def test_calculate_unrealized_pnl_for_long_inverse(self):
# Arrange
order = self.order_factory.market(
XBTUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=XBTUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(XBTUSD_BITMEX, fill)
# Act
pnl = position.unrealized_pnl(Price.from_str("11505.60"))
# Assert
self.assertEqual(Money(0.83238969, BTC), pnl)
self.assertEqual(Money(-0.00714286, BTC), position.realized_pnl)
self.assertEqual([Money(0.00714286, BTC)], position.commissions())
def test_calculate_pnl_for_long_position_win(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_int(12),
)
fill = TestStubs.event_order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
pnl = position.calculate_pnl(
avg_px_open=Price.from_str("10500.00"),
avg_px_close=Price.from_str("10510.00"),
quantity=Quantity.from_int(12),
)
# Assert
self.assertEqual(Money(120.00000000, USDT), pnl)
self.assertEqual(Money(-126.00000000, USDT), position.realized_pnl)
self.assertEqual(
Money(120.00000000, USDT),
position.unrealized_pnl(Price.from_str("10510.00")),
)
self.assertEqual(Money(-6.00000000, USDT),
position.total_pnl(Price.from_str("10510.00")))
self.assertEqual([Money(126.00000000, USDT)], position.commissions())
def test_calculate_unrealized_pnl_for_short_inverse(self):
# Arrange
order = self.order_factory.market(
XBTUSD_BITMEX.id,
OrderSide.SELL,
Quantity.from_int(1250000),
)
fill = TestStubs.event_order_filled(
order,
instrument=XBTUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("15500.00"),
)
position = Position(XBTUSD_BITMEX, fill)
# Act
pnl = position.unrealized_pnl(Price.from_str("12506.65"))
# Assert
self.assertEqual(Money(19.30166700, BTC), pnl)
self.assertEqual(Money(-0.06048387, BTC), position.realized_pnl)
self.assertEqual([Money(0.06048387, BTC)], position.commissions())
def test_calculate_pnl_for_long_position_loss(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity(12),
)
fill = TestStubs.event_order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10500.00"),
)
position = Position(fill)
# Act
pnl = position.calculate_pnl(
avg_open=Price("10500.00"),
avg_close=Price("10480.50"),
quantity=Quantity(10),
)
# Assert
self.assertEqual(Money("-195.00000000", USDT), pnl)
self.assertEqual(Money("-126.00000000", USDT), position.realized_pnl)
self.assertEqual(Money("-234.00000000", USDT), position.unrealized_pnl(Price("10480.50")))
self.assertEqual(Money("-360.00000000", USDT), position.total_pnl(Price("10480.50")))
self.assertEqual([Money("126.00000000", USDT)], position.commissions())
self.assertEqual(Money("126.00000000", USDT), position.commission)
def test_calculate_pnl_for_short_position_loss(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("10"),
)
fill = TestEventStubs.order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
pnl = position.calculate_pnl(
Price.from_str("10500.00"),
Price.from_str("10670.50"),
Quantity.from_str("10.000000"),
)
# Assert
assert pnl == Money(-1705.00000000, USDT)
assert position.unrealized_pnl(Price.from_str("10670.50")) == Money(
-1705.00000000, USDT)
assert position.realized_pnl == Money(-105.00000000, USDT)
assert position.commissions() == [Money(105.00000000, USDT)]
assert position.notional_value(Price.from_str("10670.50")) == Money(
106705.00000000, USDT)
def test_calculate_pnl_for_short_position_loss(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.SELL,
Quantity("10"),
)
fill = TestStubs.event_order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10500.00"),
)
position = Position(fill)
# Act
pnl = position.calculate_pnl(
Price("10500.00"),
Price("10670.50"),
Quantity("10.000000"),
)
# Assert
self.assertEqual(Money("-1705.00000000", USDT), pnl)
self.assertEqual(Money("-1705.00000000", USDT), position.unrealized_pnl(Price("10670.50")))
self.assertEqual(Money("-105.00000000", USDT), position.realized_pnl)
self.assertEqual([Money("105.00000000", USDT)], position.commissions())
self.assertEqual(Money("105.00000000", USDT), position.commission)
self.assertEqual(Money("106705.00000000", USDT), position.notional_value(Price("10670.50")))
def test_calculate_pnl_for_long_position_loss(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_int(12),
)
fill = TestEventStubs.order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
pnl = position.calculate_pnl(
avg_px_open=Price.from_str("10500.00"),
avg_px_close=Price.from_str("10480.50"),
quantity=Quantity.from_int(10),
)
# Assert
assert pnl == Money(-195.00000000, USDT)
