def test_position_filled_with_no_change_returns_expected_attributes(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
order2 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000))
fill1 = TestStubs.event_order_filled(order1)
position = Position(fill1)
fill2 = TestStubs.event_order_filled(
order2,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00000"),
)
last = QuoteTick(
AUDUSD_FXCM,
Price("1.00050"),
Price("1.00048"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
position.apply(fill2)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.0, position.avg_open_price)
self.assertEqual(2, position.event_count())
self.assertEqual({order1.cl_ord_id, order2.cl_ord_id}, position.cl_ord_ids())
self.assertEqual({
ExecutionId("E-19700101-000000-001-001-1"),
ExecutionId("E-19700101-000000-001-001-2")
},
position.execution_ids(),
)
self.assertEqual(UNIX_EPOCH, position.closed_time)
self.assertEqual(1.0, position.avg_close_price)
self.assertFalse(position.is_long())
self.assertFalse(position.is_short())
self.assertTrue(position.is_closed())
self.assertEqual(0.0, position.realized_points)
self.assertEqual(0.0, position.realized_return)
self.assertEqual(Money(0, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(0, USD), position.total_pnl(last))
def test_position_long_with_multiple_filled_orders_returns_expected_attributes(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order3 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(200000),
)
fill1 = TestStubs.event_order_filled(order1, PositionId("P-123456"), StrategyId("S", "001"))
fill2 = TestStubs.event_order_filled(order2, PositionId("P-123456"), StrategyId("S", "001"), fill_price=Price("1.00001"))
fill3 = TestStubs.event_order_filled(order3, PositionId("P-123456"), StrategyId("S", "001"), fill_price=Price("1.00010"))
last = QuoteTick(
AUDUSD_FXCM,
Price("1.00050"),
Price("1.00048"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
position = Position(fill1)
position.apply(fill2)
position.apply(fill3)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.000005, position.avg_open_price)
self.assertEqual(3, position.event_count())
self.assertEqual({order1.cl_ord_id, order2.cl_ord_id, order3.cl_ord_id}, position.cl_ord_ids())
self.assertEqual(UNIX_EPOCH, position.closed_time)
self.assertEqual(1.0001, position.avg_close_price)
self.assertFalse(position.is_long())
self.assertFalse(position.is_short())
self.assertTrue(position.is_closed())
self.assertEqual(Money(19.00, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(19.00, USD), position.total_pnl(last))
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
fill = TestStubs.event_order_filled(
order,
PositionId("P-123456"),
StrategyId("S", "001"),
Price("1.00001"),
)
last = QuoteTick(
AUDUSD_FXCM,
Price("1.00050"),
Price("1.00048"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
position = Position(fill)
# Assert
self.assertEqual(ClientOrderId("O-19700101-000000-001-001-1"), position.from_order)
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(Quantity(100000), position.peak_quantity)
self.assertEqual(OrderSide.BUY, position.entry)
self.assertEqual(PositionSide.LONG, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertIsNone(position.open_duration)
self.assertEqual(1.00001, position.avg_open_price)
self.assertEqual(1, position.event_count())
self.assertEqual({order.cl_ord_id}, position.cl_ord_ids())
self.assertEqual({ExecutionId("E-19700101-000000-001-001-1")}, position.execution_ids())
self.assertEqual(ExecutionId("E-19700101-000000-001-001-1"), position.last_execution_id())
self.assertEqual(PositionId("P-123456"), position.id)
self.assertTrue(position.is_long())
self.assertFalse(position.is_short())
self.assertFalse(position.is_closed())
self.assertEqual(0.0, position.realized_points)
self.assertEqual(0.0, position.realized_return)
self.assertEqual(Money(0, USD), position.realized_pnl)
self.assertEqual(Money(49.00, USD), position.unrealized_pnl(last))
self.assertEqual(Money(49.00, USD), position.total_pnl(last))
