def test_transact_position(self):
"""
Update market value of current position
"""
print "Update market value with bid/ask of 2178.50/2178.75:"
self.position.update_market_value(PriceParser.parse(2190.00),
PriceParser.parse(2190.25),
datetime(2016, 1, 2))
print self.position, '\n'
self.assertEqual(self.position.action, "BOT")
self.assertEqual(self.position.ticker, "ES_0_I0B")
self.assertEqual(self.position.quantity, 2)
self.assertEqual(self.position.buys, 2)
self.assertEqual(self.position.sells, 0)
self.assertEqual(self.position.net, 2)
self.assertEqual(PriceParser.display(self.position.avg_bot, 5),
2180.50)
self.assertEqual(PriceParser.display(self.position.avg_sld, 5), 0)
self.assertEqual(PriceParser.display(self.position.total_bot),
218050.00)
self.assertEqual(PriceParser.display(self.position.total_sld), 0.0)
self.assertEqual(PriceParser.display(self.position.net_total),
218050.00)
self.assertEqual(PriceParser.display(self.position.total_commission),
4.06)
self.assertEqual(PriceParser.display(self.position.net_incl_comm),
218050.00 - 4.06)
self.assertEqual(PriceParser.display(self.position.avg_price, 5),
(218050.00 - 4.06) / 2 / 50)
self.assertEqual(PriceParser.display(self.position.cost_basis),
218050 - 4.06)
self.assertEqual(PriceParser.display(self.position.market_value),
(2190 + 2190.25) / 2 * 2 * 50)
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl),
round((((2190 + 2190.25) / 2 * 2 * 50) - (218050 - 4.06)), 2) * 1)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 0.00)
print "Sell 1 contract of current position at 2187.50 with 2.03 commission. Market at 2193.50/2193.50:"
self.position.transact_shares("SLD", 1, PriceParser.parse(2187.50),
PriceParser.parse(2.03))
self.position.update_market_value(PriceParser.parse(2193.50),
PriceParser.parse(2193.50),
datetime(2016, 1, 3))
print self.position, '\n'
self.assertEqual(self.position.quantity, 1)
self.assertEqual(self.position.buys, 2)
self.assertEqual(self.position.sells, 1)
self.assertEqual(self.position.net, 1)
self.assertEqual(PriceParser.display(self.position.avg_bot, 5),
2180.50)
self.assertEqual(PriceParser.display(self.position.avg_sld, 5),
2187.50)
self.assertEqual(PriceParser.display(self.position.total_bot),
218050.00)
self.assertEqual(PriceParser.display(self.position.total_sld),
2187.5 * 50)
self.assertEqual(PriceParser.display(self.position.net_total),
(2187.5 * 50) - 218050.00)
self.assertEqual(PriceParser.display(self.position.total_commission),
6.09)
self.assertEqual(PriceParser.display(self.position.net_incl_comm),
(2187.5 * 50) - 218050.00 - 6.09)
self.assertEqual(PriceParser.display(self.position.avg_price, 5),
(218050.00 - 4.06) / 2 / 50)
self.assertEqual(PriceParser.display(self.position.cost_basis),
round(1 * (218050.00 - 4.06) / 2 / 50 * 50, 2))
self.assertEqual(PriceParser.display(self.position.market_value),
(2193.50 + 2193.50) / 2 * 1 * 50)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl),
652.03)
self.assertEqual(PriceParser.display(self.position.realised_pnl),
347.97)
print "Sell 1 contract TO CLOSE position at 2199.00 with 2.03 commission. Market at 2199.50/2199.75:"
self.position.transact_shares("SLD", 1, PriceParser.parse(2199.00),
PriceParser.parse(2.03))
self.position.update_market_value(PriceParser.parse(2199.50),
PriceParser.parse(2199.75),
datetime(2016, 1, 3))
print self.position, '\n'
def test_transact_position(self):
"""
Update market value of current position
"""
print("Update market value with bid/ask of 2423.75.00/2424.00:")
self.position.update_market_value(PriceParser.parse(2423.75),
PriceParser.parse(2424.00),
datetime(2016, 1, 2))
print(self.position, '\n')
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "ES")
