class Test(unittest.TestCase):
def setUp(self):
manifest = '%s/data/manifest.csv' % os.path.dirname(__file__)
InstrumentDb.Instance().load(manifest)
def tearDown(self):
pass
###########################################################################
## Test a basic long market entry order
def on_bars_1(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.BUY, 'AC', 100, False)
self._broker.placeOrder(o)
self._placed_markorder = True
else:
# we expect by the next Bar that we own the 100 units of AC
self.assertEqual(self._broker.getPositions()['AC'], 100)
#print 'On date %s, cash = %f' % (bars[bars.keys()[0]]['Datetime'], self._broker.getCash())
def on_order_update_1(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
self.assertEqual(order.getExecutionInfo().getPrice(),2.215)
def testMarketOrder(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('AC')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_1)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_1)
mf.start()
self.assertEqual(self._broker.getCash(), 1000015.0)
self.assertEqual(self._broker.calc_margin(), 160000.0)
###########################################################################
## Test a basic long market entry order followed by margin call
def on_bars_2(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.BUY, 'CT', 500, False)
self._broker.placeOrder(o)
self._placed_markorder = True
else:
# we expect by the next Bar that we own the 100 units of AC
self.assertEqual(self._broker.getPositions()['CT'], 500)
#print 'On date %s, cash = %f' % (bars[bars.keys()[0]]['Datetime'], self._broker.getCash())
def on_order_update_2(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
self.assertEqual(order.getExecutionInfo().getPrice(),92.43)
def testMarketOrderMarginCall(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('CT')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_2)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_2)
with self.assertRaisesRegexp(Exception, "Margin Call"):
mf.start()
self.assertAlmostEqual(self._broker.getCash(), 214000.0, places=2)
self.assertEqual(self._broker.calc_margin(), 800000.0)
###########################################################################
## Test a basic short market entry order
def on_bars_3(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.SELL_SHORT, 'CT', 500, False)
self._broker.placeOrder(o)
self._placed_markorder = True
else:
# we expect by the next Bar that we own the 100 units of AC
self.assertEqual(self._broker.getPositions()['CT'], -500)
#print 'On date %s, cash = %f' % (bars[bars.keys()[0]]['Datetime'], self._broker.getCash())
def on_order_update_3(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
self.assertEqual(order.getExecutionInfo().getPrice(),92.43)
def testShortEntry(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('CT')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_3)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_3)
mf.start()
self.assertAlmostEqual(self._broker.getCash(), 1119750.0, places=2)
self.assertEqual(self._broker.calc_margin(), 800000.0)
###########################################################################
## Test a basic short market entry order followed by margin call
def on_bars_4(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.SELL_SHORT, 'C', 300, False)
self._broker.placeOrder(o)
self._placed_markorder = True
else:
# we expect by the next Bar that we own the 100 units of AC
self.assertEqual(self._broker.getPositions()['C'], -300)
#print 'On date %s, cash = %f' % (bars[bars.keys()[0]]['Datetime'], self._broker.getCash())
def on_order_update_4(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
self.assertEqual(order.getExecutionInfo().getPrice(),583.25)
def testShortOrderMarginCall(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(Feed(InstrumentDb.Instance().get('C')))
self._broker = BacktestingFuturesBroker(1000000, mf)
mf.subscribe(self.on_bars_4)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_4)
with self.assertRaisesRegexp(Exception, "Margin Call"):
mf.start()
self.assertAlmostEqual(self._broker.getCash(), -2352500.0, places=2)
self.assertEqual(self._broker.calc_margin(), 600000.0)
