def setUp(self): TestUnitSetUpStage.setUp(self) self.orders = { 'sell_call': { 'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 54, 'price': 0.92, 'net_price': 0.0 }, 'sell_put': { 'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 54, 'price': 0.77, 'net_price': 1.69 }, } self.call_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread='STRANGLE', contract=self.orders['sell_call']['contract'], side=self.orders['sell_call']['side'], quantity=self.orders['sell_call']['quantity'], strike=self.orders['sell_call']['strike'], price=self.orders['sell_call']['price'], net_price=self.orders['sell_call']['net_price']) self.put_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread='STRANGLE', contract=self.orders['sell_put']['contract'], side=self.orders['sell_put']['side'], quantity=self.orders['sell_put']['quantity'], strike=self.orders['sell_put']['strike'], price=self.orders['sell_put']['price'], net_price=self.orders['sell_put']['net_price']) filled_orders = FilledOrder.objects.filter(underlying=self.underlying) self.contract_right = 100 self.short_strangle = StageShortStraddle( filled_orders=filled_orders, contract_right=self.contract_right)
def setUp(self): TestUnitSetUpStage.setUp(self) self.orders = { 'sell_call': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 54, 'price': 0.92, 'net_price': 0.0}, 'sell_put': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 54, 'price': 0.77, 'net_price': 1.69}, } self.call_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread='STRANGLE', contract=self.orders['sell_call']['contract'], side=self.orders['sell_call']['side'], quantity=self.orders['sell_call']['quantity'], strike=self.orders['sell_call']['strike'], price=self.orders['sell_call']['price'], net_price=self.orders['sell_call']['net_price'] ) self.put_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread='STRANGLE', contract=self.orders['sell_put']['contract'], side=self.orders['sell_put']['side'], quantity=self.orders['sell_put']['quantity'], strike=self.orders['sell_put']['strike'], price=self.orders['sell_put']['price'], net_price=self.orders['sell_put']['net_price'] ) filled_orders = FilledOrder.objects.filter(underlying=self.underlying) self.contract_right = 100 self.short_strangle = StageShortStraddle( filled_orders=filled_orders, contract_right=self.contract_right )
class TestStageShortStraddle(TestUnitSetUpStage): def setUp(self): TestUnitSetUpStage.setUp(self) self.orders = { 'sell_call': {'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 54, 'price': 0.92, 'net_price': 0.0}, 'sell_put': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 54, 'price': 0.77, 'net_price': 1.69}, } self.call_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread='STRANGLE', contract=self.orders['sell_call']['contract'], side=self.orders['sell_call']['side'], quantity=self.orders['sell_call']['quantity'], strike=self.orders['sell_call']['strike'], price=self.orders['sell_call']['price'], net_price=self.orders['sell_call']['net_price'] ) self.put_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread='STRANGLE', contract=self.orders['sell_put']['contract'], side=self.orders['sell_put']['side'], quantity=self.orders['sell_put']['quantity'], strike=self.orders['sell_put']['strike'], price=self.orders['sell_put']['price'], net_price=self.orders['sell_put']['net_price'] ) filled_orders = FilledOrder.objects.filter(underlying=self.underlying) self.contract_right = 100 self.short_strangle = StageShortStraddle( filled_orders=filled_orders, contract_right=self.contract_right ) def test_create_even_stage1(self): """ Create even stage using filled orders data """ even_stage = self.short_strangle.create_even_stage1() self.method_test_create_stage( stage=even_stage, name='EVEN', expression='{price_a} == {current_price}', detail={ 'price_a': 55.69, '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=55.69, expect=True) self.check_in_stage(stage_cls=even_stage, price=55, expect=False) self.check_get_status( stage_cls=even_stage, new_price=55.69, old_price=55.69, expect='UNKNOWN' ) def