def get_object_test(self, test_method, spread, underlying=None, future=None, forex=None):
"""
Method use for testing get underlying, future and forex
"""
# create filled order with underlying
print 'create filled order object...'
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
future=self.future,
forex=self.forex,
spread=spread,
contract='ETF',
side='BUY',
quantity=1
)
# get queryset using filled order object
print 'get filled order using queryset and run spread class...'
if future:
filled_orders = FilledOrder.objects.filter(future=future).all()
cls = future
elif forex:
filled_orders = FilledOrder.objects.filter(forex=forex).all()
cls = forex
else:
filled_orders = FilledOrder.objects.filter(underlying=underlying).all()
cls = underlying
self.spread = Spread(
filled_orders=filled_orders
)
result = getattr(self.spread, test_method)()
print 'get %s result: %s' % (test_method, result)
print '%s is same? %s == %s? %s' % (
cls.__class__.__name__,
result.symbol, cls.symbol,
result.id == cls.id
)
self.assertEqual(result.id, cls.id)
print 'remove filled order object...'
self.filled_order.delete()
def test_get_equity_spread(self):
"""
Test get equity spread name using filled order
"""
spread = 'STOCK'
self.contracts = ['STOCK', 'ETF', 'FUND', 'STOCK', 'ETF', 'STOCK', 'STOCK']
self.sides = ['BUY', 'SELL', 'BUY', 'SELL', 'BUY', 'SELL', 'BUY']
self.quantities = [100, -200, 421, -81, 999, -4896, 17173]
self.results = [
'LONG_STOCK', 'SHORT_STOCK', 'LONG_STOCK', 'SHORT_STOCK',
'LONG_STOCK', 'SHORT_STOCK', 'LONG_STOCK',
]
for key, contract in enumerate(self.contracts):
print 'create filled order using spread: %s contract: %s...' % (spread, contract)
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=contract,
side=self.sides[key],
quantity=self.quantities[key]
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_equity_spread()
print 'result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
self.filled_order.delete()
print '-' * 80
def test_get_spread_module(self):
"""
Test get spread module name using get_spread result
"""
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
future=self.future,
forex=self.forex,
spread='STOCK',
contract='ETF',
side='BUY',
quantity=1
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spreads = [
'SHORT_FUTURE', 'SHORT_CALL_BACKRATIO', 'LONG_PUT_VERTICAL',
'SHORT_PUT_UNBALANCE_BUTTERFLY', 'LONG_BROKEN_WING_CALL_CONDOR'
]
self.results = [
'ShortFuture', 'ShortCallBackratio', 'LongPutVertical',
'ShortPutUnbalanceButterfly', 'LongBrokenWingCallCondor'
]
for spread, expect in zip(self.spreads, self.results):
self.spread.spread = spread
result = self.spread.get_spread_module()
print 'spread name: %s' % spread
print 'result module: %s' % result
print '.' * 60
self.assertEqual(result, expect)
def test_get_forex_spread(self):
"""
Test get option spread name using filled order
"""
spread = 'FOREX'
self.contracts = ['FOREX', 'FOREX']
self.sides = ['BUY', 'SELL']
self.quantities = [1, -22]
self.results = ['LONG_FOREX', 'SHORT_FOREX']
for key, contract in enumerate(self.contracts):
print 'create filled order using spread: %s contract: %s...' % (spread, contract)
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
forex=self.forex,
spread=spread,
contract=contract,
side=self.sides[key],
quantity=self.quantities[key]
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(forex=self.forex).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_forex_spread()
print 'result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
self.filled_order.delete()
print '-' * 80
def test_get_option_spread(self):
"""
Test get option spread name using filled order
"""
spread = 'SINGLE'
self.contracts = ['CALL', 'PUT', 'CALL', 'PUT']
self.sides = ['BUY', 'BUY', 'SELL', 'SELL']
self.quantities = [1, 35, -8, -17]
self.results = ['LONG_CALL', 'LONG_PUT', 'NAKED_CALL', 'NAKED_PUT']
for key, contract in enumerate(self.contracts):
print 'create filled order using spread: %s contract: %s...' % (spread, contract)
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=contract,
side=self.sides[key],
quantity=self.quantities[key]
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_option_spread()
print 'result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
self.filled_order.delete()
print '-' * 80
def method_test_get_account(self, side, net_price, expect):
"""
Test get account method that return credit or debit
"""
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STOCK',
contract='ETF',
side=side,
net_price=net_price
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.spread = Spread(filled_orders=filled_orders)
result = self.spread.get_account()
print 'side: %s, net_price: %.2f' % (side, net_price)
print 'result: %s, expect: %s' % (result, expect)
self.assertEqual(result, expect)
filled_orders.delete()
def test_get_name(self):
"""
Test get name from filled order
"""
self.spreads = [
'STOCK', 'COVERED', 'SINGLE', 'FUTURE',
'FOREX', 'VERTICAL', 'STRANGLE'
]
self.results = [
'EQUITY', 'HEDGE', 'OPTION', 'FUTURE',
'FOREX', 'SPREAD', 'SPREAD'
]
for key, spread in enumerate(self.spreads):
print 'create filled order using spread: %s...' % spread
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
spread=spread,
contract='ETF',
underlying=self.underlying,
side='BUY',
quantity=1
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
result = self.spread.get_name()
print 'get_name result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
self.filled_order.delete()
print '-' * 80
def test_get_spread(self):
"""
#Test save position using data in db
#can use production database or another database for test
"""
try:
statement = Statement.objects.get(date='2015-01-29')
except ObjectDoesNotExist:
self.skipTest("Please use 'Unittest' for testing.\n")
raise ObjectDoesNotExist()
trade_summary = TradeSummary.objects.filter(statement=statement).first()
filled_order_manager = FilledOrder.objects.filter(trade_summary=trade_summary)
underlying_symbols = filled_order_manager.values_list('underlying__symbol', flat=True).distinct()
underlying_symbols = [symbol for symbol in underlying_symbols if symbol] # drop none
print underlying_symbols
future_symbols = filled_order_manager.values_list('future__symbol', flat=True).distinct()
future_symbols = [symbol for symbol in future_symbols if symbol] # drop none
forex_symbols = filled_order_manager.values_list('forex__symbol', flat=True).distinct()
forex_symbols = [symbol for symbol in forex_symbols if symbol] # drop none
print 'Underlying...'
