def test_get_account_total_market_value():
"""
Tests get_account_total_market_value method for:
* The correct market values after cash is subscribed.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
exchange = ExchangeMock()
data_handler = DataHandlerMock()
sb = SimulatedBroker(start_dt, exchange, data_handler)
# Subscribe all necessary funds and create portfolios
sb.subscribe_funds_to_account(300000.0)
sb.create_portfolio(portfolio_id="1", name="My Portfolio #1")
sb.create_portfolio(portfolio_id="2", name="My Portfolio #1")
sb.create_portfolio(portfolio_id="3", name="My Portfolio #1")
sb.subscribe_funds_to_portfolio("1", 100000.0)
sb.subscribe_funds_to_portfolio("2", 100000.0)
sb.subscribe_funds_to_portfolio("3", 100000.0)
# Check that the market value is correct
res_equity = sb.get_account_total_equity()
test_equity = {
"1": 100000.0,
"2": 100000.0,
"3": 100000.0,
"master": 300000.0
}
assert res_equity == test_equity
def test_withdraw_funds_from_portfolio():
"""
Tests withdraw_funds_from_portfolio method for:
* Raising ValueError with negative amount
* Raising ValueError if portfolio does not exist
* Raising ValueError for a lack of cash
* Correctly setting cash_balances for a positive amount
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
exchange = ExchangeMock()
data_handler = DataHandlerMock()
sb = SimulatedBroker(start_dt, exchange, data_handler)
# Raising ValueError with negative amount
with pytest.raises(ValueError):
sb.withdraw_funds_from_portfolio("1234", -4306.23)
# Raising KeyError if portfolio doesn't exist
with pytest.raises(KeyError):
sb.withdraw_funds_from_portfolio("1234", 5432.12)
# Add in cash balance to the account
sb.create_portfolio(portfolio_id=1234, name="My Portfolio #1")
sb.subscribe_funds_to_account(165303.23)
sb.subscribe_funds_to_portfolio("1234", 100000.00)
# Raising ValueError if not enough cash
with pytest.raises(ValueError):
sb.withdraw_funds_from_portfolio("1234", 200000.00)
# If everything else worked, check balances are correct
sb.withdraw_funds_from_portfolio("1234", 50000.00)
assert sb.cash_balances[sb.base_currency] == 115303.23000000001
assert sb.portfolios["1234"].total_cash == 50000.00
def test_subscribe_funds_to_account():
"""
Tests subscribe_funds_to_account method for:
* Raising ValueError with negative amount
* Correctly setting cash_balances for a positive amount
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
exchange = ExchangeMock()
data_handler = DataHandlerMock()
sb = SimulatedBroker(start_dt, exchange, data_handler)
# Raising ValueError with negative amount
with pytest.raises(ValueError):
sb.subscribe_funds_to_account(-4306.23)
# Correctly setting cash_balances for a positive amount
sb.subscribe_funds_to_account(165303.23)
assert sb.cash_balances[sb.base_currency] == 165303.23
def test_get_portfolio_non_cash_equity():
"""
Tests get_portfolio_non_cash_equity method for:
* Raising ValueError if portfolio_id not in keys
* Correctly obtaining the market value after cash transfers
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
exchange = ExchangeMock()
data_handler = DataHandlerMock()
sb = SimulatedBroker(start_dt, exchange, data_handler)
# Raising KeyError if portfolio_id not in keys
with pytest.raises(KeyError):
sb.get_portfolio_non_cash_equity("5678")
# Create fund transfers and portfolio
sb.create_portfolio(portfolio_id=1234, name="My Portfolio #1")
sb.subscribe_funds_to_account(175000.0)
sb.subscribe_funds_to_portfolio("1234", 100000.00)
# Check correct values obtained after cash transfers
assert sb.get_portfolio_total_equity("1234") == 100000.0
def test_submit_order():
"""
Tests the execute_order method for:
* Raises ValueError if no portfolio_id
* Raises ValueError if bid/ask is (np.NaN, np.NaN)
* Checks that bid/ask are correctly set dependent
upon order direction
* Checks that portfolio values are correct after
carrying out a transaction
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
# Raising KeyError if portfolio_id not in keys
exchange = ExchangeMock()
data_handler = DataHandlerMock()
sb = SimulatedBroker(start_dt, exchange, data_handler)
asset = AssetMock("Royal Dutch Shell Class B", "EQ:RDSB")
quantity = 100
order = OrderMock(asset.symbol, quantity)
with pytest.raises(KeyError):
sb.submit_order("1234", order)
# Raises ValueError if bid/ask is (np.NaN, np.NaN)
exchange_exception = ExchangeMockException()
sbnp = SimulatedBroker(start_dt, exchange_exception, data_handler)
sbnp.create_portfolio(portfolio_id=1234, name="My Portfolio #1")
quantity = 100
order = OrderMock(asset.symbol, quantity)
with pytest.raises(ValueError):
sbnp._execute_order(start_dt, "1234", order)
# Checks that bid/ask are correctly set dependent on
# order direction
# Positive direction
exchange_price = ExchangeMockPrice()
data_handler_price = DataHandlerMockPrice()
sbwp = SimulatedBroker(start_dt, exchange_price, data_handler_price)
sbwp.create_portfolio(portfolio_id=1234, name="My Portfolio #1")
sbwp.subscribe_funds_to_account(175000.0)
sbwp.subscribe_funds_to_portfolio("1234", 100000.00)
quantity = 1000
order = OrderMock(asset.symbol, quantity)
sbwp.submit_order("1234", order)
sbwp.update(start_dt)
port = sbwp.portfolios["1234"]
assert port.total_cash == 46530.0
assert port.total_non_cash_equity == 53470.0
assert port.total_equity == 100000.0
assert port.pos_handler.positions[asset.symbol].book_cost == 53470.0
assert port.pos_handler.positions[asset.symbol].unrealised_gain == 0.0
assert port.pos_handler.positions[asset.symbol].market_value == 53470.0
assert port.pos_handler.positions[asset.symbol].unrealised_percentage_gain == 0.0
assert port.pos_handler.positions[asset.symbol].quantity == 1000
# Negative direction
exchange_price = ExchangeMockPrice()
sbwp = SimulatedBroker(start_dt, exchange_price, data_handler_price)
sbwp.create_portfolio(portfolio_id=1234, name="My Portfolio #1")
sbwp.subscribe_funds_to_account(175000.0)
sbwp.subscribe_funds_to_portfolio("1234", 100000.00)
quantity = -1000
order = OrderMock(asset.symbol, quantity)
sbwp.submit_order("1234", order)
sbwp.update(start_dt)
port = sbwp.portfolios["1234"]
assert port.total_cash == 153450.0
assert port.total_non_cash_equity == -53450.0
assert port.total_equity == 100000.0
assert port.pos_handler.positions[asset.symbol].book_cost == -53450.0
assert port.pos_handler.positions[asset.symbol].unrealised_gain == 0.0
assert port.pos_handler.positions[asset.symbol].market_value == -53450.0
assert port.pos_handler.positions[asset.symbol].unrealised_percentage_gain == 0.0
assert port.pos_handler.positions[asset.symbol].quantity == -1000