test_create_even_stage2(self): """ Create even stage using filled orders data """ even_stage = self.short_strangle.create_even_stage2() self.method_test_create_stage( stage=even_stage, name='EVEN', expression='{price_a} == {current_price}', detail={ 'price_a': 52.31, '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=52.31, expect=True) self.check_in_stage(stage_cls=even_stage, price=53, expect=False) self.check_get_status( stage_cls=even_stage, new_price=52.31, old_price=52.31, expect='UNKNOWN' ) def test_create_loss_stage1(self): """ Create profit stage using filled orders data """ loss_stage = self.short_strangle.create_loss_stage1() self.method_test_create_stage( stage=loss_stage, name='LOSS', expression='{price_a} < {current_price}', detail={ 'price_a': 55.69, 'amount_a': 0.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': 'RECOVERING', 'left_expression': '{price_a} < {new_price} < {old_price}', 'right_status': 'LOSING', 'right_expression': '{price_a} < {old_price} < {new_price}', } ) self.check_in_stage(stage_cls=loss_stage, price=57, expect=True) self.check_in_stage(stage_cls=loss_stage, price=55, expect=False) self.check_get_status(loss_stage, new_price=57, old_price=58, expect='RECOVERING') self.check_get_status(loss_stage, new_price=59, old_price=58, expect='LOSING') self.check_get_status(loss_stage, new_price=57, old_price=57, expect='UNKNOWN') def test_create_loss_stage2(self): """ Create profit stage using filled orders data """ loss_stage = self.short_strangle.create_loss_stage2() self.method_test_create_stage( stage=loss_stage, name='LOSS', expression='{current_price} < {price_a}', detail={ 'price_a': 52.31, 'amount_a': 0.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': 'RECOVERING', 'left_expression': '{old_price} < {new_price} < {price_a}', 'right_status': 'LOSING', 'right_expression': '{new_price} < {old_price} < {price_a}', } ) self.check_in_stage(stage_cls=loss_stage, price=50, expect=True) self.check_in_stage(stage_cls=loss_stage, price=53, expect=False) self.check_get_status(loss_stage, new_price=51.5, old_price=50, expect='RECOVERING') self.check_get_status(loss_stage, new_price=49.9, old_price=50, expect='LOSING') self.check_get_status(loss_stage, new_price=50.5, old_price=50.5, expect='UNKNOWN') def test_create_profit_stage1(self): """ Create loss stage using filled orders data """ profit_stage = self.short_strangle.create_profit_stage1() self.method_test_create_stage( stage=profit_stage, name='PROFIT', expression='{price_a} < {current_price} < {price_b}', detail={ 'price_a': 54.0, 'amount_a': 169.0, 'price_b': 55.69, 'amount_b': 0.0, 'left_status': 'DECREASING', 'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}', 'right_status': 'PROFITING', 'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}', } ) self.check_in_stage(stage_cls=profit_stage, price=55, expect=True) self.check_in_stage(stage_cls=profit_stage, price=56, expect=False) self.check_get_status(profit_stage, new_price=55.2, old_price=55, expect='DECREASING') self.check_get_status(profit_stage, new_price=54.3, old_price=54.5, expect='PROFITING') self.check_get_status(profit_stage, new_price=54, old_price=54, expect='UNKNOWN') def test_create_profit_stage2(self): """ Create loss stage using filled orders data """ profit_stage = self.short_strangle.create_profit_stage2() self.method_test_create_stage( stage=profit_stage, name='PROFIT', expression='{price_a} < {current_price} < {price_b}', detail={ 'price_a': 52.31, 'amount_a': 0.0, 'price_b': 54.0, 'amount_b': 169.0, 'left_status': 'DECREASING', 'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}', 'right_status': 'PROFITING', 'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}', } ) self.check_in_stage(stage_cls=profit_stage, price=53, expect=True) self.check_in_stage(stage_cls=profit_stage, price=51, expect=False) self.check_get_status(profit_stage, new_price=52.8, old_price=53.5, expect='DECREASING') self.check_get_status(profit_stage, new_price=53.5, old_price=53, expect='PROFITING') self.check_get_status(profit_stage, new_price=53, old_price=53, expect='UNKNOWN') def test_create_max_profit_stage1(self): """ Create max profit stage using filled orders data """ max_profit_stage = self.short_strangle.create_max_profit_stage() self.method_test_create_stage( stage=max_profit_stage, name='MAX_PROFIT', expression='{price_a} == {current_price}', detail={ 'price_a': 54.0, 'amount_a': 169.