def test_minute_tracker(self):
""" Tests minute performance tracking."""
start_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 9, 30))
end_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 16, 0))
sim_params = SimulationParameters(
period_start=start_dt,
period_end=end_dt,
emission_rate='minute'
)
tracker = perf.PerformanceTracker(sim_params)
foo_event_1 = factory.create_trade('foo', 10.0, 20, start_dt)
bar_event_1 = factory.create_trade('bar', 100.0, 200, start_dt)
txn = Transaction(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt,
price=10.0,
commission=0.50)
foo_event_1.TRANSACTION = txn
foo_event_2 = factory.create_trade(
'foo', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
bar_event_2 = factory.create_trade(
'bar', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
events = [
foo_event_1,
bar_event_1,
foo_event_2,
bar_event_2
]
import operator
messages = {date: snapshot[0].perf_messages[0] for date, snapshot in
tracker.transform(
itertools.groupby(
events,
operator.attrgetter('dt')))}
self.assertEquals(2, len(messages))
msg_1 = messages[foo_event_1.dt]
msg_2 = messages[foo_event_2.dt]
self.assertEquals(1, len(msg_1['intraday_perf']['transactions']),
"The first message should contain one transaction.")
# Check that transactions aren't emitted for previous events.
self.assertEquals(0, len(msg_2['intraday_perf']['transactions']),
"The second message should have no transactions.")
# Ensure that period_close moves through time.
# Also, ensure that the period_closes are the expected dts.
self.assertEquals(foo_event_1.dt,
msg_1['intraday_perf']['period_close'])
self.assertEquals(foo_event_2.dt,
msg_2['intraday_perf']['period_close'])
def test_minute_tracker(self):
""" Tests minute performance tracking."""
start_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 9, 30))
end_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 16, 0))
sim_params = SimulationParameters(
period_start=start_dt,
period_end=end_dt,
emission_rate='minute'
)
tracker = perf.PerformanceTracker(sim_params)
foo_event_1 = factory.create_trade('foo', 10.0, 20, start_dt)
bar_event_1 = factory.create_trade('bar', 100.0, 200, start_dt)
txn = Transaction(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt,
price=10.0,
commission=0.50)
foo_event_1.TRANSACTION = txn
foo_event_2 = factory.create_trade(
'foo', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
bar_event_2 = factory.create_trade(
'bar', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
foo_event_3 = factory.create_trade(
'foo', 12.0, 30, start_dt + datetime.timedelta(minutes=2))
tracker.process_event(foo_event_1)
tracker.process_event(bar_event_1)
messages = tracker.process_event(foo_event_2)
tracker.process_event(bar_event_2)
messages += tracker.process_event(foo_event_3)
self.assertEquals(2, len(messages))
self.assertEquals(1, len(messages[0]['intraday_perf']['transactions']),
"The first message should contain one transaction.")
# Check that transactions aren't emitted for previous events.
self.assertEquals(0, len(messages[1]['intraday_perf']['transactions']),
"The second message should have no transactions.")
def test_minute_tracker(self):
""" Tests minute performance tracking."""
exc_tz = pytz.timezone('US/Eastern')
start_dt = trading.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 9, 30, tzinfo=exc_tz))
end_dt = trading.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 16, 0, tzinfo=exc_tz))
sim_params = SimulationParameters(
period_start=start_dt,
period_end=end_dt,
emission_rate='minute'
)
tracker = perf.PerformanceTracker(sim_params)
foo_event_1 = factory.create_trade('foo', 10.0, 20, start_dt)
bar_event_1 = factory.create_trade('bar', 100.0, 200, start_dt)
txn = Transaction(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt,
price=10.0,
commission=0.50)
foo_event_1.TRANSACTION = txn
foo_event_2 = factory.create_trade(
'foo', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
bar_event_2 = factory.create_trade(
'bar', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
foo_event_3 = factory.create_trade(
'foo', 12.0, 30, start_dt + datetime.timedelta(minutes=2))
tracker.process_event(foo_event_1)
tracker.process_event(bar_event_1)
messages = tracker.process_event(foo_event_2)
tracker.process_event(bar_event_2)
messages += tracker.process_event(foo_event_3)
self.assertEquals(2, len(messages))
def test_minute_tracker(self):
""" Tests minute performance tracking."""