for underlying_symbol in underlying_symbols:
open_filled_orders = filled_order_manager.filter(
Q(underlying__symbol=underlying_symbol) & Q(pos_effect='TO OPEN')
)
if open_filled_orders.exists():
self.spread = Spread(filled_orders=open_filled_orders)
self.spread.name = self.spread.get_name()
print 'Underlying: %s' % self.spread.get_underlying()
print 'Name: %s' % self.spread.name
print 'Spread: %s' % self.spread.get_spread()
print ''
print '-' * 80 + '\n'
print 'Future...'
for future_symbol in future_symbols:
open_filled_orders = filled_order_manager.filter(
Q(future__symbol=future_symbol) & Q(pos_effect='TO OPEN')
)
if open_filled_orders.exists():
self.spread = Spread(filled_orders=open_filled_orders)
self.spread.name = self.spread.get_name()
print 'Future: %s' % self.spread.get_future()
print 'Name: %s' % self.spread.name
print 'Spread: %s' % self.spread.get_spread()
print ''
print '-' * 80 + '\n'
print 'Forex...'
for forex_symbol in forex_symbols:
print forex_symbol
open_filled_orders = filled_order_manager.filter(
Q(forex__symbol=forex_symbol) & Q(pos_effect='TO OPEN')
)
if open_filled_orders.exists():
self.spread = Spread(filled_orders=open_filled_orders)
self.spread.name = self.spread.get_name()
print 'Forex: %s' % self.spread.get_forex()
print 'Name: %s' % self.spread.name
print 'Spread: %s' % self.spread.get_spread()
print ''
def test_four_leg_options_spread(self):
"""
Test get 4 legs option spread
"""
self.spreads = ['CONDOR', '~CONDOR', 'IRON CONDOR', '~IRON CONDOR']
self.four_legs = {
'CONDOR': [
# standard
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 82.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 85},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 87.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 90}
],
'result': 'LONG_CALL_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 82.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 85},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 87.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 90},
],
'result': 'SHORT_CALL_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'BUY', 'quantity': +23, 'strike': 40},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -23, 'strike': 30},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -23, 'strike': 20},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +23, 'strike': 10},
],
'result': 'LONG_PUT_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'SELL', 'quantity': -70, 'strike': 410},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +70, 'strike': 310},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +70, 'strike': 210},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -70, 'strike': 110},
],
'result': 'SHORT_PUT_CONDOR'
},
# broken wing
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 82.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 85},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 87.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 92.5},
],
'result': 'LONG_BROKEN_WING_CALL_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 72.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 67.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 55},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 52.5},
],
'result': 'SHORT_BROKEN_WING_CALL_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'BUY', 'quantity': +22, 'strike': 40},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -22, 'strike': 35},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -22, 'strike': 20},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +22, 'strike': 10},
],
'result': 'LONG_BROKEN_WING_PUT_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'SELL', 'quantity': -89, 'strike': 8},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +89, 'strike': 9},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +89, 'strike': 10},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -89, 'strike': 12},
],
'result': 'SHORT_BROKEN_WING_PUT_CONDOR'
},
],
'~CONDOR': [
# unbalance
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +2, 'strike': 70},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 67.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 55},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 52.5}
],
'result': 'LONG_UNBALANCE_CALL_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 67.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 70},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -18, 'strike': 52.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +18, 'strike': 55}
],
'result': 'SHORT_UNBALANCE_CALL_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'BUY', 'quantity': +23, 'strike': 40},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -23, 'strike': 30},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -22, 'strike': 20},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +22, 'strike': 10},
],
'result': 'LONG_UNBALANCE_PUT_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'SELL', 'quantity': -89, 'strike': 12},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +89, 'strike': 11},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +79, 'strike': 10},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -79, 'strike': 9},
],
'result': 'SHORT_UNBALANCE_PUT_CONDOR'
},
# broken wing
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +12, 'strike': 72.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -12, 'strike': 67.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 55},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 52.5},
],
'result': 'LONG_UNBALANCE_BROKEN_WING_CALL_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -3, 'strike': 70},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +3, 'strike': 67.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +4, 'strike': 52.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -4, 'strike': 57.5},
],
'result': 'SHORT_UNBALANCE_BROKEN_WING_CALL_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'BUY', 'quantity': +89, 'strike': 12},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -89, 'strike': 11},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -95, 'strike': 10},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +95, 'strike': 8},
],
'result': 'LONG_UNBALANCE_BROKEN_WING_PUT_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'SELL', 'quantity': -55, 'strike': 40},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +55, 'strike': 35},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +21, 'strike': 20},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -21, 'strike': 10}
],
'result': 'SHORT_UNBALANCE_BROKEN_WING_PUT_CONDOR'
},
],
'IRON CONDOR': [
