def test_broker_set_current_date(symbol):
"""
Ideally I'd create a stock and chain here that I could easily test against...
set_current_date(self, current_date: dt.datetime)
place_order(self, positions)
positions(self)
stock_buying_power(self)
option_buying_power(self, current_price, cash_available)
"""
# TODO: Implement a test data generator that we can easily predict outcomes versus these manually computed ones.
chain = Chain(symbol, option_path)
quote = Quote(symbol, quote_path)
broker = Broker(100000.0, chain, quote)
min_date, max_date = chain.date_range()
broker.open_current_date(min_date)
opra_codes = [x for x, y in valid_opra[symbol]]
# rows = [y for x, y in valid_opra[symbol]]
total_profit_loss = 0.0
for oc in opra_codes:
# buy this position the week before
symbol, expiration, strike, option_type = decompose_opra(oc)
if expiration > max_date or \
expiration - dt.timedelta(days=7) < min_date:
break
p = Position(1, symbol, option_type, strike, expiration)
broker.open_current_date(expiration - dt.timedelta(days=7))
status_code, status_message = broker.place_order([p])
assert status_code == 0
pp = broker.positions()
assert len(pp) == 1
assert pp[0].opra_code() == oc
entry_price = chain.get_current_price(oc, pp[0].quantity)
profit_loss = -100.0 * entry_price
assert broker.stock_buying_power() == 100000.0 + profit_loss + total_profit_loss
# move date forward 7 days
broker.open_current_date(expiration)
pp = broker.positions()
assert len(pp) == 1
assert pp[0].opra_code() == oc
assert broker.stock_buying_power() == 100000.0 + profit_loss + total_profit_loss
# expire the position and possibly impact cash balance
print("expiring {}".format(oc))
current_price = chain.get_current_price(oc, pp[0].quantity)
profit_loss = 100.0 * (current_price - entry_price)
broker.close_current_date()
pp = broker.positions()
assert not pp
assert broker.stock_buying_power() == 100000.0 + profit_loss + total_profit_loss
total_profit_loss += profit_loss
def assignment(self, cnt_assigned_positions, symbol,
current_date: dt.datetime, broker: Broker):
"""
Default implementation is to close the assigned position at market price.
:param cnt_assigned_positions:
:param current_date:
:param broker:
:return:
"""
p = Position(-cnt_assigned_positions, symbol, 'S', 0, current_date)
broker.place_order([p])
def update(self, current_date: dt.datetime, broker):
"""
This method is called once for every day of the backtest.
Currently, there are no niceties like being handled a list of actions taken by the market such as expiring
options that are expiring - closing for cash if they are ITM. Only assignment is handled specially.\
The method gets the current date, list of positions, current option Chain and corresponding stock Quote.
The last item passed in is the Broker object where the tyche can open/close Positions.
Buying power should also be passed in, but since that is a real-time accounting, the Broker also keeps track.
:param current_date: Current date in the backtest. This method will only be called once with this date.
:param statement: list of Positions that are still open. May include Positions expiring on the current date.