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': '', 'left_expression': '', 'right_status': '', 'right_expression': '', } ) self.check_in_stage(stage_cls=max_profit_stage, price=54.0, expect=True) self.check_in_stage(stage_cls=max_profit_stage, price=55, expect=False) self.check_get_status(max_profit_stage, new_price=54, old_price=54, expect='UNKNOWN') def test_create_stages(self): """ Test create stages using filled orders """ print 'run create_stages...' stages = self.short_strangle.create_stages() self.assertEqual(type(stages), list) for stage in stages: print stage self.assertEqual(type(stage), PositionStage)
class TestStageShortStraddle(TestUnitSetUpStage): def setUp(self): TestUnitSetUpStage.setUp(self) self.orders = { 'sell_call': { 'contract': 'CALL', 'side': 'SELL', 'quantity': -1, 'strike': 54, 'price': 0.92, 'net_price': 0.0 }, 'sell_put': { 'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 54, 'price': 0.77, 'net_price': 1.69 }, } self.call_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread='STRANGLE', contract=self.orders['sell_call']['contract'], side=self.orders['sell_call']['side'], quantity=self.orders['sell_call']['quantity'], strike=self.orders['sell_call']['strike'], price=self.orders['sell_call']['price'], net_price=self.orders['sell_call']['net_price']) self.put_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread='STRANGLE', contract=self.orders['sell_put']['contract'], side=self.orders['sell_put']['side'], quantity=self.orders['sell_put']['quantity'], strike=self.orders['sell_put']['strike'], price=self.orders['sell_put']['price'], net_price=self.orders['sell_put']['net_price']) filled_orders = FilledOrder.objects.filter(underlying=self.underlying) self.contract_right = 100 self.short_strangle = StageShortStraddle( filled_orders=filled_orders, contract_right=self.contract_right) def test_create_even_stage1(self): """ Create even stage using filled orders data """ even_stage = self.short_strangle.create_even_stage1() self.method_test_create_stage( stage=even_stage, name='EVEN', expression='{price_a} == {current_price}', detail={ 'price_a': 55.69, '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=55.69, expect=True) self.check_in_stage(stage_cls=even_stage, price=55, expect=False) self.check_get_status(stage_cls=even_stage, new_price=55.69, old_price=55.69, expect='UNKNOWN') def test_create_even_stage2(self): """ Create even stage using filled orders data """ even_stage = self.short_strangle.create_even_stage2() self.method_test_create_stage( stage=even_stage, name='EVEN', expression='{price_a} == {current_price}', detail={ 'price_a': 52.31, '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=52.31, expect=True) self.check_in_stage(stage_cls=even_stage, price=53, expect=False) self.check_get_status(stage_cls=even_stage, new_price=52.31, old_price=52.31, expect='UNKNOWN') def test_create_loss_stage1(self): """ Create profit stage using filled orders data """ loss_stage = self.short_strangle.create_loss_stage1() self.method_test_create_stage( stage=loss_stage, name='LOSS', expression='{price_a} < {current_price}', detail={ 'price_a': 55.69, 'amount_a': 0.