Exemple #1
0
    def setUp(self):
        TestUnitSetUpStage.setUp(self)

        self.option_order = create_filled_order(
            trade_summary=self.trade_summary,
            underlying=self.underlying,
            spread="SINGLE",
            contract="PUT",
            side="BUY",
            quantity=1,
            strike=125,
            price=3.93,
        )

        self.contract_right = 100

        filled_orders = FilledOrder.objects.filter(underlying=self.underlying)

        self.long_put = StageLongPut(filled_orders=filled_orders, contract_right=self.contract_right)
Exemple #2
0
class TestStageLongPut(TestUnitSetUpStage):
    def setUp(self):
        TestUnitSetUpStage.setUp(self)

        self.option_order = create_filled_order(
            trade_summary=self.trade_summary,
            underlying=self.underlying,
            spread="SINGLE",
            contract="PUT",
            side="BUY",
            quantity=1,
            strike=125,
            price=3.93,
        )

        self.contract_right = 100

        filled_orders = FilledOrder.objects.filter(underlying=self.underlying)

        self.long_put = StageLongPut(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_put.create_even_stage()

        self.method_test_create_stage(
            stage=even_stage,
            name="EVEN",
            expression="{price_a} == {current_price}",
            detail={
                "price_a": 121.07,
                "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=121.07, expect=True)
        self.check_in_stage(stage_cls=even_stage, price=123, expect=False)

        self.check_get_status(stage_cls=even_stage, new_price=121.07, old_price=121.07, expect="UNKNOWN")

    def test_create_max_loss_stage(self):
        """
        Create loss stage using filled orders data
        """
        max_loss_stage = self.long_put.create_max_loss_stage()

        self.method_test_create_stage(
            stage=max_loss_stage,
            name="MAX_LOSS",
            expression="{price_a} <= {current_price}",
            detail={
                "price_a": 125.00,
                "amount_a": -393.0,
                "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=126, expect=True)
        self.check_in_stage(stage_cls=max_loss_stage, price=124.6, expect=False)

        self.check_get_status(max_loss_stage, new_price=126, old_price=127, expect="EASING")
        self.check_get_status(max_loss_stage, new_price=128, old_price=127, expect="WORST")
        self.check_get_status(max_loss_stage, new_price=126, old_price=126, expect="UNKNOWN")

    def test_create_profit_stage(self):
        """
        Create profit stage using filled orders data
        """
        profit_stage = self.long_put.create_profit_stage()

        self.method_test_create_stage(
            stage=profit_stage,
            name="PROFIT",
            expression="{current_price} < {price_a}",
            detail={
                "price_a": 121.07,
                "amount_a": 0.0,
                "price_b": 0.0,
                "amount_b": 0.0,
                "left_status": "DECREASING",
                "left_expression": "{old_price} < {new_price} < {price_a}",
                "right_status": "PROFITING",
                "right_expression": "{new_price} < {old_price} < {price_a}",
            },
        )

        self.check_in_stage(stage_cls=profit_stage, price=120.5, expect=True)
        self.check_in_stage(stage_cls=profit_stage, price=123.5, expect=False)

        self.check_get_status(profit_stage, new_price=119.5, old_price=118.5, expect="DECREASING")
        self.check_get_status(profit_stage, new_price=115, old_price=118, expect="PROFITING")
        self.check_get_status(profit_stage, new_price=119.5, old_price=119.5, expect="UNKNOWN")

    def test_create_loss_stage(self):
        """
        Create loss stage using filled orders data
        """
        loss_stage = self.long_put.create_loss_stage()

        self.method_test_create_stage(
            stage=loss_stage,
            name="LOSS",
            expression="{price_a} < {current_price} < {price_b}",
            detail={
                "price_a": 121.07,
                "amount_a": 0.0,
                "price_b": 125.0,
                "amount_b": -393.0,
                "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=124.3, expect=True)
        self.check_in_stage(stage_cls=loss_stage, price=126.7, expect=False)

        self.check_get_status(loss_stage, new_price=122.5, old_price=123, expect="RECOVERING")
        self.check_get_status(loss_stage, new_price=123.5, old_price=123, expect="LOSING")
        self.check_get_status(loss_stage, new_price=123, old_price=123, expect="UNKNOWN")

    def test_create_stages(self):
        """
        Test create stages using filled orders
        """
        print "run create_stages..."
        stages = self.long_put.create_stages()
        self.assertEqual(type(stages), list)

        for stage in stages:
            print stage
            self.assertEqual(type(stage), PositionStage)