def test_transact_for_incorrect_asset():
"""
Tests that the 'transact' method, when provided
with a Transaction with an Asset that does not
match the position's asset, raises an Exception.
"""
asset1 = 'EQ:AAPL'
asset2 = 'EQ:AMZN'
position = Position(asset1,
current_price=950.0,
current_dt=pd.Timestamp('2020-06-16 15:00:00',
tz=pytz.UTC),
buy_quantity=100,
sell_quantity=0,
avg_bought=950.0,
avg_sold=0.0,
buy_commission=1.0,
sell_commission=0.0)
new_dt = pd.Timestamp('2020-06-16 16:00:00')
transaction = Transaction(asset2,
quantity=50,
dt=new_dt,
price=960.0,
order_id=123,
commission=1.0)
with pytest.raises(Exception):
position.update(transaction)
def test_position_long_twice():
"""
Tests that the quantity and book cost are
correctly calculated for an initial long
position with an additional long transaction
in the same asset.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=100,
dt=dt,
price=960.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 200
assert position.book_cost_pu == 955.0
assert position.direction == 1.0
assert position.current_price == 960.0
assert position.market_value == 192000.0
assert position.unrealised_gain == 1000.0
assert position.unrealised_percentage_gain == 0.5235602094240838
def test_position_short_long_excess_cover():
"""
Tests that the quantity and book cost are
correctly calculated for an initial short
position with an additional long transaction
in the same asset, where the long position
is in excess of the short position.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=-100,
book_cost_pu=700.0,
current_price=700.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=175,
dt=dt,
price=873.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 75
assert position.book_cost_pu == 873.0
assert position.direction == 1.0
assert position.current_price == 873.0
assert position.market_value == 65475.0
assert position.unrealised_gain == 0.0
assert position.unrealised_percentage_gain == 0.0
def test_position_long_short_positive_gain():
"""
Tests that the quantity and book cost are
correctly calculated for an initial long
position with an additional short transaction
in the same asset, where the short does not
completely eliminate the position and the
result is a gain.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=-50,
dt=dt,
price=960.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 50
assert position.book_cost_pu == 950.0
assert position.direction == 1.0
assert position.current_price == 960.0
assert position.market_value == 48000.0
assert position.unrealised_gain == 500.0
assert position.unrealised_percentage_gain == 1.0526315789473684
def test_update_book_cost_for_commission_zero_position():
"""
Tests that 'update_book_cost_for_commission' returns None
when some positive commission is provided, given that the
Position itself has zero quantity.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset, quantity=0, book_cost_pu=0.0, current_price=0.0)
assert position.update_book_cost_for_commission(asset, 15.0) is None
def test_update_book_cost_for_commission_for_no_commission():
"""
Tests that 'update_book_cost_for_commission' returns None
when zero or None commission is provided.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
assert position.update_book_cost_for_commission(asset, 0.0) is None
assert position.update_book_cost_for_commission(asset, None) is None
def test_update_book_cost_for_commission_some_commission():
"""
Tests that 'update_book_cost_for_commission' calculates
book cost correctly for the position when a positive
commission is supplied.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=50.0,
current_price=50.0)
position.update_book_cost_for_commission(asset, 15.0)
assert position.book_cost_pu == 50.15
assert position.book_cost == 5015.0
def test_position_long_twice():
"""
Tests that the properties on the Position
are calculated for two consective long trades
with differing quantities and market prices.
"""
# Initial long details
asset = 'EQ:MSFT'
quantity = 100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 193.74
order_id = 123
commission = 1.0
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Second long
second_quantity = 60
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 193.79
second_order_id = 234
second_commission = 1.0
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 160
assert position.sell_quantity == 0
assert np.isclose(position.avg_bought, 193.75875)
assert position.avg_sold == 0.0
assert position.commission == 2.0
assert position.direction == 1
assert np.isclose(position.market_value, 31006.40)
assert position.avg_price == 193.77125
assert position.net_quantity == 160
assert position.total_bought == 31001.40
assert position.total_sold == 0.0
assert position.net_total == -31001.40
assert position.net_incl_commission == -31003.40
assert np.isclose(position.unrealised_pnl, 3.0)
assert np.isclose(position.realised_pnl, 0.0)
def test_position_short_close():
"""
Tests that the properties on the Position
are calculated for a short opening trade and
subsequent closing trade.