# standard
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 70},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 67.5},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -14, 'strike': 55},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +14, 'strike': 52.5},
],
'result': 'LONG_IRON_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 70},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 67.5},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +1, 'strike': 55},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 52.5},
],
'result': 'SHORT_IRON_CONDOR'
},
# broken wing
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +5, 'strike': 16.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -5, 'strike': 15.5},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -5, 'strike': 14},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +5, 'strike': 12.5},
],
'result': 'LONG_BROKEN_WING_IRON_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -80, 'strike': 220},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +80, 'strike': 210},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +80, 'strike': 190},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -80, 'strike': 170},
],
'result': 'SHORT_BROKEN_WING_IRON_CONDOR'
},
],
'~IRON CONDOR': [
# unbalance iron condor
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 70},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 67.5},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +2, 'strike': 55},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 52.5},
],
'result': 'SHORT_UNBALANCE_IRON_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +3, 'strike': 120},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -3, 'strike': 110},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 90},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +2, 'strike': 80},
],
'result': 'LONG_UNBALANCE_IRON_CONDOR'
},
# unbalance broken wing iron condor
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 70},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 65},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +2, 'strike': 55},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 52.5},
],
'result': 'SHORT_UNBALANCE_BROKEN_WING_IRON_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +3, 'strike': 120},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -3, 'strike': 110},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 90},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +2, 'strike': 70},
],
'result': 'LONG_UNBALANCE_BROKEN_WING_IRON_CONDOR'
},
]
}
for spread in self.spreads:
four_legs = self.four_legs[spread]
for sample_data in four_legs:
print 'create 4 filled orders using spread: %s...' % spread
orders = list()
for order in sample_data['orders']:
orders.append(
self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=order['contract'],
side=order['side'],
quantity=order['quantity'],
strike=order['strike']
)
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_four_leg_options_spread()
print 'result: %s, expected: %s' % (result, sample_data['result'])
self.assertEqual(result, sample_data['result'])
for order in orders:
order.delete()
print '-' * 80
def test_three_leg_options_spread(self):
"""
Test get 3 legs option spread
"""
self.spreads = ['BUTTERFLY', '~BUTTERFLY']
self.four_legs = {
'BUTTERFLY': [
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 55},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 2, 'strike': 57.5},
'option3': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 60},
'result': 'SHORT_CALL_BUTTERFLY'
},
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 55},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 57.5},
'option3': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 60},
'result': 'LONG_CALL_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 55},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 2, 'strike': 57.5},
'option3': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 60},
'result': 'SHORT_PUT_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 55},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 57.5},
'option3': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 60},
'result': 'LONG_PUT_BUTTERFLY'
},
# broken wing butterfly, skew butterfly
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 42},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 43},
'option3': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 45},
'result': 'LONG_CALL_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 41},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 2, 'strike': 43},
'option3': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 44},
'result': 'SHORT_CALL_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 90},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 100},
'option3': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 105},
'result': 'LONG_PUT_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 95},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 2, 'strike': 100},
'option3': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 110},
'result': 'SHORT_PUT_BROKEN_WING_BUTTERFLY'
}
],
'~BUTTERFLY': [
# unbalance
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 28},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 3, 'strike': 29},
'option3': {'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 30},
'result': 'SHORT_CALL_UNBALANCE_BUTTERFLY'
},
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 28},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -3, 'strike': 29},
'option3': {'contract': 'CALL', 'side': 'BUY', 'quantity': 2, 'strike': 30},
'result': 'LONG_CALL_UNBALANCE_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 68},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 5, 'strike': 70},
'option3': {'contract': 'PUT', 'side': 'SELL', 'quantity': -3, 'strike': 72},
'result': 'SHORT_PUT_UNBALANCE_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 5, 'strike': 90},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -15, 'strike': 100},
'option3': {'contract': 'PUT', 'side': 'BUY', 'quantity': 10, 'strike': 110},
'result': 'LONG_PUT_UNBALANCE_BUTTERFLY'
},
# unbalance broken wing
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 28},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 3, 'strike': 29},
'option3': {'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 31},
'result': 'SHORT_CALL_UNBALANCE_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 5, 'strike': 50},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -12, 'strike': 60},
'option3': {'contract': 'CALL', 'side': 'BUY', 'quantity': 7, 'strike': 75},
