def test_update_sets_correct_time():
"""
Tests that the update method sets the current
time correctly.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
new_dt = pd.Timestamp('2017-10-07 08:00:00', tz=pytz.UTC)
exchange = ExchangeMock()
data_handler = DataHandlerMock()
sb = SimulatedBroker(start_dt, exchange, data_handler)
sb.update(new_dt)
assert sb.current_dt == new_dt
def test_submit_order():
"""
Tests the execute_order method for:
* Raises ValueError if no portfolio_id
* Raises ValueError if bid/ask is (np.NaN, np.NaN)
* Checks that bid/ask are correctly set dependent
upon order direction
* Checks that portfolio values are correct after
carrying out a transaction
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
# Raising KeyError if portfolio_id not in keys
exchange = ExchangeMock()
data_handler = DataHandlerMock()
sb = SimulatedBroker(start_dt, exchange, data_handler)
asset = AssetMock("Royal Dutch Shell Class B", "EQ:RDSB")
quantity = 100
order = OrderMock(asset.symbol, quantity)
with pytest.raises(KeyError):
sb.submit_order("1234", order)
# Raises ValueError if bid/ask is (np.NaN, np.NaN)
exchange_exception = ExchangeMockException()
sbnp = SimulatedBroker(start_dt, exchange_exception, data_handler)
sbnp.create_portfolio(portfolio_id=1234, name="My Portfolio #1")
quantity = 100
order = OrderMock(asset.symbol, quantity)
with pytest.raises(ValueError):
sbnp._execute_order(start_dt, "1234", order)
# Checks that bid/ask are correctly set dependent on
# order direction
# Positive direction
exchange_price = ExchangeMockPrice()
data_handler_price = DataHandlerMockPrice()
sbwp = SimulatedBroker(start_dt, exchange_price, data_handler_price)
sbwp.create_portfolio(portfolio_id=1234, name="My Portfolio #1")
sbwp.subscribe_funds_to_account(175000.0)
sbwp.subscribe_funds_to_portfolio("1234", 100000.00)
quantity = 1000
order = OrderMock(asset.symbol, quantity)
sbwp.submit_order("1234", order)
sbwp.update(start_dt)
port = sbwp.portfolios["1234"]
assert port.total_cash == 46530.0
assert port.total_non_cash_equity == 53470.0
assert port.total_equity == 100000.0
assert port.pos_handler.positions[asset.symbol].book_cost == 53470.0
assert port.pos_handler.positions[asset.symbol].unrealised_gain == 0.0
assert port.pos_handler.positions[asset.symbol].market_value == 53470.0
assert port.pos_handler.positions[asset.symbol].unrealised_percentage_gain == 0.0
assert port.pos_handler.positions[asset.symbol].quantity == 1000
# Negative direction
exchange_price = ExchangeMockPrice()
sbwp = SimulatedBroker(start_dt, exchange_price, data_handler_price)
sbwp.create_portfolio(portfolio_id=1234, name="My Portfolio #1")
sbwp.subscribe_funds_to_account(175000.0)
sbwp.subscribe_funds_to_portfolio("1234", 100000.00)
quantity = -1000
order = OrderMock(asset.symbol, quantity)
sbwp.submit_order("1234", order)
sbwp.update(start_dt)
port = sbwp.portfolios["1234"]
assert port.total_cash == 153450.0
assert port.total_non_cash_equity == -53450.0
assert port.total_equity == 100000.0
assert port.pos_handler.positions[asset.symbol].book_cost == -53450.0
assert port.pos_handler.positions[asset.symbol].unrealised_gain == 0.0
assert port.pos_handler.positions[asset.symbol].market_value == -53450.0
assert port.pos_handler.positions[asset.symbol].unrealised_percentage_gain == 0.0
assert port.pos_handler.positions[asset.symbol].quantity == -1000
