def test_filtered_order_should_have_same_units_when_order_size_plus_current_position_does_not_breach_default_limit(self):
rm = CcyExposureLimitRiskEvaluator('USD', self.cache)
self.assign_unity_rates(rm)
rm.append_position('CHF', 10)
order = OrderEvent('CHF_USD', 100, 'buy')
filtered = rm.filter_order(order)
self.assertEquals(filtered.units, 100)
def test_filtered_order_should_have_less_units_when_order_size_plus_current_position_breaches_specific_limit(self):
rm = CcyExposureLimitRiskEvaluator('USD', self.cache, ccy_limits={'CHF': 1234})
self.assign_unity_rates(rm)
rm.append_position('CHF', 10)
order = OrderEvent('CHF_USD', 10000, 'buy')
filtered = rm.filter_order(order)
self.assertEquals(filtered.units, rm.ccy_limits['CHF']-10)
def test_should_have_more_units_than_buy_order_size_when_have_short_current_position_and_order_breaches_default_limit(self):
rm = CcyExposureLimitRiskEvaluator('USD', self.cache, ccy_limit_short=-100000)
self.assign_unity_rates(rm)
rm.append_position('CHF', -10)
order = OrderEvent('CHF_USD', 10000, 'buy')
filtered = rm.filter_order(order)
self.assertEquals(filtered.units, rm.ccy_limit+10)
def test_should_allow_specific_limit_on_second_instrument_with_current_position_on_first(self):
ccy_limits = {'CHF': 1234, 'EUR': 10000}
rm = CcyExposureLimitRiskEvaluator('USD', self.cache, ccy_limit=100, ccy_limits=ccy_limits)
self.assign_unity_rates(rm)
rm.append_position('EUR', 100)
filtered = rm.filter_order(OrderEvent('CHF_USD', 10000, 'buy'))
self.assertEquals(filtered.units, 1234)
rm.append_position(filtered.instrument, filtered.units)
def test_should_allow_second_instrument_without_breach_if_another_instrument_already_breached(self):
rm = CcyExposureLimitRiskEvaluator('USD', self.cache)
self.assign_unity_rates(rm)
rm.append_position('CHF', 10)
order = OrderEvent('CHF_USD', 10000, 'buy')
filtered = rm.filter_order(order)
self.assertNotEquals(filtered.units, 10000)
self.assertEquals(filtered.units, rm.ccy_limit-10)
order = OrderEvent('EUR_SGD', 100, 'buy')
filtered = rm.filter_order(order)
self.assertEquals(filtered.units, 100)
def test_should_allow_second_instrument_without_breach_if_first_instrument_breaches_specific_limit(self):
ccy_limits = {'CHF': 1234}
rm = CcyExposureLimitRiskEvaluator('USD', self.cache, ccy_limit=100, ccy_limits=ccy_limits)
self.assign_unity_rates(rm)
rm.append_position('CHF', 10)
order = OrderEvent('CHF_USD', 10000, 'buy')
filtered = rm.filter_order(order)
self.assertEquals(filtered.units, rm.ccy_limits['CHF']-10)
rm.append_position(filtered.instrument, filtered.units)
order = OrderEvent('EUR_SGD', 100, 'buy')
filtered = rm.filter_order(order)
self.assertEquals(filtered.units, 100)
def test_should_filters_two_orders_in_different_instruments_correctly2(self):
ccy_limits = {'CHF': 1234}
rm = CcyExposureLimitRiskEvaluator('USD', self.cache, ccy_limit=100, ccy_limits=ccy_limits)
self.assign_unity_rates(rm)
rm.append_position('CHF', -100)
order = OrderEvent('CHF_USD', 10000, 'buy')
filtered = rm.filter_order(order)
self.assertEquals(filtered.units, 1334)
order = OrderEvent('EUR_SGD', 1000, 'buy')
filtered = rm.filter_order(order)
self.assertNotEquals(filtered.units, 1000)
self.assertEquals(filtered.units, 100)
def test_should_filters_two_orders_in_different_instruments_correctly3(self):
ccy_limits = {'CHF': 1234, 'EUR': 10000}
rm = CcyExposureLimitRiskEvaluator('USD', self.cache, ccy_limit=100, ccy_limits=ccy_limits, ccy_limit_short=-100000)
self.assign_unity_rates(rm)
rm.append_position('EUR', -100)
filtered = rm.filter_order(OrderEvent('CHF_USD', 10000, 'buy'))
self.assertEquals(filtered.units, 1234)
filtered = rm.filter_order(OrderEvent('EUR_USD', 5000, 'buy'))
self.assertEquals(filtered.units, 5000)
rm.append_position('EUR', filtered.units)
filtered = rm.filter_order(OrderEvent('EUR_USD', 50000, 'buy'))
self.assertEquals(filtered.units, 5100)
def test_should_allow_to_append_different_positions(self):
rm = CcyExposureLimitRiskEvaluator('BC', self.cache)
rm.append_position('EUR_CHF', 123)
rm.append_position('EUR_USD', 1000)
self.assertEquals(rm.positions['EUR_CHF'], 123)
self.assertEquals(rm.positions['EUR_USD'], 1000)
def test_should_allow_to_append_positions_twice(self):
rm = CcyExposureLimitRiskEvaluator('BC', self.cache)
rm.append_position('EUR_CHF', 123)
rm.append_position('EUR_CHF', 27)
self.assertEquals(rm.positions['EUR_CHF'], 150)
def test_should_have_appended_positions(self):
rm = CcyExposureLimitRiskEvaluator('BC', self.cache)
rm.append_position('EUR_CHF', 123)
self.assertEquals(rm.positions['EUR_CHF'], 123)
def test_should_allow_to_append_positions(self):
rm = CcyExposureLimitRiskEvaluator('BC', self.cache)
rm.append_position('EUR_CHF', 123)
def test_should_allow_short_current_position(self):
rm = CcyExposureLimitRiskEvaluator('USD', self.cache, ccy_limit=100)
rm.append_position('CHF', -10)