self.assertEqual(self.position.quantity, 1)
self.assertEqual(self.position.open_quantity, 1)
self.assertEqual(PriceParser.display(self.position.entry_price, 5),
round((2430.50 * 50 - 2.04) / 50, 5))
self.assertEqual(PriceParser.display(self.position.exit_price, 5), 0)
self.assertEqual(PriceParser.display(self.position.total_commission),
2.04)
self.assertEqual(PriceParser.display(self.position.cost_basis),
-50 * 2430.50 + 2.04)
self.assertEqual(PriceParser.display(self.position.market_value),
-50 * 2424.00, 2)
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl),
round((50 * 2424.00 * -1) - (50 * 2430.50 * -1 + 2.04), 2), 2)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 0.00)
print(
"Sell 3 ES @ 2422.75 with $6.12 commission. Update market value with bid/ask of 2420.75/2421.00:"
)
self.position.transact_shares("SLD", 3, PriceParser.parse(2422.75),
PriceParser.parse(6.12))
self.position.update_market_value(PriceParser.parse(2420.75),
PriceParser.parse(2421.00),
datetime(2016, 1, 3))
print(self.position, '\n')
print(self.position.bots, self.position.solds)
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "ES")
self.assertEqual(self.position.quantity, 4)
self.assertEqual(self.position.open_quantity, 4)
self.assertEqual(
PriceParser.display(self.position.entry_price, 5),
round((2430.50 * 50 - 2.04 + 3 * 2422.75 * 50 - 6.12) / 4 / 50, 5))
self.assertEqual(PriceParser.display(self.position.exit_price, 5), 0)
self.assertEqual(PriceParser.display(self.position.total_commission),
2.04 + 6.12)
self.assertEqual(PriceParser.display(self.position.cost_basis),
(-50 * 2430.50 + 2.04) + (-3 * 50 * 2422.75 + 6.12))
self.assertEqual(PriceParser.display(self.position.market_value),
-4 * 50 * 2421.00, 2)
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl),
round((-4 * 50 * 2421.00) - ((-50 * 2430.50 + 2.04) +
(-3 * 50 * 2422.75 + 6.12)), 2), 2)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 0.00)
def calculate_signals(self, event):
ticker = self.tickers[0]
if event.type == EventType.BAR and event.ticker == ticker:
d = OrderedDict()
d['timestamp'] = event.time
d['sig_ticker'] = ticker
d['sig_close'] = PriceParser.display(event.close_price)
d['trend'] = None
d['rsi'] = None
self.bars.loc[event.time] = (event.open_price, event.high_price,
event.low_price, event.close_price)
# Enough bars are present for trading
if len(self.bars) > 3:
trend = self.calc_trend(self.bars)
rsi = RSI(self.bars['close'])
d['trend'] = trend
d['rsi'] = rsi
# print ("Date: %s Ticker: %s Trend: %s RSI: %0.4f" % (
# event.time, ticker, trend, rsi)
# )
# Process Exit Signals
if self.position == 'LE' and rsi > 50:
signal = SignalEvent(ticker, "SLD")
self.events_queue.put(signal)
self.position = 'OUT'
print "%s Signal:LX %s trend:%s rsi:%0.4f" % (
event.time, ticker, trend, rsi)
if self.position == 'SE' and rsi < 50:
signal = SignalEvent(ticker, "BOT")
self.events_queue.put(signal)
self.position = 'OUT'
print "%s Signal:SX %s trend:%s rsi:%0.4f" % (
event.time, ticker, trend, rsi)
# Entry Signals
if self.position == 'OUT':
# LE
if rsi < 50:
signal = SignalEvent(ticker, "BOT")
self.events_queue.put(signal)
self.position = 'LE'
print "%s Signal:LE %s trend:%s rsi:%0.4f" % (
event.time, ticker, trend, rsi)
# SE
if rsi > 50:
signal = SignalEvent(ticker, "SLD")
self.events_queue.put(signal)
self.position = 'SE'
print "%s Signal:SE %s trend:%s rsi:%0.4f" % (
event.time, ticker, trend, rsi)
# Write explore
d['position'] = self.position
self.record_explore(d)
def test_calculate_round_trip(self):
"""
After the subsequent purchase, carry out two more buys/longs
and then close the position out with two additional sells/shorts.