:param broker:
:return:
"""
positions = broker.positions()
if not positions:
cash = broker.stock_buying_power()
price = broker.stock_quote().get_current_price()
cnt = int(cash / price)
p = Position(cnt, self._symbol, 'S', 0.0)
broker.place_order([p])
def gen_position(self) -> Position:
p = Position(self.quantity, self.underlying, self.instr_type,
self.strike, self.expiration, self.entry_price,
self.current_price)
return p
def _get_current_underlying_price(self, p: Position):
oc = p.opra_code()
if p.is_option():
price = self._chain.get_current_underlying_price(oc)
return price
return 0.0 # OR throw an exception here
def _get_current_position_price(self, p: Position):
if p.is_option():
price = self._chain.get_current_price(p.opra_code(), p.quantity)
else:
price = self._quote.get_current_price()
return price
def test_opra_codes():
valid_opras = [
('TEAM180615C00055000',
'98,TEAM180615C00055000,704622,TEAM,66.67,*,,call,2018-06-15,2018-06-05,55.0,11.35,'
'11.7,12.0,19,789,0.5017,0.9928,0.0037,-3.3675,0.2135,TEAM180615C00055000,1.0'
),
('TEAM190315C00095000',
'15998,TEAM190315C00095000,751040,TEAM,80.7,*,,call,2019-03-15,2018-11-28,95.0,3.3,'
'3.3,3.8,1,173,0.4661,0.3093,0.0174,-12.7395,15.3477,TEAM190315C00095000,'
'0.267553073795217'),
('TEAM190524C00102000',
'31998,TEAM190524C00102000,745368,TEAM,126.08,*,,call,2019-05-24,2019-05-15,102.0,'
'15.2,22.8,25.6,0,1,0.4082,0.9997,0.0001,-2.7994,0.018000000000000002,'
'TEAM190524C00102000,1.0'),
('TEAM190621P00105000',
'47998,TEAM190621P00105000,727266,TEAM,104.12,*,,put,2019-06-21,2019-02-20,105.0,9.4,'
'9.0,9.6,1,46,0.3891,-0.4564,0.017,-12.6315,23.6733,TEAM190621P00105000,1.0'
),
('TEAM191220C00150000',
'59998,TEAM191220C00150000,747370,TEAM,117.17,*,,call,2019-12-20,2019-05-08,150.0,'
'0.0,4.5,6.5,0,0,0.3986,0.2806,0.0092,-10.7242,31.0223,TEAM191220C00150000,'
'0.3143846634076346'),
('TEAM210115P00195000',
'78449,TEAM210115P00195000,771091,TEAM,125.88,*,,put,2021-01-15,2019-05-31,195.0,0.0,'
'74.6,77.0,0,0,0.4766,-0.6351,0.0048,-5.0587,59.6021,TEAM210115P00195000,1.0'
),
('TLT180928P00121500',
'54998,TLT180928P00121500,752147,TLT,116.8,*,,put,2018-09-28,2018-09-24,121.5,4.77,'
'4.6,4.8,0,22,0.1356,-0.9987,0.0027,2.4747,0.0464,TLT180928P00121500,1.0'
),
('TLT181221P00104000',
'109998,TLT181221P00104000,715831,TLT,119.71,*,,put,2018-12-21,2018-06-05,104.0,0.55,'
'0.26,0.33,0,351,0.135,-0.0558,0.0094,-1.0705,9.9295,TLT181221P00104000,'
'0.03413479945010925'),
('TLT190222P00128500',
'164998,TLT190222P00128500,773729,TLT,120.48,*,,put,2019-02-22,2019-01-14,128.5,0.0,'
'7.9,8.65,0,0,0.1433,-0.912,0.0277,-4.2808,6.0546,TLT190222P00128500,1.0'
),
('TLT190503C00130500',
'219998,TLT190503C00130500,749744,TLT,123.9,*,,call,2019-05-03,2019-05-01,130.5,0.07,'
'0.0,0.02,0,341,0.1314,0.0,0.0,0.0,0.0,TLT190503C00130500,4.759169835999444e-08'
),
('TLT190920C00092000',
'274998,TLT190920C00092000,775484,TLT,125.99,*,,call,2019-09-20,2019-05-17,92.0,0.0,'
'33.85,34.45,0,0,0.0469,1.0,0.0,-2.3606,0.0,TLT190920C00092000,1.0'),
('TLT210115P00126000',
'329998,TLT210115P00126000,731196,TLT,124.37,*,,put,2021-01-15,2019-04-01,126.0,8.34,'
'8.25,8.85,0,3,0.1102,-0.5069,0.0204,-2.1069999999999998,62.3853,TLT210115P00126000,'
'1.0'),
('TLT210115P00170000',
'333285,TLT210115P00170000,783649,TLT,131.83,*,,put,2021-01-15,2019-05-31,170.0,43.0,'