"""
# Initial short details
asset = 'EQ:TSLA'
quantity = -100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 982.13
order_id = 123
commission = 3.18
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Closing trade
second_quantity = 100
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 982.13
second_order_id = 234
second_commission = 1.0
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 100
assert position.sell_quantity == 100
assert position.avg_bought == 982.13
assert position.avg_sold == 982.13
assert position.commission == 4.18
assert position.direction == 0
assert position.market_value == 0.0
assert position.avg_price == 0.0
assert position.net_quantity == 0
assert position.total_bought == 98213.0
assert position.total_sold == 98213.0
assert position.net_total == 0.0
assert position.net_incl_commission == -4.18
assert position.unrealised_pnl == 0.0
assert position.realised_pnl == -4.18
def test_position_short_twice():
"""
Tests that the properties on the Position
are calculated for two consective short trades
with differing quantities and market prices.
"""
# Initial short details
asset = 'EQ:MSFT'
quantity = -100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 194.55
order_id = 123
commission = 1.44
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Second short
second_quantity = -60
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 194.76
second_order_id = 234
second_commission = 1.27
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 0
assert position.sell_quantity == 160
assert position.avg_bought == 0.0
assert position.avg_sold == 194.62875
assert position.commission == 2.71
assert position.direction == -1
assert np.isclose(position.market_value, -31161.6)
assert np.isclose(position.avg_price, 194.6118125)
assert position.net_quantity == -160
assert position.total_bought == 0.0
assert position.total_sold == 31140.60
assert position.net_total == 31140.6
assert position.net_incl_commission == 31137.89
assert np.isclose(position.unrealised_pnl, -23.71)
assert np.isclose(position.realised_pnl, 0.0)
def test_position_long_close():
"""
Tests that the properties on the Position
are calculated for a long opening trade and
subsequent closing trade.
"""
# Initial long details
asset = 'EQ:AMZN'
quantity = 100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 2615.27
order_id = 123
commission = 1.0
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Closing trade
second_quantity = -100
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 2622.0
second_order_id = 234
second_commission = 6.81
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 100
assert position.sell_quantity == 100
assert position.avg_bought == 2615.27
assert position.avg_sold == 2622.0
assert position.commission == 7.81
assert position.direction == 0
assert position.market_value == 0.0
assert position.avg_price == 0.0
assert position.net_quantity == 0
assert position.total_bought == 261527.0
assert position.total_sold == 262200.0
assert position.net_total == 673.0
assert position.net_incl_commission == 665.19
assert position.unrealised_pnl == 0.0
assert position.realised_pnl == 665.19
def test_update_book_cost_for_commission_for_incorrect_asset():
"""
Tests that the 'update_book_cost_for_commission'
method, when provided with a transaction with an
asset that does not match the position's asset,
raises an Exception.
"""
asset1 = Equity('Apple, Inc.', 'AAPL')
asset2 = Equity('Amazon, Inc.', 'AMZN')
position = Position(asset1,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
with pytest.raises(Exception):
position.update_book_cost_for_commission(asset2, 23.00)
def _check_set_position(self, asset):
"""
Checks if a position exists in the positions list
and if not creates a new key, and Position instance
for this particular asset.
"""
if asset in self.positions:
position = self.positions[asset]
else:
position = Position(asset)
self.positions[asset] = position
return position
def transact_position(self, transaction):
stock_id = transaction.stock_id
if stock_id in self.positions:
self.positions[stock_id].transact(transaction)
else:
position = Position.open_from_transaction(transaction)
self.positions[stock_id] = position
# If the position has zero quantity remove it
if self.positions[stock_id].net_quantity == 0:
del self.positions[stock_id]
def test_basic_short_equities_position():
"""
Tests that the properties on the Position
are calculated for a simple short equities position.