"""
print("Buy 100 SPY at 239.08 with $1.00 commission. Update market value with bid/ask of 239.95/239.96:")
self.position.update_market_value(
PriceParser.parse(239.95), PriceParser.parse(239.96),
datetime(2016, 1, 2)
)
print(self.position, '\n')
self.assertEqual(self.position.action, "BOT")
self.assertEqual(self.position.ticker, "SPY")
self.assertEqual(self.position.quantity, 100)
self.assertEqual(self.position.open_quantity, 100)
self.assertEqual(PriceParser.display(self.position.entry_price, 5), (239.08*100 + 1)/100)
self.assertEqual(PriceParser.display(self.position.exit_price, 5), 0)
self.assertEqual(PriceParser.display(self.position.total_commission), 1.00)
self.assertEqual(PriceParser.display(self.position.cost_basis), 239.08*100 + 1.00)
self.assertEqual(PriceParser.display(self.position.market_value), 239.95*100 * 1, 2)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), (239.95*100 * 1) - (239.08*100 + 1.00), 2)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 0.00)
print("Buy 300 shares to add to current position at 238.90 with 1.50 commission. Market at 238.96/238.97:")
self.position.transact_shares(
"BOT", 300, PriceParser.parse(238.90), PriceParser.parse(1.50)
)
self.position.update_market_value(
PriceParser.parse(238.96), PriceParser.parse(238.97),
datetime(2016, 1, 3)
)
print(self.position, '\n')
self.assertEqual(self.position.quantity, 400)
self.assertEqual(self.position.open_quantity, 400)
self.assertEqual(PriceParser.display(self.position.entry_price, 5), (239.08*100+1 + 238.90*300+1.5)/400)
self.assertEqual(PriceParser.display(self.position.exit_price, 5), 0)
self.assertEqual(PriceParser.display(self.position.total_commission), 2.50)
self.assertEqual(PriceParser.display(self.position.cost_basis), (239.08*100+1 + 238.90*300+1.5))
self.assertEqual(PriceParser.display(self.position.market_value), 238.96 * 400, 2)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), (238.96 * 400) - (239.08*100+1 + 238.90*300+1.5), 2)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 0.00)
print("Sell 150 shares from current position at 239.05 with 1.80 commission. Market at 239.19/239.20:")
self.position.transact_shares(
"SLD", 150, PriceParser.parse(239.05), PriceParser.parse(1.80)
)
self.position.update_market_value(
PriceParser.parse(239.19), PriceParser.parse(239.20),
datetime(2016, 1, 4)
)
print(self.position, '\n')
self.assertEqual(self.position.quantity, 400)
self.assertEqual(self.position.open_quantity, 100+300-150)
self.assertEqual(PriceParser.display(self.position.entry_price, 5), (239.08*100+1 + 238.90*300+1.5)/400)
self.assertEqual(PriceParser.display(self.position.exit_price, 5), (239.05*150+1.80)/150)
self.assertEqual(PriceParser.display(self.position.total_commission), 4.30)
self.assertEqual(PriceParser.display(self.position.cost_basis), (238.90*250)+(250/300*1.5))
self.assertEqual(PriceParser.display(self.position.market_value), 239.19 * 250)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), (239.19 * 250) - ((238.90*250)+(250/300*1.5)), 2)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 1.45)
print("Buy 250 shares adding to current position at 239.39 with 1.25 commission. Market at 245.24/245.25:")
self.position.transact_shares(
"BOT", 250, PriceParser.parse(239.39), PriceParser.parse(1.25)
)
self.position.update_market_value(
PriceParser.parse(245.24), PriceParser.parse(245.25),
datetime(2016, 1, 5)
)
print(self.position, '\n')
