def setUp(self):
"""
Set up the PortfolioHandler object supplying it with
$500,000.00 USD in initial cash.
"""
initial_cash = Decimal("500000.00")
events_queue = queue.Queue()
price_handler = PriceHandlerMock()
position_sizer = PositionSizerMock()
risk_manager = RiskManagerMock()
# Create the PortfolioHandler object from the rest
self.portfolio_handler = PortfolioHandler(initial_cash, events_queue,
price_handler,
position_sizer, risk_manager)
def setUp(self):
"""
Set up the PortfolioHandler object supplying it with
$500,000.00 USD in initial cash.
"""
initial_cash = Decimal("500000.00")
events_queue = queue.Queue()
price_handler = PriceHandlerMock()
position_sizer = PositionSizerMock()
risk_manager = RiskManagerMock()
# Create the PortfolioHandler object from the rest
self.portfolio_handler = PortfolioHandler(
initial_cash, events_queue, price_handler,
position_sizer, risk_manager
)
class TestSimpleSignalOrderFillCycleForPortfolioHandler(unittest.TestCase):
"""
Tests a simple Signal, Order and Fill cycle for the
PortfolioHandler. This is, in effect, a sanity check.
"""
def setUp(self):
"""
Set up the PortfolioHandler object supplying it with
$500,000.00 USD in initial cash.
"""
initial_cash = Decimal("500000.00")
events_queue = queue.Queue()
price_handler = PriceHandlerMock()
position_sizer = PositionSizerMock()
risk_manager = RiskManagerMock()
# Create the PortfolioHandler object from the rest
self.portfolio_handler = PortfolioHandler(
initial_cash, events_queue, price_handler,
position_sizer, risk_manager
)
def test_create_order_from_signal_basic_check(self):
"""
Tests the "_create_order_from_signal" method
as a basic sanity check.
"""
signal_event = SignalEvent("MSFT", "BOT")
order = self.portfolio_handler._create_order_from_signal(signal_event)
self.assertEqual(order.ticker, "MSFT")
self.assertEqual(order.action, "BOT")
self.assertEqual(order.quantity, 0)
def test_place_orders_onto_queue_basic_check(self):
"""
Tests the "_place_orders_onto_queue" method
as a basic sanity check.
"""
order = OrderEvent("MSFT", "BOT", 100)
order_list = [order]
self.portfolio_handler._place_orders_onto_queue(order_list)
ret_order = self.portfolio_handler.events_queue.get()
self.assertEqual(ret_order.ticker, "MSFT")
self.assertEqual(ret_order.action, "BOT")
self.assertEqual(ret_order.quantity, 100)
def test_convert_fill_to_portfolio_update_basic_check(self):
"""
Tests the "_convert_fill_to_portfolio_update" method
as a basic sanity check.
"""
fill_event_buy = FillEvent(
datetime.datetime.utcnow(), "MSFT", "BOT",
100, "ARCA", Decimal("50.25"), Decimal("1.00")
)
self.portfolio_handler._convert_fill_to_portfolio_update(fill_event_buy)
# Check the Portfolio values within the PortfolioHandler
port = self.portfolio_handler.portfolio
self.assertEqual(port.cur_cash, Decimal("494974.00"))
# TODO: Finish this off and check it works via Interactive Brokers
fill_event_sell = FillEvent(
datetime.datetime.utcnow(), "MSFT", "SLD",
100, "ARCA", Decimal("50.25"), Decimal("1.00")
)
self.portfolio_handler._convert_fill_to_portfolio_update(fill_event_sell)
def test_on_signal_basic_check(self):
"""
Tests the "on_signal" method as a basic sanity check.
"""
signal_event = SignalEvent("MSFT", "BOT")
self.portfolio_handler.on_signal(signal_event)
ret_order = self.portfolio_handler.events_queue.get()
self.assertEqual(ret_order.ticker, "MSFT")
self.assertEqual(ret_order.action, "BOT")
self.assertEqual(ret_order.quantity, 100)
price_handler = HistoricCSVPriceHandler(
csv_dir, events_queue, tickers
)
# Use the Test Strategy
strategy = TestStrategy( tickers, events_queue )
# Use an example Position Sizer
position_sizer = TestPositionSizer()
# Use an example Risk Manager
risk_manager = TestRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(
initial_equity, events_queue, price_handler,
position_sizer, risk_manager
)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(
events_queue, price_handler
)
# Use the default Statistics
statistics = SimpleStatistics(portfolio_handler)
# Set up the backtest
backtest = Backtest(
tickers, price_handler,
strategy, portfolio_handler,
execution_handler,
class TestSimpleSignalOrderFillCycleForPortfolioHandler(unittest.TestCase):
"""
Tests a simple Signal, Order and Fill cycle for the
PortfolioHandler. This is, in effect, a sanity check.
"""
def setUp(self):
"""
Set up the PortfolioHandler object supplying it with
$500,000.00 USD in initial cash.
"""
initial_cash = Decimal("500000.00")
events_queue = queue.Queue()
price_handler = PriceHandlerMock()
position_sizer = PositionSizerMock()
risk_manager = RiskManagerMock()
# Create the PortfolioHandler object from the rest
self.portfolio_handler = PortfolioHandler(
initial_cash, events_queue, price_handler,
position_sizer, risk_manager
)
def test_create_order_from_signal_basic_check(self):
"""
Tests the "_create_order_from_signal" method
as a basic sanity check.
"""
signal_event = SignalEvent("MSFT", "BOT")
order = self.portfolio_handler._create_order_from_signal(signal_event)
self.assertEqual(order.ticker, "MSFT")
self.assertEqual(order.action, "BOT")
self.assertEqual(order.quantity, 0)
def test_place_orders_onto_queue_basic_check(self):
"""
Tests the "_place_orders_onto_queue" method
as a basic sanity check.
"""
order = OrderEvent("MSFT", "BOT", 100)
order_list = [order]
self.portfolio_handler._place_orders_onto_queue(order_list)
ret_order = self.portfolio_handler.events_queue.get()
self.assertEqual(ret_order.ticker, "MSFT")
self.assertEqual(ret_order.action, "BOT")
self.assertEqual(ret_order.quantity, 100)
def test_convert_fill_to_portfolio_update_basic_check(self):
"""
Tests the "_convert_fill_to_portfolio_update" method
as a basic sanity check.
"""
fill_event_buy = FillEvent(
datetime.datetime.utcnow(), "MSFT", "BOT",
100, "ARCA", Decimal("50.25"), Decimal("1.00")
)
self.portfolio_handler._convert_fill_to_portfolio_update(fill_event_buy)
# Check the Portfolio values within the PortfolioHandler
port = self.portfolio_handler.portfolio
self.assertEqual(port.cur_cash, Decimal("494974.00"))
# TODO: Finish this off and check it works via Interactive Brokers
fill_event_sell = FillEvent(
datetime.datetime.utcnow(), "MSFT", "SLD",
100, "ARCA", Decimal("50.25"), Decimal("1.00")
)
self.portfolio_handler._convert_fill_to_portfolio_update(fill_event_sell)
def test_on_signal_basic_check(self):
"""
Tests the "on_signal" method as a basic sanity check.
"""
signal_event = SignalEvent("MSFT", "BOT")
self.portfolio_handler.on_signal(signal_event)
ret_order = self.portfolio_handler.events_queue.get()
self.assertEqual(ret_order.ticker, "MSFT")
self.assertEqual(ret_order.action, "BOT")
self.assertEqual(ret_order.quantity, 100)