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_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_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_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_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_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