self.assertEqual(self.position.quantity, 650)
self.assertEqual(self.position.open_quantity, 100+300-150+250)
self.assertEqual(PriceParser.display(self.position.entry_price, 5), round((239.08*100+1 + 238.90*300+1.5 + 239.39*250+1.25)/650, 5))
self.assertEqual(PriceParser.display(self.position.exit_price, 5), (239.05*150+1.80)/150)
self.assertEqual(PriceParser.display(self.position.total_commission), 5.55)
self.assertEqual(PriceParser.display(self.position.cost_basis), (238.90*250)+(250/300*1.5)+(239.39*250+1.25))
self.assertEqual(PriceParser.display(self.position.market_value), 245.24 * 500)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), (245.24 * 500) - ((238.90*250)+(250/300*1.5)+(239.39*250+1.25)), 2)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 1.45)
print("Sell 500 shares to close position at 244.09 with 5.22 commission. Market at 244.09/244.10:")
self.position.transact_shares(
"SLD", 500, PriceParser.parse(244.09), PriceParser.parse(5.22)
)
self.position.update_market_value(
PriceParser.parse(244.09), PriceParser.parse(244.10),
datetime(2016, 1, 6)
)
print(self.position, '\n')
self.assertEqual(self.position.quantity, 650)
self.assertEqual(self.position.open_quantity, 100+300-150+250-500)
self.assertEqual(PriceParser.display(self.position.entry_price, 5), round((239.08*100+1 + 238.90*300+1.5 + 239.39*250+1.25)/650, 5))
self.assertEqual(PriceParser.display(self.position.exit_price, 5), round((239.05*150+1.80 + 244.09*500+5.22)/(150+500), 5))
self.assertEqual(PriceParser.display(self.position.total_commission), 5.55+5.22)
self.assertEqual(PriceParser.display(self.position.cost_basis), 0)
self.assertEqual(PriceParser.display(self.position.market_value), 0)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), 0)
self.assertEqual(PriceParser.display(self.position.realised_pnl), round(1.45+(244.09-238.90)*250-250/300*1.5+(244.09-239.39)*250-1.25-5.22, 2))
def test_calculate_round_trip(self):
"""
After the subsequent purchase, carry out two more buys/longs
and then close the position out with two additional sells/shorts.
"""
print(
"Sell 400 SPY at 244.15 with $4.18 commission. Update market value with bid/ask of 244.05/244.06:"
)
self.position.update_market_value(PriceParser.parse(244.05),
PriceParser.parse(244.06),
datetime(2016, 1, 2))
print(self.position, '\n')
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "SPY")
self.assertEqual(self.position.quantity, 400)
self.assertEqual(self.position.open_quantity, 400)
self.assertEqual(PriceParser.display(self.position.entry_price, 5),
(244.15 * 400 - 4.18) / 400)
self.assertEqual(PriceParser.display(self.position.exit_price, 5), 0)
self.assertEqual(PriceParser.display(self.position.total_commission),
4.18)
self.assertEqual(PriceParser.display(self.position.cost_basis),
-1 * 244.15 * 400 + 4.18)
self.assertEqual(PriceParser.display(self.position.market_value),
-1 * 244.06 * 400, 2)
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl),
round((-1 * 244.06 * 400) - (-1 * 244.15 * 400 + 4.18), 2), 2)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 0.00)
print(
"Sell 250 SPY at 243.88 with $2.61 commission. Update market value with bid/ask of 243.47/243.48:"
)
self.position.transact_shares("SLD", 250, PriceParser.parse(243.88),
PriceParser.parse(2.61))
self.position.update_market_value(PriceParser.parse(243.47),
PriceParser.parse(243.48),
datetime(2016, 1, 3))
print(self.position, '\n')
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "SPY")
