def setUp(self): self.sym = "EURUSD" self.aEq = self.assertEqual self.aIn = self.assertIn self.aRaise = self.assertRaises self.pl = PositionList()
def setUp(self): self.sym = "EURUSD" self.aEq = self.assertEqual self.aIn = self.assertIn self.aRaise = self.assertRaises self.pl = PositionList()
class TestPositionList(unittest.TestCase):
def setUp(self):
self.sym = "EURUSD"
self.aEq = self.assertEqual
self.aIn = self.assertIn
self.aRaise = self.assertRaises
self.pl = PositionList()
#self.ob = OrderBook(debug=False)
def tearDown(self):
pass
def testAddEmpty(self):
o = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p = self.pl.add(o, datetime.now())
self.aEq(self.pl.open, [p])
self.aEq(p.order_id, o.id)
def testAddEmptyLevel(self):
o = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p = self.pl.add(o, datetime.now(), level=2.0)
self.aEq(p.entry, 2.0)
self.aEq(p.mark, 2.0)
self.aEq(self.pl.open, [p])
def testAddTriggered(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=1.1000, size=-10000)
o1.trigger(o2)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
self.aEq([p1], self.pl.closed)
self.aEq([], self.pl.open)
def testAddLink(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=1.1000, size=-10000, link=o1.id)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
self.aEq([p1], self.pl.closed)
self.aEq([], self.pl.open)
def testMark(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order("NOPE", dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o1, datetime.now())
p3 = self.pl.add(o2, datetime.now())
b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506")
self.pl.mark(b1)
#mark should update p1 & p2 but not p3
self.aEq(p1.mark, b1.cl)
self.aEq(p2.mark, b1.cl)
self.aEq(p3.mark, o2.level)
def testRewind(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.rewind(o1.id)
self.aEq(p1, p2)
self.aEq([], self.pl.open)
self.aEq([p1], self.pl.rewinded)
def testClose(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
self.pl.close(p1)
self.aEq([], self.pl.open)
self.aEq([p1], self.pl.closed)
self.aEq(p1.exit, o1.level)
self.aEq(p1.exit, p1.mark)
def testCloseMark(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
#close @ a specified mark level
self.pl.close(p1, mark_level=2.0)
self.aEq([], self.pl.open)
self.aEq([p1], self.pl.closed)
self.aEq(p1.exit, 2.0)
def testCloseAll(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o4 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
p3 = self.pl.add(o2, datetime.now())
p4 = self.pl.add(o2, datetime.now())
self.pl.close_all()
self.aEq([], self.pl.open)
self.aEq([p1, p2, p3, p4], self.pl.closed)
def testNetSize(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=100)
o2 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=1000)
o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
for o in (o1, o2, o3):
self.pl.add(o, datetime.now())
self.aEq(self.pl.net_size(), 11100)
def testValue(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order(self.sym, dir=Order.SELL, type=Order.MARKET, level=1.0000, size=-10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
#mark = entry
self.aEq(self.pl.value(), 0)
p1.mark = 1.0001
self.aEq(round(self.pl.value()), 1)
p2.mark = 0.9998
self.aEq(round(self.pl.value()), 3)
p1.mark = 0.9999
self.aEq(round(self.pl.value()), 1)
p2.mark = 1.0001
self.aEq(round(self.pl.value()), -2)
def testSymOpen(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order("NOPE", dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
p3 = self.pl.add(o3, datetime.now())
self.aEq(self.pl.sym_open(self.sym), [p1, p3])
self.aEq(self.pl.sym_open("NOPE"), [p2])
self.aEq(self.pl.sym_open("PETE"), [])
self.aEq(self.pl.sym_open(None), [])
class TestPositionList(unittest.TestCase):
def setUp(self):
self.sym = "EURUSD"
self.aEq = self.assertEqual
self.aIn = self.assertIn
self.aRaise = self.assertRaises
self.pl = PositionList()
#self.ob = OrderBook(debug=False)
def tearDown(self):
pass
def testAddEmpty(self):
o = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p = self.pl.add(o, datetime.now())
self.aEq(self.pl.open, [p])
self.aEq(p.order_id, o.id)
def testAddEmptyLevel(self):
o = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p = self.pl.add(o, datetime.now(), level=2.0)
self.aEq(p.entry, 2.0)
self.aEq(p.mark, 2.0)
self.aEq(self.pl.open, [p])
def testAddTriggered(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=1.1000, size=-10000)
o1.trigger(o2)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
self.aEq([p1], self.pl.closed)
self.aEq([], self.pl.open)
def testAddLink(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=1.1000, size=-10000, link=o1.id)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
self.aEq([p1], self.pl.closed)
self.aEq([], self.pl.open)
def testMark(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order("NOPE", dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o1, datetime.now())
p3 = self.pl.add(o2, datetime.now())
b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506")
self.pl.mark(b1)
#mark should update p1 & p2 but not p3
self.aEq(p1.mark, b1.cl)
self.aEq(p2.mark, b1.cl)
self.aEq(p3.mark, o2.level)
def testRewind(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.rewind(o1.id)
self.aEq(p1, p2)
self.aEq([], self.pl.open)
self.aEq([p1], self.pl.rewinded)
def testClose(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
self.pl.close(p1)
self.aEq([], self.pl.open)
self.aEq([p1], self.pl.closed)
self.aEq(p1.exit, o1.level)
self.aEq(p1.exit, p1.mark)
def testCloseMark(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
#close @ a specified mark level
self.pl.close(p1, mark_level=2.0)
self.aEq([], self.pl.open)
self.aEq([p1], self.pl.closed)
self.aEq(p1.exit, 2.0)
def testCloseAll(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o4 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
p3 = self.pl.add(o2, datetime.now())
p4 = self.pl.add(o2, datetime.now())
self.pl.close_all()
self.aEq([], self.pl.open)
self.aEq([p1, p2, p3, p4], self.pl.closed)
def testNetSize(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=100)
o2 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=1000)
o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
for o in (o1, o2, o3):
self.pl.add(o, datetime.now())
self.aEq(self.pl.net_size(), 11100)
def testValue(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order(self.sym, dir=Order.SELL, type=Order.MARKET, level=1.0000, size=-10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
#mark = entry
self.aEq(self.pl.value(), 0)
p1.mark = 1.0001
self.aEq(self.pl.value(), 1)
p2.mark = 0.9998
self.aEq(self.pl.value(), 3)
p1.mark = 0.9999
self.aEq(self.pl.value(), 1)
p2.mark = 1.0001
self.aEq(self.pl.value(), -2)
def testSymOpen(self):
o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o2 = Order("NOPE", dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
p3 = self.pl.add(o3, datetime.now())
self.aEq(self.pl.sym_open(self.sym), [p1, p3])
self.aEq(self.pl.sym_open("NOPE"), [p2])
self.aEq(self.pl.sym_open("PETE"), [])
self.aEq(self.pl.sym_open(None), [])