def testFutures(self):
datafile = '%s/data/AC___CCB.csv' % os.path.dirname(__file__)
i = Instrument('AC', datafile, pointValue=50)
pos = PositionTracker(i)
pos.buy(datetime.datetime(2012, 12, 31), 100, 25.0, 7.95)
self.assertEqual(pos.getBasis(), 125000.0)
self.assertEqual(pos.getNetProfit(26.0, includeCommissions=True),
4992.05)
self.assertEqual(pos.getEntryDate(), datetime.datetime(2012, 12, 31))
pos.sell(datetime.datetime(2013, 1, 1), 100, 26.0, 7.95)
self.assertEqual(pos.getBasis(), 125000.0)
self.assertEqual(pos.getNetProfit(0.0, includeCommissions=True),
4984.1)
self.assertEqual(pos.getNetProfit(0.0, includeCommissions=False),
5000.0)
self.assertEqual(pos.getCommissions(), 15.90)
self.assertEqual(pos.getExitDate(), datetime.datetime(2013, 1, 1))
pos.reset()
pos.buy(datetime.datetime(2013, 1, 6), 100, 27.0, 7.95)
self.assertEqual(pos.getBasis(), 135000.0)
self.assertEqual(pos.getNetProfit(26.0, includeCommissions=True),
-5007.95)
pos.sell(datetime.datetime(2013, 1, 7), 100, 26.0, 7.95)
self.assertEqual(pos.getBasis(), 135000.0)
self.assertEqual(pos.getNetProfit(0.0, includeCommissions=True),
-5015.90)
def testStock(self):
datafile = '%s/data/AC___CCB.csv' % os.path.dirname(__file__)
i = Instrument('AC', datafile)
pos = PositionTracker(i)
pos.buy(datetime.datetime(2012, 12, 31), 100, 25.0, 7.95)
self.assertEqual(pos.getBasis(), 2500.0)
self.assertEqual(pos.getNetProfit(26.0, includeCommissions=True),
92.05)
self.assertEqual(pos.getEntryDate(), datetime.datetime(2012, 12, 31))
pos.sell(datetime.datetime(2013, 1, 1), 100, 26.0, 7.95)
self.assertEqual(pos.getBasis(), 2500.0)
self.assertEqual(pos.getNetProfit(0.0, includeCommissions=True), 84.1)
self.assertEqual(pos.getNetProfit(0.0, includeCommissions=False),
100.0)
self.assertEqual(pos.getCommissions(), 15.90)
self.assertEqual(pos.getExitDate(), datetime.datetime(2013, 1, 1))
self.assertAlmostEqual(pos.getReturn(0.0, includeCommissions=True),
0.0336,
places=4)
self.assertEqual(pos.getTradeSize(), 100)
self.assertEqual(pos.getEntryPrice(), 25.0)
self.assertEqual(pos.getExitPrice(), 26.0)
pos.reset()
pos.buy(datetime.datetime(2013, 1, 6), 100, 27.0, 7.95)
self.assertEqual(pos.getBasis(), 2700.0)
self.assertEqual(pos.getNetProfit(26.0, includeCommissions=True),
-107.95)
pos.sell(datetime.datetime(2013, 1, 7), 100, 26.0, 7.95)
self.assertEqual(pos.getBasis(), 2700.0)
self.assertEqual(pos.getNetProfit(0.0, includeCommissions=True),
-115.90)
self.assertAlmostEqual(pos.getReturn(0.0, includeCommissions=True),
-0.0429,
places=4)
pos.reset()
pos.sell(datetime.datetime(2013, 1, 10), 100, 28.0, 7.95)
pos.buy(datetime.datetime(2013, 1, 11), 100, 26.0, 7.95)
self.assertEqual(pos.getTradeSize(), -100)
self.assertEqual(pos.getEntryPrice(), 28.0)
self.assertEqual(pos.getExitPrice(), 26.0)