class AccountTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
logger = TestLogger(self.clock)
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER", "000"),
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
self.portfolio = Portfolio(self.clock, logger)
self.portfolio.register_cache(DataCache(logger))
def test_instantiate_single_asset_account(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money(1_000_000, USD)],
[Money(1_000_000, USD)],
[Money(0, USD)],
info={"default_currency": "USD"}, # Set the default currency
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual(USD, account.default_currency)
self.assertEqual(event, account.last_event)
self.assertEqual([event], account.events)
self.assertEqual(1, account.event_count)
self.assertEqual(Money(1_000_000, USD), account.balance())
self.assertEqual(Money(1_000_000, USD), account.balance_free())
self.assertEqual(Money(0, USD), account.balance_locked())
self.assertEqual({USD: Money(1_000_000, USD)}, account.balances())
self.assertEqual({USD: Money(1_000_000, USD)}, account.balances_free())
self.assertEqual({USD: Money(0, USD)}, account.balances_locked())
self.assertEqual(Money(0, USD), account.unrealized_pnl())
self.assertEqual(Money(1_000_000, USD), account.equity())
self.assertEqual({}, account.init_margins())
self.assertEqual({}, account.maint_margins())
self.assertEqual(None, account.init_margin())
self.assertEqual(None, account.maint_margin())
def test_instantiate_multi_asset_account(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual(None, account.default_currency)
self.assertEqual(event, account.last_event)
self.assertEqual([event], account.events)
self.assertEqual(1, account.event_count)
self.assertEqual(Money("10.00000000", BTC), account.balance(BTC))
self.assertEqual(Money("20.00000000", ETH), account.balance(ETH))
self.assertEqual(Money("10.00000000", BTC), account.balance_free(BTC))
self.assertEqual(Money("20.00000000", ETH), account.balance_free(ETH))
self.assertEqual(Money("0.00000000", BTC), account.balance_locked(BTC))
self.assertEqual(Money("0.00000000", ETH), account.balance_locked(ETH))
self.assertEqual(
{
BTC: Money("10.00000000", BTC),
ETH: Money("20.00000000", ETH)
}, account.balances())
self.assertEqual(
{
BTC: Money("10.00000000", BTC),
ETH: Money("20.00000000", ETH)
}, account.balances_free())
self.assertEqual(
{
BTC: Money("0.00000000", BTC),
ETH: Money("0.00000000", ETH)
}, account.balances_locked())
self.assertEqual(Money("0.00000000", BTC), account.unrealized_pnl(BTC))
self.assertEqual(Money("0.00000000", ETH), account.unrealized_pnl(ETH))
self.assertEqual(Money("10.00000000", BTC), account.equity(BTC))
self.assertEqual(Money("20.00000000", ETH), account.equity(ETH))
self.assertEqual({}, account.init_margins())
self.assertEqual({}, account.maint_margins())
self.assertEqual(None, account.init_margin(BTC))
self.assertEqual(None, account.init_margin(ETH))
self.assertEqual(None, account.maint_margin(BTC))
self.assertEqual(None, account.maint_margin(ETH))
def test_apply_given_new_state_event_updates_correctly(self):
# Arrange
event1 = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account = Account(event1)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
event2 = AccountState(
AccountId("SIM", "001"),
[Money("9.00000000", BTC),
Money("20.00000000", ETH)],
[Money("8.50000000", BTC),
Money("20.00000000", ETH)],
[Money("0.50000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account.apply(event2)
# Assert
self.assertEqual(event2, account.last_event)
self.assertEqual([event1, event2], account.events)
self.assertEqual(2, account.event_count)
self.assertEqual(Money("9.00000000", BTC), account.balance(BTC))
self.assertEqual(Money("8.50000000", BTC), account.balance_free(BTC))
self.assertEqual(Money("0.50000000", BTC), account.balance_locked(BTC))
self.assertEqual(Money("20.00000000", ETH), account.balance(ETH))
self.assertEqual(Money("20.00000000", ETH), account.balance_free(ETH))
self.assertEqual(Money("0.00000000", ETH), account.balance_locked(ETH))
def test_update_init_margin(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
margin = Money("0.00100000", BTC)
# Act
account.update_init_margin(margin)
# Assert
self.assertEqual(margin, account.init_margin(BTC))
self.assertEqual({BTC: margin}, account.init_margins())
def test_update_maint_margin(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
margin = Money("0.00050000", BTC)
# Act
account.update_maint_margin(margin)
# Assert
self.assertEqual(margin, account.maint_margin(BTC))
self.assertEqual({BTC: margin}, account.maint_margins())
def test_unrealized_pnl_with_single_asset_account_when_no_open_positions_returns_zero(
self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
balances=[Money(1_000_000, USD)],
balances_free=[Money(1_000_000, USD)],
balances_locked=[Money(0, USD)],
info={"default_currency": "USD"}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.unrealized_pnl()
# Assert
self.assertEqual(result, Money(0, USD))
def test_unrealized_pnl_with_multi_asset_account_when_no_open_positions_returns_zero(
self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.unrealized_pnl(BTC)
