def test_get_trades_from_positions(self):
positions = pd.DataFrame([np.nan, 2, 3, np.nan, 2, 3, 3.1, 4,
3, 5, 7], pd.date_range(start=pd.datetime(2015, 1, 1), periods=11))
price = pd.DataFrame([100, 103, np.nan, 106, 110, 105, np.nan, 106,
120, np.nan, 142], pd.date_range(start=pd.datetime(2015, 1, 1), periods=11))
#trades=get_trades_from_positions(price, positions, delayfill, roundpositions, None, None, None, None)
trades = get_trades_from_positions(
price, positions, True, True, None, None, None, None)
self.assertEqual(list(trades.trades), [
2.0, 1.0, -1.0, 1.0, 1.0, -1.0, 2.0, 2.0])
self.assertEqual(list(trades.fill_price)[
:-1], [106.0, 106.0, 105.0, 106.0, 120.0, 142.0, 142.0])
trades = get_trades_from_positions(
price, positions, False, True, None, None, None, None)
self.assertEqual(list(trades.trades), [
2.0, 1.0, -1.0, 1.0, 1.0, -1.0, 2.0, 2.0])
self.assertEqual(list(trades.fill_price), [
103.0, 106.0, 110.0, 105.0, 106.0, 120.0, 142.0, 142.0])
trades = get_trades_from_positions(
price, positions, True, False, None, None, None, None)
self.assertEqual(list(trades.trades), [
2.0, 1.0, -1.0, 1.0, 0.1, 0.9, -1.0, 2.0, 2.0])
self.assertEqual(list(trades.fill_price)[
:-1], [106.0, 106.0, 105.0, 106.0, 106.0, 120.0, 120.0, 142.0, 142.0])
def test_get_trades_from_positions(self):
positions = pd.DataFrame([np.nan, 2, 3, np.nan, 2, 3, 3.1, 4, 3, 5, 7],
dt_range2)
price = pd.DataFrame(
[100, 103, np.nan, 106, 110, 105, np.nan, 106, 120, np.nan, 142],
dt_range2)
# test delayed fill
delayfill = True
roundpositions = True
get_daily_returns_volatility = None
forecast = None
fx = None
value_of_price_point = None
trades = get_trades_from_positions(price, positions, delayfill,
roundpositions,
get_daily_returns_volatility,
forecast, fx, value_of_price_point)
np.testing.assert_almost_equal(
trades.trades, [2.0, 1.0, -1.0, 1.0, 1.0, -1.0, 2.0, 2.0])
np.testing.assert_almost_equal(
trades.fill_price[:-1],
[106.0, 106.0, 105.0, 106.0, 120.0, 142.0, 142.0])
# test none delayed fill
delayfill = False
trades = get_trades_from_positions(price, positions, delayfill,
roundpositions,
get_daily_returns_volatility,
forecast, fx, value_of_price_point)
np.testing.assert_almost_equal(
trades.trades, [2.0, 1.0, -1.0, 1.0, 1.0, -1.0, 2.0, 2.0])
np.testing.assert_almost_equal(
trades.fill_price,
[103.0, 106.0, 110.0, 105.0, 106.0, 120.0, 142.0, 142.0])
# test roundpositions
delayfill = True
roundpositions = False
trades = get_trades_from_positions(price, positions, delayfill,
roundpositions,
get_daily_returns_volatility,
forecast, fx, value_of_price_point)
np.testing.assert_almost_equal(
trades.trades, [2.0, 1.0, -1.0, 1.0, 0.1, 0.9, -1.0, 2.0, 2.0])
np.testing.assert_almost_equal(
trades.fill_price[:-1],
[106.0, 106.0, 105.0, 106.0, 106.0, 120.0, 142.0, 142.0])
def test_get_trades_from_positions(self):
positions = pd.DataFrame([np.nan, 2, 3, np.nan, 2, 3, 3.1, 4, 3, 5, 7],
dt_range2)
price = pd.DataFrame(
[100, 103, np.nan, 106, 110, 105, np.nan, 106, 120, np.nan,
142], dt_range2)
# test delayed fill
delayfill = True
roundpositions = True
get_daily_returns_volatility = None
forecast = None
fx = None
value_of_price_point = None
trades = get_trades_from_positions(
price, positions, delayfill, roundpositions,
get_daily_returns_volatility, forecast, fx, value_of_price_point)
np.testing.assert_almost_equal(
trades.trades, [2.0, 1.0, -1.0, 1.0, 1.0, -1.0, 2.0, 2.0])
np.testing.assert_almost_equal(trades.fill_price[:-1], [
106.0, 106.0, 105.0, 106.0, 120.0, 142.0, 142.0
])
# test none delayed fill
delayfill = False
trades = get_trades_from_positions(
price, positions, delayfill, roundpositions,
get_daily_returns_volatility, forecast, fx, value_of_price_point)
np.testing.assert_almost_equal(
trades.trades, [2.0, 1.0, -1.0, 1.0, 1.0, -1.0, 2.0, 2.0])
np.testing.assert_almost_equal(trades.fill_price, [
103.0, 106.0, 110.0, 105.0, 106.0, 120.0, 142.0, 142.0
])
# test roundpositions
delayfill = True
roundpositions = False
trades = get_trades_from_positions(
price, positions, delayfill, roundpositions,
get_daily_returns_volatility, forecast, fx, value_of_price_point)
np.testing.assert_almost_equal(
trades.trades, [2.0, 1.0, -1.0, 1.0, 0.1, 0.9, -1.0, 2.0, 2.0])
np.testing.assert_almost_equal(trades.fill_price[:-1], [
106.0, 106.0, 105.0, 106.0, 106.0, 120.0, 142.0, 142.0
])
