def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'buy_call': {
'contract': 'CALL',
'side': 'BUY',
'quantity': +1,
'strike': 80,
'price': 3.15,
'net_price': 0.0
},
'sell_call': {
'contract': 'PUT',
'side': 'SELL',
'quantity': -1,
'strike': 75,
'price': 5.6,
'net_price': -2.45
},
}
self.buy_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='VERTICAL',
contract=self.orders['buy_call']['contract'],
side=self.orders['buy_call']['side'],
quantity=self.orders['buy_call']['quantity'],
strike=self.orders['buy_call']['strike'],
price=self.orders['buy_call']['price'],
net_price=self.orders['buy_call']['net_price'])
self.sell_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='VERTICAL',
contract=self.orders['sell_call']['contract'],
side=self.orders['sell_call']['side'],
quantity=self.orders['sell_call']['quantity'],
strike=self.orders['sell_call']['strike'],
price=self.orders['sell_call']['price'],
net_price=self.orders['sell_call']['net_price'])
filled_orders = FilledOrder.objects.filter(
underlying=self.underlying).all()
self.contract_right = 100
self.short_call_vertical = StageShortCallVertical(
filled_orders=filled_orders, contract_right=self.contract_right)
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'buy_call': {'contract': 'CALL', 'side': 'BUY', 'quantity': +1,
'strike': 80, 'price': 3.15, 'net_price': 0.0},
'sell_call': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1,
'strike': 75, 'price': 5.6, 'net_price': -2.45},
}
self.buy_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='VERTICAL',
contract=self.orders['buy_call']['contract'],
side=self.orders['buy_call']['side'],
quantity=self.orders['buy_call']['quantity'],
strike=self.orders['buy_call']['strike'],
price=self.orders['buy_call']['price'],
net_price=self.orders['buy_call']['net_price']
)
self.sell_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='VERTICAL',
contract=self.orders['sell_call']['contract'],
side=self.orders['sell_call']['side'],
quantity=self.orders['sell_call']['quantity'],
strike=self.orders['sell_call']['strike'],
price=self.orders['sell_call']['price'],
net_price=self.orders['sell_call']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.contract_right = 100
self.short_call_vertical = StageShortCallVertical(
filled_orders=filled_orders, contract_right=self.contract_right
)
class TestStageShortCallVertical(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'buy_call': {'contract': 'CALL', 'side': 'BUY', 'quantity': +1,
'strike': 80, 'price': 3.15, 'net_price': 0.0},
'sell_call': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1,
'strike': 75, 'price': 5.6, 'net_price': -2.45},
}
self.buy_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='VERTICAL',
contract=self.orders['buy_call']['contract'],
side=self.orders['buy_call']['side'],
quantity=self.orders['buy_call']['quantity'],
strike=self.orders['buy_call']['strike'],
price=self.orders['buy_call']['price'],
net_price=self.orders['buy_call']['net_price']
)
self.sell_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='VERTICAL',
contract=self.orders['sell_call']['contract'],
side=self.orders['sell_call']['side'],
quantity=self.orders['sell_call']['quantity'],
strike=self.orders['sell_call']['strike'],
price=self.orders['sell_call']['price'],
net_price=self.orders['sell_call']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.contract_right = 100
self.short_call_vertical = StageShortCallVertical(
filled_orders=filled_orders, contract_right=self.contract_right
)
def test_create_even_stage(self):
"""
Create even stage using filled orders data
"""
even_stage = self.short_call_vertical.create_even_stage()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 77.55,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=even_stage, price=77.55, expect=True)
self.check_in_stage(stage_cls=even_stage, price=79.99, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=77.55, old_price=77.55, expect='UNKNOWN'
)
def test_create_max_profit_stage(self):
"""
Create even stage using filled orders data
"""
max_profit_stage = self.short_call_vertical.create_max_profit_stage()
self.method_test_create_stage(
stage=max_profit_stage,
name='MAX_PROFIT',
expression='{current_price} <= {price_a}',