'result': 'LONG_CALL_UNBALANCE_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -3, 'strike': 250},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 7, 'strike': 300},
'option3': {'contract': 'PUT', 'side': 'SELL', 'quantity': -4, 'strike': 400},
'result': 'SHORT_PUT_UNBALANCE_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 10},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -3, 'strike': 11},
'option3': {'contract': 'PUT', 'side': 'BUY', 'quantity': 2, 'strike': 13},
'result': 'LONG_PUT_UNBALANCE_BROKEN_WING_BUTTERFLY'
}
]
}
for spread in self.spreads:
three_legs = self.four_legs[spread]
for option_data in three_legs:
print 'create 3 filled orders using spread: %s...' % spread
self.filled_order1 = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option_data['option1']['contract'],
side=option_data['option1']['side'],
quantity=option_data['option1']['quantity'],
strike=option_data['option1']['strike']
)
self.filled_order2 = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option_data['option2']['contract'],
side=option_data['option2']['side'],
quantity=option_data['option2']['quantity'],
strike=option_data['option2']['strike']
)
self.filled_order3 = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option_data['option3']['contract'],
side=option_data['option3']['side'],
quantity=option_data['option3']['quantity'],
strike=option_data['option3']['strike']
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_three_leg_options_spread()
print 'result: %s, expected: %s' % (result, option_data['result'])
self.assertEqual(result, option_data['result'])
self.filled_order1.delete()
self.filled_order2.delete()
self.filled_order3.delete()
print '-' * 80
def test_two_leg_options_spread(self):
"""
Test get 2 legs option spread
"""
self.spreads = ['VERTICAL', 'STRANGLE', 'STRADDLE', 'COMBO', 'BACKRATIO']
self.four_legs = {
'VERTICAL': [
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 100},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 105},
'result': 'LONG_CALL_VERTICAL'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 100},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 105},
'result': 'SHORT_CALL_VERTICAL'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 5, 'strike': 100},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -5, 'strike': 105},
'result': 'SHORT_PUT_VERTICAL'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -5, 'strike': 100},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 5, 'strike': 105},
'result': 'LONG_PUT_VERTICAL'
}
],
'STRANGLE': [
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 13, 'strike': 90},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 13, 'strike': 110},
'result': 'LONG_STRANGLE'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -37, 'strike': 90},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -37, 'strike': 110},
'result': 'SHORT_STRANGLE'
},
],
'STRADDLE': [
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 49, 'strike': 100},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 49, 'strike': 100},
'result': 'LONG_STRADDLE'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -51, 'strike': 100},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -51, 'strike': 100},
'result': 'SHORT_STRADDLE'
},
],
'COMBO': [
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 530, 'strike': 105},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -530, 'strike': 95},
'result': 'LONG_COMBO'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -102, 'strike': 95},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 102, 'strike': 105},
'result': 'SHORT_COMBO'
}
],
'BACKRATIO': [
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 20},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 21},
'result': 'SHORT_CALL_BACKRATIO'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 20},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 2, 'strike': 21},
'result': 'LONG_CALL_BACKRATIO'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 19},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 18},
'result': 'LONG_PUT_BACKRATIO'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 19},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 2, 'strike': 18},
'result': 'SHORT_PUT_BACKRATIO'
}
]
}
for spread in self.spreads:
two_legs = self.four_legs[spread]
for option_data in two_legs:
print 'create 2 filled orders using spread: %s...' % spread
self.filled_order1 = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option_data['option1']['contract'],
side=option_data['option1']['side'],
quantity=option_data['option1']['quantity'],
strike=option_data['option1']['strike']
)
self.filled_order2 = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option_data['option2']['contract'],
side=option_data['option2']['side'],
quantity=option_data['option2']['quantity'],
strike=option_data['option2']['strike']
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_two_leg_options_spread()
print 'result: %s, expected: %s' % (result, option_data['result'])
self.assertEqual(result, option_data['result'])
self.filled_order1.delete()
self.filled_order2.delete()
def test_get_hedge_spread(self):
"""
Test get hedge spread name using filled order
hedge contain 8 spread names
"""
spread = 'COVERED'
self.contracts = [
('STOCK', 'CALL'), ('STOCK', 'PUT'), ('STOCK', 'CALL'), ('STOCK', 'PUT'),
('STOCK', 'CALL'), ('STOCK', 'PUT'), ('STOCK', 'CALL'), ('STOCK', 'PUT')
]
self.sides = [
('BUY', 'BUY'), ('BUY', 'BUY'), ('BUY', 'SELL'), ('BUY', 'SELL'),
('SELL', 'BUY'), ('SELL', 'BUY'), ('SELL', 'SELL'), ('SELL', 'SELL')
]
self.quantities = [
(100, 1), (400, 4), (9000, -90), (700, -7),
(-5500, 55), (-6400, 64), (-200, -2), (-1000, -10)
]
self.results = [
'CUSTOM', 'PROTECTIVE_PUT', 'COVERED_CALL', 'CUSTOM',
'PROTECTIVE_CALL', 'CUSTOM', 'CUSTOM', 'COVERED_PUT'
]
for key, (stock, option) in enumerate(self.contracts):
print 'create filled order using spread: %s, stock: %s, option: %s...' % (spread, stock, option)
self.filled_order_stock = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=stock,
side=self.sides[key][0],
quantity=self.quantities[key][0]
)
self.filled_order_option = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option,
side=self.sides[key][1],
quantity=self.quantities[key][1]
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_hedge_spread()
print 'result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
print '-' * 80
self.filled_order_stock.delete()
self.filled_order_option.delete()
class TestSpread(TestUnitSetUpPrepare):
def get_object_test(self, test_method, spread, underlying=None, future=None, forex=None):
"""
Method use for testing get underlying, future and forex
"""
# create filled order with underlying
print 'create filled order object...'