assert position.realized_pnl == Money(-126.00000000, USDT)
assert position.unrealized_pnl(Price.from_str("10480.50")) == Money(
-234.00000000, USDT)
assert position.total_pnl(Price.from_str("10480.50")) == Money(
-360.00000000, USDT)
assert position.commissions() == [Money(126.00000000, USDT)]
def test_calculate_unrealized_pnl_for_short(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.SELL,
Quantity("5.912000"),
)
fill = TestStubs.event_order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10505.60"),
)
position = Position(fill)
pnl = position.unrealized_pnl(Price("10407.15"))
# Assert
self.assertEqual(Money("582.03640000", USDT), pnl)
self.assertEqual(Money("-62.10910720", USDT), position.realized_pnl)
self.assertEqual([Money("62.10910720", USDT)], position.commissions())
self.assertEqual(Money("62.10910720", USDT), position.commission)
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Assert
assert position.symbol == AUDUSD_SIM.id.symbol
assert position.venue == AUDUSD_SIM.id.venue
assert not position.is_opposite_side(fill.order_side)
assert not position != position # Equality operator test
assert position.from_order == ClientOrderId(
"O-19700101-000000-000-001-1")
assert position.quantity == Quantity.from_int(100000)
assert position.peak_qty == Quantity.from_int(100000)
assert position.entry == OrderSide.BUY
assert position.side == PositionSide.LONG
assert position.ts_opened == 0
assert position.duration_ns == 0
assert position.avg_px_open == Decimal("1.00001")
assert position.event_count == 1
assert position.client_order_ids == [order.client_order_id]
assert position.venue_order_ids == [VenueOrderId("1")]
assert position.execution_ids == [
ExecutionId("E-19700101-000000-000-001-1")
]
assert position.last_execution_id == ExecutionId(
"E-19700101-000000-000-001-1")
assert position.id == PositionId("P-123456")
assert len(position.events) == 1
assert position.is_long
assert not position.is_short
assert position.is_open
assert not position.is_closed
assert position.realized_points == 0
assert position.realized_return == 0
assert position.realized_pnl == Money(-2.00, USD)
assert position.unrealized_pnl(last) == Money(49.00, USD)
assert position.total_pnl(last) == Money(47.00, USD)
assert position.commissions() == [Money(2.00, USD)]
assert repr(
position) == "Position(LONG 100_000 AUD/USD.SIM, id=P-123456)"
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Assert
assert position.symbol == AUDUSD_SIM.id.symbol
assert position.venue == AUDUSD_SIM.id.venue
assert not position.is_opposite_side(fill.order_side)
self.assertFalse(position != position) # Equality operator test
self.assertEqual(ClientOrderId("O-19700101-000000-000-001-1"),
position.from_order)
self.assertEqual(Quantity.from_int(100000), position.quantity)
self.assertEqual(Quantity.from_int(100000), position.peak_qty)
self.assertEqual(OrderSide.BUY, position.entry)
self.assertEqual(PositionSide.LONG, position.side)
self.assertEqual(0, position.opened_timestamp_ns)
self.assertEqual(0, position.open_duration_ns)
self.assertEqual(Decimal("1.00001"), position.avg_px_open)
self.assertEqual(1, position.event_count)
self.assertEqual([order.client_order_id], position.client_order_ids)
self.assertEqual([VenueOrderId("1")], position.venue_order_ids)
self.assertEqual([ExecutionId("E-19700101-000000-000-001-1")],
position.execution_ids)
self.assertEqual(ExecutionId("E-19700101-000000-000-001-1"),
position.last_execution_id)
self.assertEqual(PositionId("P-123456"), position.id)
self.assertEqual(1, len(position.events))
self.assertTrue(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-2.00, USD), position.realized_pnl)
self.assertEqual(Money(49.00, USD), position.unrealized_pnl(last))
self.assertEqual(Money(47.00, USD), position.total_pnl(last))
self.assertEqual([Money(2.00, USD)], position.commissions())
self.assertEqual("Position(LONG 100_000 AUD/USD.SIM, id=P-123456)",
repr(position))
def test_position_partial_fills_with_sell_order_returns_expected_attributes(
self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity(100000),
)
fill1 = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
execution_id=ExecutionId("1"),
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
last_px=Price("1.00001"),
last_qty=Quantity(50000),
)
fill2 = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
execution_id=ExecutionId("2"),
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