with trading.TradingEnvironment():
start_dt = trading.environment.exchange_dt_in_utc(
datetime(2013, 3, 1, 9, 31))
end_dt = trading.environment.exchange_dt_in_utc(
datetime(2013, 3, 1, 16, 0))
sim_params = SimulationParameters(
period_start=start_dt,
period_end=end_dt,
emission_rate='minute'
)
tracker = perf.PerformanceTracker(sim_params)
foo_event_1 = factory.create_trade('foo', 10.0, 20, start_dt)
order_event_1 = Order(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt)
bar_event_1 = factory.create_trade('bar', 100.0, 200, start_dt)
txn_event_1 = Transaction(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt,
price=10.0,
commission=0.50,
order_id=order_event_1.id)
benchmark_event_1 = Event({
'dt': start_dt,
'returns': 0.01,
'type': zp.DATASOURCE_TYPE.BENCHMARK
})
foo_event_2 = factory.create_trade(
'foo', 11.0, 20, start_dt + timedelta(minutes=1))
bar_event_2 = factory.create_trade(
'bar', 11.0, 20, start_dt + timedelta(minutes=1))
benchmark_event_2 = Event({
'dt': start_dt + timedelta(minutes=1),
'returns': 0.02,
'type': zp.DATASOURCE_TYPE.BENCHMARK
})
events = [
foo_event_1,
order_event_1,
benchmark_event_1,
txn_event_1,
bar_event_1,
foo_event_2,
benchmark_event_2,
bar_event_2,
]
grouped_events = itertools.groupby(
events, operator.attrgetter('dt'))
messages = {}
for date, group in grouped_events:
tracker.set_date(date)
for event in group:
tracker.process_event(event)
tracker.handle_minute_close(date)
msg = tracker.to_dict()
messages[date] = msg
self.assertEquals(2, len(messages))
msg_1 = messages[foo_event_1.dt]
msg_2 = messages[foo_event_2.dt]
self.assertEquals(1, len(msg_1['minute_perf']['transactions']),
"The first message should contain one "
"transaction.")
# Check that transactions aren't emitted for previous events.
self.assertEquals(0, len(msg_2['minute_perf']['transactions']),
"The second message should have no "
"transactions.")
self.assertEquals(1, len(msg_1['minute_perf']['orders']),
"The first message should contain one orders.")
# Check that orders aren't emitted for previous events.
self.assertEquals(0, len(msg_2['minute_perf']['orders']),
"The second message should have no orders.")
# Ensure that period_close moves through time.
# Also, ensure that the period_closes are the expected dts.
self.assertEquals(foo_event_1.dt,
msg_1['minute_perf']['period_close'])
self.assertEquals(foo_event_2.dt,
msg_2['minute_perf']['period_close'])