self.assertEqual(self.position.quantity, 400 + 250)
self.assertEqual(self.position.open_quantity, 400 + 250)
self.assertEqual(
PriceParser.display(self.position.entry_price, 5),
round((244.15 * 400 + 4.18 + 243.88 * 250 + 2.61) / 650, 5))
self.assertEqual(PriceParser.display(self.position.exit_price, 5), 0)
self.assertEqual(PriceParser.display(self.position.total_commission),
round(4.18 + 2.61, 2))
self.assertEqual(
PriceParser.display(self.position.cost_basis),
round(-1 * 244.15 * 400 + 4.18 - 1 * 243.88 * 250 + 2.61, 2))
self.assertEqual(PriceParser.display(self.position.market_value),
-1 * 243.48 * 650, 2)
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl),
round((-1 * 243.48 * 650) -
(-1 * 244.15 * 400 + 4.18 - 1 * 243.88 * 250 + 2.61), 2), 2)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 0.00)
print(
"Sell 150 SPY at 243.50 with $1.81 commission. Update market value with bid/ask of 243.50/243.51:"
)
self.position.transact_shares("SLD", 150, PriceParser.parse(243.50),
PriceParser.parse(1.81))
self.position.update_market_value(PriceParser.parse(243.50),
PriceParser.parse(243.51),
datetime(2016, 1, 4))
print(self.position, '\n')
print("bots:", self.position.bots)
print("solds:", self.position.solds)
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "SPY")
self.assertEqual(self.position.quantity, 400 + 250 + 150)
self.assertEqual(self.position.open_quantity, 400 + 250 + 150)
self.assertEqual(
PriceParser.display(self.position.entry_price, 5),
round((244.15 * 400 + 4.18 + 243.88 * 250 + 2.61 + 243.50 * 150 +
1.81) / 800, 5))
self.assertEqual(PriceParser.display(self.position.exit_price, 5), 0)
self.assertEqual(PriceParser.display(self.position.total_commission),
round(4.18 + 2.61 + 1.81, 2))
self.assertEqual(
PriceParser.display(self.position.cost_basis),
round(
-1 * 244.15 * 400 + 4.18 - 1 * 243.88 * 250 + 2.61 -
1 * 243.50 * 150 + 1.81, 2))
self.assertEqual(PriceParser.display(self.position.market_value),
-1 * 243.51 * 800, 2)
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl),
round((-1 * 243.51 * 800) -
(-1 * 244.15 * 400 + 4.18 - 1 * 243.88 * 250 + 2.61 -
1 * 243.50 * 150 + 1.81), 2), 2)
self.assertEqual(PriceParser.display(self.position.realised_pnl), 0.00)
print(
"Buy 50 SPY at 243.77 with $1.00 commission. Update market value with bid/ask of 243.84/243.86:"
)
self.position.transact_shares("BOT", 50, PriceParser.parse(243.77),
PriceParser.parse(1.00))
self.position.update_market_value(PriceParser.parse(243.84),
PriceParser.parse(243.86),
datetime(2016, 1, 5))
print(self.position, '\n')
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "SPY")
self.assertEqual(self.position.quantity, 400 + 250 + 150)
self.assertEqual(self.position.open_quantity, 400 + 250 + 150 - 50)
self.assertEqual(
PriceParser.display(self.position.entry_price, 5),
round((244.15 * 400 + 4.18 + 243.88 * 250 + 2.61 + 243.50 * 150 +
1.81) / 800, 5))
self.assertEqual(PriceParser.display(self.position.exit_price, 5),
(243.77 * 50 + 1) / 50)
self.assertEqual(PriceParser.display(self.position.total_commission),
round(4.18 + 2.61 + 1.81 + 1, 2))
self.assertEqual(
PriceParser.display(self.position.cost_basis),
round(
-1 * 244.15 * 350 + 350 / 400 * 4.18 - 1 * 243.88 * 250 +
2.61 - 1 * 243.50 * 150 + 1.81, 4))
self.assertEqual(PriceParser.display(self.position.market_value),
-1 * 243.86 * 750, 2)
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl),
round((-1 * 243.86 * 750) -