detail={
'price_a': 75.0,
'amount_a': 245.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'VANISHING',
'left_expression': '{old_price} < {new_price} <= {price_a}',
'right_status': 'GUARANTEEING',
'right_expression': '{new_price} < {old_price} <= {price_a}',
}
)
self.check_in_stage(stage_cls=max_profit_stage, price=75, expect=True)
self.check_in_stage(stage_cls=max_profit_stage, price=78.25, expect=False)
self.check_get_status(max_profit_stage, new_price=74.91, old_price=74.5, expect='VANISHING')
self.check_get_status(max_profit_stage, new_price=72.9, old_price=74.5, expect='GUARANTEEING')
self.check_get_status(max_profit_stage, new_price=73.3, old_price=73.3, expect='UNKNOWN')
def test_create_max_loss_stage(self):
"""
Create even stage using filled orders data
"""
max_loss_stage = self.short_call_vertical.create_max_loss_stage()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} <= {current_price}',
detail={
'price_a': 80.0,
'amount_a': -255.00,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'EASING',
'left_expression': '{price_a} <= {new_price} < {old_price}',
'right_status': 'WORST',
'right_expression': '{price_a} <= {old_price} < {new_price}',
}
)
self.check_in_stage(stage_cls=max_loss_stage, price=80.85, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=79.22, expect=False)
self.check_get_status(max_loss_stage, new_price=81.97, old_price=82.1, expect='EASING')
self.check_get_status(max_loss_stage, new_price=83.5, old_price=82.1, expect='WORST')
self.check_get_status(max_loss_stage, new_price=82.2, old_price=82.2, expect='UNKNOWN')
def test_create_profit_stage(self):
"""
Create even stage using filled orders data
"""
profit_stage = self.short_call_vertical.create_profit_stage()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 75.00,
'amount_a': 245.00,
'price_b': 77.55,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=76.66, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=78.2, expect=False)
self.check_get_status(profit_stage, new_price=76.33, old_price=75.91, expect='DECREASING')
self.check_get_status(profit_stage, new_price=75.91, old_price=76.4, expect='PROFITING')
self.check_get_status(profit_stage, new_price=75.8, old_price=75.8, expect='UNKNOWN')
def test_create_loss_stage(self):
"""
Create even stage using filled orders data
"""
loss_stage = self.short_call_vertical.create_loss_stage()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 77.55,
'amount_a': 0.0,
'price_b': 80.0,
'amount_b': -255.00,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=79.22, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=80.46, expect=False)
self.check_get_status(loss_stage, new_price=77.93, old_price=79.77, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=79.2, old_price=78.12, expect='LOSING')
self.check_get_status(loss_stage, new_price=78.88, old_price=78.88, expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.short_call_vertical.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
class TestStageShortCallVertical(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'buy_call': {
'contract': 'CALL',
'side': 'BUY',
'quantity': +1,
'strike': 80,
'price': 3.15,
'net_price': 0.0
},
'sell_call': {
'contract': 'PUT',
'side': 'SELL',
'quantity': -1,
'strike': 75,
'price': 5.6,
'net_price': -2.45
},
}
self.buy_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='VERTICAL',
contract=self.orders['buy_call']['contract'],
side=self.orders['buy_call']['side'],
quantity=self.orders['buy_call']['quantity'],
strike=self.orders['buy_call']['strike'],
price=self.orders['buy_call']['price'],
net_price=self.orders['buy_call']['net_price'])
self.sell_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='VERTICAL',
contract=self.orders['sell_call']['contract'],
side=self.orders['sell_call']['side'],
quantity=self.orders['sell_call']['quantity'],
strike=self.orders['sell_call']['strike'],
price=self.orders['sell_call']['price'],
net_price=self.orders['sell_call']['net_price'])
filled_orders = FilledOrder.objects.filter(
underlying=self.underlying).all()
self.contract_right = 100
self.short_call_vertical = StageShortCallVertical(
filled_orders=filled_orders, contract_right=self.contract_right)