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
future=self.future,
forex=self.forex,
spread=spread,
contract='ETF',
side='BUY',
quantity=1
)
# get queryset using filled order object
print 'get filled order using queryset and run spread class...'
if future:
filled_orders = FilledOrder.objects.filter(future=future).all()
cls = future
elif forex:
filled_orders = FilledOrder.objects.filter(forex=forex).all()
cls = forex
else:
filled_orders = FilledOrder.objects.filter(underlying=underlying).all()
cls = underlying
self.spread = Spread(
filled_orders=filled_orders
)
result = getattr(self.spread, test_method)()
print 'get %s result: %s' % (test_method, result)
print '%s is same? %s == %s? %s' % (
cls.__class__.__name__,
result.symbol, cls.symbol,
result.id == cls.id
)
self.assertEqual(result.id, cls.id)
print 'remove filled order object...'
self.filled_order.delete()
def test_get_underlying(self):
"""
Test get underlying from filled order
"""
self.get_object_test(
test_method='get_underlying',
spread='STOCK',
underlying=self.underlying
)
def test_get_future(self):
"""
Test get future from filled order
"""
self.get_object_test(
test_method='get_future',
spread='FUTURE',
future=self.future
)
def test_get_forex(self):
"""
Test get forex from filled order
"""
self.get_object_test(
test_method='get_forex',
spread='FOREX',
forex=self.forex
)
def test_get_name(self):
"""
Test get name from filled order
"""
self.spreads = [
'STOCK', 'COVERED', 'SINGLE', 'FUTURE',
'FOREX', 'VERTICAL', 'STRANGLE'
]
self.results = [
'EQUITY', 'HEDGE', 'OPTION', 'FUTURE',
'FOREX', 'SPREAD', 'SPREAD'
]
for key, spread in enumerate(self.spreads):
print 'create filled order using spread: %s...' % spread
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
spread=spread,
contract='ETF',
underlying=self.underlying,
side='BUY',
quantity=1
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
result = self.spread.get_name()
print 'get_name result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
self.filled_order.delete()
print '-' * 80
def test_get_equity_spread(self):
"""
Test get equity spread name using filled order
"""
spread = 'STOCK'
self.contracts = ['STOCK', 'ETF', 'FUND', 'STOCK', 'ETF', 'STOCK', 'STOCK']
self.sides = ['BUY', 'SELL', 'BUY', 'SELL', 'BUY', 'SELL', 'BUY']
self.quantities = [100, -200, 421, -81, 999, -4896, 17173]
self.results = [
'LONG_STOCK', 'SHORT_STOCK', 'LONG_STOCK', 'SHORT_STOCK',
'LONG_STOCK', 'SHORT_STOCK', 'LONG_STOCK',
]
for key, contract in enumerate(self.contracts):
print 'create filled order using spread: %s contract: %s...' % (spread, contract)
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=contract,
side=self.sides[key],
quantity=self.quantities[key]
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_equity_spread()
print 'result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
self.filled_order.delete()
print '-' * 80
def test_get_hedge_spread(self):
"""
Test get hedge spread name using filled order
hedge contain 8 spread names
"""
spread = 'COVERED'
self.contracts = [
('STOCK', 'CALL'), ('STOCK', 'PUT'), ('STOCK', 'CALL'), ('STOCK', 'PUT'),
('STOCK', 'CALL'), ('STOCK', 'PUT'), ('STOCK', 'CALL'), ('STOCK', 'PUT')
]
self.sides = [
('BUY', 'BUY'), ('BUY', 'BUY'), ('BUY', 'SELL'), ('BUY', 'SELL'),
('SELL', 'BUY'), ('SELL', 'BUY'), ('SELL', 'SELL'), ('SELL', 'SELL')
]
self.quantities = [
(100, 1), (400, 4), (9000, -90), (700, -7),
(-5500, 55), (-6400, 64), (-200, -2), (-1000, -10)
]
self.results = [
'CUSTOM', 'PROTECTIVE_PUT', 'COVERED_CALL', 'CUSTOM',
'PROTECTIVE_CALL', 'CUSTOM', 'CUSTOM', 'COVERED_PUT'
]
for key, (stock, option) in enumerate(self.contracts):
print 'create filled order using spread: %s, stock: %s, option: %s...' % (spread, stock, option)
self.filled_order_stock = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=stock,
side=self.sides[key][0],
quantity=self.quantities[key][0]
)
self.filled_order_option = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option,
side=self.sides[key][1],
quantity=self.quantities[key][1]
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_hedge_spread()
print 'result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
print '-' * 80
self.filled_order_stock.delete()
self.filled_order_option.delete()
def test_get_option_spread(self):
"""
Test get option spread name using filled order
"""
spread = 'SINGLE'
self.contracts = ['CALL', 'PUT', 'CALL', 'PUT']
self.sides = ['BUY', 'BUY', 'SELL', 'SELL']
self.quantities = [1, 35, -8, -17]
self.results = ['LONG_CALL', 'LONG_PUT', 'NAKED_CALL', 'NAKED_PUT']
for key, contract in enumerate(self.contracts):
print 'create filled order using spread: %s contract: %s...' % (spread, contract)
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=contract,
side=self.sides[key],
quantity=self.quantities[key]
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_option_spread()
print 'result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
self.filled_order.delete()
print '-' * 80
def test_get_future_spread(self):
"""
Test get option spread name using filled order
"""
spread = 'FUTURE'
self.contracts = ['FUTURE', 'FUTURE']
self.sides = ['BUY', 'SELL']
self.quantities = [1, -22]
self.results = ['LONG_FUTURE', 'SHORT_FUTURE']
for key, contract in enumerate(self.contracts):
print 'create filled order using spread: %s contract: %s...' % (spread, contract)
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
future=self.future,
spread=spread,
contract=contract,
side=self.sides[key],
quantity=self.quantities[key]
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(future=self.future).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_future_spread()
print 'result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
self.filled_order.delete()
print '-' * 80
def test_get_forex_spread(self):
"""
Test get option spread name using filled order
"""
spread = 'FOREX'
self.contracts = ['FOREX', 'FOREX']
self.sides = ['BUY', 'SELL']
self.quantities = [1, -22]
self.results = ['LONG_FOREX', 'SHORT_FOREX']
for key, contract in enumerate(self.contracts):
print 'create filled order using spread: %s contract: %s...' % (spread, contract)
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
forex=self.forex,
spread=spread,
contract=contract,
side=self.sides[key],
quantity=self.quantities[key]
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(forex=self.forex).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_forex_spread()
