def test_total_values_for_two_separate_transactions():
"""
Tests 'total_book_cost', 'total_market_value',
'total_gain' and 'total_perc_gain' for single
transactions in two separate assets.
"""
ph = PositionHandler()
# Asset 1
asset1 = Equity('Amazon, Inc.', 'AMZN')
dt1 = pd.Timestamp('2015-05-06')
trans_pos_1 = Transaction(asset1.symbol,
quantity=75,
dt=dt1,
price=483.45,
order_id=1,
commission=15.97)
ph.transact_position(trans_pos_1)
# Asset 2
asset2 = Equity('Microsoft, Inc.', 'MSFT')
dt2 = pd.Timestamp('2015-05-07')
trans_pos_2 = Transaction(asset2.symbol,
quantity=250,
dt=dt2,
price=142.58,
order_id=2,
commission=8.35)
ph.transact_position(trans_pos_2)
# Check all total values
assert ph.total_book_cost() == 71928.07
assert ph.total_market_value() == 71903.75
assert ph.total_unrealised_gain() == -24.31999999999971
assert ph.total_unrealised_percentage_gain() == -0.03381155646190282
def test_portfolio_to_dict_for_two_holdings():
"""
Test portfolio_to_dict for two holdings.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
asset1_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
asset2_dt = pd.Timestamp('2017-10-07 08:00:00', tz=pytz.UTC)
update_dt = pd.Timestamp('2017-10-08 08:00:00', tz=pytz.UTC)
asset1 = Equity("AAA Inc.", "EQ:AAA", tax_exempt=False)
asset2 = Equity("BBB Inc.", "EQ:BBB", tax_exempt=False)
port = Portfolio(start_dt, portfolio_id='1234')
port.subscribe_funds(start_dt, 100000.0)
tn_asset1 = Transaction(asset=asset1.symbol,
quantity=100,
dt=asset1_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset1)
tn_asset2 = Transaction(asset=asset2.symbol,
quantity=100,
dt=asset2_dt,
price=123.0,
order_id=2,
commission=7.64)
port.transact_asset(tn_asset2)
port.update_market_value_of_asset(asset2.symbol, 134.0, update_dt)
test_holdings = {
asset1.symbol: {
"quantity": 100,
"book_cost": 56715.78,
"market_value": 56700.0,
"gain": -15.78,
"perc_gain": -0.027822944513854874
},
asset2.symbol: {
"quantity": 100,
"book_cost": 12307.64,
"market_value": 13400.0,
"gain": 1092.3600000000006,
"perc_gain": 8.8754627207165679
}
}
port_holdings = port.portfolio_to_dict()
# This is needed because we're not using Decimal
# datatypes and have to compare slightly differing
# floating point representations
for asset in (asset1.symbol, asset2.symbol):
for key, val in test_holdings[asset].items():
assert port_holdings[asset][key] == pytest.approx(
test_holdings[asset][key])
def test_transact_position_current_position():
"""
Tests the 'transact_position' method for a transaction
with a current asset and checks that all objects are
set correctly.
"""
# Create the PositionHandler, Transaction and
# carry out a transaction
ph = PositionHandler()
asset = Equity('Amazon, Inc.', 'AMZN')
dt = pd.Timestamp('2015-05-06')
transaction_long = Transaction(asset,
quantity=100,
dt=dt,
price=960.0,
order_id=123,
commission=26.83)
transaction_long_again = Transaction(asset,
quantity=200,
dt=dt,
price=990.0,
order_id=234,
commission=18.53)
ph.transact_position(transaction_long)
ph.transact_position(transaction_long_again)
# Check that the position object is set correctly
pos = ph.positions[asset]
assert pos.quantity == 300
assert pos.direction == 1.0
assert pos.book_cost_pu == 980.1512000000001
assert pos.book_cost == 294045.36000000004
def test_position_long_short_positive_gain():
"""
Tests that the quantity and book cost are
correctly calculated for an initial long
position with an additional short transaction
in the same asset, where the short does not
completely eliminate the position and the
result is a gain.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=-50,
dt=dt,
price=960.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 50
assert position.book_cost_pu == 950.0
assert position.direction == 1.0
assert position.current_price == 960.0
assert position.market_value == 48000.0
assert position.unrealised_gain == 500.0
assert position.unrealised_percentage_gain == 1.0526315789473684
def test_position_short_long_excess_cover():
"""
Tests that the quantity and book cost are
correctly calculated for an initial short
position with an additional long transaction
in the same asset, where the long position
is in excess of the short position.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=-100,
book_cost_pu=700.0,
current_price=700.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=175,
dt=dt,
price=873.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 75
assert position.book_cost_pu == 873.0
assert position.direction == 1.0
assert position.current_price == 873.0
assert position.market_value == 65475.0
assert position.unrealised_gain == 0.0
assert position.unrealised_percentage_gain == 0.0
def test_transact_position_quantity_zero():
"""
Tests the 'transact_position' method for a transaction
with net zero quantity after the transaction to ensure
deletion of the position.