(-1 * 244.15 * 350 + 350 / 400 * 4.18 - 1 * 243.88 * 250 +
2.61 - 1 * 243.50 * 150 + 1.81), 4))
self.assertEqual(PriceParser.display(self.position.realised_pnl),
17.4775)
print(
"Buy 750 SPY at 244.29 with $3.75 commission. Update market value with bid/ask of 243.84/243.86:"
)
self.position.transact_shares("BOT", 750, PriceParser.parse(244.29),
PriceParser.parse(3.75))
self.position.update_market_value(PriceParser.parse(243.29),
PriceParser.parse(243.29),
datetime(2016, 1, 6))
print(self.position, '\n')
print("bots:", self.position.bots)
print("solds:", self.position.solds)
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "SPY")
self.assertEqual(self.position.quantity, 400 + 250 + 150)
self.assertEqual(self.position.open_quantity,
400 + 250 + 150 - 50 - 750)
self.assertEqual(
PriceParser.display(self.position.entry_price, 5),
round((244.15 * 400 + 4.18 + 243.88 * 250 + 2.61 + 243.50 * 150 +
1.81) / 800, 5))
self.assertEqual(
PriceParser.display(self.position.exit_price, 5),
round((243.77 * 50 + 1 + 244.29 * 750 + 3.75) / 800, 5))
self.assertEqual(PriceParser.display(self.position.total_commission),
round(4.18 + 2.61 + 1.81 + 1 + 3.75, 2))
self.assertEqual(PriceParser.display(self.position.cost_basis), 0)
self.assertEqual(PriceParser.display(self.position.market_value), 0)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), 0)
self.assertEqual(PriceParser.display(self.position.realised_pnl),
-264.35)
def test_enter_long_position(self):
"""
Initial entry
"""
print(
"Buy 4352 XIV at 15.01 with $1.00 commission. Update market value with bid/ask of 15.01/15.01:"
)
self.position.update_market_value(PriceParser.parse(15.01),
PriceParser.parse(15.01),
datetime(2011, 2, 4))
print(self.position, '\n')
self.assertEqual(self.position.action, "BOT")
self.assertEqual(self.position.ticker, "XIV")
self.assertEqual(self.position.quantity, 4352)
self.assertEqual(self.position.buys, 4352)
self.assertEqual(self.position.sells, 0)
self.assertEqual(self.position.net, 4352)
self.assertEqual(PriceParser.display(self.position.avg_bot, 5), 15.01)
self.assertEqual(PriceParser.display(self.position.avg_sld, 5), 0)
self.assertEqual(PriceParser.display(self.position.total_bot),
15.01 * 4352)
self.assertEqual(PriceParser.display(self.position.total_sld), 0)
self.assertEqual(PriceParser.display(self.position.net_total),
15.01 * 4352)
self.assertEqual(PriceParser.display(self.position.total_commission),
1.00)
self.assertEqual(PriceParser.display(self.position.net_incl_comm),
15.01 * 4352 - 1.00)
self.assertEqual(PriceParser.display(self.position.avg_price, 5),
round((15.01 * 4352 + 1.00) / 4352 / 1, 5))
self.assertEqual(PriceParser.display(self.position.cost_basis, 2),
15.01 * 4352 + 1.00)
self.assertEqual(PriceParser.display(self.position.market_value),
round(((15.01 + 15.01) / 2 * 4352 * 1), 2))
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl, 2),
round(((15.01 + 15.01) / 2 * 4352 * 1) - (15.01 * 4352 + 1.00), 2))
self.assertEqual(PriceParser.display(self.position.realised_pnl, 2),
0.00)
print(
"Sell 2188 shares of current position at 15.24 with 1.00 commission. Market at 15.24/15.24:"
)
self.position.transact_shares("SLD", 2188, PriceParser.parse(15.24),
PriceParser.parse(1.00))
self.position.update_market_value(PriceParser.parse(15.24),
PriceParser.parse(15.24),
datetime(2011, 2, 7))
print(self.position, '\n')
self.assertEqual(self.position.buys, 4352)
self.assertEqual(self.position.sells, 2188)
