def test_repr():
tb = TradeBook("MyTradeBook")
for i in range(10):
tb.add_trade("2018-01-01", "AAA", 100, 100, "B")
assert tb.__repr__() == "MyTradeBook with 10 entries and 1 positions"
tb.add_trade("2018-01-01", "AAA", 110, 1000, "S")
assert tb.__repr__() == "MyTradeBook with 11 entries and 0 positions"
def test_repr():
tb = TradeBook('MyTradeBook')
for i in range(10):
tb.add_trade('2018-01-01', 'AAA', 100, 100, 'B')
assert tb.__repr__() == 'MyTradeBook with 10 entries and 1 positions'
tb.add_trade('2018-01-01', 'AAA', 110, 1000, 'S')
assert tb.__repr__() == 'MyTradeBook with 11 entries and 0 positions'
def __init__(self, auth=None, tradebook=None):
"""
Initialize the system
"""
self.auth = auth
self._cycle = 0
self._data = []
# Pipeline is a list of 3-tuples with function
# name being the first element, args the
# second element and kwargs the third element
self._pipeline = [
('dummy', {}),
('fetch', {}),
('process', {}),
('entry', {}),
('exit', {}),
('order', {})
]
if tradebook is None:
self.tb = TradeBook(name="TradingSystem")
else:
self.tb = tradebook
# List of options for the system
self._options = {
'max_positions': 20,
'cycle': 1e6
}
def test_positions():
tb = TradeBook()
for i in range(10):
tb.add_trade("2018-01-01", "SNP", 18000, 1, "B")
assert len(tb.positions) == 1
assert tb.positions["SNP"] == 10
for i in range(5):
tb.add_trade("2018-01-02", "SNP", 19000, 1, "S")
assert tb.positions["SNP"] == 5
tb.add_trade("2018-01-05", "QQQ", 4300, 3, "S")
assert len(tb.positions) == 2
assert tb.positions["QQQ"] == -3
def test_positions():
tb = TradeBook()
for i in range(10):
tb.add_trade('2018-01-01', 'SNP', 18000, 1, 'B')
assert len(tb.positions) == 1
assert tb.positions['SNP'] == 10
for i in range(5):
tb.add_trade('2018-01-02', 'SNP', 19000, 1, 'S')
assert tb.positions['SNP'] == 5
tb.add_trade('2018-01-05', 'QQQ', 4300, 3, 'S')
assert len(tb.positions) == 2
assert tb.positions['QQQ'] == -3
def setUp(self):
tb = TradeBook()
tb.add_trade(1, "ABC", 75, 100, "B")
tb.add_trade(1, "AAA", 76, 100, "B")
tb.add_trade(1, "XYZ", 77, 100, "S")
tb.add_trade(1, "XXX", 78, 100, "S")
self.tb = tb
def setUp(self):
tb = TradeBook()
tb.add_trade(1, 'ABC', 75, 100, 'B')
tb.add_trade(1, 'AAA', 76, 100, 'B')
tb.add_trade(1, 'XYZ', 77, 100, 'S')
tb.add_trade(1, 'XXX', 78, 100, 'S')
self.tb = tb
def test_trades():
tb = TradeBook()
for i in range(100):
tb.add_trade('2018-01-01', 'AAA', 100, 100, 'B')
assert len(tb.all_trades) == 100
tb.add_trade('2018-01-01', 'AAA', 100, 1, 'S')
assert len(tb.all_trades) == 101
counter = 101
import random
for i in range(5):
r = random.randint(0, 50)
counter += r
for j in range(r):
tb.add_trade('2018-01-01', 'MX', 100, r, 'S')
assert len(tb.all_trades) == counter
def test_trades_keyword_arguments():
tb = TradeBook()
dct = {
"timestamp": "2019-01-01",
"symbol": "AAAA",
"price": 100,
"qty": 10,
"order": "B",
}
tb.add_trade(**dct)
tb.add_trade(**dct, id=7)
tb.add_trade(**dct, tag="x")
tb.add_trade(**dct, tag="y")
assert tb.trades["AAAA"][0]["price"] == 100
assert tb.trades["AAAA"][1]["id"] == 7
assert sum([1 for d in tb.all_trades if d.get("tag")]) == 2
def test_trades():
tb = TradeBook()
for i in range(100):
tb.add_trade("2018-01-01", "AAA", 100, 100, "B")
assert len(tb.all_trades) == 100
tb.add_trade("2018-01-01", "AAA", 100, 1, "S")
assert len(tb.all_trades) == 101
counter = 101
import random
for i in range(5):
r = random.randint(0, 50)
counter += r
for j in range(r):
tb.add_trade("2018-01-01", "MX", 100, r, "S")
assert len(tb.all_trades) == counter
def test_trades_keyword_arguments():
tb = TradeBook()
dct = {
'timestamp': '2019-01-01',
'symbol': 'AAAA',
'price': 100,
'qty': 10,
'order': 'B'
}
tb.add_trade(**dct)
tb.add_trade(**dct, id=7)
tb.add_trade(**dct, tag='x')
tb.add_trade(**dct, tag='y')
assert tb.trades['AAAA'][0]['price'] == 100
assert tb.trades['AAAA'][1]['id'] == 7
assert sum([1 for d in tb.all_trades if d.get('tag')]) == 2
def test_trades_multiple_symbols():
tb = TradeBook()
symbols = list("ABCD")
trades = [10, 20, 30, 40]
for i, j in zip(symbols, trades):
for p in range(j):
if p % 5 == 0:
tb.add_trade("2019-01-01", i, 100, 10, "B", tag="mod")
else:
tb.add_trade("2019-01-01", i, 100, 10, "B")
assert len(tb.trades["A"]) == 10
assert len(tb.trades["B"]) == 20
assert len(tb.trades["C"]) == 30
assert len(tb.trades["D"]) == 40
assert len(tb.all_trades) == 100
assert sum([1 for d in tb.all_trades if d.get("tag")]) == 20
def test_trades_multiple_symbols():
tb = TradeBook()
symbols = list('ABCD')
trades = [10, 20, 30, 40]
for i, j in zip(symbols, trades):
for p in range(j):
if p % 5 == 0:
tb.add_trade('2019-01-01', i, 100, 10, 'B', tag='mod')
else:
tb.add_trade('2019-01-01', i, 100, 10, 'B')
assert len(tb.trades['A']) == 10
assert len(tb.trades['B']) == 20
assert len(tb.trades['C']) == 30
assert len(tb.trades['D']) == 40
assert len(tb.all_trades) == 100
assert sum([1 for d in tb.all_trades if d.get('tag')]) == 20
def __init__(self, auth=None, tradebook=None):
"""
Initialize the system
"""
self.auth = auth
self._cycle = 0
self._data = []
# Pipeline is a list of 3-tuples with function
# name being the first element, args the
# second element and kwargs the third element
self._pipeline = [
("dummy", {}),
("fetch", {}),
("process", {}),
("entry", {}),
("exit", {}),
("order", {}),
]
if tradebook is None:
self.tb = TradeBook(name="TradingSystem")
else:
self.tb = tradebook
# List of options for the system
self._options = {"max_positions": 20, "cycle": 1e6}
def test_name():
tb = TradeBook()
assert tb.name == "tradebook"
tb = TradeBook("myTradeBook")
assert tb.name == "myTradeBook"
def test_name():
tb = TradeBook()
assert tb.name == 'tradebook'
tb = TradeBook('myTradeBook')
assert tb.name == 'myTradeBook'