last_px=Price("1.00002"),
last_qty=Quantity(50000),
)
position = Position(fill=fill1)
last = Price("1.00050")
# Act
position.apply(fill2)
# Assert
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(PositionSide.SHORT, position.side)
self.assertEqual(0, position.opened_timestamp_ns)
self.assertEqual(Decimal("1.000015"), position.avg_px_open)
self.assertEqual(2, position.event_count)
self.assertFalse(position.is_long)
self.assertTrue(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-4.00, USD), position.realized_pnl)
self.assertEqual(Money(-48.50, USD), position.unrealized_pnl(last))
self.assertEqual(Money(-52.50, USD), position.total_pnl(last))
self.assertEqual([Money(4.00, USD)], position.commissions())
self.assertEqual(Money(4.00, USD), position.commission)
self.assertEqual("Position(SHORT 100,000 AUD/USD.SIM, id=P-123456)",
repr(position))
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00001"),
)
last = Price("1.00050")
# Act
position = Position(fill)
# Assert
self.assertFalse(position != position) # Equality operator test
self.assertEqual(ClientOrderId("O-19700101-000000-000-001-1"),
position.from_order)
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(Quantity(100000), position.peak_quantity)
self.assertEqual(OrderSide.BUY, position.entry)
self.assertEqual(PositionSide.LONG, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertIsNone(position.open_duration)
self.assertEqual(Decimal("1.00001"), position.avg_open)
self.assertEqual(1, position.event_count)
self.assertEqual([order.cl_ord_id], position.cl_ord_ids)
self.assertEqual([OrderId.null()], position.order_ids)
self.assertEqual([ExecutionId("E-19700101-000000-000-001-1")],
position.execution_ids)
self.assertEqual(ExecutionId("E-19700101-000000-000-001-1"),
position.last_execution_id)
self.assertEqual(PositionId("P-123456"), position.id)
self.assertEqual(1, len(position.events))
self.assertTrue(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-2.00, USD), position.realized_pnl)
self.assertEqual(Money(49.00, USD), position.unrealized_pnl(last))
self.assertEqual(Money(47.00, USD), position.total_pnl(last))
self.assertEqual(Money(2.00, USD), position.commission)
self.assertEqual([Money(2.00, USD)], position.commissions())
self.assertEqual("Position(id=P-123456, LONG 100,000 AUD/USD.SIM)",
repr(position))
def test_position_partial_fills_with_sell_order_returns_expected_attributes(
self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill1 = TestEventStubs.order_filled(
order,
instrument=AUDUSD_SIM,
trade_id=TradeId("1"),
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
last_qty=Quantity.from_int(50000),
)
fill2 = TestEventStubs.order_filled(
order,
instrument=AUDUSD_SIM,
trade_id=TradeId("2"),
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00002"),
last_qty=Quantity.from_int(50000),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
last = Price.from_str("1.00050")
# Act
position.apply(fill2)
# Assert
assert position.quantity == Quantity.from_int(100000)
assert position.side == PositionSide.SHORT
assert position.ts_opened == 0
assert position.avg_px_open == Decimal("1.000015")
assert position.event_count == 2
assert not position.is_long
assert position.is_short
assert position.is_open
assert not position.is_closed
assert position.realized_points == 0
assert position.realized_return == 0
assert position.realized_pnl == Money(-4.00, USD)
assert position.unrealized_pnl(last) == Money(-48.50, USD)
assert position.total_pnl(last) == Money(-52.50, USD)
assert position.commissions() == [Money(4.00, USD)]
assert repr(
position) == "Position(SHORT 100_000 AUD/USD.SIM, id=P-123456)"
def test_position_filled_with_sell_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Assert
assert position.quantity == Quantity.from_int(100000)
assert position.peak_qty == Quantity.from_int(100000)
assert position.side == PositionSide.SHORT
assert position.ts_opened == 0
assert position.avg_px_open == Decimal("1.00001")
assert position.event_count == 1
assert position.execution_ids == [
ExecutionId("E-19700101-000000-000-001-1")
]
assert position.last_execution_id == ExecutionId(
"E-19700101-000000-000-001-1")
assert position.id == PositionId("P-123456")
assert not position.is_long
assert position.is_short
assert position.is_open
assert not position.is_closed
assert position.realized_points == 0
assert position.realized_return == 0
assert position.realized_pnl == Money(-2.00, USD)
