def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'stock': {
'contract': 'STOCK',
'side': 'BUY',
'quantity': 100,
'strike': 0,
'price': 55.95,
'net_price': 0.0
},
'option': {
'contract': 'PUT',
'side': 'BUY',
'quantity': 1,
'strike': 55,
'price': 1.04,
'net_price': 56.99
},
}
self.stock_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['stock']['contract'],
side=self.orders['stock']['side'],
quantity=self.orders['stock']['quantity'],
strike=self.orders['stock']['strike'],
price=self.orders['stock']['price'],
net_price=self.orders['stock']['net_price'])
self.option_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['option']['contract'],
side=self.orders['option']['side'],
quantity=self.orders['option']['quantity'],
strike=self.orders['option']['strike'],
price=self.orders['option']['price'],
net_price=self.orders['option']['net_price'])
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.protective_put = StageProtectivePut(filled_orders=filled_orders)
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'stock': {'contract': 'STOCK', 'side': 'BUY', 'quantity': 100,
'strike': 0, 'price': 55.95, 'net_price': 0.0},
'option': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1,
'strike': 55, 'price': 1.04, 'net_price': 56.99},
}
self.stock_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['stock']['contract'],
side=self.orders['stock']['side'],
quantity=self.orders['stock']['quantity'],
strike=self.orders['stock']['strike'],
price=self.orders['stock']['price'],
net_price=self.orders['stock']['net_price']
)
self.option_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['option']['contract'],
side=self.orders['option']['side'],
quantity=self.orders['option']['quantity'],
strike=self.orders['option']['strike'],
price=self.orders['option']['price'],
net_price=self.orders['option']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.protective_put = StageProtectivePut(filled_orders=filled_orders)
class TestStageProtectivePut(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'stock': {'contract': 'STOCK', 'side': 'BUY', 'quantity': 100,
'strike': 0, 'price': 55.95, 'net_price': 0.0},
'option': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1,
'strike': 55, 'price': 1.04, 'net_price': 56.99},
}
self.stock_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['stock']['contract'],
side=self.orders['stock']['side'],
quantity=self.orders['stock']['quantity'],
strike=self.orders['stock']['strike'],
price=self.orders['stock']['price'],
net_price=self.orders['stock']['net_price']
)
self.option_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['option']['contract'],
side=self.orders['option']['side'],
quantity=self.orders['option']['quantity'],
strike=self.orders['option']['strike'],
price=self.orders['option']['price'],
net_price=self.orders['option']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.protective_put = StageProtectivePut(filled_orders=filled_orders)
def test_create_even_stage(self):
"""
Create even stage using filled orders data
"""
even_stage = self.protective_put.create_even_stage()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 56.99,
'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=56.99, expect=True)
self.check_in_stage(stage_cls=even_stage, price=58.1, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=57.2, old_price=57.2, expect='UNKNOWN'
)
def test_create_max_loss_stage(self):
"""
Create max loss stage using filled orders data
"""
max_loss_stage = self.protective_put.create_max_loss_stage()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{current_price} <= {price_a}',
detail={
'price_a': 55.0,
'amount_a': -199.0,
'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=52.3, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=56.99, expect=False)
self.check_get_status(max_loss_stage, new_price=54.6, old_price=53.8, expect='EASING')
self.check_get_status(max_loss_stage, new_price=53.8, old_price=54.5, expect='WORST')
self.check_get_status(max_loss_stage, new_price=52.3, old_price=52.3, expect='UNKNOWN')
def test_create_loss_stage(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.protective_put.create_loss_stage()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 55.0,
'amount_a': -199.0,
'price_b': 56.99,
'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=56.2, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=57.2, expect=False)
self.check_get_status(loss_stage, new_price=56.5, old_price=56, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=55.5, old_price=56, expect='LOSING')
self.check_get_status(loss_stage, new_price=55.99, old_price=55.99, expect='UNKNOWN')
def test_create_profit_stage(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.protective_put.create_profit_stage()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price}',
detail={
'price_a': 56.99,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {new_price} < {old_price}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {old_price} < {new_price}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=57.2, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=56.2, expect=False)
self.check_get_status(profit_stage, new_price=57.22, old_price=58.3, expect='DECREASING')
self.check_get_status(profit_stage, new_price=59.3, old_price=58.3, expect='PROFITING')
self.check_get_status(profit_stage, new_price=57.3, old_price=57.3, expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.protective_put.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
class TestStageProtectivePut(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'stock': {
'contract': 'STOCK',
'side': 'BUY',
'quantity': 100,
'strike': 0,
'price': 55.95,
'net_price': 0.0
},
'option': {
'contract': 'PUT',
'side': 'BUY',
'quantity': 1,
'strike': 55,
'price': 1.04,
'net_price': 56.99
},
}
self.stock_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['stock']['contract'],
side=self.orders['stock']['side'],
quantity=self.orders['stock']['quantity'],
strike=self.orders['stock']['strike'],
price=self.orders['stock']['price'],
net_price=self.orders['stock']['net_price'])
self.option_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['option']['contract'],
side=self.orders['option']['side'],
quantity=self.orders['option']['quantity'],
strike=self.orders['option']['strike'],
price=self.orders['option']['price'],
net_price=self.orders['option']['net_price'])
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.protective_put = StageProtectivePut(filled_orders=filled_orders)
def test_create_even_stage(self):
"""
Create even stage using filled orders data
"""
even_stage = self.protective_put.create_even_stage()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 56.99,
'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=56.99, expect=True)
self.check_in_stage(stage_cls=even_stage, price=58.1, expect=False)
self.check_get_status(stage_cls=even_stage,
new_price=57.2,
old_price=57.2,
expect='UNKNOWN')
def test_create_max_loss_stage(self):
"""
Create max loss stage using filled orders data
"""
max_loss_stage = self.protective_put.create_max_loss_stage()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{current_price} <= {price_a}',
detail={
'price_a': 55.0,
'amount_a': -199.0,
'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=52.3, expect=True)
self.check_in_stage(stage_cls=max_loss_stage,
price=56.99,
expect=False)
self.check_get_status(max_loss_stage,
new_price=54.6,
old_price=53.8,
expect='EASING')
self.check_get_status(max_loss_stage,
new_price=53.8,
old_price=54.5,
expect='WORST')
self.check_get_status(max_loss_stage,
new_price=52.3,
old_price=52.3,
expect='UNKNOWN')
def test_create_loss_stage(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.protective_put.create_loss_stage()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
55.0,
'amount_a':
-199.0,
'price_b':
56.99,
'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=56.2, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=57.2, expect=False)
self.check_get_status(loss_stage,
new_price=56.5,
old_price=56,
expect='RECOVERING')
self.check_get_status(loss_stage,
new_price=55.5,
old_price=56,
expect='LOSING')
self.check_get_status(loss_stage,
new_price=55.99,
old_price=55.99,
expect='UNKNOWN')
def test_create_profit_stage(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.protective_put.create_profit_stage()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price}',
detail={
'price_a': 56.99,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {new_price} < {old_price}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {old_price} < {new_price}',
})
self.check_in_stage(stage_cls=profit_stage, price=57.2, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=56.2, expect=False)
self.check_get_status(profit_stage,
new_price=57.22,
old_price=58.3,
expect='DECREASING')
self.check_get_status(profit_stage,
new_price=59.3,
old_price=58.3,
expect='PROFITING')
self.check_get_status(profit_stage,
new_price=57.3,
old_price=57.3,
expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.protective_put.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)