"""
# Create the PositionHandler, Transaction and
# carry out a transaction
ph = PositionHandler()
asset = Equity('Amazon, Inc.', 'AMZN')
dt = pd.Timestamp('2015-05-06')
transaction_long = Transaction(asset,
quantity=100,
dt=dt,
price=960.0,
order_id=123,
commission=26.83)
transaction_close = Transaction(asset,
quantity=-100,
dt=dt,
price=980.0,
order_id=234,
commission=18.53)
# Go long and then close, then check that the
# positions OrderedDict is empty
ph.transact_position(transaction_long)
ph.transact_position(transaction_close)
od = OrderedDict()
assert ph.positions == od
def test_position_long_twice():
"""
Tests that the quantity and book cost are
correctly calculated for an initial long
position with an additional long transaction
in the same asset.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=100,
dt=dt,
price=960.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 200
assert position.book_cost_pu == 955.0
assert position.direction == 1.0
assert position.current_price == 960.0
assert position.market_value == 192000.0
assert position.unrealised_gain == 1000.0
assert position.unrealised_percentage_gain == 0.5235602094240838
def test_transact_position_new_position():
"""
Tests the 'transact_position' method for a transaction
with a brand new asset and checks that all objects are
set correctly.
"""
# Create the PositionHandler, Transaction and
# carry out a transaction
ph = PositionHandler()
asset = Equity('Amazon, Inc.', 'AMZN')
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=100,
dt=dt,
price=960.0,
order_id=123,
commission=26.83)
ph.transact_position(transaction)
# Check that the position object is set correctly
pos = ph.positions[asset]
assert pos.quantity == 100
assert pos.direction == 1.0
assert pos.book_cost_pu == 960.2683000000001
assert pos.book_cost == 96026.83
def test_check_set_position_new_asset():
"""
Checks the _check_set_position method when
a new asset is added to the PositionHandler
and when it is checked subsequently.
"""
# Create PositionHandler, Asset and OrderedDict
# positions list
ph = PositionHandler()
asset = Equity('Amazon, Inc.', 'AMZN')
od = OrderedDict()
assert ph.positions == od
# Check that the position is set for new asset
pos = ph._check_set_position(asset)
assert pos.asset == asset
# Check that the OrderedDict is correctly set
# for new asset
od[asset] = pos
assert ph.positions == od
# Check that it works for a current asset
pos = ph._check_set_position(asset)
assert pos.asset == asset
assert ph.positions == od
def test_update_position_for_non_none_values():
"""
Tests the 'update_position' method for non-None
values when updating a Position entity.
"""
ph = PositionHandler()
# Asset 1
asset1 = Equity('Amazon, Inc.', 'AMZN')
dt1 = pd.Timestamp('2015-05-06')
trans_pos_1 = Transaction(asset1,
quantity=75,
dt=dt1,
price=483.45,
order_id=1,
commission=13.76)
ph.transact_position(trans_pos_1)
# Update values manually
quantity = 100
current_price = 504.32
current_dt = pd.Timestamp('2015-05-07')
book_cost_pu = 23.65
ph.update_position(asset1,
quantity=quantity,
current_price=current_price,
current_dt=current_dt,
book_cost_pu=book_cost_pu)
assert ph.positions[asset1].quantity == quantity
assert ph.positions[asset1].current_price == current_price
assert ph.positions[asset1].current_dt == current_dt
assert ph.positions[asset1].book_cost_pu == book_cost_pu
def test_update_book_cost_for_commission_for_incorrect_asset():
"""
Tests that the 'update_book_cost_for_commission'
method, when provided with a transaction with an
asset that does not match the position's asset,
raises an Exception.
