def setUp(self):
tx1 = Trade(
uniqueid="",
datetime=datetime(2016, 1, 1),
fiaccount=None,
security=1,
units=Decimal("100"),
cash=Decimal("-1000"),
currency="USD",
)
self.lot1 = Lot(
opentransaction=tx1,
createtransaction=tx1,
units=tx1.units,
price=abs(tx1.cash / tx1.units),
currency=tx1.currency,
)
tx2 = Trade(
uniqueid="",
datetime=datetime(2016, 1, 1),
fiaccount=None,
security=2,
units=Decimal("-300"),
cash=Decimal("3600"),
currency="USD",
)
self.lot2 = Lot(
opentransaction=tx2,
createtransaction=tx2,
units=tx2.units,
price=abs(tx2.cash / tx2.units),
currency=tx2.currency,
)
self.portfolio = Portfolio({
(None, 1): [self.lot1],
(None, 2): [self.lot2]
})
def setUp(self):
tx0 = Trade(
datetime=datetime(2016, 1, 1),
uniqueid="",
fiaccount=None,
security=None,
units=Decimal("100"),
cash=Decimal("-1000"),
currency="USD",
)
self.lot0 = Lot(
opentransaction=tx0,
createtransaction=tx0,
units=tx0.units,
price=abs(tx0.cash / tx0.units),
currency=tx0.currency,
)
tx1 = Trade(
datetime=datetime(2016, 1, 3),
uniqueid="",
fiaccount=None,
security=None,
units=Decimal("300"),
cash=Decimal("-3600"),
currency="USD",
)
self.lot1 = Lot(
opentransaction=tx1,
createtransaction=tx1,
units=tx1.units,
price=abs(tx1.cash / tx1.units),
currency=tx1.currency,
)
self.portfolio = Portfolio({(None, None): [self.lot0, self.lot1]})
def setUp(self):
tx1 = Trade(
uniqueid="",
datetime=datetime(2016, 1, 1),
fiaccount="",
security="",
units=Decimal("100"),
cash=Decimal("1000"),
currency="USD",
)
self.lot1 = Lot(
opentransaction=tx1,
createtransaction=tx1,
units=tx1.units,
price=abs(tx1.cash / tx1.units),
currency=tx1.currency,
)
tx2 = Trade(
uniqueid="",
datetime=datetime(2016, 1, 2),
fiaccount="",
security="",
units=Decimal("200"),
cash=Decimal("2200"),
currency="USD",
)
self.lot2 = Lot(
opentransaction=tx2,
createtransaction=tx2,
units=tx2.units,
price=abs(tx2.cash / tx2.units),
currency=tx2.currency,
)
tx3 = Trade(
uniqueid="",
datetime=datetime(2016, 1, 1),
fiaccount="",
security="",
units=Decimal("300"),
cash=Decimal("3600"),
currency="USD",
)
tx3c = Trade(
uniqueid="",
datetime=datetime(2016, 1, 3),
fiaccount="",
security="",
cash=None,
currency=None,
units=None,
)
self.lot3 = Lot(
opentransaction=tx3,
createtransaction=tx3c,
units=tx3.units,
price=abs(tx3.cash / tx3.units),
currency=tx3.currency,
)
self.portfolio = Portfolio({
(None, None): [self.lot1, self.lot2, self.lot3]
})
def _testTradeSort(self, sort, matchedTrades, partialClose):
"""
Args:
sort: FIFO/LIFO/MAXGAIN/MINGAIN/None/list of Trade.ids
matchedTrades: tuple of (open index, close index, units)
partialClose: tuple of (index, units)
"""
# Predict the Gains that will be generated by booking the Transactions
def matchTrades(indexopen, indexclose, units):
opentx = self.trades[indexopen]
closetx = self.trades[indexclose]
lot = Lot(
opentransaction=opentx,
createtransaction=opentx,
units=units,
price=abs(opentx.cash / opentx.units),
currency=opentx.currency,
)
return Gain(lot=lot,
transaction=closetx,
price=abs(closetx.cash / closetx.units))
testGains = [
matchTrades(*matchedTrade) for matchedTrade in matchedTrades
]
# Book the trades and collect the Gains
portfolio = Portfolio()
gains = []
for t in self.trades:
g = portfolio.book(t, sort=sort)
gains.extend(g)
testGains.sort(key=lambda x: str(x.lot.opentransaction.uniqueid))
gains.sort(key=lambda x: str(x.lot.opentransaction.uniqueid) + str(
x.transaction.uniqueid))
# Generated Gains should match prediction
self.assertEqual(len(gains), len(testGains))
for i, gain in enumerate(gains):
testGain = testGains[i]
self.assertEqual(gain.lot.opentransaction,
testGain.lot.opentransaction)
self.assertEqual(gain.lot.createtransaction,
testGain.lot.createtransaction)
self.assertEqual(gain.lot.units, testGain.lot.units)
self.assertEqual(gain.lot.price, testGain.lot.price)
self.assertEqual(gain.lot.currency, testGain.lot.currency)
self.assertEqual(gain.transaction, testGain.transaction)
# The rest of the trades up to the covering buys remain open
testLots = []
for i in range(0, 22):
t = self.trades[i]
testLots.append(
Lot(
opentransaction=t,
createtransaction=t,
units=t.units,
price=abs(t.cash / t.units),
currency=t.currency,
))
indices = list({matchedTrade[0] for matchedTrade in matchedTrades})
indices.sort(reverse=True)
for i in indices:
del testLots[i]
partialindex, partialunits = partialClose
partial = self.trades[partialindex]
testLots.append(
Lot(
opentransaction=partial,
createtransaction=partial,
units=partialunits,
price=abs(partial.cash / partial.units),
currency=partial.currency,
))
testLots.sort(**FIFO)
position = portfolio[(None, None)]
position.sort(**FIFO)
self.assertEqual(len(position), len(testLots))
for i, lot in enumerate(position):
testLot = testLots[i]
self.assertEqual(lot, testLot)