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': 85, 'price': 1.51, 'net_price': 4.66 }, } 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.long_call_vertical = StageLongCallVertical( 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': 85, 'price': 1.51, 'net_price': 4.66}, } 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.long_call_vertical = StageLongCallVertical( filled_orders=filled_orders, contract_right=self.contract_right )
class TestStageLongCallVertical(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': 85, 'price': 1.51, 'net_price': 4.66}, } 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.long_call_vertical = StageLongCallVertical( 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.long_call_vertical.create_even_stage() self.method_test_create_stage( stage=even_stage, name='EVEN', expression='{price_a} == {current_price}', detail={ 'price_a': 81.64, '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=81.64, 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=83.33, old_price=82.22, expect='UNKNOWN' ) def test_create_max_profit_stage(self): """ Create even stage using filled orders data """ max_profit_stage = self.long_call_vertical.create_max_profit_stage() self.method_test_create_stage( stage=max_profit_stage, name='MAX_PROFIT', expression='{price_a} <= {current_price}', detail={ 'price_a': 85.0, 'amount_a': 336.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': 'VANISHING', 'left_expression': '{price_a} <= {new_price} < {old_price}', 'right_status': 'GUARANTEEING', 'right_expression': '{price_a} <= {old_price} < {new_price}', } ) self.check_in_stage(stage_cls=max_profit_stage, price=86.66, expect=True) self.check_in_stage(stage_cls=max_profit_stage, price=83.2, expect=False) self.check_get_status(max_profit_stage, new_price=85.32, old_price=86.7, expect='VANISHING') self.check_get_status(max_profit_stage, new_price=86.8, old_price=86.7, expect='GUARANTEEING') self.check_get_status(max_profit_stage, new_price=85.6, old_price=85.6, expect='UNKNOWN') def test_create_max_loss_stage(self): """ Create even stage using filled orders data """ max_loss_stage = self.long_call_vertical.create_max_loss_stage() self.method_test_create_stage( stage=max_loss_stage, name='MAX_LOSS', expression='{current_price} <= {price_a}', detail={ 'price_a': 80.0, 'amount_a': 164.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': 'EASING', 'left_expression': '{old_price} < {new_price} <= {price_a}', 'right_status': 'WORST', 'right_expression': '{new_price} < {old_price} <= {price_a}', } ) self.check_in_stage(stage_cls=max_loss_stage, price=77.84, expect=True) self.check_in_stage(stage_cls=max_loss_stage, price=81, expect=False) self.check_get_status(max_loss_stage, new_price=78.18, old_price=76.96, expect='EASING') self.check_get_status(max_loss_stage, new_price=78.64, old_price=79.5, expect='WORST') self.check_get_status(max_loss_stage, new_price=79.5, old_price=79.5, expect='UNKNOWN') def test_create_profit_stage(self): """ Create even stage using filled orders data """ profit_stage = self.long_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': 81.64, 'amount_a': 0.0, 'price_b': 85.0, 'amount_b': 336.0, 'left_status': 'DECREASING', 'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}', 'right_status': 'PROFITING', 'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}', } ) self.check_in_stage(stage_cls=profit_stage, price=84.5, expect=True) self.check_in_stage(stage_cls=profit_stage, price=81.33, expect=False) self.check_get_status(profit_stage, new_price=83.5, old_price=84.5, expect='DECREASING') self.check_get_status(profit_stage, new_price=83.5, old_price=82.5, expect='PROFITING') self.check_get_status(profit_stage, new_price=82.64, old_price=82.64, expect='UNKNOWN') def test_create_loss_stage(self): """ Create even stage using filled orders data """ loss_stage = self.long_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': 80.0, 'amount_a': -164.0, 'price_b': 81.64, 'amount_b': 0.0, 'left_status': 'RECOVERING', 'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}', 'right_status': 'LOSING', 'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}', } ) self.check_in_stage(stage_cls=loss_stage, price=81.38, expect=True) self.check_in_stage(stage_cls=loss_stage, price=79.6, expect=False) self.check_get_status(loss_stage, new_price=81.13, old_price=80.22, expect='RECOVERING') self.check_get_status(loss_stage, new_price=80.75, old_price=81.13, expect='LOSING') self.check_get_status(loss_stage, new_price=80.75, old_price=80.75, expect='UNKNOWN') def test_create_stages(self): """ Test create stages using filled orders """ print 'run create_stages...' stages = self.long_call_vertical.create_stages() self.assertEqual(type(stages), list) for stage in stages: print stage self.assertEqual(type(stage), PositionStage)