"""
# Initial short details
asset = 'EQ:TLT'
quantity = -100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 162.39
order_id = 123
commission = 1.37
# Create the initial transaction and position
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Update the market price
new_market_price = 159.43
new_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
position.update_current_price(new_market_price, new_dt)
assert position.current_price == new_market_price
assert position.current_dt == new_dt
assert position.buy_quantity == 0
assert position.sell_quantity == 100
assert position.avg_bought == 0.0
assert position.avg_sold == 162.39
assert position.commission == 1.37
assert position.direction == -1
assert position.market_value == -15943.0
assert position.avg_price == 162.3763
assert position.net_quantity == -100
assert position.total_bought == 0.0
# np.isclose used for floating point precision
assert np.isclose(position.total_sold, 16239.0)
assert np.isclose(position.net_total, 16239.0)
assert np.isclose(position.net_incl_commission, 16237.63)
assert np.isclose(position.unrealised_pnl, 294.63)
assert np.isclose(position.realised_pnl, 0.0)
def test_update_for_incorrect_asset():
"""
Tests that the 'update' method, when provided
with a transaction with an asset that does not
match the position's asset, raises an Exception.
"""
asset1 = Equity('Apple, Inc.', 'AAPL')
asset2 = Equity('Amazon, Inc.', 'AMZN')
position = Position(asset1,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset2,
quantity=50,
dt=dt,
price=960.0,
order_id=123,
commission=None)
with pytest.raises(Exception):
position.update(transaction)
def test_position_short_goes_to_zero():
"""
Tests that the quantity and book cost are
correctly calculated for an initial short
position, where the share value goes to zero.
This should be a percentage gain of 100%.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=-100,
book_cost_pu=50.0,
current_price=50.0)
dt = pd.Timestamp('2015-05-06')
position.current_price = 0.0
position.current_trade_date = dt
assert position.quantity == -100
assert position.book_cost_pu == 50.0
assert position.direction == -1.0
assert position.current_price == 0.0
assert position.market_value == 0.0
assert position.unrealised_gain == 5000.0
assert position.unrealised_percentage_gain == 100.0
def test_position_representation():
"""
Tests that the Position representation
correctly recreates the object.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=153,
book_cost_pu=950.0,
current_price=950.0)
exp_repr = (
"Position(asset=Equity(name='Apple, Inc.', symbol='AAPL', tax_exempt=True), "
"quantity=153, book_cost_pu=950.0, current_price=950.0)")
assert repr(position) == exp_repr
def test_basic_long_equities_position():
"""
Tests that the properties on the Position
are calculated for a simple long equities position.
"""
# Initial long details
asset = 'EQ:MSFT'
quantity = 100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 193.74
order_id = 123
commission = 1.0
# Create the initial transaction and position
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Update the market price
new_market_price = 192.80
new_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
position.update_current_price(new_market_price, new_dt)
assert position.current_price == new_market_price
assert position.current_dt == new_dt
assert position.buy_quantity == 100
assert position.sell_quantity == 0
assert position.avg_bought == 193.74
assert position.avg_sold == 0.0
assert position.commission == 1.0
assert position.direction == 1
assert position.market_value == 19280.0
assert position.avg_price == 193.75
assert position.net_quantity == 100
assert position.total_bought == 19374.0
assert position.total_sold == 0.0
assert position.net_total == -19374.0
assert position.net_incl_commission == -19375.0
assert np.isclose(position.unrealised_pnl, -95.0)
assert np.isclose(position.realised_pnl, 0.0)
def transact_position(self, transaction):
"""
Execute the transaction and update the appropriate
position for the transaction's asset accordingly.
