'quantity': +1,
'strike': 85, 'price': 1.18, 'net_price': 2.55},
'buy_put': {'contract': 'PUT', 'side': 'BUY', 'quantity': +1,
'strike': 80, 'price': 1.37, 'net_price': 0.0},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_call']['contract'],
side=self.orders['buy_call']['side'],
quantity=self.orders['buy_call']['quantity'],
strike=self.orders['buy_call']['strike'],
price=self.orders['buy_call']['price'],
net_price=self.orders['buy_call']['net_price']
)
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_put']['contract'],
side=self.orders['buy_put']['side'],
quantity=self.orders['buy_put']['quantity'],
strike=self.orders['buy_put']['strike'],
price=self.orders['buy_put']['price'],
net_price=self.orders['buy_put']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.long_strangle = StageLongStrangle(
filled_orders=filled_orders, contract_right=self.contract_right
)
def test_create_even_stage1(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_strangle.create_even_stage1()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 87.55,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=even_stage, price=87.55, expect=True)
self.check_in_stage(stage_cls=even_stage, price=87, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=87.55, old_price=87.55, expect='UNKNOWN'
)
def test_create_even_stage2(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_strangle.create_even_stage2()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 77.45,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=even_stage, price=77.45, expect=True)
self.check_in_stage(stage_cls=even_stage, price=77.5, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=77.45, old_price=77.45, expect='UNKNOWN'
)
def test_create_profit_stage1(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_strangle.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price}',
detail={
'price_a': 87.55,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {new_price} < {old_price}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {old_price} < {new_price}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=88, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=87, expect=False)
self.check_get_status(profit_stage, new_price=89, old_price=90, expect='DECREASING')
self.check_get_status(profit_stage, new_price=89, old_price=88, expect='PROFITING')
self.check_get_status(profit_stage, new_price=88, old_price=88, expect='UNKNOWN')
def test_create_profit_stage2(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_strangle.create_profit_stage2()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{current_price} < {price_a}',
detail={
'price_a': 77.45,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{old_price} < {new_price} < {price_a}',
'right_status': 'PROFITING',
'right_expression': '{new_price} < {old_price} < {price_a}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=76, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=78, expect=False)
self.check_get_status(profit_stage, new_price=77.3, old_price=76, expect='DECREASING')
self.check_get_status(profit_stage, new_price=76, old_price=77, expect='PROFITING')
self.check_get_status(profit_stage, new_price=76, old_price=76, expect='UNKNOWN')
def test_create_loss_stage1(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_strangle.create_loss_stage1()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 85.0,
'amount_a': -255.0,
'price_b': 87.55,
'amount_b': 0.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=86, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=88, expect=False)
self.check_get_status(loss_stage, new_price=86.5, old_price=85.5, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=85.5, old_price=86, expect='LOSING')
self.check_get_status(loss_stage, new_price=86, old_price=86, expect='UNKNOWN')
def test_create_loss_stage2(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_strangle.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 77.45,
'amount_a': 0.0,
'price_b': 80.0,
'amount_b': -255.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=78, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=76, expect=False)
self.check_get_status(loss_stage, new_price=78, old_price=79, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=79.5, old_price=79, expect='LOSING')
self.check_get_status(loss_stage, new_price=78, old_price=78, expect='UNKNOWN')
def test_create_max_loss_stage1(self):
"""
Create max loss stage using filled orders data
"""
max_loss_stage = self.long_strangle.create_max_loss_stage1()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} <= {current_price} <= {price_b}',
detail={
'price_a': 82.5,
'amount_a': -255.0,
'price_b': 85.0,
'amount_b': -255.0,
'left_status': 'EASING',
'left_expression': '{price_a} <= {old_price} < {new_price} <= {price_b}',
'right_status': 'WORST',
'right_expression': '{price_a} <= {new_price} < {old_price} <= {price_b}',
}
)
self.check_in_stage(stage_cls=max_loss_stage, price=83, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=85.5, expect=False)
self.check_get_status(max_loss_stage, new_price=84, old_price=83.5, expect='EASING')
self.check_get_status(max_loss_stage, new_price=82.8, old_price=83.5, expect='WORST')
self.check_get_status(max_loss_stage, new_price=83, old_price=83, expect='UNKNOWN')
def test_create_max_loss_stage2(self):
"""
Create max loss stage using filled orders data
"""
max_loss_stage = self.long_strangle.create_max_loss_stage2()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} <= {current_price} <= {price_b}',
detail={
'price_a': 80.0,
'amount_a': -255.0,
'price_b': 82.5,
'amount_b': -255.0,
'left_status': 'EASING',
'left_expression': '{price_a} <= {new_price} < {old_price} <= {price_b}',
'right_status': 'WORST',
'right_expression': '{price_a} <= {old_price} < {new_price} <= {price_b}',
}
)
self.check_in_stage(stage_cls=max_loss_stage, price=81, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=83, expect=False)
self.check_get_status(max_loss_stage, new_price=80.6, old_price=82, expect='EASING')
self.check_get_status(max_loss_stage, new_price=82.3, old_price=81, expect='WORST')
self.check_get_status(max_loss_stage, new_price=81, old_price=81, expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.long_strangle.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