'37.5,42.0,0,12,0.1869,-0.7959,0.0074,-1.8645,38.9568,TLT210115P00170000,1.0'
),
('MS180601C00040000',
'3,MS180601C00046000,500705,MS,51.21,*,,call,2018-06-01,2018-06-01,46.0,0.0,5.0,5.4,0,'
'0,0.3,1.0,0.0,0.0,0.0,MS180601C00046000,0.0'),
('MS180706P00044000',
'4998,MS180706P00044000,478308,MS,51.32,*,,put,2018-07-06,2018-06-12,44.0,0.0,0.0,0.06,'
'0,0,0.2845,-0.0142,0.0098,-1.0256,0.4675,MS180706P00044000,0.015044175245536497'
),
('MS181207C00044000',
'49998,MS181207C00044000,515836,MS,45.82,*,,call,2018-12-07,2018-11-05,44.0,1.42,2.73,'
'2.8,0,35,0.3123,0.6952,0.0835,-9.2342,4.7009,MS181207C00044000,1.0'),
('MS190418P00045000',
'99998,MS190418P00045000,484663,MS,48.71,*,,put,2019-04-18,2018-09-04,45.0,2.03,1.95,'
'2.05,1200,19,0.2505,-0.2958,0.0359,-2.4936,13.1578,MS190418P00045000,'
'0.3497343971075503'),
('MS200117C00055000',
'149998,MS200117C00055000,507564,MS,42.71,*,,call,2020-01-17,2019-05-23,55.0,0.4,0.32,'
'0.4,10,9376,0.2191,0.1067,0.0243,-1.1736,6.3476,MS200117C00055000,0.29802925221883325'
),
('MS210115P00070000',
'165457,MS210115P00070000,512453,MS,40.69,*,,put,2021-01-15,2019-05-31,70.0,22.85,'
'28.95,29.95,0,173,0.4015,-0.7599,0.0139,-0.7399,15.075999999999999,MS210115P00070000,'
'1.0')
]
for oc, row in valid_opras:
symbol, expiration, strike, option_type = decompose_opra(oc)
p = Position(100, symbol, option_type, strike, expiration)
assert oc == p.opra_code()
def test_position():
exp = dt.datetime(2018, 6, 15)
p = Position(100, 'XYZ', 'S')
assert not p.is_option()
assert not p.is_call()
assert not p.is_put()
assert p.opra_code() == 'XYZ'
assert p.current_pl() == 0.0
p = Position(100, 'XYZ', 'S', entry_price=99.0)
assert not p.is_option()
assert not p.is_call()
assert not p.is_put()
assert p.opra_code() == 'XYZ'
assert p.current_pl() == 0.0
p = Position(100, 'XYZ', 'S', entry_price=99.0, current_price=98.0)
assert not p.is_option()
assert not p.is_call()
assert not p.is_put()
assert p.opra_code() == 'XYZ'
assert p.current_pl() == approx(-100.0)
p = Position(10, 'XYZ', 'C', 99.0, exp)
assert p.is_option()
assert p.is_call()
assert not p.is_put()
assert p.opra_code() == 'XYZ180615C00099000'
assert p.current_pl() == 0.0
p = Position(10, 'XYZ', 'C', 99.0, exp, 0.22)
assert p.is_option()
assert p.is_call()
assert not p.is_put()
assert p.opra_code() == 'XYZ180615C00099000'
assert p.current_pl() == 0.0
p = Position(10, 'XYZ', 'C', 99.0, exp, 0.22, 0.33)
assert p.is_option()
assert p.is_call()
assert not p.is_put()
assert p.opra_code() == 'XYZ180615C00099000'
assert p.current_pl() == approx(110.0)
p = Position(10, 'XYZ', 'P', 99.0, exp)
assert p.is_option()
assert not p.is_call()
assert p.is_put()
assert p.opra_code() == 'XYZ180615P00099000'
assert p.current_pl() == 0.0
p = Position(10, 'XYZ', 'P', 99.0, exp, 0.22)
assert p.is_option()
assert not p.is_call()
assert p.is_put()
assert p.opra_code() == 'XYZ180615P00099000'
assert p.current_pl() == 0.0
p = Position(10, 'XYZ', 'P', 99.0, exp, 0.22, 0.33)
assert p.is_option()
assert not p.is_call()
assert p.is_put()
assert p.opra_code() == 'XYZ180615P00099000'
assert p.current_pl() == approx(110.0)
p = Position(-2, 'XYZ', 'C', 99.0, exp, 0.22, 0.33)
assert p.current_pl() == approx(-22.0)
p = Position(-2, 'XYZ', 'C', 99.0, exp, 0.33, 0.22)
assert p.current_pl() == approx(22.0)