# In this test event1 transactions arrive on the first bar.
# This leads to no returns as the price is constant.
# Sharpe ratio cannot be computed and is None.
# In the second bar we can start establishing a sharpe ratio.
self.assertIsNone(msg_1['cumulative_risk_metrics']['sharpe'])
self.assertIsNotNone(msg_2['cumulative_risk_metrics']['sharpe'])
def test_cost_basis_calc(self):
history_args = (
1,
[10, 11, 11, 12],
[100, 100, 100, 100],
onesec,
self.sim_params
)
trades = factory.create_trade_history(*history_args)
transactions = factory.create_txn_history(*history_args)
pp = perf.PerformancePeriod(1000.0)
average_cost = 0
for i, txn in enumerate(transactions):
pp.execute_transaction(txn)
average_cost = (average_cost * i + txn.price) / (i + 1)
self.assertEqual(pp.positions[1].cost_basis, average_cost)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price,
trades[-1].price,
"should have a last sale of 12, got {val}".format(
val=pp.positions[1].last_sale_price)
)
self.assertEqual(
pp.positions[1].cost_basis,
11,
"should have a cost basis of 11"
)
self.assertEqual(
pp.pnl,
400
)
down_tick = factory.create_trade(
1,
10.0,
100,
trades[-1].dt + onesec)
sale_txn = create_txn(
down_tick,
10.0,
-100)
pp.rollover()
pp.execute_transaction(sale_txn)
pp.update_last_sale(down_tick)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price,
10,
"should have a last sale of 10, was {val}".format(
val=pp.positions[1].last_sale_price)
)
self.assertEqual(
pp.positions[1].cost_basis,
11,
"should have a cost basis of 11"
)
self.assertEqual(pp.pnl, -800, "this period goes from +400 to -400")
pp3 = perf.PerformancePeriod(1000.0)
average_cost = 0
for i, txn in enumerate(transactions):
pp3.execute_transaction(txn)
average_cost = (average_cost * i + txn.price) / (i + 1)
self.assertEqual(pp3.positions[1].cost_basis, average_cost)
pp3.execute_transaction(sale_txn)
trades.append(down_tick)
for trade in trades:
pp3.update_last_sale(trade)
pp3.calculate_performance()
self.assertEqual(
pp3.positions[1].last_sale_price,
10,
"should have a last sale of 10"
)
self.assertEqual(
pp3.positions[1].cost_basis,
11,
"should have a cost basis of 11"
)
self.assertEqual(
pp3.pnl,
-400,
"should be -400 for all trades and transactions in period"
)
def test_cost_basis_calc(self):
trades = factory.create_trade_history(
1,
[10, 11, 11, 12],
[100, 100, 100, 100],
self.onesec,
self.trading_environment
)
transactions = factory.create_txn_history(
1,
[10, 11, 11, 12],
[100, 100, 100, 100],
self.onesec,
self.trading_environment
)
pp = perf.PerformancePeriod(1000.0)
for txn in transactions:
pp.execute_transaction(txn)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price,
trades[-1].price,
"should have a last sale of 12, got {val}".format(
val=pp.positions[1].last_sale_price)
)
self.assertEqual(
pp.positions[1].cost_basis,
11,
"should have a cost basis of 11"
)
self.assertEqual(
pp.pnl,
400
)
saleTxn = factory.create_txn(
1,
10.0,
-100,
self.dt + self.onesec * 4)
down_tick = factory.create_trade(
1,
10.0,
100,
trades[-1].dt + self.onesec)
pp.rollover()
pp.execute_transaction(saleTxn)
pp.update_last_sale(down_tick)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price,
10,
"should have a last sale of 10, was {val}".format(
val=pp.positions[1].last_sale_price)
)
self.assertEqual(
round(pp.positions[1].cost_basis, 2),
11.33,
"should have a cost basis of 11.33"
)
#print "second period pnl is {pnl}".format(pnl=pp2.pnl)
self.assertEqual(pp.pnl, -800, "this period goes from +400 to -400")
pp3 = perf.PerformancePeriod(1000.0)
transactions.append(saleTxn)
for txn in transactions:
pp3.execute_transaction(txn)
trades.append(down_tick)
for trade in trades:
pp3.update_last_sale(trade)
pp3.calculate_performance()
self.assertEqual(
pp3.positions[1].last_sale_price,
10,
"should have a last sale of 10"
)
self.assertEqual(
