def test_addTradeDuration(self):
'''
Test the method DefineTrades.addStartTime. Send some randomly generated trades excluding
the start field and then test the results for the start field. Specifically
Test that Duration val is placed only when the trade has 0 Shares
Test that the the original is the same dur as that created by addTradeDuration
Test Duration is difference from each Last Trade - Start val
'''
NUMTRADES = 4
trades = list()
start = pd.Timestamp('2018-06-06 09:30:00')
df = pd.DataFrame()
exclude = []
for i in range(NUMTRADES):
tdf, start = randomTradeGenerator2(i + 1,
earliest=start,
pdbool=True,
exclude=exclude)
df = df.append(tdf)
exclude.append(tdf.Symb.unique()[0])
df.reset_index(drop=True, inplace=True)
frc = FinReqCol()
df2 = df.copy()
df2[frc.dur] = None
df3 = df2.copy()
df3 = df3.sort_values(['Symb', 'Account', 'Time'])
dtrades = DefineTrades()
df3 = dtrades.addTradeDuration(df3)
for i in range(NUMTRADES):
tnum = 'Trade ' + str(i + 1)
tdf = df3[df3.Tindex == tnum]
tdf_gen = df[df.Tindex == tnum]
xl = tdf.index[-1]
xl_gen = tdf_gen.index[-1]
assert len(tdf.Tindex.unique()) == 1
for i, row in tdf.iterrows():
if row.Balance:
assert not row.Duration
else:
if not row.Duration:
assert len(tdf) == 2
assert tdf.loc[tdf.index[0]].Side.startswith('HOLD')
# assert row.Duration
diff = row.Time - row.Start
assert diff == row.Duration
assert row.Duration == tdf_gen.loc[xl_gen].Duration
def test_addTradePL(self):
'''
Test the method DefineTrades.addTradePL. Create random trade and remove the sum val
Call addtradePL and compare the origianl generation with the new one.
Specifically Test that Sum val is placed only when the trade has 0 Shares
Test that the the original is the same PL as that created by addTradeDuration
Test Sum is sum or the PL values from the trade.
'''
NUMTRADES = 4
trades = list()
start = pd.Timestamp('2018-06-06 09:30:00')
df = pd.DataFrame()
exclude = []
for i in range(4):
tdf, start = randomTradeGenerator2(i + 1,
earliest=start,
pdbool=True,
exclude=exclude)
df = df.append(tdf)
exclude.append(tdf.Symb.unique()[0])
df.reset_index(drop=True, inplace=True)
frc = FinReqCol()
df2 = df.copy()
df2[frc.sum] = None
df3 = df2.copy()
df3 = df3.sort_values(['Symb', 'Account', 'Time'])
dtrades = DefineTrades()
df3 = dtrades.addTradePL(df3)
for i in range(NUMTRADES):
tnum = 'Trade ' + str(i + 1)
tdf = df3[df3.Tindex == tnum]
tdf_gen = df[df.Tindex == tnum]
for i, row in tdf.iterrows():
if row.Balance:
assert not row.Sum
else:
assert isclose(tdf['P / L'].sum(), row.Sum, abs_tol=1e-7)
assert isclose(row.Sum,
tdf_gen.loc[tdf_gen.index[-1]].Sum,
abs_tol=1e-7)
def test_addSummaryPL(self):
'''
Test the method DefineTrades.addStartTime. Send some randomly generated trades excluding
the start field and then test the results for the start field.
'''
NUMTRADES = 4
trades = list()
start = pd.Timestamp('2018-06-06 09:30:00')
df = pd.DataFrame()
exclude = []
for i in range(4):
tdf, start = randomTradeGenerator2(i + 1,
earliest=start,
pdbool=True,
exclude=exclude)
df = df.append(tdf)
exclude.append(tdf.Symb.unique()[0])
df.reset_index(drop=True, inplace=True)
frc = FinReqCol()
df2 = df.copy()
df2[frc.sum] = None
df3 = df2.copy()
df3 = df3.sort_values(['Symb', 'Account', 'Time'])
dtrades = DefineTrades()
df3 = dtrades.addTradePL(df3)
for i in range(NUMTRADES):
tnum = 'Trade ' + str(i + 1)
tdf = df3[df3.Tindex == tnum]
tdf_gen = df[df.Tindex == tnum]
for i, row in tdf.iterrows():
if row.Balance:
assert not row.Sum
else:
assert isclose(tdf['P / L'].sum(), row.Sum, abs_tol=1e-7)
assert isclose(row.Sum,
tdf_gen.loc[tdf_gen.index[-1]].Sum,
abs_tol=1e-7)
def test_addDateFieldx(self):
'''
Test the method writeShareBalance. Send some randomly generated trades side and qty and
test the share balance that returns. Sort both and compare the results using the place
index iloc
'''
NUMTRADES = 4
start = pd.Timestamp('2018-06-06 09:30:00')
df = pd.DataFrame()
exclude = []
for i in range(NUMTRADES):
tdf, start = randomTradeGenerator2(i + 1,
earliest=start,
pdbool=True,
exclude=exclude)
df = df.append(tdf)
exclude.append(tdf.Symb.unique()[0])
df.reset_index(drop=True, inplace=True)
rc = ReqCol()
df2 = df[['Time', 'Symb', 'Side', 'Qty', 'Account', 'P / L']].copy()
idf = InputDataFrame()
df2 = idf.addDateField(df2, start)
for i in range(len(df2)):
rprev = rnext = ''
row = df2.iloc[i]
rprev = df2.iloc[i - 1] if i != 0 else ''
rnext = df2.iloc[i + 1] if i < (len(df2) - 1) else ''
daydelt = pd.Timedelta(days=1)
# print(row.Side, type(rprev), type(rnext))
rt = pd.Timestamp(row.Time)
rd = pd.Timestamp(row.Date)
assert rt.time() == rd.time()
if row.Side == 'HOLD-B' or row.Side == 'HOLD+B':
assert row.Date.date() == rnext.Date.date() - daydelt
if row.Side == 'HOLD-' or row.Side == 'HOLD+':
assert row.Date.date() == rprev.Date.date() + daydelt
return df2
def test_addStartTime(self):
'''
Test the method DefineTrades.addStartTime. Send some randomly generated trades excluding
the start field and then test the results for the start field.