# Assert
self.assertEqual(result, Money("0.00000000", BTC))
class PortfolioTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
clock = TestClock()
logger = TestLogger(clock)
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER", "000"),
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
state = AccountState(
account_id=AccountId("BINANCE", "1513111"),
balances=[Money("10.00000000", BTC)],
balances_free=[Money("0.00000000", BTC)],
balances_locked=[Money("0.00000000", BTC)],
info={},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
self.data_cache = DataCache(logger)
self.account = Account(state)
self.portfolio = Portfolio(clock, logger)
self.portfolio.register_account(self.account)
self.portfolio.register_cache(self.data_cache)
self.data_cache.add_instrument(AUDUSD_SIM)
self.data_cache.add_instrument(GBPUSD_SIM)
self.data_cache.add_instrument(BTCUSDT_BINANCE)
self.data_cache.add_instrument(BTCUSD_BITMEX)
self.data_cache.add_instrument(ETHUSD_BITMEX)
def test_account_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertIsNone(self.portfolio.account(SIM))
def test_account_when_account_returns_the_account_facade(self):
# Arrange
# Act
result = self.portfolio.account(BINANCE)
# Assert
self.assertEqual(self.account, result)
def test_net_position_when_no_positions_returns_zero(self):
# Arrange
# Act
# Assert
self.assertEqual(Decimal(0),
self.portfolio.net_position(AUDUSD_SIM.symbol))
def test_is_net_long_when_no_positions_returns_false(self):
# Arrange
# Act
# Assert
self.assertEqual(False, self.portfolio.is_net_long(AUDUSD_SIM.symbol))
def test_is_net_short_when_no_positions_returns_false(self):
# Arrange
# Act
# Assert
self.assertEqual(False, self.portfolio.is_net_short(AUDUSD_SIM.symbol))
def test_is_flat_when_no_positions_returns_true(self):
# Arrange
# Act
# Assert
self.assertEqual(True, self.portfolio.is_flat(AUDUSD_SIM.symbol))
def test_is_completely_flat_when_no_positions_returns_true(self):
# Arrange
# Act
# Assert
self.assertEqual(True, self.portfolio.is_flat(AUDUSD_SIM.symbol))
def test_unrealized_pnl_for_symbol_when_no_instrument_returns_none(self):
# Arrange
# Act
# Assert
self.assertIsNone(self.portfolio.unrealized_pnl(USDJPY_SIM.symbol))
def test_unrealized_pnl_for_venue_when_no_account_returns_empty_dict(self):
# Arrange
# Act
# Assert
self.assertEqual({}, self.portfolio.unrealized_pnls(SIM))
def test_initial_margins_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertEqual(None, self.portfolio.initial_margins(SIM))
def test_maint_margins_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertEqual(None, self.portfolio.maint_margins(SIM))
def test_open_value_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertEqual(None, self.portfolio.market_values(SIM))
def test_update_tick(self):
# Arrange
tick = TestStubs.quote_tick_5decimal(GBPUSD_SIM.symbol)
# Act
self.portfolio.update_tick(tick)
# Assert
self.assertIsNone(self.portfolio.unrealized_pnl(GBPUSD_SIM.symbol))
def test_update_orders_working(self):
# Arrange
self.portfolio.register_account(self.account)
# Create two working orders
order1 = self.order_factory.stop_market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("10.5"),
Price("25000.00"),
)
order2 = self.order_factory.stop_market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("10.5"),
Price("25000.00"),
)
# Push state to FILLED
order1.apply(TestStubs.event_order_submitted(order1))
order1.apply(TestStubs.event_order_accepted(order1))
filled1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("25000.00"),
)
order1.apply(filled1)
# Push state to ACCEPTED
order2.apply(TestStubs.event_order_submitted(order2))
order2.apply(TestStubs.event_order_accepted(order2))
# Update the last quote
last = QuoteTick(
BTCUSDT_BINANCE.symbol,
Price("25001.00"),
Price("25002.00"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
self.portfolio.update_tick(last)
self.portfolio.initialize_orders({order1, order2})
# Assert
self.assertEqual({}, self.portfolio.initial_margins(BINANCE))
def test_update_positions(self):
# Arrange
self.portfolio.register_account(self.account)
# Create a closed position
order1 = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("10.50000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.SELL,
Quantity("10.50000000"),
)
filled1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("25000.00"),
)
filled2 = TestStubs.event_order_filled(
order2,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("25000.00"),
)
position1 = Position(filled1)
position1.apply(filled2)
order3 = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("10.00000000"),
)
filled3 = TestStubs.event_order_filled(
order3,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S", "1"),
fill_price=Price("25000.00"),
)
position2 = Position(filled3)
# Update the last quote
last = QuoteTick(
BTCUSDT_BINANCE.symbol,
Price("25001.00"),
Price("25002.00"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
self.portfolio.initialize_positions({position1, position2})
self.portfolio.update_tick(last)
# Assert
self.assertTrue(self.portfolio.is_net_long(BTCUSDT_BINANCE.symbol))