round(pp3.positions[1].cost_basis, 2),
11.33,
"should have a cost basis of 11.33"
)
self.assertEqual(
pp3.pnl,
-400,
"should be -400 for all trades and transactions in period"
)
def test_cost_basis_calc(self):
history_args = (
1,
[10, 11, 11, 12],
[100, 100, 100, 100],
onesec,
self.sim_params
)
trades = factory.create_trade_history(*history_args)
transactions = factory.create_txn_history(*history_args)
pp = perf.PerformancePeriod(1000.0)
average_cost = 0
for i, txn in enumerate(transactions):
pp.execute_transaction(txn)
average_cost = (average_cost * i + txn.price) / (i + 1)
self.assertEqual(pp.positions[1].cost_basis, average_cost)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price,
trades[-1].price,
"should have a last sale of 12, got {val}".format(
val=pp.positions[1].last_sale_price)
)
self.assertEqual(
pp.positions[1].cost_basis,
11,
"should have a cost basis of 11"
)
self.assertEqual(
pp.pnl,
400
)
down_tick = factory.create_trade(
1,
10.0,
100,
trades[-1].dt + onesec)
sale_txn = create_txn(
down_tick,
10.0,
-100)
pp.rollover()
pp.execute_transaction(sale_txn)
pp.update_last_sale(down_tick)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price,
10,
"should have a last sale of 10, was {val}".format(
val=pp.positions[1].last_sale_price)
)
self.assertEqual(
pp.positions[1].cost_basis,
11,
"should have a cost basis of 11"
)
self.assertEqual(pp.pnl, -800, "this period goes from +400 to -400")
pp3 = perf.PerformancePeriod(1000.0)
average_cost = 0
for i, txn in enumerate(transactions):
pp3.execute_transaction(txn)
average_cost = (average_cost * i + txn.price) / (i + 1)
self.assertEqual(pp3.positions[1].cost_basis, average_cost)
pp3.execute_transaction(sale_txn)
trades.append(down_tick)
for trade in trades:
pp3.update_last_sale(trade)
pp3.calculate_performance()
self.assertEqual(
pp3.positions[1].last_sale_price,
10,
"should have a last sale of 10"
)
self.assertEqual(
pp3.positions[1].cost_basis,
11,
"should have a cost basis of 11"
)
self.assertEqual(
pp3.pnl,
-400,
"should be -400 for all trades and transactions in period"
)
def test_minute_tracker(self):
""" Tests minute performance tracking."""
with trading.TradingEnvironment():
start_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 9, 31))
end_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 16, 0))
sim_params = SimulationParameters(
period_start=start_dt,
period_end=end_dt,
emission_rate='minute'
)
tracker = perf.PerformanceTracker(sim_params)
foo_event_1 = factory.create_trade('foo', 10.0, 20, start_dt)
order_event_1 = Order(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt)
bar_event_1 = factory.create_trade('bar', 100.0, 200, start_dt)
txn_event_1 = Transaction(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt,
price=10.0,
commission=0.50,
order_id=order_event_1.id)
benchmark_event_1 = Event({
'dt': start_dt,
'returns': 0.01,
'type': DATASOURCE_TYPE.BENCHMARK
})
foo_event_2 = factory.create_trade(
'foo', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
bar_event_2 = factory.create_trade(
'bar', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
benchmark_event_2 = Event({
'dt': start_dt + datetime.timedelta(minutes=1),
'returns': 0.02,
'type': DATASOURCE_TYPE.BENCHMARK
})
events = [
foo_event_1,
order_event_1,
benchmark_event_1,
txn_event_1,
bar_event_1,
foo_event_2,
benchmark_event_2,
bar_event_2,
]
grouped_events = itertools.groupby(
events, operator.attrgetter('dt'))
messages = {}
for date, group in grouped_events:
tracker.set_date(date)
for event in group:
tracker.process_event(event)
tracker.handle_minute_close(date)
msg = tracker.to_dict()
messages[date] = msg
self.assertEquals(2, len(messages))
msg_1 = messages[foo_event_1.dt]
msg_2 = messages[foo_event_2.dt]
self.assertEquals(1, len(msg_1['minute_perf']['transactions']),
"The first message should contain one "
"transaction.")