'''
NUMTRADES = 4
trades = list()
start = pd.Timestamp('2019-01-01 09:30:00')
exclude = []
for i in range(4):
t, start = randomTradeGenerator2(i + 1,
earliest=start,
exclude=exclude)
trades.extend(t)
# print(t[0][3])
exclude.append(t[0][3])
frc = FinReqCol()
df = pd.DataFrame(data=trades,
columns=[
frc.tix, frc.start, frc.time, frc.ticker,
frc.side, frc.shares, frc.bal, frc.acct, frc.PL,
frc.sum, frc.dur
])
df2 = df.copy()
df2[frc.start] = None
dtrades = DefineTrades()
df3 = df2.copy()
df3.sort_values(['Symb', 'Account', 'Time'], inplace=True)
df3 = dtrades.addStartTime(df3)
for i in range(len(df3)):
# Tests that addtradeIndex recreated the same index locations that rtg did after sorting the trades
if df3.loc[i][frc.start] != df.loc[i][frc.start]:
print('Found and error at index', i)
print(df3.loc[i][frc.start], df.loc[i][frc.start])
self.assertEqual(df3.loc[i][frc.start], df.loc[i][frc.start])
for i in range(NUMTRADES):
# Test all trades have a single start time
tradeNum = 'Trade ' + str(i + 1)
tdf = df3[df3.Tindex == tradeNum].copy()
self.assertEqual(len(tdf.Start.unique()), 1)
def test_writeShareBalance(self):
'''
Test the method writeShareBalance. Send some randomly generated trades. Remove a bunch of
columns and call writeShareBalance. Test that the share balance was recreated correctly
test the share balance that returns. Sort both and compare the results using the place
index iloc
'''
NUMTRADES = 4
trades = list()
start = pd.Timestamp('2018-06-06 09:30:00')
df = pd.DataFrame()
exclude = []
for i in range(NUMTRADES):
tdf, start = randomTradeGenerator2(i + 1,
earliest=start,
pdbool=True,
exclude=exclude)
df = df.append(tdf)
exclude.append(tdf.Symb.unique()[0])
df.reset_index(drop=True, inplace=True)
frc = FinReqCol()
df2 = df.copy()
df2[frc.sum] = None
df2[frc.start] = None
df2[frc.tix] = None
df2[frc.PL] = None
df2[frc.dur] = None
df2[frc.bal] = 0
df3 = df2.copy()
df3 = df3.sort_values(['Symb', 'Account', 'Time'])
df3.reset_index(drop=True, inplace=True)
df = df.sort_values(['Symb', 'Account', 'Time'])
dtrades = DefineTrades()
df3 = dtrades.writeShareBalance(df3)
for i in range(len(df3)):
assert df3.iloc[i][frc.bal] == df.iloc[i][frc.bal]
def test_addTradeIndex(self):
'''
Test addTradeIndex
'''
NUMRUNS = 10
NUMTRADES = 10 # Number of trades to aggregate into single statement
for i in range(NUMRUNS):
# if not i % 20:
# print(f'{i}/{NUMRUNS} ', end='')
earliest = pd.Timestamp('2018-06-06 09:30:00')
delt = pd.Timedelta(minutes=1)
df = pd.DataFrame()
exclude = []
for j in range(NUMTRADES):
tdf, earliest = randomTradeGenerator2(j + 1,
earliest=earliest,
pdbool=True,
exclude=exclude)
exclude.append(tdf.iloc[0].Symb)
df = df.append(tdf)
earliest = earliest + delt
df.reset_index(drop=True, inplace=True)
df = df.sort_values(['Symb', 'Account', 'Time'])
frc = FinReqCol()
df2 = df.copy()
df2[frc.tix] = ''
df2.sort_values(['Symb', 'Account', 'Time'], inplace=True)
dtrades = DefineTrades()
ddf = dtrades.addTradeIndex(df2)
for k in range(4):
tnum = 'Trade ' + str(k + 1)
tdf = ddf[ddf.Tindex == tnum].copy()
xl = tdf.index[-1]
lastd = None
thisd = None
for j, row in tdf.iterrows():
if j != xl:
if tdf.at[j, 'Balance'] == 0:
print('Found an error at index', j,
'The Balance should not be 0')
print(tdf[[
'Symb', 'Tindex', 'Account', 'Time', 'Side',
'Qty', 'Balance'
]])
self.assertNotEqual(tdf.at[j, 'Balance'], 0)
else:
if tdf.at[j, 'Balance'] != 0:
print('Found an error at index', xl,
'The balance should be 0')
print(df[[
'Symb', 'Tindex', 'Account', 'Time', 'Side',
'Qty', 'Balance'
]])
self.assertEqual(tdf.at[j, 'Balance'], 0)
if lastd:
if lastd > thisd:
print('Found an error in the Time sequencing of',
tnum)
print(thisd, ' > ', lastd, ' = ', thisd > lastd)
print(df[[
'Symb', 'Tindex', 'Account', 'Time', 'Side',
'Qty', 'Balance'
]])
self.assertGreater(thisd, lastd)