assert position.unrealized_pnl(last) == Money(-49.00, USD)
assert position.total_pnl(last) == Money(-51.00, USD)
assert position.commissions() == [Money(2.00, USD)]
assert repr(
position) == "Position(SHORT 100_000 AUD/USD.SIM, id=P-123456)"
def test_position_filled_with_sell_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Assert
self.assertEqual(Quantity.from_int(100000), position.quantity)
self.assertEqual(Quantity.from_int(100000), position.peak_qty)
self.assertEqual(PositionSide.SHORT, position.side)
self.assertEqual(0, position.opened_timestamp_ns)
self.assertEqual(Decimal("1.00001"), position.avg_px_open)
self.assertEqual(1, position.event_count)
self.assertEqual([ExecutionId("E-19700101-000000-000-001-1")],
position.execution_ids)
self.assertEqual(ExecutionId("E-19700101-000000-000-001-1"),
position.last_execution_id)
self.assertEqual(PositionId("P-123456"), position.id)
self.assertFalse(position.is_long)
self.assertTrue(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-2.00, USD), position.realized_pnl)
self.assertEqual(Money(-49.00, USD), position.unrealized_pnl(last))
self.assertEqual(Money(-51.00, USD), position.total_pnl(last))
self.assertEqual([Money(2.00, USD)], position.commissions())
self.assertEqual("Position(SHORT 100_000 AUD/USD.SIM, id=P-123456)",
repr(position))
def test_position_partial_fills_with_buy_order_returns_expected_attributes(
self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00001"),
fill_qty=Quantity(50000),
)
last = Price("1.00048")
position = Position(fill)
# Act
# Assert
self.assertEqual(Quantity(50000), position.quantity)
self.assertEqual(Quantity(50000), position.peak_quantity)
self.assertEqual(PositionSide.LONG, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(Decimal("1.00001"), position.avg_open)
self.assertEqual(1, position.event_count)
self.assertTrue(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-2.00, USD), position.realized_pnl)
self.assertEqual(Money(23.50, USD), position.unrealized_pnl(last))
self.assertEqual(Money(21.50, USD), position.total_pnl(last))
self.assertEqual(Money(2.00, USD), position.commission)
self.assertEqual([Money(2.00, USD)], position.commissions())
self.assertEqual("Position(id=P-123456, LONG 50,000 AUD/USD.SIM)",
repr(position))
def test_position_partial_fills_with_buy_order_returns_expected_attributes(
self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill = TestEventStubs.order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
last_qty=Quantity.from_int(50000),
)
last = Price.from_str("1.00048")
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Act, Assert
assert position.quantity == Quantity.from_int(50000)
assert position.peak_qty == Quantity.from_int(50000)
assert position.side == PositionSide.LONG
assert position.ts_opened == 0
assert position.avg_px_open == Decimal("1.00001")
assert position.event_count == 1
assert position.is_long
assert not position.is_short
assert position.is_open
assert not position.is_closed
assert position.realized_points == 0
assert position.realized_return == 0
assert position.realized_pnl == Money(-2.00, USD)
assert position.unrealized_pnl(last) == Money(23.50, USD)
assert position.total_pnl(last) == Money(21.50, USD)
assert position.commissions() == [Money(2.00, USD)]
assert repr(
position) == "Position(LONG 50_000 AUD/USD.SIM, id=P-123456)"
def test_calculate_unrealized_pnl_for_long(self):
# Arrange
order1 = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("2.000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("2.000000"),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10500.00"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10500.00"),
)
position = Position(fill1)
position.apply(fill2)
# Act
pnl = position.unrealized_pnl(Price("11505.60"))
# Assert
self.assertEqual(Money("4022.40000000", USDT), pnl)
self.assertEqual(Money("-42.00000000", USDT), position.realized_pnl)
self.assertEqual([Money("42.00000000", USDT)], position.commissions())
self.assertEqual(Money("42.00000000", USDT), position.commission)
def test_calculate_unrealized_pnl_for_long(self):
# Arrange
order1 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("2.000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("2.000000"),
)
fill1 = TestEventStubs.order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
fill2 = TestEventStubs.order_filled(
order2,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill1)
