def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'stock': {
'contract': 'STOCK',
'side': 'SELL',
'quantity': -100,
'strike': 0,
'price': 52.92,
'net_price': 0.0
},
'option': {
'contract': 'CALL',
'side': 'BUY',
'quantity': +1,
'strike': 55,
'price': 1.31,
'net_price': 51.61
},
}
self.stock_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['stock']['contract'],
side=self.orders['stock']['side'],
quantity=self.orders['stock']['quantity'],
strike=self.orders['stock']['strike'],
price=self.orders['stock']['price'],
net_price=self.orders['stock']['net_price'])
self.option_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['option']['contract'],
side=self.orders['option']['side'],
quantity=self.orders['option']['quantity'],
strike=self.orders['option']['strike'],
price=self.orders['option']['price'],
net_price=self.orders['option']['net_price'])
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.protective_call = StageProtectiveCall(filled_orders=filled_orders)
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'stock': {'contract': 'STOCK', 'side': 'SELL', 'quantity': -100,
'strike': 0, 'price': 52.92, 'net_price': 0.0},
'option': {'contract': 'CALL', 'side': 'BUY', 'quantity': +1,
'strike': 55, 'price': 1.31, 'net_price': 51.61},
}
self.stock_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['stock']['contract'],
side=self.orders['stock']['side'],
quantity=self.orders['stock']['quantity'],
strike=self.orders['stock']['strike'],
price=self.orders['stock']['price'],
net_price=self.orders['stock']['net_price']
)
self.option_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['option']['contract'],
side=self.orders['option']['side'],
quantity=self.orders['option']['quantity'],
strike=self.orders['option']['strike'],
price=self.orders['option']['price'],
net_price=self.orders['option']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.protective_call = StageProtectiveCall(filled_orders=filled_orders)
class TestStageProtectiveCall(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'stock': {'contract': 'STOCK', 'side': 'SELL', 'quantity': -100,
'strike': 0, 'price': 52.92, 'net_price': 0.0},
'option': {'contract': 'CALL', 'side': 'BUY', 'quantity': +1,
'strike': 55, 'price': 1.31, 'net_price': 51.61},
}
self.stock_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['stock']['contract'],
side=self.orders['stock']['side'],
quantity=self.orders['stock']['quantity'],
strike=self.orders['stock']['strike'],
price=self.orders['stock']['price'],
net_price=self.orders['stock']['net_price']
)
self.option_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['option']['contract'],
side=self.orders['option']['side'],
quantity=self.orders['option']['quantity'],
strike=self.orders['option']['strike'],
price=self.orders['option']['price'],
net_price=self.orders['option']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.protective_call = StageProtectiveCall(filled_orders=filled_orders)
def test_create_even_stage(self):
"""
Create even stage using filled orders data
"""
even_stage = self.protective_call.create_even_stage()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 51.61,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=even_stage, price=51.61, expect=True)
self.check_in_stage(stage_cls=even_stage, price=52, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=51.61, old_price=51.61, expect='UNKNOWN'
)
def test_create_max_loss_stage(self):
"""
Create max profit stage using filled orders data
"""
max_loss_stage = self.protective_call.create_max_loss_stage()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} <= {current_price}',
detail={
'price_a': 55.0,
'amount_a': -339.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'EASING',
'left_expression': '{price_a} <= {new_price} < {old_price}',
'right_status': 'WORST',
'right_expression': '{price_a} <= {old_price} < {new_price}',
}
)
self.check_in_stage(stage_cls=max_loss_stage, price=56.5, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=51.61, expect=False)
self.check_get_status(max_loss_stage, new_price=55.5, old_price=56.5, expect='EASING')
self.check_get_status(max_loss_stage, new_price=57.5, old_price=56.5, expect='WORST')
self.check_get_status(max_loss_stage, new_price=56.5, old_price=56.5, expect='UNKNOWN')
def test_create_loss_stage(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.protective_call.create_loss_stage()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 51.61,
'amount_a': 0.0,
'price_b': 55.00,
'amount_b': -339.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=52.3, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=49.9, expect=False)
self.check_get_status(loss_stage, new_price=52.65, old_price=53.88, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=54.96, old_price=53.88, expect='LOSING')
self.check_get_status(loss_stage, new_price=53.88, old_price=53.88, expect='UNKNOWN')