def test_opening_one_long_position_updates_portfolio(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("10.000000"),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10500.00"),
)
last = QuoteTick(
BTCUSDT_BINANCE.symbol,
Price("10510.00"),
Price("10511.00"),
Quantity("1.000000"),
Quantity("1.000000"),
UNIX_EPOCH,
)
self.data_cache.add_quote_tick(last)
self.portfolio.update_tick(last)
position = Position(fill)
# Act
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
self.assertEqual({USDT: Money("105100.00000000", USDT)},
self.portfolio.market_values(BINANCE))
self.assertEqual({USDT: Money("100.00000000", USDT)},
self.portfolio.unrealized_pnls(BINANCE))
self.assertEqual({}, self.portfolio.maint_margins(BINANCE))
self.assertEqual(Money("105100.00000000", USDT),
self.portfolio.market_value(BTCUSDT_BINANCE.symbol))
self.assertEqual(Money("100.00000000", USDT),
self.portfolio.unrealized_pnl(BTCUSDT_BINANCE.symbol))
self.assertEqual(Decimal("10.00000000"),
self.portfolio.net_position(order.symbol))
self.assertTrue(self.portfolio.is_net_long(order.symbol))
self.assertFalse(self.portfolio.is_net_short(order.symbol))
self.assertFalse(self.portfolio.is_flat(order.symbol))
self.assertFalse(self.portfolio.is_completely_flat())
def test_opening_one_short_position_updates_portfolio(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.SELL,
Quantity("0.515"),
)
fill = TestStubs.event_order_filled(order=order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("15000.00"))
last = QuoteTick(
BTCUSDT_BINANCE.symbol,
Price("15510.15"),
Price("15510.25"),
Quantity("12.62"),
Quantity("3.1"),
UNIX_EPOCH,
)
self.data_cache.add_quote_tick(last)
self.portfolio.update_tick(last)
position = Position(fill)
# Act
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
self.assertEqual({USDT: Money("7987.77875000", USDT)},
self.portfolio.market_values(BINANCE))
self.assertEqual({USDT: Money("-262.77875000", USDT)},
self.portfolio.unrealized_pnls(BINANCE))
self.assertEqual({}, self.portfolio.maint_margins(BINANCE))
self.assertEqual(Money("7987.77875000", USDT),
self.portfolio.market_value(BTCUSDT_BINANCE.symbol))
self.assertEqual(Money("-262.77875000", USDT),
self.portfolio.unrealized_pnl(BTCUSDT_BINANCE.symbol))
self.assertEqual(Decimal("-0.515"),
self.portfolio.net_position(order.symbol))
self.assertFalse(self.portfolio.is_net_long(order.symbol))
self.assertTrue(self.portfolio.is_net_short(order.symbol))
self.assertFalse(self.portfolio.is_flat(order.symbol))
self.assertFalse(self.portfolio.is_completely_flat())
def test_opening_positions_with_multi_asset_account(self):
# Arrange
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
balances=[Money("10.00000000", BTC),
Money("10.00000000", ETH)],
balances_free=[
Money("0.00000000", BTC),
Money("10.00000000", ETH)
],
balances_locked=[
Money("0.00000000", BTC),
Money("0.00000000", ETH)
],
info={},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
last_ethusd = QuoteTick(
ETHUSD_BITMEX.symbol,
Price("376.05"),
Price("377.10"),
Quantity("16"),
Quantity("25"),
UNIX_EPOCH,
)
last_btcusd = QuoteTick(
BTCUSD_BITMEX.symbol,
Price("10500.05"),
Price("10501.51"),
Quantity("2.54"),
Quantity("0.91"),
UNIX_EPOCH,
)
self.data_cache.add_quote_tick(last_ethusd)
self.data_cache.add_quote_tick(last_btcusd)
self.portfolio.update_tick(last_ethusd)
self.portfolio.update_tick(last_btcusd)
order = self.order_factory.market(
ETHUSD_BITMEX.symbol,
OrderSide.BUY,
Quantity(10000),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("376.05"),
)
position = Position(fill)
# Act
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
self.assertEqual({ETH: Money("2.65922085", ETH)},
self.portfolio.market_values(BITMEX))
self.assertEqual({ETH: Money("0.03855870", ETH)},
self.portfolio.maint_margins(BITMEX))
self.assertEqual(Money("2.65922085", ETH),
self.portfolio.market_value(ETHUSD_BITMEX.symbol))
self.assertEqual(Money("0.00000000", ETH),
self.portfolio.unrealized_pnl(ETHUSD_BITMEX.symbol))
def test_unrealized_pnl_when_insufficient_data_for_xrate_returns_none(
self):
# Arrange
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
balances=[Money("10.00000000", BTC),
Money("10.00000000", ETH)],
balances_free=[
Money("10.00000000", BTC),
Money("10.00000000", ETH)
],
balances_locked=[
Money("0.00000000", BTC),
Money("0.00000000", ETH)
],
info={},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
order = self.order_factory.market(
ETHUSD_BITMEX.symbol,
OrderSide.BUY,
Quantity(100),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("376.05"),
)
position = Position(fill)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Act
result = self.portfolio.unrealized_pnls(BITMEX)
# # Assert
self.assertIsNone(result)
def test_market_value_when_insufficient_data_for_xrate_returns_none(self):
# Arrange
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
balances=[Money("10.00000000", BTC),
Money("10.00000000", ETH)],
balances_free=[
Money("10.00000000", BTC),
Money("10.00000000", ETH)
],
balances_locked=[
Money("0.00000000", BTC),
Money("0.00000000", ETH)
],
info={},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