position.apply(fill2)
# Act
pnl = position.unrealized_pnl(Price.from_str("11505.60"))
# Assert
assert pnl == Money(4022.40000000, USDT)
assert position.realized_pnl == Money(-42.00000000, USDT)
assert position.commissions() == [Money(42.00000000, USDT)]
def test_calculate_pnl_for_short_position_winning(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("10.150000"),
)
fill = TestStubs.event_order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
pnl = position.calculate_pnl(
Price.from_str("10500.00"),
Price.from_str("10390.00"),
Quantity.from_str("10.150000"),
)
# Assert
self.assertEqual(Money(1116.50000000, USDT), pnl)
self.assertEqual(
Money(1116.50000000, USDT),
position.unrealized_pnl(Price.from_str("10390.00")),
)
self.assertEqual(Money(-106.57500000, USDT), position.realized_pnl)
self.assertEqual([Money(106.57500000, USDT)], position.commissions())
self.assertEqual(
Money(105458.50000000, USDT),
position.notional_value(Price.from_str("10390.00")),
)
def test_calculate_unrealized_pnl_for_short(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("5.912000"),
)
fill = TestEventStubs.order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10505.60"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
pnl = position.unrealized_pnl(Price.from_str("10407.15"))
# Assert
assert pnl == Money(582.03640000, USDT)
assert position.realized_pnl == Money(-62.10910720, USDT)
assert position.commissions() == [Money(62.10910720, USDT)]
def test_position_long_with_multiple_filled_orders_returns_expected_attributes(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order3 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(200000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00001"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00010"),
)
last = Price("1.00050")
# Act
position = Position(fill1)
position.apply(fill2)
position.apply(fill3)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(Decimal("1.000005"), position.avg_open)
self.assertEqual(3, position.event_count)
self.assertEqual([order1.cl_ord_id, order2.cl_ord_id, order3.cl_ord_id], position.cl_ord_ids)
self.assertEqual(UNIX_EPOCH, position.closed_time)
self.assertEqual(Decimal("1.0001"), position.avg_close)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertFalse(position.is_open)
self.assertTrue(position.is_closed)
self.assertEqual(Money(11.00, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(11.00, USD), position.total_pnl(last))
self.assertEqual([Money(8.00, USD)], position.commissions())
self.assertEqual(Money(8.00, USD), position.commission)
self.assertEqual("Position(id=P-123456, FLAT AUD/USD.SIM)", repr(position))
def test_position_filled_with_buy_order_then_sell_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(150000),
)
fill1 = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00001"),
)
position = Position(fill1)
fill2 = OrderFilled(
self.account_id,
order.cl_ord_id,
OrderId("2"),
ExecutionId("E2"),
PositionId("T123456"),
StrategyId("S", "001"),
order.symbol,
OrderSide.SELL,
order.quantity,
order.quantity,
Quantity(),
Price("1.00011"),
AUDUSD_SIM.quote_currency,
AUDUSD_SIM.is_inverse,
Money(0, USD),
LiquiditySide.TAKER,
UNIX_EPOCH + timedelta(minutes=1),
uuid4(),
UNIX_EPOCH,
)
last = Price("1.00050")
# Act
position.apply(fill2)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(timedelta(minutes=1), position.open_duration)
self.assertEqual(Decimal("1.00001"), position.avg_open)
self.assertEqual(2, position.event_count)
self.assertEqual(datetime(1970, 1, 1, 0, 1, tzinfo=pytz.utc), position.closed_time)
self.assertEqual(Decimal("1.00011"), position.avg_close)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertFalse(position.is_open)
self.assertTrue(position.is_closed)
self.assertEqual(Decimal("0.00010"), position.realized_points)
self.assertEqual(Decimal('0.00009999900000999990000099999000'), position.realized_return)
self.assertEqual(Money(12.00, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(12.00, USD), position.total_pnl(last))
self.assertEqual([Money(3.00, USD)], position.commissions())
self.assertEqual(Money(3.00, USD), position.commission)
self.assertEqual("Position(id=P-123456, FLAT AUD/USD.SIM)", repr(position))
def test_position_long_with_multiple_filled_orders_returns_expected_attributes(
self, ):
# Arrange
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order3 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(200000),
)