print 'result: %s, expected: %s' % (result, self.results[key])
self.assertEqual(result, self.results[key])
self.filled_order.delete()
print '-' * 80
def test_two_leg_options_spread(self):
"""
Test get 2 legs option spread
"""
self.spreads = ['VERTICAL', 'STRANGLE', 'STRADDLE', 'COMBO', 'BACKRATIO']
self.four_legs = {
'VERTICAL': [
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 100},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 105},
'result': 'LONG_CALL_VERTICAL'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 100},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 105},
'result': 'SHORT_CALL_VERTICAL'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 5, 'strike': 100},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -5, 'strike': 105},
'result': 'SHORT_PUT_VERTICAL'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -5, 'strike': 100},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 5, 'strike': 105},
'result': 'LONG_PUT_VERTICAL'
}
],
'STRANGLE': [
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 13, 'strike': 90},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 13, 'strike': 110},
'result': 'LONG_STRANGLE'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -37, 'strike': 90},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -37, 'strike': 110},
'result': 'SHORT_STRANGLE'
},
],
'STRADDLE': [
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 49, 'strike': 100},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 49, 'strike': 100},
'result': 'LONG_STRADDLE'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -51, 'strike': 100},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -51, 'strike': 100},
'result': 'SHORT_STRADDLE'
},
],
'COMBO': [
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 530, 'strike': 105},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -530, 'strike': 95},
'result': 'LONG_COMBO'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -102, 'strike': 95},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 102, 'strike': 105},
'result': 'SHORT_COMBO'
}
],
'BACKRATIO': [
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 20},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 21},
'result': 'SHORT_CALL_BACKRATIO'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 20},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 2, 'strike': 21},
'result': 'LONG_CALL_BACKRATIO'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 19},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 18},
'result': 'LONG_PUT_BACKRATIO'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 19},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 2, 'strike': 18},
'result': 'SHORT_PUT_BACKRATIO'
}
]
}
for spread in self.spreads:
two_legs = self.four_legs[spread]
for option_data in two_legs:
print 'create 2 filled orders using spread: %s...' % spread
self.filled_order1 = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option_data['option1']['contract'],
side=option_data['option1']['side'],
quantity=option_data['option1']['quantity'],
strike=option_data['option1']['strike']
)
self.filled_order2 = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option_data['option2']['contract'],
side=option_data['option2']['side'],
quantity=option_data['option2']['quantity'],
strike=option_data['option2']['strike']
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_two_leg_options_spread()
print 'result: %s, expected: %s' % (result, option_data['result'])
self.assertEqual(result, option_data['result'])
self.filled_order1.delete()
self.filled_order2.delete()
def test_three_leg_options_spread(self):
"""
Test get 3 legs option spread
"""
self.spreads = ['BUTTERFLY', '~BUTTERFLY']
self.four_legs = {
'BUTTERFLY': [
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 55},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 2, 'strike': 57.5},
'option3': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 60},
'result': 'SHORT_CALL_BUTTERFLY'
},
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 55},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 57.5},
'option3': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 60},
'result': 'LONG_CALL_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 55},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 2, 'strike': 57.5},
'option3': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 60},
'result': 'SHORT_PUT_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 55},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 57.5},
'option3': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 60},
'result': 'LONG_PUT_BUTTERFLY'
},
# broken wing butterfly, skew butterfly
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 42},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 43},
'option3': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 45},
'result': 'LONG_CALL_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 41},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 2, 'strike': 43},
'option3': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 44},
'result': 'SHORT_CALL_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 90},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 100},
'option3': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 105},
'result': 'LONG_PUT_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 95},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 2, 'strike': 100},
'option3': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 110},
'result': 'SHORT_PUT_BROKEN_WING_BUTTERFLY'
}
],
'~BUTTERFLY': [
# unbalance
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 28},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 3, 'strike': 29},
'option3': {'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 30},
'result': 'SHORT_CALL_UNBALANCE_BUTTERFLY'
},
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 1, 'strike': 28},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -3, 'strike': 29},
'option3': {'contract': 'CALL', 'side': 'BUY', 'quantity': 2, 'strike': 30},
'result': 'LONG_CALL_UNBALANCE_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 68},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 5, 'strike': 70},
'option3': {'contract': 'PUT', 'side': 'SELL', 'quantity': -3, 'strike': 72},
'result': 'SHORT_PUT_UNBALANCE_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 5, 'strike': 90},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -15, 'strike': 100},