# Check that transactions aren't emitted for previous events.
self.assertEquals(0, len(msg_2['minute_perf']['transactions']),
"The second message should have no "
"transactions.")
self.assertEquals(1, len(msg_1['minute_perf']['orders']),
"The first message should contain one orders.")
# Check that orders aren't emitted for previous events.
self.assertEquals(0, len(msg_2['minute_perf']['orders']),
"The second message should have no orders.")
# Ensure that period_close moves through time.
# Also, ensure that the period_closes are the expected dts.
self.assertEquals(foo_event_1.dt,
msg_1['minute_perf']['period_close'])
self.assertEquals(foo_event_2.dt,
msg_2['minute_perf']['period_close'])
# Ensure that a Sharpe value for cumulative metrics is being
# created.
self.assertIsNotNone(msg_1['cumulative_risk_metrics']['sharpe'])
self.assertIsNotNone(msg_2['cumulative_risk_metrics']['sharpe'])
def test_minute_tracker(self):
""" Tests minute performance tracking."""
start_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 9, 31))
end_dt = trading.environment.exchange_dt_in_utc(
datetime.datetime(2013, 3, 1, 16, 0))
sim_params = SimulationParameters(
period_start=start_dt,
period_end=end_dt,
emission_rate='minute'
)
tracker = perf.PerformanceTracker(sim_params)
foo_event_1 = factory.create_trade('foo', 10.0, 20, start_dt)
order_event_1 = Order(**{
'sid': foo_event_1.sid,
'amount': -25,
'dt': foo_event_1.dt
})
bar_event_1 = factory.create_trade('bar', 100.0, 200, start_dt)
txn_event_1 = Transaction(sid=foo_event_1.sid,
amount=-25,
dt=foo_event_1.dt,
price=10.0,
commission=0.50)
benchmark_event_1 = Event({
'dt': start_dt,
'returns': 1.0,
'type': DATASOURCE_TYPE.BENCHMARK
})
foo_event_2 = factory.create_trade(
'foo', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
bar_event_2 = factory.create_trade(
'bar', 11.0, 20, start_dt + datetime.timedelta(minutes=1))
benchmark_event_2 = Event({
'dt': start_dt + datetime.timedelta(minutes=1),
'returns': 2.0,
'type': DATASOURCE_TYPE.BENCHMARK
})
events = [
foo_event_1,
order_event_1,
benchmark_event_1,
txn_event_1,
bar_event_1,
foo_event_2,
benchmark_event_2,
bar_event_2,
]
grouped_events = itertools.groupby(
events, operator.attrgetter('dt'))
messages = {}
for date, group in grouped_events:
tracker.set_date(date)
for event in group:
tracker.process_event(event)
tracker.handle_minute_close(date)
msg = tracker.to_dict()
messages[date] = msg
self.assertEquals(2, len(messages))
msg_1 = messages[foo_event_1.dt]
msg_2 = messages[foo_event_2.dt]
self.assertEquals(1, len(msg_1['minute_perf']['transactions']),
"The first message should contain one transaction.")
# Check that transactions aren't emitted for previous events.
self.assertEquals(0, len(msg_2['minute_perf']['transactions']),
"The second message should have no transactions.")
self.assertEquals(1, len(msg_1['minute_perf']['orders']),
"The first message should contain one orders.")
# Check that orders aren't emitted for previous events.
self.assertEquals(0, len(msg_2['minute_perf']['orders']),
"The second message should have no orders.")