fill1 = TestEventStubs.order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
)
fill2 = TestEventStubs.order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
fill3 = TestEventStubs.order_filled(
order3,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00010"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill1)
position.apply(fill2)
position.apply(fill3)
# Assert
assert position.quantity == Quantity.zero()
assert position.side == PositionSide.FLAT
assert position.ts_opened == 0
assert position.avg_px_open == Decimal("1.000005")
assert position.event_count == 3
assert position.client_order_ids == [
order1.client_order_id,
order2.client_order_id,
order3.client_order_id,
]
assert position.ts_closed == 0
assert position.avg_px_close == Decimal("1.0001")
assert not position.is_long
assert not position.is_short
assert not position.is_open
assert position.is_closed
assert position.realized_pnl == Money(11.00, USD)
assert position.unrealized_pnl(last) == Money(0, USD)
assert position.total_pnl(last) == Money(11.00, USD)
assert position.commissions() == [Money(8.00, USD)]
assert repr(position) == "Position(FLAT AUD/USD.SIM, id=P-123456)"
def test_position_filled_with_sell_order_then_buy_order_returns_expected_attributes(
self, ):
# Arrange
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-19700101-000000-000-001-1"),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
execution_id=ExecutionId("1"),
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
last_qty=Quantity.from_int(50000),
)
fill3 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
execution_id=ExecutionId("2"),
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00003"),
last_qty=Quantity.from_int(50000),
)
last = Price.from_str("1.00050")
# Act
position.apply(fill2)
position.apply(fill3)
# Assert
self.assertEqual(Quantity.zero(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(0, position.opened_timestamp_ns)
self.assertEqual(Decimal("1.0"), position.avg_px_open)
self.assertEqual(3, position.event_count)
self.assertEqual([order1.client_order_id, order2.client_order_id],
position.client_order_ids)
self.assertEqual(0, position.closed_timestamp_ns)
self.assertEqual(Decimal("1.00002"), position.avg_px_close)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertFalse(position.is_open)
self.assertTrue(position.is_closed)
self.assertEqual(Money(-8.00, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(-8.000, USD), position.total_pnl(last))
self.assertEqual([Money(6.00, USD)], position.commissions())
self.assertEqual(
"Position(FLAT AUD/USD.SIM, id=P-19700101-000000-000-001-1)",
repr(position))
def test_position_filled_with_buy_order_then_sell_order_returns_expected_attributes(
self, ):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(150000),
)
fill1 = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
execution_ns=1_000_000_000,
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
fill2 = OrderFilled(
self.account_id,
order.client_order_id,
VenueOrderId("2"),
ExecutionId("E2"),
PositionId("T123456"),
StrategyId("S-001"),
order.instrument_id,
OrderSide.SELL,
order.quantity,
Price.from_str("1.00011"),
AUDUSD_SIM.quote_currency,
Money(0, USD),
LiquiditySide.TAKER,
2_000_000_000,
uuid4(),
0,
)
last = Price.from_str("1.00050")
# Act
position.apply(fill2)
# Assert
assert position.is_opposite_side(fill2.order_side)
self.assertEqual(Quantity.zero(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(1_000_000_000, position.opened_timestamp_ns)
self.assertEqual(1_000_000_000, position.open_duration_ns)
self.assertEqual(Decimal("1.00001"), position.avg_px_open)
self.assertEqual(2, position.event_count)
self.assertEqual(2_000_000_000, position.closed_timestamp_ns)
self.assertEqual(Decimal("1.00011"), position.avg_px_close)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertFalse(position.is_open)
self.assertTrue(position.is_closed)
self.assertEqual(Decimal("0.00010"), position.realized_points)
self.assertEqual(Decimal("0.00009999900000999990000099999000"),
position.realized_return)
self.assertEqual(Money(12.00, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(12.00, USD), position.total_pnl(last))
self.assertEqual([Money(3.00, USD)], position.commissions())
self.assertEqual("Position(FLAT AUD/USD.SIM, id=P-123456)",
repr(position))
