def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
order_filled = OrderFilled(
self.account_id,
order.id,
ExecutionId('E123456'),
PositionIdBroker('T123456'),
order.symbol,
order.side,
order.quantity,
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
last = Tick(AUDUSD_FXCM,
Price(1.00050, 5),
Price(1.00048, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
position = Position(PositionId('P-123456'), order_filled)
# Assert
self.assertEqual(OrderId('O-19700101-000000-001-001-1'), position.from_order_id)
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(Quantity(100000), position.peak_quantity)
self.assertEqual(OrderSide.BUY, position.entry_direction)
self.assertEqual(MarketPosition.LONG, position.market_position)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertIsNone(position.open_duration)
self.assertEqual(1.00001, position.average_open_price)
self.assertEqual(1, position.event_count)
self.assertEqual([order.id], position.get_order_ids())
self.assertEqual([ExecutionId('E123456')], position.get_execution_ids())
self.assertEqual(ExecutionId('E123456'), position.last_execution_id)
self.assertEqual(PositionIdBroker('T123456'), position.id_broker)
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, Currency.USD), position.realized_pnl)
self.assertEqual(0.0004899999999998794, position.unrealized_points(last))
self.assertEqual(0.0004899951000488789, position.unrealized_return(last))
self.assertEqual(Money(49.00, Currency.USD), position.unrealized_pnl(last))
self.assertEqual(0.0004899999999998794, position.total_points(last))
self.assertEqual(0.0004899951000488789, position.total_return(last))
self.assertEqual(Money(49.00, Currency.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))
order1_filled = OrderFilled(
self.account_id,
order1.id,
ExecutionId('E1'),
PositionIdBroker('T123456'),
order1.symbol,
order1.side,
order1.quantity,
Price(1.00000, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
order2_filled = OrderFilled(
self.account_id,
order2.id,
ExecutionId('E2'),
PositionIdBroker('T123456'),
order2.symbol,
order2.side,
order2.quantity,
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
order3_filled = OrderFilled(
self.account_id,
order3.id,
ExecutionId('E3'),
PositionIdBroker('T123456'),
order3.symbol,
order3.side,
order3.quantity,
Price(1.00010, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
last = Tick(AUDUSD_FXCM,
Price(1.00050, 5),
Price(1.00048, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
position = Position(PositionId('P-123456'), order1_filled)
position.apply(order2_filled)
position.apply(order3_filled)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(MarketPosition.FLAT, position.market_position)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.000005, position.average_open_price)
self.assertEqual(3, position.event_count)
self.assertEqual([order1.id, order2.id, order3.id], position.get_order_ids())
self.assertEqual(ExecutionId('E3'), position.last_execution_id)
self.assertEqual(PositionIdBroker('T123456'), position.id_broker)
self.assertEqual(UNIX_EPOCH, position.closed_time)
self.assertEqual(1.0001, position.average_close_price)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_closed)
self.assertEqual(9.499999999995623e-05, position.realized_points)
self.assertEqual(9.499952500233122e-05, position.realized_return)
self.assertEqual(Money(19.000, Currency.USD), position.realized_pnl)
self.assertEqual(0.0, position.unrealized_points(last))
self.assertEqual(0.0, position.unrealized_return(last))
self.assertEqual(Money(00, Currency.USD), position.unrealized_pnl(last))
self.assertEqual(9.499999999995623e-05, position.total_points(last))
self.assertEqual(9.499952500233122e-05, position.total_return(last))
self.assertEqual(Money(19.000, Currency.USD), position.total_pnl(last))
def test_position_filled_with_sell_order_then_buy_order_returns_expected_attributes(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000))
order2 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
order_filled1 = OrderFilled(
self.account_id,
order1.id,
ExecutionId('E123456'),
PositionIdBroker('T123456'),
order1.symbol,
order1.side,
order1.quantity,
Price(1.00000, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
position = Position(PositionId('P-123456'), order_filled1)
order_filled2 = OrderPartiallyFilled(
self.account_id,
order2.id,
ExecutionId('E1234561'),
PositionIdBroker('T123456'),
order2.symbol,
order2.side,
Quantity(50000),
Quantity(50000),
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
order_filled3 = OrderPartiallyFilled(
self.account_id,
order2.id,
ExecutionId('E1234562'),
PositionIdBroker('T123456'),
order2.symbol,
order2.side,
Quantity(100000),
Quantity(),
Price(1.00003, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
last = Tick(AUDUSD_FXCM,
Price(1.00050, 5),
Price(1.00048, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
position.apply(order_filled2)
position.apply(order_filled3)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(MarketPosition.FLAT, position.market_position)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.0, position.average_open_price)
self.assertEqual(3, position.event_count)
self.assertEqual([order1.id, order2.id], position.get_order_ids())
self.assertEqual(ExecutionId('E1234562'), position.last_execution_id)
self.assertEqual(PositionIdBroker('T123456'), position.id_broker)
self.assertEqual(UNIX_EPOCH, position.closed_time)
self.assertEqual(1.00003, position.average_close_price)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_closed)
self.assertEqual(-2.999999999997449e-05, position.realized_points)
self.assertEqual(-2.999999999997449e-05, position.realized_return)
self.assertEqual(Money(-3.000, Currency.USD), position.realized_pnl)
self.assertEqual(0.0, position.unrealized_points(last))
self.assertEqual(0.0, position.unrealized_return(last))
self.assertEqual(Money(00, Currency.USD), position.unrealized_pnl(last))
self.assertEqual(-2.999999999997449e-05, position.total_points(last))
self.assertEqual(-2.999999999997449e-05, position.total_return(last))
self.assertEqual(Money(-3.000, Currency.USD), position.total_pnl(last))