def test_create_profit_stage(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.protective_call.create_profit_stage()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{current_price} < {price_a}',
detail={
'price_a': 51.61,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{old_price} < {new_price} < {price_a}',
'right_status': 'PROFITING',
'right_expression': '{new_price} < {old_price} < {price_a}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=50.1, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=54.5, expect=False)
self.check_get_status(profit_stage, new_price=47.5, old_price=44.33, expect='DECREASING')
self.check_get_status(profit_stage, new_price=44.33, old_price=47.5, expect='PROFITING')
self.check_get_status(profit_stage, new_price=48.5, old_price=48.5, expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.protective_call.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
class TestStageProtectiveCall(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'stock': {
'contract': 'STOCK',
'side': 'SELL',
'quantity': -100,
'strike': 0,
'price': 52.92,
'net_price': 0.0
},
'option': {
'contract': 'CALL',
'side': 'BUY',
'quantity': +1,
'strike': 55,
'price': 1.31,
'net_price': 51.61
},
}
self.stock_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['stock']['contract'],
side=self.orders['stock']['side'],
quantity=self.orders['stock']['quantity'],
strike=self.orders['stock']['strike'],
price=self.orders['stock']['price'],
net_price=self.orders['stock']['net_price'])
self.option_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COVERED',
contract=self.orders['option']['contract'],
side=self.orders['option']['side'],
quantity=self.orders['option']['quantity'],
strike=self.orders['option']['strike'],
price=self.orders['option']['price'],
net_price=self.orders['option']['net_price'])
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.protective_call = StageProtectiveCall(filled_orders=filled_orders)
def test_create_even_stage(self):
"""
Create even stage using filled orders data
"""
even_stage = self.protective_call.create_even_stage()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 51.61,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
})
self.check_in_stage(stage_cls=even_stage, price=51.61, expect=True)
self.check_in_stage(stage_cls=even_stage, price=52, expect=False)
self.check_get_status(stage_cls=even_stage,
new_price=51.61,
old_price=51.61,
expect='UNKNOWN')
def test_create_max_loss_stage(self):
"""
Create max profit stage using filled orders data
"""
max_loss_stage = self.protective_call.create_max_loss_stage()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} <= {current_price}',
detail={
'price_a': 55.0,
'amount_a': -339.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'EASING',
'left_expression': '{price_a} <= {new_price} < {old_price}',
'right_status': 'WORST',
'right_expression': '{price_a} <= {old_price} < {new_price}',
})
self.check_in_stage(stage_cls=max_loss_stage, price=56.5, expect=True)
self.check_in_stage(stage_cls=max_loss_stage,
price=51.61,
expect=False)
self.check_get_status(max_loss_stage,
new_price=55.5,
old_price=56.5,
expect='EASING')
self.check_get_status(max_loss_stage,
new_price=57.5,
old_price=56.5,
expect='WORST')
self.check_get_status(max_loss_stage,
new_price=56.5,
old_price=56.5,
expect='UNKNOWN')
def test_create_loss_stage(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.protective_call.create_loss_stage()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
51.61,
'amount_a':
0.0,
'price_b':
55.00,
'amount_b':
-339.0,
'left_status':
'RECOVERING',
'left_expression':
'{price_a} < {new_price} < {old_price} < {price_b}',
'right_status':
'LOSING',
'right_expression':
'{price_a} < {old_price} < {new_price} < {price_b}',
})
self.check_in_stage(stage_cls=loss_stage, price=52.3, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=49.9, expect=False)
self.check_get_status(loss_stage,
new_price=52.65,
old_price=53.88,
expect='RECOVERING')
self.check_get_status(loss_stage,
new_price=54.96,
old_price=53.88,
expect='LOSING')
self.check_get_status(loss_stage,
new_price=53.88,
old_price=53.88,
expect='UNKNOWN')
def test_create_profit_stage(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.protective_call.create_profit_stage()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{current_price} < {price_a}',
detail={
'price_a': 51.61,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{old_price} < {new_price} < {price_a}',
'right_status': 'PROFITING',
'right_expression': '{new_price} < {old_price} < {price_a}',
})
self.check_in_stage(stage_cls=profit_stage, price=50.1, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=54.5, expect=False)
self.check_get_status(profit_stage,
new_price=47.5,
old_price=44.33,
expect='DECREASING')
self.check_get_status(profit_stage,
new_price=44.33,
old_price=47.5,
expect='PROFITING')
self.check_get_status(profit_stage,
new_price=48.5,
old_price=48.5,
expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.protective_call.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