def test_position_filled_with_no_change_returns_expected_attributes(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill1 = TestEventStubs.order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-19700101-000000-000-001-1"),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
fill2 = TestEventStubs.order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00000"),
)
last = Price.from_str("1.00050")
# Act
position.apply(fill2)
# Assert
assert position.quantity == Quantity.zero()
assert position.side == PositionSide.FLAT
assert position.ts_opened == 0
assert position.avg_px_open == Decimal("1.0")
assert position.event_count == 2
assert position.client_order_ids == [
order1.client_order_id, order2.client_order_id
]
assert position.trade_ids == [
TradeId("E-19700101-000000-000-001-1"),
TradeId("E-19700101-000000-000-001-2"),
]
assert position.ts_closed == 0
assert position.avg_px_close == Decimal("1.0")
assert not position.is_long
assert not position.is_short
assert not position.is_open
assert position.is_closed
assert position.realized_points == 0
assert position.realized_return == 0
assert position.realized_pnl == Money(-4.00, USD)
assert position.unrealized_pnl(last) == Money(0, USD)
assert position.total_pnl(last) == Money(-4.00, USD)
assert position.commissions() == [Money(4.00, USD)]
assert repr(
position
) == "Position(FLAT AUD/USD.SIM, id=P-19700101-000000-000-001-1)"
def test_position_filled_with_no_change_returns_expected_attributes(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-19700101-000000-000-001-1"),
)
position = Position(fill1)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00000"),
)
last = Price("1.00050")
# Act
position.apply(fill2)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(Decimal("1.0"), position.avg_open)
self.assertEqual(2, position.event_count)
self.assertEqual([order1.cl_ord_id, order2.cl_ord_id], position.cl_ord_ids)
self.assertEqual([
ExecutionId("E-19700101-000000-000-001-1"),
ExecutionId("E-19700101-000000-000-001-2")
],
position.execution_ids,
)
self.assertEqual(UNIX_EPOCH, position.closed_time)
self.assertEqual(Decimal("1.0"), position.avg_close)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertFalse(position.is_open)
self.assertTrue(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-4.00, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(-4.00, USD), position.total_pnl(last))
self.assertEqual([Money(4.00, USD)], position.commissions())
self.assertEqual(Money(4.00, USD), position.commission)
self.assertEqual("Position(id=P-19700101-000000-000-001-1, FLAT AUD/USD.SIM)", repr(position))
def test_position_closed_and_reopened_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(150000),
)
fill1 = TestEventStubs.order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
ts_filled_ns=1_000_000_000,
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
fill2 = OrderFilled(
self.trader_id,
StrategyId("S-001"),
self.account_id,
order.instrument_id,
order.client_order_id,
VenueOrderId("2"),
TradeId("E2"),
PositionId("P-123456"),
OrderSide.SELL,
OrderType.MARKET,
order.quantity,
Price.from_str("1.00011"),
AUDUSD_SIM.quote_currency,
Money(0, USD),
LiquiditySide.TAKER,
UUID4(),
2_000_000_000,
0,
)
position.apply(fill2)
fill3 = OrderFilled(
self.trader_id,
StrategyId("S-001"),
self.account_id,
order.instrument_id,
order.client_order_id,
VenueOrderId("2"),
TradeId("E3"),
PositionId("P-123456"),
OrderSide.BUY,
OrderType.MARKET,
order.quantity,
Price.from_str("1.00012"),
AUDUSD_SIM.quote_currency,
Money(0, USD),
LiquiditySide.TAKER,
UUID4(),
3_000_000_000,
0,
)
# Act
position.apply(fill3)
# Assert
last = Price.from_str("1.00030")
assert position.is_opposite_side(fill2.order_side)
assert position.quantity == Quantity.from_int(150000)
assert position.side == PositionSide.LONG
assert position.ts_opened == 1_000_000_000
assert position.duration_ns == 0
assert position.avg_px_open == Decimal("1.00001")
assert position.event_count == 3
assert position.ts_closed == 0
assert position.avg_px_close == Decimal("1.00011")
assert position.is_long
assert position.is_open
assert not position.is_short
assert not position.is_closed
assert position.realized_points == Decimal("0.00010")
assert position.realized_return == Decimal(
"0.00009999900000999990000099999000")
assert position.realized_pnl == Money(12.00, USD)
assert position.unrealized_pnl(last) == Money(43.50, USD)
assert position.total_pnl(last) == Money(55.50, USD)
assert position.commissions() == [Money(3.00, USD)]
assert repr(
position) == "Position(LONG 150_000 AUD/USD.SIM, id=P-123456)"