self.assertEqual(self.position.net, 4352 - 2188)
self.assertEqual(PriceParser.display(self.position.avg_bot, 5),
round((15.01 * 4352) / 4352, 5))
self.assertEqual(PriceParser.display(self.position.avg_sld, 5),
round((15.24 * 2188) / 2188, 5))
self.assertEqual(PriceParser.display(self.position.total_bot),
15.01 * 4352)
self.assertEqual(PriceParser.display(self.position.total_sld),
15.24 * 2188)
self.assertEqual(PriceParser.display(self.position.net_total),
round(15.24 * 2188 - (15.01 * 4352), 2))
self.assertEqual(PriceParser.display(self.position.total_commission),
2.00)
self.assertEqual(PriceParser.display(self.position.net_incl_comm),
round(((15.24 * 2188) - (15.01 * 4352)) - 2.00, 2))
self.assertEqual(PriceParser.display(self.position.avg_price, 5),
round((15.01 * 4352 + 1) / 4352, 5))
self.assertEqual(PriceParser.display(self.position.cost_basis, 2),
32482.14) #15.01*(4352-2188) + 1)
self.assertEqual(PriceParser.display(self.position.market_value),
round((15.24 * (4352 - 2188) * 1), 2))
self.assertEqual(PriceParser.display(self.position.unrealised_pnl, 2),
round((15.24 * (4352 - 2188) * 1) - (32482.14), 2))
self.assertEqual(PriceParser.display(self.position.realised_pnl),
(15.24 - 15.01) * 2188 - 2)
print(
"Sell 75 shares from current position at 220.85 with 1.37 commission. Market at 220.85/220.86:"
)
self.position.transact_shares("SLD", 75, PriceParser.parse(220.85),
PriceParser.parse(1.37))
self.position.update_market_value(PriceParser.parse(220.85),
PriceParser.parse(220.86),
datetime(2016, 1, 3))
print(self.position, '\n')
self.assertEqual(self.position.buys, 150)
self.assertEqual(self.position.sells, 75)
self.assertEqual(self.position.net, 75)
self.assertEqual(PriceParser.display(self.position.avg_bot, 5),
round((220.45 * 100 + 220.35 * 50) / 150, 5))
self.assertEqual(PriceParser.display(self.position.avg_sld, 5),
220.85 * 75 / 75)
self.assertEqual(PriceParser.display(self.position.total_bot),
220.45 * 100 + 220.35 * 50)
self.assertEqual(PriceParser.display(self.position.total_sld),
220.85 * 75)
self.assertEqual(PriceParser.display(self.position.net_total),
(220.85 * 75) - (220.45 * 100 + 220.35 * 50))
self.assertEqual(PriceParser.display(self.position.total_commission),
3.37)
self.assertEqual(PriceParser.display(self.position.net_incl_comm),
((220.85 * 75) - (220.45 * 100 + 220.35 * 50)) - 3.37)
self.assertEqual(PriceParser.display(self.position.avg_price, 5),
(220.45 * 100 + 220.35 * 50 + 2.00) / 150 / 1)
self.assertEqual(PriceParser.display(self.position.cost_basis),
((220.45 * 100 + 220.35 * 50 + 2.00) / 150) * 75)
self.assertEqual(PriceParser.display(self.position.market_value),
round(((220.85 + 220.86) / 2 * 75 * 1), 2))
self.assertEqual(
PriceParser.display(self.position.unrealised_pnl),
round(((220.85 + 220.86) / 2 * 75 * 1) -
((220.45 * 100 + 220.35 * 50 + 2.00) / 150) * 75, 2))
self.assertEqual(
PriceParser.display(self.position.realised_pnl), (220.85 * 75) -
((220.45 * 100 + 220.35 * 50 + 2.00) / 150) * 75 - 1.37)
print(
"Sell 75 shares from current position at 221.24 with 1.37 commission. Market at 221.24/221.25:"
)
self.position.transact_shares("SLD", 75, PriceParser.parse(221.24),
PriceParser.parse(1.37))
self.position.update_market_value(PriceParser.parse(221.24),
PriceParser.parse(221.25),
datetime(2016, 1, 3))
print(self.position, '\n')
self.assertEqual(self.position.buys, 150)
self.assertEqual(self.position.sells, 150)
self.assertEqual(self.position.net, 0)
