def test_cost_basis_calc_close_pos(self):
history_args = (
1,
[10, 9, 11, 8, 9, 12, 13, 14],
[200, -100, -100, 100, -300, 100, 500, 400],
onesec,
self.sim_params
)
cost_bases = [10, 10, 0, 8, 9, 9, 13, 13.5]
trades = factory.create_trade_history(*history_args)
transactions = factory.create_txn_history(*history_args)
pp = perf.PerformancePeriod(1000.0)
for txn, cb in zip(transactions, cost_bases):
pp.execute_transaction(txn)
self.assertEqual(pp.positions[1].cost_basis, cb)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(pp.positions[1].cost_basis, cost_bases[-1])
def test_long_position(self):
"""
verify that the performance period calculates properly for a
single buy transaction
"""
# post some trades in the market
trades = factory.create_trade_history(1, [10, 10, 10, 11],
[100, 100, 100, 100], onesec,
self.sim_params)
txn = create_txn(trades[1], 10.0, 100)
pp = perf.PerformancePeriod(1000.0)
pp.execute_transaction(txn)
# This verifies that the last sale price is being correctly
# set in the positions. If this is not the case then returns can
# incorrectly show as sharply dipping if a transaction arrives
# before a trade. This is caused by returns being based on holding
# stocks with a last sale price of 0.
self.assertEqual(pp.positions[1].last_sale_price, 10.0)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow, -1 * txn.price * txn.amount,
"capital used should be equal to the opposite of the transaction \
cost of sole txn in test")
self.assertEqual(len(pp.positions), 1, "should be just one position")
self.assertEqual(pp.positions[1].sid, txn.sid,
"position should be in security with id 1")
self.assertEqual(
pp.positions[1].amount, txn.amount,
"should have a position of {sharecount} shares".format(
sharecount=txn.amount))
self.assertEqual(pp.positions[1].cost_basis, txn.price,
"should have a cost basis of 10")
self.assertEqual(
pp.positions[1].last_sale_price, trades[-1]['price'],
"last sale should be same as last trade. \
expected {exp} actual {act}".format(
exp=trades[-1]['price'], act=pp.positions[1].last_sale_price))
self.assertEqual(
pp.ending_value, 1100,
"ending value should be price of last trade times number of \
shares in position")
self.assertEqual(pp.pnl, 100, "gain of 1 on 100 shares should be 100")
def test_covering_short(self):
"""verify performance where short is bought and covered, and shares \
trade after cover"""
trades = factory.create_trade_history(
1, [10, 10, 10, 11, 9, 8, 7, 8, 9, 10],
[100, 100, 100, 100, 100, 100, 100, 100, 100, 100], onesec,
self.sim_params)
short_txn = create_txn(
trades[1],
10.0,
-100,
)
cover_txn = create_txn(trades[6], 7.0, 100)
pp = perf.PerformancePeriod(1000.0)
pp.execute_transaction(short_txn)
pp.execute_transaction(cover_txn)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
short_txn_cost = short_txn.price * short_txn.amount
cover_txn_cost = cover_txn.price * cover_txn.amount
self.assertEqual(
pp.period_cash_flow, -1 * short_txn_cost - cover_txn_cost,
"capital used should be equal to the net transaction costs")
self.assertEqual(len(pp.positions), 1, "should be just one position")
self.assertEqual(
pp.positions[1].sid, short_txn.sid,
"position should be in security from the transaction")
self.assertEqual(pp.positions[1].amount, 0,
"should have a position of -100 shares")
self.assertEqual(pp.positions[1].cost_basis, 0,
"a covered position should have a cost basis of 0")
self.assertEqual(pp.positions[1].last_sale_price, trades[-1].price,
"last sale should be price of last trade")
self.assertEqual(
pp.ending_value, 0,
"ending value should be price of last trade times number of \
shares in position")
self.assertEqual(pp.pnl, 300, "gain of 1 on 100 shares should be 300")
def test_long_position(self):
"""
verify that the performance period calculates properly for a
single buy transaction
"""
#post some trades in the market
trades = factory.create_trade_history(1, [10, 10, 10, 11],
[100, 100, 100, 100],
self.onesec,
self.trading_environment)
txn = factory.create_txn(1, 10.0, 100, self.dt + self.onesec)
pp = perf.PerformancePeriod({}, 0.0, 1000.0)
pp.execute_transaction(txn)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.period_capital_used, -1 * txn.price * txn.amount,
"capital used should be equal to the opposite of the transaction \
cost of sole txn in test")
self.assertEqual(len(pp.positions), 1, "should be just one position")
self.assertEqual(pp.positions[1].sid, txn.sid,
"position should be in security with id 1")
self.assertEqual(
pp.positions[1].amount, txn.amount,
"should have a position of {sharecount} shares".format(
sharecount=txn.amount))