"""
asset1 = Equity('Apple, Inc.', 'AAPL')
asset2 = Equity('Amazon, Inc.', 'AMZN')
position = Position(asset1,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
with pytest.raises(Exception):
position.update_book_cost_for_commission(asset2, 23.00)
def test_update_book_cost_for_commission_zero_position():
"""
Tests that 'update_book_cost_for_commission' returns None
when some positive commission is provided, given that the
Position itself has zero quantity.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset, quantity=0, book_cost_pu=0.0, current_price=0.0)
assert position.update_book_cost_for_commission(asset, 15.0) is None
def test_update_market_value_of_asset_not_in_list():
"""
Test update_market_value_of_asset for asset not in list.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
asset = Equity("Acme Inc.", "AAA", tax_exempt=False)
update = port.update_market_value_of_asset(asset, 54.34, later_dt)
assert update is None
def test_update_book_cost_for_commission_for_no_commission():
"""
Tests that 'update_book_cost_for_commission' returns None
when zero or None commission is provided.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
assert position.update_book_cost_for_commission(asset, 0.0) is None
assert position.update_book_cost_for_commission(asset, None) is None
def test_update_for_incorrect_asset():
"""
Tests that the 'update' method, when provided
with a transaction with an asset that does not
match the position's asset, raises an Exception.
"""
asset1 = Equity('Apple, Inc.', 'AAPL')
asset2 = Equity('Amazon, Inc.', 'AMZN')
position = Position(asset1,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset2,
quantity=50,
dt=dt,
price=960.0,
order_id=123,
commission=None)
with pytest.raises(Exception):
position.update(transaction)
def test_position_representation():
"""
Tests that the Position representation
correctly recreates the object.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=153,
book_cost_pu=950.0,
current_price=950.0)
exp_repr = (
"Position(asset=Equity(name='Apple, Inc.', symbol='AAPL', tax_exempt=True), "
"quantity=153, book_cost_pu=950.0, current_price=950.0)")
assert repr(position) == exp_repr
def test_update_commission():
"""
Tests the 'update_commission' method to ensure
commission is correctly set on the Position entities.
"""
ph = PositionHandler()
# Asset 1
asset1 = Equity('Amazon, Inc.', 'AMZN')
dt1 = pd.Timestamp('2015-05-06')
trans_pos_1 = Transaction(asset1.symbol,
quantity=75,
dt=dt1,
price=483.45,
order_id=1,
commission=0.0)
ph.transact_position(trans_pos_1)
ph.update_commission(asset1.symbol, 15.97)
# Asset 2
asset2 = Equity('Microsoft, Inc.', 'MSFT')
dt2 = pd.Timestamp('2015-05-07')
trans_pos_2 = Transaction(asset2.symbol,
quantity=250,
dt=dt2,
price=142.58,
order_id=2,
commission=0.0)
ph.transact_position(trans_pos_2)
ph.update_commission(asset2.symbol, 8.35)
# Check all total values
assert ph.total_book_cost() == 71928.07
assert ph.total_market_value() == 71903.75
assert ph.total_unrealised_gain() == -24.31999999999971
assert ph.total_unrealised_percentage_gain() == -0.03381155646190282
def test_update_book_cost_for_commission_some_commission():
"""
Tests that 'update_book_cost_for_commission' calculates
book cost correctly for the position when a positive
commission is supplied.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=50.0,
current_price=50.0)
position.update_book_cost_for_commission(asset, 15.0)
assert position.book_cost_pu == 50.15
assert position.book_cost == 5015.0
def test_transaction_representation():
"""
Tests that the Transaction representation
correctly recreates the object.
"""
dt = pd.Timestamp('2015-05-06')
asset = Equity('Apple, Inc.', 'AAPL')
transaction = Transaction(asset,
quantity=168,
dt=dt,
price=56.18,
order_id=153)
exp_repr = (
"Transaction(asset=Equity(name='Apple, Inc.', symbol='AAPL', tax_exempt=True), "
"quantity=168, dt=2015-05-06 00:00:00, price=56.18, order_id=153)")
assert repr(transaction) == exp_repr
def test_update_market_value_of_asset_negative_price():
"""
Test update_market_value_of_asset for
asset with negative price.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
asset = Equity("Acme Inc.", "AAA", tax_exempt=False)
port.subscribe_funds(later_dt, 100000.0)
tn_asset = Transaction(asset=asset.symbol,
quantity=100,
dt=later_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset)
with pytest.raises(ValueError):
port.update_market_value_of_asset(asset.symbol, -54.34, later_dt)
def test_update_market_value_of_asset_earlier_date():
"""
Test update_market_value_of_asset for asset
with current_trade_date in past
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
earlier_dt = pd.Timestamp('2017-10-04 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt, portfolio_id='1234')
asset = Equity("Acme Inc.", "EQ:AAA", tax_exempt=False)
port.subscribe_funds(later_dt, 100000.0)
tn_asset = Transaction(asset=asset.symbol,
quantity=100,
dt=later_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset)
with pytest.raises(ValueError):
port.update_market_value_of_asset(asset.symbol, 50.23, earlier_dt)
def test_position_short_goes_to_zero():
"""
Tests that the quantity and book cost are
correctly calculated for an initial short
position, where the share value goes to zero.