self.assertEqual(PriceParser.display(self.position.avg_bot, 5),
round((220.45 * 100 + 220.35 * 50) / 150, 5))
self.assertEqual(PriceParser.display(self.position.avg_sld, 5),
(220.85 * 75 + 221.24 * 75) / 150)
self.assertEqual(PriceParser.display(self.position.total_bot),
220.45 * 100 + 220.35 * 50)
self.assertEqual(PriceParser.display(self.position.total_sld),
220.85 * 75 + 221.24 * 75)
self.assertEqual(PriceParser.display(self.position.net_total),
(220.85 * 75 + 221.24 * 75) -
(220.45 * 100 + 220.35 * 50))
self.assertEqual(PriceParser.display(self.position.total_commission),
3.37 + 1.37)
self.assertEqual(
PriceParser.display(self.position.net_incl_comm),
round(((220.85 * 75 + 221.24 * 75) -
(220.45 * 100 + 220.35 * 50)) - 3.37 - 1.37, 2))
self.assertEqual(PriceParser.display(self.position.avg_price, 5),
(220.45 * 100 + 220.35 * 50 + 2.00) / 150 / 1)
self.assertEqual(PriceParser.display(self.position.cost_basis), 0)
self.assertEqual(PriceParser.display(self.position.market_value), 0)
self.assertEqual(PriceParser.display(self.position.unrealised_pnl), 0)
self.assertEqual(
PriceParser.display(self.position.realised_pnl),
round((220.85 * 75) -
((220.45 * 100 + 220.35 * 50 + 2.00) / 150) * 75 - 1.37 +
(221.24 * 75) -
((220.45 * 100 + 220.35 * 50 + 2.00) / 150) * 75 - 1.37, 2))
def test_calculate_round_trip(self):
"""
Purchase/sell multiple lots of AMZN and GOOG
at various prices/commissions to check the
arithmetic and cost handling.
"""
self.portfolio.transact_position(
"SLD", "AMZN", 100,
PriceParser.parse(566.56), PriceParser.parse(1.00)
)
# Buy 300 of AMZN over two transactions
self.portfolio.transact_position(
"BOT", "AMZN", 100,
PriceParser.parse(566.56), PriceParser.parse(1.00)
)
self.portfolio.transact_position(
"BOT", "AMZN", 200,
PriceParser.parse(566.395), PriceParser.parse(1.00)
)
# Buy 200 GOOG over one transaction
self.portfolio.transact_position(
"BOT", "GOOG", 200,
PriceParser.parse(707.50), PriceParser.parse(1.00)
)
# Add to the AMZN position by 100 shares
self.portfolio.transact_position(
"SLD", "AMZN", 100,
PriceParser.parse(565.83), PriceParser.parse(1.00)
)
# Add to the GOOG position by 200 shares
self.portfolio.transact_position(
"BOT", "GOOG", 200,
PriceParser.parse(705.545), PriceParser.parse(1.00)
)
# Sell 200 of the AMZN shares
self.portfolio.transact_position(
"SLD", "AMZN", 200,
PriceParser.parse(565.59), PriceParser.parse(1.00)
)
# Multiple transactions bundled into one (in IB)
# Sell 300 GOOG from the portfolio
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(704.92), PriceParser.parse(1.00)
)
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(704.90), PriceParser.parse(0.00)
)
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(704.92), PriceParser.parse(0.50)
)
# Finally, sell the remaining GOOG 100 shares
self.portfolio.transact_position(
"SLD", "GOOG", 100,
PriceParser.parse(704.78), PriceParser.parse(1.00)
)
# The figures below are derived from Interactive Brokers
# demo account using the above trades with prices provided
# by their demo feed.
self.assertEqual(len(self.portfolio.positions), 0)
self.assertEqual(len(self.portfolio.closed_positions), 2)
self.assertEqual(PriceParser.display(self.portfolio.cur_cash), 499100.50)
self.assertEqual(PriceParser.display(self.portfolio.equity), 499100.50)
self.assertEqual(PriceParser.display(self.portfolio.unrealised_pnl), 0.00)
self.assertEqual(PriceParser.display(self.portfolio.realised_pnl), -899.50)