self.assertEqual(pp.positions[1].cost_basis, txn.price,
"should have a cost basis of 10")
self.assertEqual(
pp.positions[1].last_sale_price, trades[-1]['price'],
"last sale should be same as last trade. \
expected {exp} actual {act}".format(
exp=trades[-1]['price'], act=pp.positions[1].last_sale_price))
self.assertEqual(
pp.ending_value, 1100,
"ending value should be price of last trade times number of \
shares in position")
self.assertEqual(pp.pnl, 100, "gain of 1 on 100 shares should be 100")
def test_cost_basis_calc(self):
history_args = (
1,
[10, 11, 11, 12],
[100, 100, 100, 100],
onesec,
self.sim_params
)
trades = factory.create_trade_history(*history_args)
transactions = factory.create_txn_history(*history_args)
pp = perf.PerformancePeriod(1000.0)
average_cost = 0
for i, txn in enumerate(transactions):
pp.execute_transaction(txn)
average_cost = (average_cost * i + txn.price) / (i + 1)
self.assertEqual(pp.positions[1].cost_basis, average_cost)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price,
trades[-1].price,
"should have a last sale of 12, got {val}".format(
val=pp.positions[1].last_sale_price)
)
self.assertEqual(
pp.positions[1].cost_basis,
11,
"should have a cost basis of 11"
)
self.assertEqual(
pp.pnl,
400
)
down_tick = factory.create_trade(
1,
10.0,
100,
trades[-1].dt + onesec)
sale_txn = create_txn(
down_tick,
10.0,
-100)
pp.rollover()
pp.execute_transaction(sale_txn)
pp.update_last_sale(down_tick)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price,
10,
"should have a last sale of 10, was {val}".format(
val=pp.positions[1].last_sale_price)
)
self.assertEqual(
pp.positions[1].cost_basis,
11,
"should have a cost basis of 11"
)
self.assertEqual(pp.pnl, -800, "this period goes from +400 to -400")
pp3 = perf.PerformancePeriod(1000.0)
average_cost = 0
for i, txn in enumerate(transactions):
pp3.execute_transaction(txn)
average_cost = (average_cost * i + txn.price) / (i + 1)
self.assertEqual(pp3.positions[1].cost_basis, average_cost)
pp3.execute_transaction(sale_txn)
trades.append(down_tick)
for trade in trades:
pp3.update_last_sale(trade)
pp3.calculate_performance()
self.assertEqual(
pp3.positions[1].last_sale_price,
10,
"should have a last sale of 10"
)
self.assertEqual(
pp3.positions[1].cost_basis,
11,
"should have a cost basis of 11"
)
self.assertEqual(
pp3.pnl,
-400,
"should be -400 for all trades and transactions in period"
)
def test_short_position(self):
"""verify that the performance period calculates properly for a \
single short-sale transaction"""
trades = factory.create_trade_history(
1,
[10, 10, 10, 11, 10, 9],
[100, 100, 100, 100, 100, 100],
onesec,
self.sim_params
)
trades_1 = trades[:-2]
txn = create_txn(trades[1], 10.0, -100)
pp = perf.PerformancePeriod(1000.0)
pp.execute_transaction(txn)
for trade in trades_1:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
-1 * txn.price * txn.amount,
"capital used should be equal to the opposite of the transaction\
cost of sole txn in test"
)
self.assertEqual(
len(pp.positions),
1,
"should be just one position")
self.assertEqual(
pp.positions[1].sid,
txn.sid,
"position should be in security from the transaction"
)
self.assertEqual(
pp.positions[1].amount,
-100,
"should have a position of -100 shares"
)
self.assertEqual(
pp.positions[1].cost_basis,
txn.price,
"should have a cost basis of 10"
)
self.assertEqual(
pp.positions[1].last_sale_price,
trades_1[-1]['price'],
"last sale should be price of last trade"
)
self.assertEqual(
pp.ending_value,
-1100,
"ending value should be price of last trade times number of \
shares in position"
)
self.assertEqual(pp.pnl, -100, "gain of 1 on 100 shares should be 100")
# simulate additional trades, and ensure that the position value
# reflects the new price
trades_2 = trades[-2:]
# simulate a rollover to a new period
pp.rollover()
for trade in trades_2:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
0,
"capital used should be zero, there were no transactions in \
performance period"
)
self.assertEqual(
len(pp.positions),
1,
"should be just one position"
)
self.assertEqual(
pp.positions[1].sid,
txn.sid,
"position should be in security from the transaction"
)
self.assertEqual(
pp.positions[1].amount,
-100,
"should have a position of -100 shares"
)
self.assertEqual(
pp.positions[1].cost_basis,
txn.price,
"should have a cost basis of 10"
)
self.assertEqual(
pp.positions[1].last_sale_price,
trades_2[-1].price,
"last sale should be price of last trade"
)
self.assertEqual(
pp.ending_value,
-900,
"ending value should be price of last trade times number of \
shares in position")
self.assertEqual(
pp.pnl,
200,
"drop of 2 on -100 shares should be 200"
)
