def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'sell_call': {
'contract': 'CALL',
'side': 'SELL',
'quantity': -1,
'strike': 54,
'price': 0.92,
'net_price': 0.0
},
'sell_put': {
'contract': 'PUT',
'side': 'SELL',
'quantity': -1,
'strike': 54,
'price': 0.77,
'net_price': 1.69
},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['sell_call']['contract'],
side=self.orders['sell_call']['side'],
quantity=self.orders['sell_call']['quantity'],
strike=self.orders['sell_call']['strike'],
price=self.orders['sell_call']['price'],
net_price=self.orders['sell_call']['net_price'])
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['sell_put']['contract'],
side=self.orders['sell_put']['side'],
quantity=self.orders['sell_put']['quantity'],
strike=self.orders['sell_put']['strike'],
price=self.orders['sell_put']['price'],
net_price=self.orders['sell_put']['net_price'])
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.short_strangle = StageShortStraddle(
filled_orders=filled_orders, contract_right=self.contract_right)
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'sell_call': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1,
'strike': 54, 'price': 0.92, 'net_price': 0.0},
'sell_put': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1,
'strike': 54, 'price': 0.77, 'net_price': 1.69},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['sell_call']['contract'],
side=self.orders['sell_call']['side'],
quantity=self.orders['sell_call']['quantity'],
strike=self.orders['sell_call']['strike'],
price=self.orders['sell_call']['price'],
net_price=self.orders['sell_call']['net_price']
)
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['sell_put']['contract'],
side=self.orders['sell_put']['side'],
quantity=self.orders['sell_put']['quantity'],
strike=self.orders['sell_put']['strike'],
price=self.orders['sell_put']['price'],
net_price=self.orders['sell_put']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.short_strangle = StageShortStraddle(
filled_orders=filled_orders, contract_right=self.contract_right
)
class TestStageShortStraddle(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'sell_call': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1,
'strike': 54, 'price': 0.92, 'net_price': 0.0},
'sell_put': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1,
'strike': 54, 'price': 0.77, 'net_price': 1.69},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['sell_call']['contract'],
side=self.orders['sell_call']['side'],
quantity=self.orders['sell_call']['quantity'],
strike=self.orders['sell_call']['strike'],
price=self.orders['sell_call']['price'],
net_price=self.orders['sell_call']['net_price']
)
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['sell_put']['contract'],
side=self.orders['sell_put']['side'],
quantity=self.orders['sell_put']['quantity'],
strike=self.orders['sell_put']['strike'],
price=self.orders['sell_put']['price'],
net_price=self.orders['sell_put']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.short_strangle = StageShortStraddle(
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.short_strangle.create_even_stage1()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 55.69,
'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=55.69, expect=True)
self.check_in_stage(stage_cls=even_stage, price=55, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=55.69, old_price=55.69, expect='UNKNOWN'
)
def test_create_even_stage2(self):
"""
Create even stage using filled orders data
"""
even_stage = self.short_strangle.create_even_stage2()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 52.31,
'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=52.31, expect=True)
self.check_in_stage(stage_cls=even_stage, price=53, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=52.31, old_price=52.31, expect='UNKNOWN'
)
def test_create_loss_stage1(self):
"""
Create profit stage using filled orders data
"""
loss_stage = self.short_strangle.create_loss_stage1()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price}',
detail={
'price_a': 55.69,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {new_price} < {old_price}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {old_price} < {new_price}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=57, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=55, expect=False)
self.check_get_status(loss_stage, new_price=57, old_price=58, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=59, old_price=58, expect='LOSING')
self.check_get_status(loss_stage, new_price=57, old_price=57, expect='UNKNOWN')
def test_create_loss_stage2(self):
"""
Create profit stage using filled orders data
"""
loss_stage = self.short_strangle.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{current_price} < {price_a}',
detail={
'price_a': 52.31,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'RECOVERING',
'left_expression': '{old_price} < {new_price} < {price_a}',
'right_status': 'LOSING',
'right_expression': '{new_price} < {old_price} < {price_a}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=50, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=53, expect=False)
self.check_get_status(loss_stage, new_price=51.5, old_price=50, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=49.9, old_price=50, expect='LOSING')
self.check_get_status(loss_stage, new_price=50.5, old_price=50.5, expect='UNKNOWN')
def test_create_profit_stage1(self):
"""
Create loss stage using filled orders data
"""
profit_stage = self.short_strangle.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 54.0,
'amount_a': 169.0,
'price_b': 55.69,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=55, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=56, expect=False)
self.check_get_status(profit_stage, new_price=55.2, old_price=55, expect='DECREASING')
self.check_get_status(profit_stage, new_price=54.3, old_price=54.5, expect='PROFITING')
self.check_get_status(profit_stage, new_price=54, old_price=54, expect='UNKNOWN')
def test_create_profit_stage2(self):
"""
Create loss stage using filled orders data
"""
profit_stage = self.short_strangle.create_profit_stage2()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 52.31,
'amount_a': 0.0,
'price_b': 54.0,
'amount_b': 169.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=53, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=51, expect=False)
self.check_get_status(profit_stage, new_price=52.8, old_price=53.5, expect='DECREASING')
self.check_get_status(profit_stage, new_price=53.5, old_price=53, expect='PROFITING')