This should be a percentage gain of 100%.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=-100,
book_cost_pu=50.0,
current_price=50.0)
dt = pd.Timestamp('2015-05-06')
position.current_price = 0.0
position.current_trade_date = dt
assert position.quantity == -100
assert position.book_cost_pu == 50.0
assert position.direction == -1.0
assert position.current_price == 0.0
assert position.market_value == 0.0
assert position.unrealised_gain == 5000.0
assert position.unrealised_percentage_gain == 100.0
def test_transact_asset_behaviour():
"""
Test transact_asset raises for incorrect time
Test transact_asset raises for transaction total
cost exceeding total cash
Test correct total_cash and total_securities_value
for correct transaction (commission etc), correct
portfolio event and correct time update
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
earlier_dt = pd.Timestamp('2017-10-04 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
even_later_dt = pd.Timestamp('2017-10-07 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
asset = Equity("Acme Inc.", "EQ:AAA", tax_exempt=False)
# Test transact_asset raises for incorrect time
tn_early = Transaction(asset=asset.symbol,
quantity=100,
dt=earlier_dt,
price=567.0,
order_id=1,
commission=0.0)
with pytest.raises(ValueError):
port.transact_asset(tn_early)
# Test transact_asset raises for transaction total
# cost exceeding total cash
port.subscribe_funds(later_dt, 1000.0)
assert port.total_cash == 1000.0
assert port.total_non_cash_equity == 0.0
assert port.total_equity == 1000.0
pe_sub1 = PortfolioEvent(dt=later_dt,
type='subscription',
description="SUBSCRIPTION",
debit=0.0,
credit=1000.0,
balance=1000.0)
tn_large = Transaction(asset=asset.symbol,
quantity=100,
dt=later_dt,
price=567.0,
order_id=1,
commission=15.78)
with pytest.raises(ValueError):
port.transact_asset(tn_large)
# Test correct total_cash and total_securities_value
# for correct transaction (commission etc), correct
# portfolio event and correct time update
port.subscribe_funds(even_later_dt, 99000.0)
assert port.total_cash == 100000.0
assert port.total_non_cash_equity == 0.0
assert port.total_equity == 100000.0
pe_sub2 = PortfolioEvent(dt=even_later_dt,
type='subscription',
description="SUBSCRIPTION",
debit=0.0,
credit=99000.0,
balance=100000.0)
tn_even_later = Transaction(asset=asset.symbol,
quantity=100,
dt=even_later_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_even_later)
assert port.total_cash == 43284.22
assert port.total_non_cash_equity == 56700.00
assert port.total_equity == 99984.22
description = "LONG 100 EQ:AAA 567.00 07/10/2017"
pe_tn = PortfolioEvent(dt=even_later_dt,
type="asset_transaction",
description=description,
debit=56715.78,
credit=0.0,
balance=43284.22)
assert port.history == [pe_sub1, pe_sub2, pe_tn]
assert port.current_dt == even_later_dt
def test_position_three_longs_one_short_one_long():
"""
Tests that the quantity and book cost are
correctly calculated for three long transactions,
followed by a partial closing position, followed
by a new long position, all in the same asset.
Buy 100 qty at £1.00 -> £100
Buy 100 qty at £2.00 -> £200
Buy 200 qty at £3.00 -> £600
Total qty after 3 longs is 400, with book cost £900 (£2.25 p/u)
Sell 100 qty -> Book cost now £675 (25% holdings reduced),
still at £2.25 p/u
Buy 100 at £4.00 -> 400
Final qty is 400, but book cost is now £1,075 (£2.6875 p/u).
"""
asset = Equity('Apple, Inc.', 'AAPL')
# Initial long
position = Position(asset,
quantity=100,
book_cost_pu=1.0,
current_price=1.0)
# Second long
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=100,
dt=dt,
price=2.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 200
assert position.book_cost_pu == 1.5
# Third long
dt = pd.Timestamp('2015-05-07')
transaction = Transaction(asset,
quantity=200,
dt=dt,
price=3.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 400
assert position.book_cost_pu == 2.25
# First short
dt = pd.Timestamp('2015-05-08')
transaction = Transaction(asset,
quantity=-100,
dt=dt,
price=3.5,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 300
assert position.book_cost_pu == 2.25
# Final long
dt = pd.Timestamp('2015-05-09')
transaction = Transaction(asset,
quantity=100,
dt=dt,
price=4.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 400
assert position.book_cost_pu == 2.6875
assert position.direction == 1.0
assert position.current_price == 4.0
assert position.market_value == 1600.0
assert position.unrealised_gain == 525.0
assert position.unrealised_percentage_gain == 48.837209302325576