def test__calculate_pl(symbol, currency_unit):
periods = 3
dates = pd.date_range(start="2018-12-01", periods=periods)
amounts = [1.0, -1.0]
t00 = tr.Transaction(timestamp=dates[0], amount=amounts[0])
t11 = tr.Transaction(timestamp=dates[1], amount=amounts[1])
t10 = tr.Transaction(timestamp=dates[1], amount=amounts[0])
t01 = tr.Transaction(timestamp=dates[0], amount=amounts[1])
t20 = tr.Transaction(timestamp=dates[2], amount=amounts[0])
mkt = backlight.datasource.from_dataframe(
pd.DataFrame(index=dates, data=[[0], [1], [2]], columns=["mid"]),
symbol,
currency_unit,
)
trade = tr.make_trade([t00, t11])
assert module._calculate_pl(trade, mkt) == 1.0
trade = tr.make_trade([t00, t01])
assert module._calculate_pl(trade, mkt) == 0.0
trade = tr.make_trade([t11, t20])
assert module._calculate_pl(trade, mkt) == -1.0
trade = tr.make_trade([t00, t10, t20])
assert module._calculate_pl(trade, mkt) == 3.0
def test_make_trade():
periods = 2
dates = pd.date_range(start="2018-12-01", periods=periods)
amounts = range(periods)
t00 = module.Transaction(timestamp=dates[0], amount=amounts[0])
t11 = module.Transaction(timestamp=dates[1], amount=amounts[1])
t01 = module.Transaction(timestamp=dates[0], amount=amounts[1])
trade = module.make_trade([t00, t11])
expected = pd.Series(index=dates, data=amounts[:2], name="amount")
pd.testing.assert_series_equal(trade, expected)
trade = module.make_trade([t00, t01])
expected = pd.Series(index=[dates[0]],
data=[amounts[0] + amounts[1]],
name="amount")
pd.testing.assert_series_equal(trade, expected)
trade = module.make_trade([t11, t01, t00])
expected = pd.Series(index=dates,
data=[amounts[0] + amounts[1], amounts[1]],
name="amount")
pd.testing.assert_series_equal(trade, expected)