order = self.order_factory.market(
ETHUSD_BITMEX.symbol,
OrderSide.BUY,
Quantity(100),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("376.05"),
)
last_ethusd = QuoteTick(
ETHUSD_BITMEX.symbol,
Price("376.05"),
Price("377.10"),
Quantity("16"),
Quantity("25"),
UNIX_EPOCH,
)
position = Position(fill)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
self.data_cache.add_quote_tick(last_ethusd)
self.portfolio.update_tick(last_ethusd)
# Act
result = self.portfolio.market_values(BITMEX)
# Assert
# TODO: Currently no Quanto thus no xrate required
self.assertEqual({ETH: Money('0.02659221', ETH)}, result)
def test_opening_several_positions_updates_portfolio(self):
# Arrange
state = AccountState(
AccountId("SIM", "01234"),
balances=[Money(1_000_000.00, USD)],
balances_free=[Money(1_000_000.00, USD)],
balances_locked=[Money(0.00, USD)],
info={"default_currency": "USD"},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
last_audusd = QuoteTick(
AUDUSD_SIM.symbol,
Price("0.80501"),
Price("0.80505"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
last_gbpusd = QuoteTick(
GBPUSD_SIM.symbol,
Price("1.30315"),
Price("1.30317"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
self.data_cache.add_quote_tick(last_audusd)
self.data_cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
order1 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
GBPUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order1_filled = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
position1 = Position(order1_filled)
position2 = Position(order2_filled)
position_opened1 = TestStubs.event_position_opened(position1)
position_opened2 = TestStubs.event_position_opened(position2)
# Act
self.portfolio.update_position(position_opened1)
self.portfolio.update_position(position_opened2)
# Assert
self.assertEqual({USD: Money("4216.32", USD)},
self.portfolio.market_values(SIM))
self.assertEqual({USD: Money("10816.00", USD)},
self.portfolio.unrealized_pnls(SIM))
self.assertEqual({USD: Money("130.71", USD)},
self.portfolio.maint_margins(SIM))
self.assertEqual(Money("1610.02", USD),
self.portfolio.market_value(AUDUSD_SIM.symbol))
self.assertEqual(Money("2606.30", USD),
self.portfolio.market_value(GBPUSD_SIM.symbol))
self.assertEqual(Money("-19499.00", USD),
self.portfolio.unrealized_pnl(AUDUSD_SIM.symbol))
self.assertEqual(Money("30315.00", USD),
self.portfolio.unrealized_pnl(GBPUSD_SIM.symbol))
self.assertEqual(Decimal(100000),
self.portfolio.net_position(AUDUSD_SIM.symbol))
self.assertEqual(Decimal(100000),
self.portfolio.net_position(GBPUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_net_long(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_net_short(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_flat(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_completely_flat())
def test_modifying_position_updates_portfolio(self):
# Arrange
state = AccountState(
AccountId("SIM", "01234"),
balances=[Money(1_000_000.00, USD)],
balances_free=[Money(1_000_000.00, USD)],
balances_locked=[Money(0.00, USD)],
info={"default_currency": "USD"},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
last_audusd = QuoteTick(
AUDUSD_SIM.symbol,
Price("0.80501"),
Price("0.80505"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
self.data_cache.add_quote_tick(last_audusd)
self.portfolio.update_tick(last_audusd)
order1 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order1_filled = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
position = Position(order1_filled)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
order2 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(50000),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
position.apply(order2_filled)
# Act
self.portfolio.update_position(
TestStubs.event_position_changed(position))
# Assert
self.assertEqual({USD: Money("805.01", USD)},
self.portfolio.market_values(SIM))
self.assertEqual({USD: Money("-9749.50", USD)},
self.portfolio.unrealized_pnls(SIM))
self.assertEqual({USD: Money("24.96", USD)},
self.portfolio.maint_margins(SIM))
self.assertEqual(Money("805.01", USD),
self.portfolio.market_value(AUDUSD_SIM.symbol))
self.assertEqual(Money("-9749.50", USD),
self.portfolio.unrealized_pnl(AUDUSD_SIM.symbol))
self.assertEqual(Decimal(50000),
self.portfolio.net_position(AUDUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_net_long(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_net_short(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_flat(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_completely_flat())
self.assertEqual({}, self.portfolio.unrealized_pnls(BINANCE))
self.assertEqual({}, self.portfolio.market_values(BINANCE))
def test_closing_position_updates_portfolio(self):
# Arrange
state = AccountState(
AccountId("SIM", "01234"),
balances=[Money(1_000_000.00, USD)],
balances_free=[Money(1_000_000.00, USD)],
balances_locked=[Money(0.00, USD)],
info={"default_currency": "USD"},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
order1 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order1_filled = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