class TestStageLongCallVertical(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': 85, 'price': 1.51, 'net_price': 4.66 }, } 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.long_call_vertical = StageLongCallVertical( 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.long_call_vertical.create_even_stage() self.method_test_create_stage( stage=even_stage, name='EVEN', expression='{price_a} == {current_price}', detail={ 'price_a': 81.64, '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=81.64, 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=83.33, old_price=82.22, expect='UNKNOWN') def test_create_max_profit_stage(self): """ Create even stage using filled orders data """ max_profit_stage = self.long_call_vertical.create_max_profit_stage() self.method_test_create_stage( stage=max_profit_stage, name='MAX_PROFIT', expression='{price_a} <= {current_price}', detail={ 'price_a': 85.0, 'amount_a': 336.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': 'VANISHING', 'left_expression': '{price_a} <= {new_price} < {old_price}', 'right_status': 'GUARANTEEING', 'right_expression': '{price_a} <= {old_price} < {new_price}', }) self.check_in_stage(stage_cls=max_profit_stage, price=86.66, expect=True) self.check_in_stage(stage_cls=max_profit_stage, price=83.2, expect=False) self.check_get_status(max_profit_stage, new_price=85.32, old_price=86.7, expect='VANISHING') self.check_get_status(max_profit_stage, new_price=86.8, old_price=86.7, expect='GUARANTEEING') self.check_get_status(max_profit_stage, new_price=85.6, old_price=85.6, expect='UNKNOWN') def test_create_max_loss_stage(self): """ Create even stage using filled orders data """ max_loss_stage = self.long_call_vertical.create_max_loss_stage() self.method_test_create_stage( stage=max_loss_stage, name='MAX_LOSS', expression='{current_price} <= {price_a}', detail={ 'price_a': 80.0, 'amount_a': 164.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': 'EASING', 'left_expression': '{old_price} < {new_price} <= {price_a}', 'right_status': 'WORST', 'right_expression': '{new_price} < {old_price} <= {price_a}', }) self.check_in_stage(stage_cls=max_loss_stage, price=77.84, expect=True) self.check_in_stage(stage_cls=max_loss_stage, price=81, expect=False) self.check_get_status(max_loss_stage, new_price=78.18, old_price=76.96, expect='EASING') self.check_get_status(max_loss_stage, new_price=78.64, old_price=79.5, expect='WORST') self.check_get_status(max_loss_stage, new_price=79.5, old_price=79.5, expect='UNKNOWN') def test_create_profit_stage(self): """ Create even stage using filled orders data """ profit_stage = self.long_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': 81.64, 'amount_a': 0.0, 'price_b': 85.0, 'amount_b': 336.0, 'left_status': 'DECREASING', 'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}', 'right_status': 'PROFITING', 'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}', }) self.check_in_stage(stage_cls=profit_stage, price=84.5, expect=True) self.check_in_stage(stage_cls=profit_stage, price=81.33, expect=False) self.check_get_status(profit_stage, new_price=83.5, old_price=84.5, expect='DECREASING') self.check_get_status(profit_stage, new_price=83.5, old_price=82.5, expect='PROFITING') self.check_get_status(profit_stage, new_price=82.64, old_price=82.64, expect='UNKNOWN') def test_create_loss_stage(self): """ Create even stage using filled orders data """ loss_stage = self.long_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': 80.0, 'amount_a': -164.0, 'price_b': 81.64, 'amount_b': 0.0, 'left_status': 'RECOVERING', 'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}', 'right_status': 'LOSING', 'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}', }) self.check_in_stage(stage_cls=loss_stage, price=81.38, expect=True) self.check_in_stage(stage_cls=loss_stage, price=79.6, expect=False) self.check_get_status(loss_stage, new_price=81.13, old_price=80.22, expect='RECOVERING') self.check_get_status(loss_stage, new_price=80.75, old_price=81.13, expect='LOSING') self.check_get_status(loss_stage, new_price=80.75, old_price=80.75, expect='UNKNOWN') def test_create_stages(self): """ Test create stages using filled orders """ print 'run create_stages...' stages = self.long_call_vertical.create_stages() self.assertEqual(type(stages), list) for stage in stages: print stage self.assertEqual(type(stage), PositionStage)