hod_struct = (
("underlying_symbol", 0),
("underlying_price", 1),
("option_type", 5),
("expiration", 6),
("quote_date", 7),
("strike", 8),
("bid", 10),
("ask", 11),
("delta", 15),
("gamma", 16),
("theta", 17),
("vega", 18),
)
DATA = get(TEST_FILE_PATH_FULL, hod_struct, prompt=False)
def test_start_date(options_data):
start = datetime(1990, 1, 1)
df = start_date(options_data, start, 0)
assert not df.empty
assert all(v >= start for v in df["expiration"])
def test_start_date_ouf_of_bound(options_data):
start = datetime(1990, 1, 21)
df = start_date(options_data, start, 0)
assert df.empty
HOD_STRUCT = (
("underlying_symbol", 0),
("underlying_price", 1),
("option_type", 5),
("expiration", 6),
("quote_date", 7),
("strike", 8),
("bid", 10),
("ask", 11),
("delta", 15),
("gamma", 16),
("theta", 17),
("vega", 18),
)
DATA = get(TEST_FILE_PATH_FULL, HOD_STRUCT, prompt=False)
def test_avg_profit_long_singles():
filters = {
"start_date": datetime(2018, 1, 1),
"end_date": datetime(2018, 2, 28),
"entry_dte": 7,
"leg1_delta": 0.50,
"contract_size": 1,
"expr_type": "SPXW",
}
spread = long_call(DATA, filters)
result = spread.avg_profit()
print(spread)
assert result == 0