position = Position(order1_filled)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
order2 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00010"),
)
position.apply(order2_filled)
# Act
self.portfolio.update_position(
TestStubs.event_position_closed(position))
# Assert
self.assertEqual({}, self.portfolio.market_values(SIM))
self.assertEqual({}, self.portfolio.unrealized_pnls(SIM))
self.assertEqual({}, self.portfolio.maint_margins(SIM))
self.assertEqual(Money("0", USD),
self.portfolio.market_value(AUDUSD_SIM.symbol))
self.assertEqual(Money("0", USD),
self.portfolio.unrealized_pnl(AUDUSD_SIM.symbol))
self.assertEqual(Decimal(0),
self.portfolio.net_position(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_net_long(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_net_short(AUDUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_flat(AUDUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_completely_flat())
def test_several_positions_with_different_symbols_updates_portfolio(self):
# Arrange
state = AccountState(
AccountId("SIM", "01234"),
balances=[Money(1_000_000.00, USD)],
balances_free=[Money(1_000_000.00, USD)],
balances_locked=[Money(0.00, USD)],
info={"default_currency": "USD"},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
order1 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order3 = self.order_factory.market(
GBPUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order4 = self.order_factory.market(
GBPUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
)
order1_filled = TestStubs.event_order_filled(
order1,
instrument=GBPUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=GBPUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
order3_filled = TestStubs.event_order_filled(
order3,
instrument=GBPUSD_SIM,
position_id=PositionId("P-3"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
order4_filled = TestStubs.event_order_filled(
order4,
instrument=GBPUSD_SIM,
position_id=PositionId("P-3"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00100"),
)
position1 = Position(order1_filled)
position2 = Position(order2_filled)
position3 = Position(order3_filled)
last_audusd = QuoteTick(
AUDUSD_SIM.symbol,
Price("0.80501"),
Price("0.80505"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
last_gbpusd = QuoteTick(
GBPUSD_SIM.symbol,
Price("1.30315"),
Price("1.30317"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
self.data_cache.add_quote_tick(last_audusd)
self.data_cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
# Act
self.portfolio.update_position(
TestStubs.event_position_opened(position1))
self.portfolio.update_position(
TestStubs.event_position_opened(position2))
self.portfolio.update_position(
TestStubs.event_position_opened(position3))
position3.apply(order4_filled)
self.portfolio.update_position(
TestStubs.event_position_closed(position3))
# Assert
self.assertEqual({USD: Money("-38998.00", USD)},
self.portfolio.unrealized_pnls(SIM))
self.assertEqual({USD: Money("3220.04", USD)},
self.portfolio.market_values(SIM))
self.assertEqual({USD: Money("99.82", USD)},
self.portfolio.maint_margins(SIM))
self.assertEqual(Money("3220.04", USD),
self.portfolio.market_value(AUDUSD_SIM.symbol))
self.assertEqual(Money("-38998.00", USD),
self.portfolio.unrealized_pnl(AUDUSD_SIM.symbol))
self.assertEqual(Money("0", USD),
self.portfolio.unrealized_pnl(GBPUSD_SIM.symbol))
self.assertEqual(Decimal(200000),
self.portfolio.net_position(AUDUSD_SIM.symbol))
self.assertEqual(Decimal(0),
self.portfolio.net_position(GBPUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_net_long(AUDUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_flat(GBPUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_completely_flat())
class AccountTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
logger = Logger(self.clock)
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER", "000"),
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
self.portfolio = Portfolio(self.clock, logger)
self.portfolio.register_cache(DataCache(logger))
def test_instantiated_accounts_basic_properties(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money(1_000_000, USD)],
[Money(1_000_000, USD)],
[Money(0, USD)],
info={"default_currency": "USD"}, # Set the default currency
event_id=uuid4(),
timestamp_ns=0,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual("Account(id=SIM-001)", str(account))
self.assertEqual("Account(id=SIM-001)", repr(account))
self.assertEqual(int, type(hash(account)))
self.assertTrue(account == account)
self.assertFalse(account != account)
def test_instantiate_single_asset_account(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money(1_000_000, USD)],
[Money(1_000_000, USD)],
[Money(0, USD)],
info={"default_currency": "USD"}, # Set the default currency
event_id=uuid4(),
timestamp_ns=0,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(USD, account.default_currency)
self.assertEqual(event, account.last_event)
self.assertEqual([event], account.events)
self.assertEqual(1, account.event_count)
self.assertEqual(Money(1_000_000, USD), account.balance())