'option3': {'contract': 'PUT', 'side': 'BUY', 'quantity': 10, 'strike': 110},
'result': 'LONG_PUT_UNBALANCE_BUTTERFLY'
},
# unbalance broken wing
{
'option1': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 28},
'option2': {'contract': 'CALL', 'side': 'BUY', 'quantity': 3, 'strike': 29},
'option3': {'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 31},
'result': 'SHORT_CALL_UNBALANCE_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'CALL', 'side': 'BUY', 'quantity': 5, 'strike': 50},
'option2': {'contract': 'CALL', 'side': 'SELL', 'quantity': -12, 'strike': 60},
'option3': {'contract': 'CALL', 'side': 'BUY', 'quantity': 7, 'strike': 75},
'result': 'LONG_CALL_UNBALANCE_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'SELL', 'quantity': -3, 'strike': 250},
'option2': {'contract': 'PUT', 'side': 'BUY', 'quantity': 7, 'strike': 300},
'option3': {'contract': 'PUT', 'side': 'SELL', 'quantity': -4, 'strike': 400},
'result': 'SHORT_PUT_UNBALANCE_BROKEN_WING_BUTTERFLY'
},
{
'option1': {'contract': 'PUT', 'side': 'BUY', 'quantity': 1, 'strike': 10},
'option2': {'contract': 'PUT', 'side': 'SELL', 'quantity': -3, 'strike': 11},
'option3': {'contract': 'PUT', 'side': 'BUY', 'quantity': 2, 'strike': 13},
'result': 'LONG_PUT_UNBALANCE_BROKEN_WING_BUTTERFLY'
}
]
}
for spread in self.spreads:
three_legs = self.four_legs[spread]
for option_data in three_legs:
print 'create 3 filled orders using spread: %s...' % spread
self.filled_order1 = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option_data['option1']['contract'],
side=option_data['option1']['side'],
quantity=option_data['option1']['quantity'],
strike=option_data['option1']['strike']
)
self.filled_order2 = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option_data['option2']['contract'],
side=option_data['option2']['side'],
quantity=option_data['option2']['quantity'],
strike=option_data['option2']['strike']
)
self.filled_order3 = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=option_data['option3']['contract'],
side=option_data['option3']['side'],
quantity=option_data['option3']['quantity'],
strike=option_data['option3']['strike']
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_three_leg_options_spread()
print 'result: %s, expected: %s' % (result, option_data['result'])
self.assertEqual(result, option_data['result'])
self.filled_order1.delete()
self.filled_order2.delete()
self.filled_order3.delete()
print '-' * 80
def test_four_leg_options_spread(self):
"""
Test get 4 legs option spread
"""
self.spreads = ['CONDOR', '~CONDOR', 'IRON CONDOR', '~IRON CONDOR']
self.four_legs = {
'CONDOR': [
# standard
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 82.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 85},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 87.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 90}
],
'result': 'LONG_CALL_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 82.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 85},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 87.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 90},
],
'result': 'SHORT_CALL_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'BUY', 'quantity': +23, 'strike': 40},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -23, 'strike': 30},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -23, 'strike': 20},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +23, 'strike': 10},
],
'result': 'LONG_PUT_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'SELL', 'quantity': -70, 'strike': 410},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +70, 'strike': 310},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +70, 'strike': 210},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -70, 'strike': 110},
],
'result': 'SHORT_PUT_CONDOR'
},
# broken wing
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 82.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 85},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 87.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 92.5},
],
'result': 'LONG_BROKEN_WING_CALL_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 72.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 67.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 55},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 52.5},
],
'result': 'SHORT_BROKEN_WING_CALL_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'BUY', 'quantity': +22, 'strike': 40},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -22, 'strike': 35},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -22, 'strike': 20},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +22, 'strike': 10},
],
'result': 'LONG_BROKEN_WING_PUT_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'SELL', 'quantity': -89, 'strike': 8},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +89, 'strike': 9},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +89, 'strike': 10},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -89, 'strike': 12},
],
'result': 'SHORT_BROKEN_WING_PUT_CONDOR'
},
],
'~CONDOR': [
# unbalance
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +2, 'strike': 70},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -2, 'strike': 67.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 55},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 52.5}
],
'result': 'LONG_UNBALANCE_CALL_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 67.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 70},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -18, 'strike': 52.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +18, 'strike': 55}
],
'result': 'SHORT_UNBALANCE_CALL_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'BUY', 'quantity': +23, 'strike': 40},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -23, 'strike': 30},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -22, 'strike': 20},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +22, 'strike': 10},
],
'result': 'LONG_UNBALANCE_PUT_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'SELL', 'quantity': -89, 'strike': 12},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +89, 'strike': 11},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +79, 'strike': 10},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -79, 'strike': 9},
],
'result': 'SHORT_UNBALANCE_PUT_CONDOR'
},
