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_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 = 'EQ:AAA' asset2 = 'EQ:BBB' port = Portfolio(start_dt, portfolio_id='1234') port.subscribe_funds(start_dt, 100000.0) tn_asset1 = Transaction(asset=asset1, quantity=100, dt=asset1_dt, price=567.0, order_id=1, commission=15.78) port.transact_asset(tn_asset1) tn_asset2 = Transaction(asset=asset2, 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, 134.0, update_dt) test_holdings = { asset1: { "quantity": 100, "market_value": 56700.0, "unrealised_pnl": -15.78, "realised_pnl": 0.0, "total_pnl": -15.78 }, asset2: { "quantity": 100, "market_value": 13400.0, "unrealised_pnl": 1092.3600000000006, "realised_pnl": 0.0, "total_pnl": 1092.3600000000006 } } 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, asset2): for key, val in test_holdings[asset].items(): assert port_holdings[asset][key] == pytest.approx( test_holdings[asset][key])
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 = 'EQ:AAA' port.subscribe_funds(later_dt, 100000.0) tn_asset = Transaction(asset=asset, 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, -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 = 'EQ:AAA' port.subscribe_funds(later_dt, 100000.0) tn_asset = Transaction(asset=asset, 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, 50.23, earlier_dt)
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 = 'EQ:AAA' # Test transact_asset raises for incorrect time tn_early = Transaction(asset=asset, 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.cash == 1000.0 assert port.total_market_value == 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, 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.cash == 100000.0 assert port.total_market_value == 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, quantity=100, dt=even_later_dt, price=567.0, order_id=1, commission=15.78) port.transact_asset(tn_even_later) assert port.cash == 43284.22 assert port.total_market_value == 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