self.assertEqual(Money(1_000_000, USD), account.balance_free())
self.assertEqual(Money(0, USD), account.balance_locked())
self.assertEqual({USD: Money(1_000_000, USD)}, account.balances())
self.assertEqual({USD: Money(1_000_000, USD)}, account.balances_free())
self.assertEqual({USD: Money(0, USD)}, account.balances_locked())
self.assertEqual(Money(0, USD), account.unrealized_pnl())
self.assertEqual(Money(1_000_000, USD), account.equity())
self.assertEqual({}, account.initial_margins())
self.assertEqual({}, account.maint_margins())
self.assertEqual(None, account.initial_margin())
self.assertEqual(None, account.maint_margin())
def test_instantiate_multi_asset_account(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual(None, account.default_currency)
self.assertEqual(event, account.last_event)
self.assertEqual([event], account.events)
self.assertEqual(1, account.event_count)
self.assertEqual(Money("10.00000000", BTC), account.balance(BTC))
self.assertEqual(Money("20.00000000", ETH), account.balance(ETH))
self.assertEqual(Money("10.00000000", BTC), account.balance_free(BTC))
self.assertEqual(Money("20.00000000", ETH), account.balance_free(ETH))
self.assertEqual(Money("0.00000000", BTC), account.balance_locked(BTC))
self.assertEqual(Money("0.00000000", ETH), account.balance_locked(ETH))
self.assertEqual(
{
BTC: Money("10.00000000", BTC),
ETH: Money("20.00000000", ETH)
},
account.balances(),
)
self.assertEqual(
{
BTC: Money("10.00000000", BTC),
ETH: Money("20.00000000", ETH)
},
account.balances_free(),
)
self.assertEqual(
{
BTC: Money("0.00000000", BTC),
ETH: Money("0.00000000", ETH)
},
account.balances_locked(),
)
self.assertEqual(Money("0.00000000", BTC), account.unrealized_pnl(BTC))
self.assertEqual(Money("0.00000000", ETH), account.unrealized_pnl(ETH))
self.assertEqual(Money("10.00000000", BTC), account.equity(BTC))
self.assertEqual(Money("20.00000000", ETH), account.equity(ETH))
self.assertEqual({}, account.initial_margins())
self.assertEqual({}, account.maint_margins())
self.assertEqual(None, account.initial_margin(BTC))
self.assertEqual(None, account.initial_margin(ETH))
self.assertEqual(None, account.maint_margin(BTC))
self.assertEqual(None, account.maint_margin(ETH))
def test_apply_given_new_state_event_updates_correctly(self):
# Arrange
event1 = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
# Act
account = Account(event1)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
event2 = AccountState(
AccountId("SIM", "001"),
[Money("9.00000000", BTC),
Money("20.00000000", ETH)],
[Money("8.50000000", BTC),
Money("20.00000000", ETH)],
[Money("0.50000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
# Act
account.apply(event=event2)
# Assert
self.assertEqual(event2, account.last_event)
self.assertEqual([event1, event2], account.events)
self.assertEqual(2, account.event_count)
self.assertEqual(Money("9.00000000", BTC), account.balance(BTC))
self.assertEqual(Money("8.50000000", BTC), account.balance_free(BTC))
self.assertEqual(Money("0.50000000", BTC), account.balance_locked(BTC))
self.assertEqual(Money("20.00000000", ETH), account.balance(ETH))
self.assertEqual(Money("20.00000000", ETH), account.balance_free(ETH))
self.assertEqual(Money("0.00000000", ETH), account.balance_locked(ETH))
def test_update_initial_margin(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
margin = Money("0.00100000", BTC)
# Act
account.update_initial_margin(margin)
# Assert
self.assertEqual(margin, account.initial_margin(BTC))
self.assertEqual({BTC: margin}, account.initial_margins())
def test_update_maint_margin(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
margin = Money("0.00050000", BTC)
# Act
account.update_maint_margin(margin)
# Assert
self.assertEqual(margin, account.maint_margin(BTC))
self.assertEqual({BTC: margin}, account.maint_margins())
def test_unrealized_pnl_with_single_asset_account_when_no_open_positions_returns_zero(
self, ):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
balances=[Money(1_000_000, USD)],
balances_free=[Money(1_000_000, USD)],
balances_locked=[Money(0, USD)],
info={"default_currency": "USD"}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.unrealized_pnl()
# Assert
self.assertEqual(Money(0, USD), result)
def test_unrealized_pnl_with_multi_asset_account_when_no_open_positions_returns_zero(
self, ):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.unrealized_pnl(BTC)
# Assert
self.assertEqual(Money("0.00000000", BTC), result)
def test_equity_with_single_asset_account_no_default_returns_none(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("100000.00", USD)],
[Money("0.00", USD)],
[Money("0.00", USD)],
info={}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.equity(BTC)
# Assert
self.assertIsNone(result)
def test_equity_with_single_asset_account_returns_expected_money(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("100000.00", USD)],
[Money("0.00", USD)],
[Money("0.00", USD)],
info={"default_currency": "USD"}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.equity()
# Assert
self.assertEqual(Money("100000.00", USD), result)