# Ensure that period_close moves through time.
# Also, ensure that the period_closes are the expected dts.
self.assertEquals(foo_event_1.dt,
msg_1['minute_perf']['period_close'])
self.assertEquals(foo_event_2.dt,
msg_2['minute_perf']['period_close'])
def test_cost_basis_calc(self):
trades = factory.create_trade_history(1, [10, 11, 11, 12],
[100, 100, 100, 100], onesec,
self.sim_params)
transactions = factory.create_txn_history(1, [10, 11, 11, 12],
[100, 100, 100, 100], onesec,
self.sim_params)
pp = perf.PerformancePeriod(1000.0)
for txn in transactions:
pp.execute_transaction(txn)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price, trades[-1].price,
"should have a last sale of 12, got {val}".format(
val=pp.positions[1].last_sale_price))
self.assertEqual(pp.positions[1].cost_basis, 11,
"should have a cost basis of 11")
self.assertEqual(pp.pnl, 400)
down_tick = factory.create_trade(1, 10.0, 100, trades[-1].dt + onesec)
saleTxn = create_txn(down_tick, 10.0, -100)
pp.rollover()
pp.execute_transaction(saleTxn)
pp.update_last_sale(down_tick)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price, 10,
"should have a last sale of 10, was {val}".format(
val=pp.positions[1].last_sale_price))
self.assertEqual(round(pp.positions[1].cost_basis, 2), 11.33,
"should have a cost basis of 11.33")
# print "second period pnl is {pnl}".format(pnl=pp2.pnl)
self.assertEqual(pp.pnl, -800, "this period goes from +400 to -400")
pp3 = perf.PerformancePeriod(1000.0)
transactions.append(saleTxn)
for txn in transactions:
pp3.execute_transaction(txn)
trades.append(down_tick)
for trade in trades:
pp3.update_last_sale(trade)
pp3.calculate_performance()
self.assertEqual(pp3.positions[1].last_sale_price, 10,
"should have a last sale of 10")
self.assertEqual(round(pp3.positions[1].cost_basis, 2), 11.33,
"should have a cost basis of 11.33")
self.assertEqual(
pp3.pnl, -400,
"should be -400 for all trades and transactions in period")
def test_cost_basis_calc(self):
trades = factory.create_trade_history(1, [10, 11, 11, 12],
[100, 100, 100, 100],
self.onesec,
self.trading_environment)
transactions = factory.create_txn_history(1, [10, 11, 11, 12],
[100, 100, 100, 100],
self.onesec,
self.trading_environment)
pp = perf.PerformancePeriod({}, 0.0, 1000.0)
for txn in transactions:
pp.execute_transaction(txn)
for trade in trades:
pp.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.positions[1].last_sale_price, trades[-1].price,
"should have a last sale of 12, got {val}".format(
val=pp.positions[1].last_sale_price))
self.assertEqual(pp.positions[1].cost_basis, 11,
"should have a cost basis of 11")
self.assertEqual(pp.pnl, 400)
saleTxn = factory.create_txn(1, 10.0, -100, self.dt + self.onesec * 4)
down_tick = factory.create_trade(1, 10.0, 100,
trades[-1].dt + self.onesec)
pp2 = perf.PerformancePeriod(copy.deepcopy(pp.positions),
pp.ending_value, pp.ending_cash)
pp2.execute_transaction(saleTxn)
pp2.update_last_sale(down_tick)
pp2.calculate_performance()
self.assertEqual(
pp2.positions[1].last_sale_price, 10,
"should have a last sale of 10, was {val}".format(
val=pp2.positions[1].last_sale_price))
self.assertEqual(round(pp2.positions[1].cost_basis, 2), 11.33,
"should have a cost basis of 11.33")
#print "second period pnl is {pnl}".format(pnl=pp2.pnl)
self.assertEqual(pp2.pnl, -800, "this period goes from +400 to -400")
pp3 = perf.PerformancePeriod({}, 0.0, 1000.0)
transactions.append(saleTxn)
for txn in transactions:
pp3.execute_transaction(txn)
trades.append(down_tick)
for trade in trades:
pp3.update_last_sale(trade)
pp3.calculate_performance()
self.assertEqual(pp3.positions[1].last_sale_price, 10,
"should have a last sale of 10")
self.assertEqual(round(pp3.positions[1].cost_basis, 2), 11.33,
"should have a cost basis of 11.33")
self.assertEqual(
pp3.pnl, -400,
"should be -400 for all trades and transactions in period")
