def test_duplicate_idx_in_struct():
with pytest.raises(ValueError):
op.get(os.path.join(os.path.dirname(__file__), 'test_data', 'daily'),
start=date(2016, 1, 5),
end=date(2016, 1, 6),
struct=invalid_struct,
prompt=False)
def test_duplicate_idx_in_struct(mock_file_dir, invalid_struct):
with pytest.raises(ValueError):
op.get(mock_file_dir,
start=date(2016, 1, 5),
end=date(2016, 1, 6),
struct=invalid_struct,
prompt=False)
def test_invalid_fields():
with pytest.raises(ValueError):
op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_dod_a.csv'),
start=date(2016, 1, 1),
end=date(2016, 12, 31),
struct=invalid_fields)
def test_invalid_idx(mock_file_dir, invalid_idx):
with pytest.raises(ValueError):
op.get(mock_file_dir,
start=date(2016, 1, 1),
end=date(2016, 12, 31),
struct=invalid_idx,
prompt=False)
def test_valid_fields(mock_daily_file, cboe_struct):
try:
op.get(mock_daily_file,
start=date(2016, 1, 4),
end=date(2016, 1, 5),
struct=cboe_struct,
prompt=False)
except ValueError:
pytest.fail('ValueError raised')
def test_valid_fields():
try:
op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_dod_a.csv'),
start=date(2016, 1, 1),
end=date(2016, 12, 31),
struct=valid_fields,
prompt=False)
except ValueError:
pytest.fail('ValueError raised')
def test_invalid_start_end_fields(mock_file_dir, invalid_fields):
start = date(2016, 1, 1)
end = date(2015, 1, 1)
with pytest.raises(ValueError):
op.get(mock_file_dir,
start=start,
end=end,
struct=invalid_fields,
prompt=False)
def test_invalid_start_end_fields():
start = date(2016, 1, 1)
end = date(2015, 1, 1)
with pytest.raises(ValueError):
op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_dod_a.csv'),
start=start,
end=end,
struct=invalid_fields,
prompt=False)
def data_dod_greeks():
return op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_dod_a_daily.csv'),
start=date(2016, 1, 1),
end=date(2016, 1, 5),
struct=dod_struct_with_opt_sym_greeks,
prompt=False)
def data_dod_underlying():
return op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_dod_a_daily.csv'),
start=date(2016, 1, 1),
end=date(2016, 1, 5),
struct=dod_struct_underlying,
prompt=False)
def data_hod_sym():
return op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_hod_vxx_daily.csv'),
start=date(2016, 12, 1),
end=date(2016, 12, 1),
struct=hod_struct_with_sym,
prompt=False)
def run_strat():
# fetch the option chains from our data source
d = op.get('data/VXX.csv',
start=date(2016, 12, 1),
end=date(2016, 12, 31),
struct=vxx_struct,
prompt=False)
os = op.option_strategy.Vertical(option_type=op.OptionType.CALL, width=2)
filters = [
op.filters.EntrySpreadPrice(ideal=1.0, lower=0.9, upper=1.10),
op.filters.EntryDaysToExpiration(ideal=47, lower=40, upper=52),
op.filters.EntryDayOfWeek(ideal=4),
op.filters.ExitDaysToExpiration(ideal=1)
]
# construct our strategy with our defined filter rules
strategy = op.Strategy('Weekly Verticals', os, filters)
# Create an instance of Optopsy with strategy settings, with default
# initial capital of $10000
backtest = op.Optopsy(strategy, d)
# Run over everything once
backtest.run(progress_bar=False)
def run_strat():
# fetch the pre-formatted option spread data generated by option
data = op.get(
'../data/A.csv',
start=date(
2016, 1, 1
), # using a date function here to avoid entering the wrong date format
end=date(2016, 12, 31),
struct=struct)
def test_invalid_idx():
invalid_idx = (('symbol', -1), ('quote_date', -2))
with pytest.raises(ValueError):
data = op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_dod_a.csv'),
start=date(2016, 1, 1),
end=date(2016, 12, 31),
struct=invalid_idx)
def test_invalid_start_end_fields():
start = date(2016, 1, 1)
end = date(2015, 1, 1)
invalid_fields = (('symbol', -1), ('invalid', -1))
with pytest.raises(ValueError):
data = op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_dod_a.csv'),
start=start,
end=end,
struct=invalid_fields)
def start():
"""
Main function of program.