"""
asset = transaction.asset
if asset in self.positions:
self.positions[asset].transact(transaction)
else:
position = Position.open_from_transaction(transaction)
self.positions[asset] = position
# If the position has zero quantity remove it
if self.positions[asset].net_quantity == 0:
del self.positions[asset]
def _initialise_portfolio_with_cash(self):
"""
Initialise the portfolio with a (default) currency Cash Asset
with quantity equal to 'starting_cash'.
"""
cash_position = Position(self.cash_position_key,
self.starting_cash,
book_cost_pu=1.0,
current_price=1.0,
current_dt=self.current_dt)
self.pos_handler.positions[self.cash_position_key] = cash_position
if self.starting_cash > 0.0:
self.history.append(
PortfolioEvent.create_subscription(self.current_dt,
self.starting_cash,
self.starting_cash))
self.logger.info(
'(%s) Funds subscribed to portfolio "%s" '
'- Credit: %0.2f, Balance: %0.2f' %
(self.current_dt.strftime(
settings.LOGGING["DATE_FORMAT"]), self.portfolio_id,
round(self.starting_cash, 2), round(self.starting_cash, 2)))
def test_position_long_and_short():
"""
Tests that the properties on the Position
are calculated for a long trade followed by
a partial closing short trade with differing
market prices.
"""
# Initial long details
asset = 'EQ:SPY'
quantity = 100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 307.05
order_id = 123
commission = 1.0
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Short details and transaction
second_quantity = -60
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 314.91
second_order_id = 234
second_commission = 1.42
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 100
assert position.sell_quantity == 60
assert position.avg_bought == 307.05
assert position.avg_sold == 314.91
assert position.commission == 2.42
assert position.direction == 1
assert np.isclose(position.market_value, 12596.40)
assert position.avg_price == 307.06
assert position.net_quantity == 40
assert position.total_bought == 30705.0
assert np.isclose(position.total_sold, 18894.60)
assert np.isclose(position.net_total, -11810.40)
assert np.isclose(position.net_incl_commission, -11812.82)
assert np.isclose(position.unrealised_pnl, 314.0)
assert np.isclose(position.realised_pnl, 469.58)
def test_position_long_short_long_short_ending_long():
"""
Tests that the properties on the Position
are calculated for four trades consisting
of a long, short, long and short, net long
after all trades with varying quantities
and market prices.
"""
# First trade (first long)
asset = 'EQ:SPY'
quantity = 453
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 312.96
order_id = 100
commission = 1.95
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
# Second trade (first short)
quantity = -397
dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
price = 315.599924
order_id = 101
commission = 4.8
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
# Third trade (second long)
quantity = 624
dt = pd.Timestamp('2020-06-16 17:00:00', tz=pytz.UTC)
price = 312.96
order_id = 102
commission = 2.68
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
# Fourth trade (second short), now net long
quantity = -519
dt = pd.Timestamp('2020-06-16 18:00:00', tz=pytz.UTC)
price = 315.78
order_id = 103
commission = 6.28
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
assert position.buy_quantity == 1077
assert position.sell_quantity == 916
assert position.avg_bought == 312.96
assert position.avg_sold == 315.70195396069863
assert position.commission == 15.71
assert position.direction == 1
assert np.isclose(position.market_value, 50840.58)
assert position.avg_price == 312.96429897864436
assert position.net_quantity == 161
assert position.total_bought == 337057.92
assert np.isclose(position.total_sold, 289182.99)
assert np.isclose(position.net_total, -47874.93)
assert np.isclose(position.net_incl_commission, -47890.64)
assert np.isclose(position.unrealised_pnl, 453.327864438)
assert np.isclose(position.realised_pnl, 2496.61)
def test_position_short_and_long():
"""
Tests that the properties on the Position
are calculated for a short trade followed by
a partial closing long trade with differing
market prices.