def test_equity_with_multi_asset_account_returns_expected_money(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.equity(BTC)
# Assert
self.assertEqual(Money("10.00000000", BTC), result)
def test_margin_available_for_single_asset_account(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("100000.00", USD)],
[Money("0.00", USD)],
[Money("0.00", USD)],
info={"default_currency": "USD"}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result1 = account.margin_available()
account.update_initial_margin(Money("500.00", USD))
result2 = account.margin_available()
account.update_maint_margin(Money("1000.00", USD))
result3 = account.margin_available()
# Assert
self.assertEqual(Money("100000.00", USD), result1)
self.assertEqual(Money("99500.00", USD), result2)
self.assertEqual(Money("98500.00", USD), result3)
def test_margin_available_for_multi_asset_account(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result1 = account.margin_available(BTC)
account.update_initial_margin(Money("0.00010000", BTC))
result2 = account.margin_available(BTC)
account.update_maint_margin(Money("0.00020000", BTC))
result3 = account.margin_available(BTC)
result4 = account.margin_available(ETH)
# Assert
self.assertEqual(Money("10.00000000", BTC), result1)
self.assertEqual(Money("9.99990000", BTC), result2)
self.assertEqual(Money("9.99970000", BTC), result3)
self.assertEqual(Money("20.00000000", ETH), result4)
class AccountTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
clock = TestClock()
logger = Logger(clock)
trader_id = TraderId("TESTER-000")
self.order_factory = OrderFactory(
trader_id=trader_id,
strategy_id=StrategyId("S-001"),
clock=TestClock(),
)
cache_db = BypassCacheDatabase(
trader_id=trader_id,
logger=logger,
)
cache = Cache(
database=cache_db,
logger=logger,
)
self.portfolio = Portfolio(
cache=cache,
clock=clock,
logger=logger,
)
self.exec_engine = ExecutionEngine(
portfolio=self.portfolio,
cache=cache,
clock=clock,
logger=logger,
)
def test_instantiated_accounts_basic_properties(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event)
# Prepare components
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual("Account(id=SIM-001)", str(account))
self.assertEqual("Account(id=SIM-001)", repr(account))
self.assertEqual(int, type(hash(account)))
self.assertTrue(account == account)
self.assertFalse(account != account)
def test_instantiate_single_asset_account(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event)
# Prepare components
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(USD, account.base_currency)
self.assertEqual(event, account.last_event)
self.assertEqual([event], account.events)
self.assertEqual(1, account.event_count)
self.assertEqual(Money(1_000_000, USD), account.balance_total())
self.assertEqual(Money(1_000_000, USD), account.balance_free())
self.assertEqual(Money(0, USD), account.balance_locked())
self.assertEqual({USD: Money(1_000_000, USD)},
account.balances_total())
self.assertEqual({USD: Money(1_000_000, USD)}, account.balances_free())
self.assertEqual({USD: Money(0, USD)}, account.balances_locked())
self.assertEqual(Money(0, USD), account.unrealized_pnl())
self.assertEqual(Money(1_000_000, USD), account.equity())
self.assertEqual({}, account.initial_margins())
self.assertEqual({}, account.maint_margins())
self.assertEqual(None, account.initial_margin())
self.assertEqual(None, account.maint_margin())
def test_instantiate_multi_asset_account(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event)
# Prepare components
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual(None, account.base_currency)
self.assertEqual(event, account.last_event)
self.assertEqual([event], account.events)
self.assertEqual(1, account.event_count)
self.assertEqual(Money(10.00000000, BTC), account.balance_total(BTC))
self.assertEqual(Money(20.00000000, ETH), account.balance_total(ETH))
self.assertEqual(Money(10.00000000, BTC), account.balance_free(BTC))
self.assertEqual(Money(20.00000000, ETH), account.balance_free(ETH))
self.assertEqual(Money(0.00000000, BTC), account.balance_locked(BTC))
self.assertEqual(Money(0.00000000, ETH), account.balance_locked(ETH))
self.assertEqual(
{
BTC: Money(10.00000000, BTC),
ETH: Money(20.00000000, ETH)
},
account.balances_total(),
)
self.assertEqual(
{
BTC: Money(10.00000000, BTC),
ETH: Money(20.00000000, ETH)
},
account.balances_free(),
)
self.assertEqual(
{
BTC: Money(0.00000000, BTC),
ETH: Money(0.00000000, ETH)
},
account.balances_locked(),
)
self.assertEqual(Money(0.00000000, BTC), account.unrealized_pnl(BTC))
self.assertEqual(Money(0.00000000, ETH), account.unrealized_pnl(ETH))
self.assertEqual(Money(10.00000000, BTC), account.equity(BTC))
self.assertEqual(Money(20.00000000, ETH), account.equity(ETH))
self.assertEqual({}, account.initial_margins())
self.assertEqual({}, account.maint_margins())
self.assertEqual(None, account.initial_margin(BTC))
self.assertEqual(None, account.initial_margin(ETH))
self.assertEqual(None, account.maint_margin(BTC))
self.assertEqual(None, account.maint_margin(ETH))
def test_apply_given_new_state_event_updates_correctly(self):