"""
# program timer
program_starts = time.time()
# Analyse VXX vertical spreads
option_chains = op.get("VXX", start="2016-01-29", end="2016-03-12")
option_strategy = op.OptionStrategies.iron_condor(option_chains, op.Period.SEVEN_WEEKS, 5, 2, 2)
program_ends = time.time()
print("The simulation ran for {0} seconds.".format(round(program_ends - program_starts, 2)))
def test_valid_fields():
valid_fields = (('symbol', 0), ('underlying_price',
1), ('option_type', 4), ('expiration', 5),
('quote_date', 6), ('strike', 7), ('bid', 9), ('ask', 10),
('volume', 11), ('oi', 12), ('iv', 14), ('delta', 17),
('gamma', 18), ('theta', 19), ('vega', 20))
try:
data = op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_dod_a.csv'),
start=date(2016, 1, 1),
end=date(2016, 12, 31),
struct=valid_fields)
except ValueError:
pytest.fail('ValueError raised')
def test_data_dod_import():
cols = list(zip(*dod_struct))[0]
test_df = pd.DataFrame(dod_test_data, columns=cols)
test_df['expiration'] = pd.to_datetime(test_df.expiration,
format='%Y-%m-%d')
test_df['quote_date'] = pd.to_datetime(test_df.quote_date,
format='%Y-%m-%d')
test_df.set_index(['quote_date'], inplace=True)
data = op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_dod_a.csv'),
start=date(2016, 1, 1),
end=date(2016, 12, 31),
struct=dod_struct)
assert test_df.equals(data)
def store_and_get_data(file_name):
# absolute file path to our input file
curr_file = os.path.abspath(os.path.dirname(__file__))
file = os.path.join(curr_file, "data", f"{file_name}.pkl")
# check if we have a pickle store
if os.path.isfile(file):
print("pickle file found, retrieving...")
return pd.read_pickle(file)
else:
print("no picked file found, retrieving csv data...")
csv_file = os.path.join(curr_file, "data", f"{file_name}.csv")
data = op.get(csv_file, SPX_FILE_STRUCT, prompt=False)
print("storing to pickle file...")
pd.to_pickle(data, file)
return data
def test_data_cboe_import():
cols = list(zip(*cboe_struct))[0]
test_df = pd.DataFrame(cboe_test_data, columns=cols)
test_df['expiration'] = pd.to_datetime(test_df.expiration,
infer_datetime_format=True,
format='%Y-%m-%d')
test_df['quote_date'] = pd.to_datetime(test_df.quote_date,
infer_datetime_format=True,
format='%Y-%m-%d')
test_df.set_index('quote_date', inplace=True, drop=False)
data = op.get(os.path.join(os.path.dirname(__file__), 'test_data',
'test_cboe_spx.csv'),
start=date(2016, 1, 1),
end=date(2016, 12, 31),
struct=cboe_struct,
prompt=False)
pt.assert_frame_equal(test_df, data)
def test_data_import(mock_daily_file, cboe_struct):
data = op.get(mock_daily_file, struct=cboe_struct, prompt=False)
assert data.shape == (2, 15)
def test_data_import_bulk(mock_daily_dir, cboe_struct):
data = op.get(mock_daily_dir, struct=cboe_struct, prompt=False)
assert data.shape == (6, 13)
def test_invalid_fields(mock_file_dir, invalid_fields):
with pytest.raises(ValueError):
op.get(mock_file_dir,
start=date(2016, 1, 1),
end=date(2016, 12, 31),
struct=invalid_fields)
def test_invalid_fields(mock_file_dir, invalid_fields):
with pytest.raises(ValueError):
op.get(mock_file_dir, struct=invalid_fields)
def test_invalid_idx(mock_file_dir, invalid_idx):
with pytest.raises(ValueError):
op.get(mock_file_dir, struct=invalid_idx, prompt=False)
def test_invalid_path_data_import(mock_daily_dir, cboe_struct):
with pytest.raises(ValueError):
op.get(mock_daily_dir, struct=cboe_struct, prompt=False)
def test_valid_fields(mock_daily_file, cboe_struct):
try:
op.get(mock_daily_file, struct=cboe_struct, prompt=False)
except ValueError:
pytest.fail("ValueError raised")