# now run a performance period encompassing the entire trade sample.
ppTotal = perf.PerformancePeriod(1000.0)
for trade in trades_1:
ppTotal.update_last_sale(trade)
ppTotal.execute_transaction(txn)
for trade in trades_2:
ppTotal.update_last_sale(trade)
ppTotal.calculate_performance()
self.assertEqual(
ppTotal.period_cash_flow,
-1 * txn.price * txn.amount,
"capital used should be equal to the opposite of the transaction \
cost of sole txn in test"
)
self.assertEqual(
len(ppTotal.positions),
1,
"should be just one position"
)
self.assertEqual(
ppTotal.positions[1].sid,
txn.sid,
"position should be in security from the transaction"
)
self.assertEqual(
ppTotal.positions[1].amount,
-100,
"should have a position of -100 shares"
)
self.assertEqual(
ppTotal.positions[1].cost_basis,
txn.price,
"should have a cost basis of 10"
)
self.assertEqual(
ppTotal.positions[1].last_sale_price,
trades_2[-1].price,
"last sale should be price of last trade"
)
self.assertEqual(
ppTotal.ending_value,
-900,
"ending value should be price of last trade times number of \
shares in position")
self.assertEqual(
ppTotal.pnl,
100,
"drop of 1 on -100 shares should be 100"
)
def test_cost_basis_calc(self):
trades = factory.create_trade_history(1, [10, 11, 11, 12],
[100, 100, 100, 100], onesec,
self.sim_params)
transactions = factory.create_txn_history(1, [10, 11, 11, 12],
[100, 100, 100, 100], onesec,
self.sim_params)
pp = perf.PerformancePeriod(1000.0)
for txn in transactions:
pp.execute_transaction(txn)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price, trades[-1].price,
"should have a last sale of 12, got {val}".format(
val=pp.positions[1].last_sale_price))
self.assertEqual(pp.positions[1].cost_basis, 11,
"should have a cost basis of 11")
self.assertEqual(pp.pnl, 400)
down_tick = factory.create_trade(1, 10.0, 100, trades[-1].dt + onesec)
saleTxn = create_txn(down_tick, 10.0, -100)
pp.rollover()
pp.execute_transaction(saleTxn)
pp.update_last_sale(down_tick)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price, 10,
"should have a last sale of 10, was {val}".format(
val=pp.positions[1].last_sale_price))
self.assertEqual(round(pp.positions[1].cost_basis, 2), 11.33,
"should have a cost basis of 11.33")
# print "second period pnl is {pnl}".format(pnl=pp2.pnl)
self.assertEqual(pp.pnl, -800, "this period goes from +400 to -400")
pp3 = perf.PerformancePeriod(1000.0)
transactions.append(saleTxn)
for txn in transactions:
pp3.execute_transaction(txn)
trades.append(down_tick)
for trade in trades:
pp3.update_last_sale(trade)
pp3.calculate_performance()
self.assertEqual(pp3.positions[1].last_sale_price, 10,
"should have a last sale of 10")
self.assertEqual(round(pp3.positions[1].cost_basis, 2), 11.33,
"should have a cost basis of 11.33")
self.assertEqual(
pp3.pnl, -400,
"should be -400 for all trades and transactions in period")
def test_cost_basis_calc(self):
trades = factory.create_trade_history(1, [10, 11, 11, 12],
[100, 100, 100, 100],
self.onesec,
self.trading_environment)
transactions = factory.create_txn_history(1, [10, 11, 11, 12],
[100, 100, 100, 100],
self.onesec,
self.trading_environment)
pp = perf.PerformancePeriod({}, 0.0, 1000.0)
for txn in transactions:
pp.execute_transaction(txn)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price, trades[-1].price,
"should have a last sale of 12, got {val}".format(
val=pp.positions[1].last_sale_price))
self.assertEqual(pp.positions[1].cost_basis, 11,
"should have a cost basis of 11")
self.assertEqual(pp.pnl, 400)
saleTxn = factory.create_txn(1, 10.0, -100, self.dt + self.onesec * 4)
down_tick = factory.create_trade(1, 10.0, 100,
trades[-1].dt + self.onesec)
pp2 = perf.PerformancePeriod(copy.deepcopy(pp.positions),
pp.ending_value, pp.ending_cash)
pp2.execute_transaction(saleTxn)
pp2.update_last_sale(down_tick)
pp2.calculate_performance()
self.assertEqual(
pp2.positions[1].last_sale_price, 10,
"should have a last sale of 10, was {val}".format(
val=pp2.positions[1].last_sale_price))
self.assertEqual(round(pp2.positions[1].cost_basis, 2), 11.33,
"should have a cost basis of 11.33")
#print "second period pnl is {pnl}".format(pnl=pp2.pnl)
self.assertEqual(pp2.pnl, -800, "this period goes from +400 to -400")
pp3 = perf.PerformancePeriod({}, 0.0, 1000.0)
transactions.append(saleTxn)
for txn in transactions:
pp3.execute_transaction(txn)
trades.append(down_tick)
for trade in trades:
pp3.update_last_sale(trade)
pp3.calculate_performance()
self.assertEqual(pp3.positions[1].last_sale_price, 10,
"should have a last sale of 10")
self.assertEqual(round(pp3.positions[1].cost_basis, 2), 11.33,
"should have a cost basis of 11.33")
self.assertEqual(
pp3.pnl, -400,
"should be -400 for all trades and transactions in period")