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': 'RECOVERING', 'left_expression': '{price_a} < {new_price} < {old_price}', 'right_status': 'LOSING', 'right_expression': '{price_a} < {old_price} < {new_price}', }) self.check_in_stage(stage_cls=loss_stage, price=57, expect=True) self.check_in_stage(stage_cls=loss_stage, price=55, expect=False) self.check_get_status(loss_stage, new_price=57, old_price=58, expect='RECOVERING') self.check_get_status(loss_stage, new_price=59, old_price=58, expect='LOSING') self.check_get_status(loss_stage, new_price=57, old_price=57, expect='UNKNOWN') def test_create_loss_stage2(self): """ Create profit stage using filled orders data """ loss_stage = self.short_strangle.create_loss_stage2() self.method_test_create_stage( stage=loss_stage, name='LOSS', expression='{current_price} < {price_a}', detail={ 'price_a': 52.31, 'amount_a': 0.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': 'RECOVERING', 'left_expression': '{old_price} < {new_price} < {price_a}', 'right_status': 'LOSING', 'right_expression': '{new_price} < {old_price} < {price_a}', }) self.check_in_stage(stage_cls=loss_stage, price=50, expect=True) self.check_in_stage(stage_cls=loss_stage, price=53, expect=False) self.check_get_status(loss_stage, new_price=51.5, old_price=50, expect='RECOVERING') self.check_get_status(loss_stage, new_price=49.9, old_price=50, expect='LOSING') self.check_get_status(loss_stage, new_price=50.5, old_price=50.5, expect='UNKNOWN') def test_create_profit_stage1(self): """ Create loss stage using filled orders data """ profit_stage = self.short_strangle.create_profit_stage1() self.method_test_create_stage( stage=profit_stage, name='PROFIT', expression='{price_a} < {current_price} < {price_b}', detail={ 'price_a': 54.0, 'amount_a': 169.0, 'price_b': 55.69, 'amount_b': 0.0, 'left_status': 'DECREASING', 'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}', 'right_status': 'PROFITING', 'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}', }) self.check_in_stage(stage_cls=profit_stage, price=55, expect=True) self.check_in_stage(stage_cls=profit_stage, price=56, expect=False) self.check_get_status(profit_stage, new_price=55.2, old_price=55, expect='DECREASING') self.check_get_status(profit_stage, new_price=54.3, old_price=54.5, expect='PROFITING') self.check_get_status(profit_stage, new_price=54, old_price=54, expect='UNKNOWN') def test_create_profit_stage2(self): """ Create loss stage using filled orders data """ profit_stage = self.short_strangle.create_profit_stage2() self.method_test_create_stage( stage=profit_stage, name='PROFIT', expression='{price_a} < {current_price} < {price_b}', detail={ 'price_a': 52.31, 'amount_a': 0.0, 'price_b': 54.0, 'amount_b': 169.0, 'left_status': 'DECREASING', 'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}', 'right_status': 'PROFITING', 'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}', }) self.check_in_stage(stage_cls=profit_stage, price=53, expect=True) self.check_in_stage(stage_cls=profit_stage, price=51, expect=False) self.check_get_status(profit_stage, new_price=52.8, old_price=53.5, expect='DECREASING') self.check_get_status(profit_stage, new_price=53.5, old_price=53, expect='PROFITING') self.check_get_status(profit_stage, new_price=53, old_price=53, expect='UNKNOWN') def test_create_max_profit_stage1(self): """ Create max profit stage using filled orders data """ max_profit_stage = self.short_strangle.create_max_profit_stage() self.method_test_create_stage( stage=max_profit_stage, name='MAX_PROFIT', expression='{price_a} == {current_price}', detail={ 'price_a': 54.0, 'amount_a': 169.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': '', 'left_expression': '', 'right_status': '', 'right_expression': '', }) self.check_in_stage(stage_cls=max_profit_stage, price=54.0, expect=True) self.check_in_stage(stage_cls=max_profit_stage, price=55, expect=False) self.check_get_status(max_profit_stage, new_price=54, old_price=54, expect='UNKNOWN') def test_create_stages(self): """ Test create stages using filled orders """ print 'run create_stages...' stages = self.short_strangle.create_stages() self.assertEqual(type(stages), list) for stage in stages: print stage self.assertEqual(type(stage), PositionStage)