"""
# Initial short details
asset = 'EQ:TLT'
quantity = -100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 162.39
order_id = 123
commission = 1.37
# Create the initial transaction and position
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Long details and transaction
second_quantity = 60
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 159.99
second_order_id = 234
second_commission = 1.0
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 60
assert position.sell_quantity == 100
assert np.isclose(position.avg_bought, 159.99)
assert position.avg_sold == 162.39
assert position.commission == 2.37
assert position.direction == -1
assert np.isclose(position.market_value, -6399.6)
assert position.avg_price == 162.3763
assert position.net_quantity == -40
assert np.isclose(position.total_bought, 9599.40)
assert np.isclose(position.total_sold, 16239.0)
assert np.isclose(position.net_total, 6639.60)
assert np.isclose(position.net_incl_commission, 6637.23)
assert np.isclose(position.unrealised_pnl, 95.452)
assert np.isclose(position.realised_pnl, 142.1779999999)
def test_position_short_long_short_long_ending_short():
"""
Tests that the properties on the Position
are calculated for four trades consisting
of a short, long, short and long ending net
short after all trades with varying quantities
and market prices.
"""
# First trade (first short)
asset = 'EQ:AGG'
quantity = -762
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 117.74
order_id = 100
commission = 5.35
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(transaction)
# Second trade (first long)
quantity = 477
dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
price = 117.875597
order_id = 101
commission = 2.31
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
# Third trade (second short)
quantity = -595
dt = pd.Timestamp('2020-06-16 17:00:00', tz=pytz.UTC)
price = 117.74
order_id = 102
commission = 4.18
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
# Fourth trade (second long), now net short
quantity = 427
dt = pd.Timestamp('2020-06-16 18:00:00', tz=pytz.UTC)
price = 117.793115
order_id = 103
commission = 2.06
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
assert position.buy_quantity == 904
assert position.sell_quantity == 1357
assert position.avg_bought == 117.83663702876107
assert position.avg_sold == 117.74
assert np.isclose(position.commission, 13.90)
assert position.direction == -1
assert np.isclose(position.market_value, -53360.281095)
assert position.avg_price == 117.73297715549005
assert position.net_quantity == -453
assert position.total_bought == 106524.31987400001
assert np.isclose(position.total_sold, 159773.18)
assert np.isclose(position.net_total, 53248.86)
assert np.isclose(position.net_incl_commission, 53234.95)
assert np.isclose(position.unrealised_pnl, -27.242443563)
assert np.isclose(position.realised_pnl, -98.0785254)
def test_position_three_longs_one_short_one_long():
"""
Tests that the quantity and book cost are
correctly calculated for three long transactions,
followed by a partial closing position, followed
by a new long position, all in the same asset.
Buy 100 qty at £1.00 -> £100
Buy 100 qty at £2.00 -> £200
Buy 200 qty at £3.00 -> £600
Total qty after 3 longs is 400, with book cost £900 (£2.25 p/u)
Sell 100 qty -> Book cost now £675 (25% holdings reduced),
still at £2.25 p/u
Buy 100 at £4.00 -> 400
Final qty is 400, but book cost is now £1,075 (£2.6875 p/u).
"""
asset = Equity('Apple, Inc.', 'AAPL')
# Initial long
position = Position(asset,
quantity=100,
book_cost_pu=1.0,
current_price=1.0)
# Second long
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=100,
dt=dt,
price=2.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 200
assert position.book_cost_pu == 1.5
# Third long
dt = pd.Timestamp('2015-05-07')
transaction = Transaction(asset,
quantity=200,
dt=dt,
price=3.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 400
assert position.book_cost_pu == 2.25
# First short
dt = pd.Timestamp('2015-05-08')
transaction = Transaction(asset,
quantity=-100,
dt=dt,
price=3.5,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 300
assert position.book_cost_pu == 2.25
# Final long
dt = pd.Timestamp('2015-05-09')
transaction = Transaction(asset,
quantity=100,
dt=dt,
price=4.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 400
assert position.book_cost_pu == 2.6875
assert position.direction == 1.0
assert position.current_price == 4.0
assert position.market_value == 1600.0
assert position.unrealised_gain == 525.0
assert position.unrealised_percentage_gain == 48.837209302325576