class TestPositionsBook(unittest.TestCase):
def setUp(self):
assets = {'600000': XSHGStock,
'IF1501': IndexFutures}
self.positionsBook = StocksPositionsBook(assets)
def testUpdatedFromOrder(self):
self.positionsBook.updatePositionsByOrder('600000', dt.date(2015, 11, 16), 100, 1)
self.assertEqual(self.positionsBook._allPositions, {})
def testUpdatedFromFillEvent(self):
self.positionsBook.updatePositionsByFill('600000', dt.date(2015, 11, 16), 100, 1)
self.assertEqual(self.positionsBook._allPositions['600000'], ([dt.date(2015, 11, 16)],
[100],
[0],
[1]))
def testUpdatedFromOrderWithNonEmptyPositionBook(self):
self.positionsBook.updatePositionsByFill('600000', dt.date(2015, 11, 13), 300, 1)
self.assertEqual(self.positionsBook.avaliableForTrade('600000', dt.date(2015, 11, 16)), (300, 0))
self.positionsBook.updatePositionsByOrder('600000', dt.date(2015, 11, 16), 100, -1)
self.assertEqual(self.positionsBook._allPositions['600000'], ([dt.date(2015, 11, 13)],
[300],
[100],
[1]))
self.assertEqual(self.positionsBook.avaliableForTrade('600000', dt.date(2015, 11, 16)), (200, 0))
def testUpdatedSellShortOrderWithShortForbiddenAsset(self):
with self.assertRaises(ValueError):
self.positionsBook.updatePositionsByOrder('600000', dt.date(2015, 11, 16), 100, -1)
def testUpdatedSellShortOrderWithShortAllowedAsset(self):
self.positionsBook.updatePositionsByOrder('IF1501', dt.date(2015, 11, 16), 100, -1)
def testUpdatedFromFillWithBothLongAndShot(self):
self.positionsBook.updatePositionsByOrder('IF1501', dt.date(2015, 11, 13), 1, -1)
self.positionsBook.updatePositionsByFill('IF1501', dt.date(2015, 11, 13), 1, -1)
self.assertEqual(self.positionsBook.avaliableForTrade('IF1501', dt.date(2015, 11, 13)), (0, 1))
self.positionsBook.updatePositionsByOrder('IF1501', dt.date(2015, 11, 16), 2, 1)
self.positionsBook.updatePositionsByFill('IF1501', dt.date(2015, 11, 16), 1, 1)
self.positionsBook.updatePositionsByFill('IF1501', dt.date(2015, 11, 16), 1, 1)
self.assertEqual(self.positionsBook._allPositions['IF1501'], ([dt.date(2015, 11, 16)],
[1],
[0],
[1]))
class TestPositionsBook(unittest.TestCase):
def setUp(self):
assets = {'600000': XSHGStock, 'IF1501': IndexFutures}
self.positionsBook = StocksPositionsBook(assets)
def testUpdatedFromOrder(self):
self.positionsBook.updatePositionsByOrder('600000',
dt.date(2015, 11, 16), 100,
1)
self.assertEqual(self.positionsBook._allPositions, {})
def testUpdatedFromFillEvent(self):
self.positionsBook.updatePositionsByFill('600000',
dt.date(2015, 11, 16), 100, 1)
self.assertEqual(self.positionsBook._allPositions['600000'],
([dt.date(2015, 11, 16)], [100], [0], [1]))
def testUpdatedFromOrderWithNonEmptyPositionBook(self):
self.positionsBook.updatePositionsByFill('600000',
dt.date(2015, 11, 13), 300, 1)
self.assertEqual(
self.positionsBook.avaliableForTrade('600000',
dt.date(2015, 11, 16)),
(300, 0))
self.positionsBook.updatePositionsByOrder('600000',
dt.date(2015, 11, 16), 100,
-1)
self.assertEqual(self.positionsBook._allPositions['600000'],
([dt.date(2015, 11, 13)], [300], [100], [1]))
self.assertEqual(
self.positionsBook.avaliableForTrade('600000',
dt.date(2015, 11, 16)),
(200, 0))
def testUpdatedSellShortOrderWithShortForbiddenAsset(self):
with self.assertRaises(ValueError):
self.positionsBook.updatePositionsByOrder('600000',
dt.date(2015, 11, 16),
100, -1)
def testUpdatedSellShortOrderWithShortAllowedAsset(self):
self.positionsBook.updatePositionsByOrder('IF1501',
dt.date(2015, 11, 16), 100,
-1)
def testUpdatedFromFillWithBothLongAndShot(self):
self.positionsBook.updatePositionsByOrder('IF1501',
dt.date(2015, 11, 13), 1, -1)
self.positionsBook.updatePositionsByFill('IF1501',
dt.date(2015, 11, 13), 1, -1)
self.assertEqual(
self.positionsBook.avaliableForTrade('IF1501',
dt.date(2015, 11, 13)),
(0, 1))
self.positionsBook.updatePositionsByOrder('IF1501',
dt.date(2015, 11, 16), 2, 1)
self.positionsBook.updatePositionsByFill('IF1501',
dt.date(2015, 11, 16), 1, 1)
self.positionsBook.updatePositionsByFill('IF1501',
dt.date(2015, 11, 16), 1, 1)
self.assertEqual(self.positionsBook._allPositions['IF1501'],
([dt.date(2015, 11, 16)], [1], [0], [1]))