# Arrange
event1 = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event1)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
event2 = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(9.00000000, BTC),
Money(0.50000000, BTC),
Money(8.50000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account.apply(event=event2)
# Assert
self.assertEqual(event2, account.last_event)
self.assertEqual([event1, event2], account.events)
self.assertEqual(2, account.event_count)
self.assertEqual(Money(9.00000000, BTC), account.balance_total(BTC))
self.assertEqual(Money(8.50000000, BTC), account.balance_free(BTC))
self.assertEqual(Money(0.50000000, BTC), account.balance_locked(BTC))
self.assertEqual(Money(20.00000000, ETH), account.balance_total(ETH))
self.assertEqual(Money(20.00000000, ETH), account.balance_free(ETH))
self.assertEqual(Money(0.00000000, ETH), account.balance_locked(ETH))
def test_update_initial_margin(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
margin = Money(0.00100000, BTC)
# Act
account.update_initial_margin(margin)
# Assert
self.assertEqual(margin, account.initial_margin(BTC))
self.assertEqual({BTC: margin}, account.initial_margins())
def test_update_maint_margin(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
margin = Money(0.00050000, BTC)
# Act
account.update_maint_margin(margin)
# Assert
self.assertEqual(margin, account.maint_margin(BTC))
self.assertEqual({BTC: margin}, account.maint_margins())
def test_unrealized_pnl_with_single_asset_account_when_no_open_positions_returns_zero(
self, ):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.unrealized_pnl()
# Assert
self.assertEqual(Money(0, USD), result)
def test_unrealized_pnl_with_multi_asset_account_when_no_open_positions_returns_zero(
self, ):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.unrealized_pnl(BTC)
# Assert
self.assertEqual(Money(0.00000000, BTC), result)
def test_equity_with_single_asset_account_no_default_returns_none(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(100000.00, USD),
Money(0.00, USD),
Money(100000.00, USD),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.equity(BTC)
# Assert
self.assertIsNone(result)
def test_equity_with_single_asset_account_returns_expected_money(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(100000.00, USD),
Money(0.00, USD),
Money(100000.00, USD),
),
],
info={},
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.equity()
# Assert
self.assertEqual(Money(100000.00, USD), result)
def test_equity_with_multi_asset_account_returns_expected_money(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.equity(BTC)
# Assert
self.assertEqual(Money(10.00000000, BTC), result)
def test_margin_available_for_single_asset_account(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(100000.00, USD),
Money(0.00, USD),
Money(100000.00, USD),
),
],
info={},
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result1 = account.margin_available()
account.update_initial_margin(Money(500.00, USD))
result2 = account.margin_available()
account.update_maint_margin(Money(1000.00, USD))
result3 = account.margin_available()
# Assert
self.assertEqual(Money(100000.00, USD), result1)
self.assertEqual(Money(99500.00, USD), result2)
self.assertEqual(Money(98500.00, USD), result3)
def test_margin_available_for_multi_asset_account(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result1 = account.margin_available(BTC)
account.update_initial_margin(Money(0.00010000, BTC))
result2 = account.margin_available(BTC)
account.update_maint_margin(Money(0.00020000, BTC))
result3 = account.margin_available(BTC)
result4 = account.margin_available(ETH)
# Assert
self.assertEqual(Money(10.00000000, BTC), result1)
self.assertEqual(Money(9.99990000, BTC), result2)
self.assertEqual(Money(9.99970000, BTC), result3)
self.assertEqual(Money(20.00000000, ETH), result4)
class PortfolioTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
uuid_factor = TestUUIDFactory()
logger = TestLogger(self.clock)
self.order_factory = OrderFactory(
strategy_id=StrategyId("S", "001"),
id_tag_trader=IdTag("001"),
id_tag_strategy=IdTag("001"),
clock=TestClock(),
)
state = AccountState(
AccountId.from_string("BITMEX-1513111-SIMULATED"),
BTC,
Money(10., BTC),
Money(0., BTC),
Money(0., BTC),
uuid4(),
UNIX_EPOCH
)
self.account = Account(state)
self.portfolio = Portfolio(self.clock, uuid_factor, logger)
self.portfolio.register_account(self.account)
def test_account_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertIsNone(self.portfolio.account(FXCM))
def test_account_when_account_returns_read_only_facade(self):
# Arrange
# Act
result = self.portfolio.account(BITMEX)
# Assert
self.assertEqual(self.account, result)
def test_unrealized_pnl_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertIsNone(self.portfolio.unrealized_pnl(FXCM))
def test_order_margin_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertIsNone(self.portfolio.order_margin(FXCM))
def test_position_margin_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertIsNone(self.portfolio.position_margin(FXCM))
def test_open_value_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertIsNone(self.portfolio.open_value(FXCM))