def test_create_even_stage(self):
"""
Create even stage using filled orders data
"""
even_stage = self.short_call_vertical.create_even_stage()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 77.55,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
})
self.check_in_stage(stage_cls=even_stage, price=77.55, expect=True)
self.check_in_stage(stage_cls=even_stage, price=79.99, expect=False)
self.check_get_status(stage_cls=even_stage,
new_price=77.55,
old_price=77.55,
expect='UNKNOWN')
def test_create_max_profit_stage(self):
"""
Create even stage using filled orders data
"""
max_profit_stage = self.short_call_vertical.create_max_profit_stage()
self.method_test_create_stage(
stage=max_profit_stage,
name='MAX_PROFIT',
expression='{current_price} <= {price_a}',
detail={
'price_a': 75.0,
'amount_a': 245.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'VANISHING',
'left_expression': '{old_price} < {new_price} <= {price_a}',
'right_status': 'GUARANTEEING',
'right_expression': '{new_price} < {old_price} <= {price_a}',
})
self.check_in_stage(stage_cls=max_profit_stage, price=75, expect=True)
self.check_in_stage(stage_cls=max_profit_stage,
price=78.25,
expect=False)
self.check_get_status(max_profit_stage,
new_price=74.91,
old_price=74.5,
expect='VANISHING')
self.check_get_status(max_profit_stage,
new_price=72.9,
old_price=74.5,
expect='GUARANTEEING')
self.check_get_status(max_profit_stage,
new_price=73.3,
old_price=73.3,
expect='UNKNOWN')
def test_create_max_loss_stage(self):
"""
Create even stage using filled orders data
"""
max_loss_stage = self.short_call_vertical.create_max_loss_stage()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} <= {current_price}',
detail={
'price_a': 80.0,
'amount_a': -255.00,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'EASING',
'left_expression': '{price_a} <= {new_price} < {old_price}',
'right_status': 'WORST',
'right_expression': '{price_a} <= {old_price} < {new_price}',
})
self.check_in_stage(stage_cls=max_loss_stage, price=80.85, expect=True)
self.check_in_stage(stage_cls=max_loss_stage,
price=79.22,
expect=False)
self.check_get_status(max_loss_stage,
new_price=81.97,
old_price=82.1,
expect='EASING')
self.check_get_status(max_loss_stage,
new_price=83.5,
old_price=82.1,
expect='WORST')
self.check_get_status(max_loss_stage,
new_price=82.2,
old_price=82.2,
expect='UNKNOWN')
def test_create_profit_stage(self):
"""
Create even stage using filled orders data
"""
profit_stage = self.short_call_vertical.create_profit_stage()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
75.00,
'amount_a':
245.00,
'price_b':
77.55,
'amount_b':
0.0,
'left_status':
'DECREASING',
'left_expression':
'{price_a} < {old_price} < {new_price} < {price_b}',
'right_status':
'PROFITING',
'right_expression':
'{price_a} < {new_price} < {old_price} < {price_b}',
})
self.check_in_stage(stage_cls=profit_stage, price=76.66, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=78.2, expect=False)
self.check_get_status(profit_stage,
new_price=76.33,
old_price=75.91,
expect='DECREASING')
self.check_get_status(profit_stage,
new_price=75.91,
old_price=76.4,
expect='PROFITING')
self.check_get_status(profit_stage,
new_price=75.8,
old_price=75.8,
expect='UNKNOWN')
def test_create_loss_stage(self):
"""
Create even stage using filled orders data
"""
loss_stage = self.short_call_vertical.create_loss_stage()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
77.55,
'amount_a':
0.0,
'price_b':
80.0,
'amount_b':
-255.00,
'left_status':
'RECOVERING',
'left_expression':
'{price_a} < {new_price} < {old_price} < {price_b}',
'right_status':
'LOSING',
'right_expression':
'{price_a} < {old_price} < {new_price} < {price_b}',
})
self.check_in_stage(stage_cls=loss_stage, price=79.22, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=80.46, expect=False)
self.check_get_status(loss_stage,
new_price=77.93,
old_price=79.77,
expect='RECOVERING')
self.check_get_status(loss_stage,
new_price=79.2,
old_price=78.12,
expect='LOSING')
self.check_get_status(loss_stage,
new_price=78.88,
old_price=78.88,
expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.short_call_vertical.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