self.check_get_status(profit_stage, new_price=53, old_price=53, expect='UNKNOWN')
def test_create_max_profit_stage1(self):
"""
Create max profit stage using filled orders data
"""
max_profit_stage = self.short_strangle.create_max_profit_stage()
self.method_test_create_stage(
stage=max_profit_stage,
name='MAX_PROFIT',
expression='{price_a} == {current_price}',
detail={
'price_a': 54.0,
'amount_a': 169.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=max_profit_stage, price=54.0, expect=True)
self.check_in_stage(stage_cls=max_profit_stage, price=55, expect=False)
self.check_get_status(max_profit_stage, new_price=54, old_price=54, expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.short_strangle.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
class TestStageShortStraddle(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'sell_call': {
'contract': 'CALL',
'side': 'SELL',
'quantity': -1,
'strike': 54,
'price': 0.92,
'net_price': 0.0
},
'sell_put': {
'contract': 'PUT',
'side': 'SELL',
'quantity': -1,
'strike': 54,
'price': 0.77,
'net_price': 1.69
},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['sell_call']['contract'],
side=self.orders['sell_call']['side'],
quantity=self.orders['sell_call']['quantity'],
strike=self.orders['sell_call']['strike'],
price=self.orders['sell_call']['price'],
net_price=self.orders['sell_call']['net_price'])
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['sell_put']['contract'],
side=self.orders['sell_put']['side'],
quantity=self.orders['sell_put']['quantity'],
strike=self.orders['sell_put']['strike'],
price=self.orders['sell_put']['price'],
net_price=self.orders['sell_put']['net_price'])
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.short_strangle = StageShortStraddle(
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.short_strangle.create_even_stage1()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 55.69,
'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=55.69, expect=True)
self.check_in_stage(stage_cls=even_stage, price=55, expect=False)
self.check_get_status(stage_cls=even_stage,
new_price=55.69,
old_price=55.69,
expect='UNKNOWN')
def test_create_even_stage2(self):
"""
Create even stage using filled orders data
"""
even_stage = self.short_strangle.create_even_stage2()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 52.31,
'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=52.31, expect=True)
self.check_in_stage(stage_cls=even_stage, price=53, expect=False)
self.check_get_status(stage_cls=even_stage,
new_price=52.31,
old_price=52.31,
expect='UNKNOWN')
def test_create_loss_stage1(self):
"""
Create profit stage using filled orders data
"""
loss_stage = self.short_strangle.create_loss_stage1()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price}',
detail={
'price_a': 55.69,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {new_price} < {old_price}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {old_price} < {new_price}',
})
self.check_in_stage(stage_cls=loss_stage, price=57, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=55, expect=False)
self.check_get_status(loss_stage,
new_price=57,
old_price=58,
expect='RECOVERING')
self.check_get_status(loss_stage,
new_price=59,
old_price=58,
expect='LOSING')
self.check_get_status(loss_stage,
new_price=57,
old_price=57,
expect='UNKNOWN')
def test_create_loss_stage2(self):
"""
Create profit stage using filled orders data
"""
loss_stage = self.short_strangle.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{current_price} < {price_a}',
detail={
'price_a': 52.31,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'RECOVERING',
'left_expression': '{old_price} < {new_price} < {price_a}',
'right_status': 'LOSING',
'right_expression': '{new_price} < {old_price} < {price_a}',
})
self.check_in_stage(stage_cls=loss_stage, price=50, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=53, expect=False)
self.check_get_status(loss_stage,
new_price=51.5,
old_price=50,
expect='RECOVERING')
self.check_get_status(loss_stage,
new_price=49.9,
old_price=50,
expect='LOSING')
self.check_get_status(loss_stage,
new_price=50.5,
old_price=50.5,
expect='UNKNOWN')
def test_create_profit_stage1(self):
"""
Create loss stage using filled orders data
"""
profit_stage = self.short_strangle.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
54.0,
'amount_a':
169.0,
'price_b':
55.69,
'amount_b':
0.0,
'left_status':
'DECREASING',
'left_expression':
'{price_a} < {old_price} < {new_price} < {price_b}',
'right_status':
'PROFITING',
'right_expression':
'{price_a} < {new_price} < {old_price} < {price_b}',
})
self.check_in_stage(stage_cls=profit_stage, price=55, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=56, expect=False)
self.check_get_status(profit_stage,
new_price=55.2,
old_price=55,
expect='DECREASING')
self.check_get_status(profit_stage,
new_price=54.3,
old_price=54.5,
expect='PROFITING')
self.check_get_status(profit_stage,
new_price=54,
old_price=54,
expect='UNKNOWN')
def test_create_profit_stage2(self):
"""
Create loss stage using filled orders data
"""
profit_stage = self.short_strangle.create_profit_stage2()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
52.31,
'amount_a':
0.0,
'price_b':
54.0,
'amount_b':
169.0,
'left_status':
'DECREASING',
'left_expression':
'{price_a} < {new_price} < {old_price} < {price_b}',
'right_status':
'PROFITING',
'right_expression':
'{price_a} < {old_price} < {new_price} < {price_b}',
})
self.check_in_stage(stage_cls=profit_stage, price=53, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=51, expect=False)
self.check_get_status(profit_stage,
new_price=52.8,
old_price=53.5,
expect='DECREASING')
self.check_get_status(profit_stage,
new_price=53.5,
old_price=53,
expect='PROFITING')
self.check_get_status(profit_stage,
new_price=53,
old_price=53,
expect='UNKNOWN')
def test_create_max_profit_stage1(self):
"""
Create max profit stage using filled orders data
"""
max_profit_stage = self.short_strangle.create_max_profit_stage()
self.method_test_create_stage(
stage=max_profit_stage,
name='MAX_PROFIT',
expression='{price_a} == {current_price}',
detail={
'price_a': 54.0,
'amount_a': 169.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
})
self.check_in_stage(stage_cls=max_profit_stage,
price=54.0,
expect=True)
self.check_in_stage(stage_cls=max_profit_stage, price=55, expect=False)
self.check_get_status(max_profit_stage,
new_price=54,
old_price=54,
expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.short_strangle.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