# broken wing
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +12, 'strike': 72.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -12, 'strike': 67.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 55},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 52.5},
],
'result': 'LONG_UNBALANCE_BROKEN_WING_CALL_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -3, 'strike': 70},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +3, 'strike': 67.5},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +4, 'strike': 52.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -4, 'strike': 57.5},
],
'result': 'SHORT_UNBALANCE_BROKEN_WING_CALL_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'BUY', 'quantity': +89, 'strike': 12},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -89, 'strike': 11},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -95, 'strike': 10},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +95, 'strike': 8},
],
'result': 'LONG_UNBALANCE_BROKEN_WING_PUT_CONDOR'
},
{
'orders': [
{'contract': 'PUT', 'side': 'SELL', 'quantity': -55, 'strike': 40},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +55, 'strike': 35},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +21, 'strike': 20},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -21, 'strike': 10}
],
'result': 'SHORT_UNBALANCE_BROKEN_WING_PUT_CONDOR'
},
],
'IRON CONDOR': [
# standard
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +14, 'strike': 70},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -14, 'strike': 67.5},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -14, 'strike': 55},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +14, 'strike': 52.5},
],
'result': 'LONG_IRON_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 70},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 67.5},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +1, 'strike': 55},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 52.5},
],
'result': 'SHORT_IRON_CONDOR'
},
# broken wing
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +5, 'strike': 16.5},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -5, 'strike': 15.5},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -5, 'strike': 14},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +5, 'strike': 12.5},
],
'result': 'LONG_BROKEN_WING_IRON_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -80, 'strike': 220},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +80, 'strike': 210},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +80, 'strike': 190},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -80, 'strike': 170},
],
'result': 'SHORT_BROKEN_WING_IRON_CONDOR'
},
],
'~IRON CONDOR': [
# unbalance iron condor
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 70},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 67.5},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +2, 'strike': 55},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 52.5},
],
'result': 'SHORT_UNBALANCE_IRON_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +3, 'strike': 120},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -3, 'strike': 110},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 90},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +2, 'strike': 80},
],
'result': 'LONG_UNBALANCE_IRON_CONDOR'
},
# unbalance broken wing iron condor
{
'orders': [
{'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 70},
{'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 65},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +2, 'strike': 55},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 52.5},
],
'result': 'SHORT_UNBALANCE_BROKEN_WING_IRON_CONDOR'
},
{
'orders': [
{'contract': 'CALL', 'side': 'BUY', 'quantity': +3, 'strike': 120},
{'contract': 'CALL', 'side': 'SELL', 'quantity': -3, 'strike': 110},
{'contract': 'PUT', 'side': 'SELL', 'quantity': -2, 'strike': 90},
{'contract': 'PUT', 'side': 'BUY', 'quantity': +2, 'strike': 70},
],
'result': 'LONG_UNBALANCE_BROKEN_WING_IRON_CONDOR'
},
]
}
for spread in self.spreads:
four_legs = self.four_legs[spread]
for sample_data in four_legs:
print 'create 4 filled orders using spread: %s...' % spread
orders = list()
for order in sample_data['orders']:
orders.append(
self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread=spread,
contract=order['contract'],
side=order['side'],
quantity=order['quantity'],
strike=order['strike']
)
)
print 'get filled order using queryset and run spread class...'
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spread.name = self.spread.get_name()
result = self.spread.get_four_leg_options_spread()
print 'result: %s, expected: %s' % (result, sample_data['result'])
self.assertEqual(result, sample_data['result'])
for order in orders:
order.delete()
print '-' * 80
def test_get_spread_module(self):
"""
Test get spread module name using get_spread result
"""
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
future=self.future,
forex=self.forex,
spread='STOCK',
contract='ETF',
side='BUY',
quantity=1
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all()
self.spread = Spread(filled_orders=filled_orders)
self.spreads = [
'SHORT_FUTURE', 'SHORT_CALL_BACKRATIO', 'LONG_PUT_VERTICAL',
'SHORT_PUT_UNBALANCE_BUTTERFLY', 'LONG_BROKEN_WING_CALL_CONDOR'
]
self.results = [
'ShortFuture', 'ShortCallBackratio', 'LongPutVertical',
'ShortPutUnbalanceButterfly', 'LongBrokenWingCallCondor'
]
for spread, expect in zip(self.spreads, self.results):
self.spread.spread = spread
result = self.spread.get_spread_module()
print 'spread name: %s' % spread
print 'result module: %s' % result
print '.' * 60
self.assertEqual(result, expect)
def method_test_get_account(self, side, net_price, expect):
"""
Test get account method that return credit or debit
"""
self.filled_order = self.create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STOCK',
contract='ETF',
side=side,
net_price=net_price
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.spread = Spread(filled_orders=filled_orders)
result = self.spread.get_account()
print 'side: %s, net_price: %.2f' % (side, net_price)
print 'result: %s, expect: %s' % (result, expect)
self.assertEqual(result, expect)
filled_orders.delete()
def test_get_account_debit(self):
"""
Test get account for debit, credit and balance spread
"""
self.method_test_get_account(side='BUY', net_price=21.55, expect='DEBIT')
self.method_test_get_account(side='SELL', net_price=-7.36, expect='CREDIT')
self.method_test_get_account(side='BUY', net_price=0.0, expect='BALANCE')