Python PositionList 예제들

예제 #1

파일: unit-tests.py 프로젝트: sigmamonster/backtest

	def setUp(self):
		self.sym = "EURUSD"
		self.aEq = self.assertEqual
		self.aIn = self.assertIn
		self.aRaise = self.assertRaises
		self.pl = PositionList() 

예제 #2

	def setUp(self):
		self.sym = "EURUSD"
		self.aEq = self.assertEqual
		self.aIn = self.assertIn
		self.aRaise = self.assertRaises
		self.pl = PositionList() 

예제 #3

파일: unit-tests.py 프로젝트: sigmamonster/backtest

class TestPositionList(unittest.TestCase):

	def setUp(self):
		self.sym = "EURUSD"
		self.aEq = self.assertEqual
		self.aIn = self.assertIn
		self.aRaise = self.assertRaises
		self.pl = PositionList() 
		#self.ob = OrderBook(debug=False)

	def tearDown(self):
		pass

	def testAddEmpty(self):
		o = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		p = self.pl.add(o, datetime.now())
		self.aEq(self.pl.open, [p])
		self.aEq(p.order_id, o.id)
			
	def testAddEmptyLevel(self):
		o = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		p = self.pl.add(o, datetime.now(), level=2.0)
		self.aEq(p.entry, 2.0)
		self.aEq(p.mark, 2.0)
		self.aEq(self.pl.open, [p])
	
	def testAddTriggered(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=1.1000, size=-10000) 
		o1.trigger(o2)
		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o2, datetime.now())
		
		self.aEq([p1], self.pl.closed)
		self.aEq([], self.pl.open)
		

	def testAddLink(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=1.1000, size=-10000, link=o1.id) 
		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o2, datetime.now())
		
		self.aEq([p1], self.pl.closed)
		self.aEq([], self.pl.open)

	def testMark(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order("NOPE", dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		
		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o1, datetime.now())
		p3 = self.pl.add(o2, datetime.now())

		b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506")
		
		self.pl.mark(b1)

		#mark should update p1 & p2 but not p3
		self.aEq(p1.mark, b1.cl)
		self.aEq(p2.mark, b1.cl)
		self.aEq(p3.mark, o2.level)

	def testRewind(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.rewind(o1.id)
		self.aEq(p1, p2)

		self.aEq([], self.pl.open)
		self.aEq([p1], self.pl.rewinded)

	def testClose(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		p1 = self.pl.add(o1, datetime.now())

		self.pl.close(p1)
		self.aEq([], self.pl.open)
		self.aEq([p1], self.pl.closed)
		self.aEq(p1.exit, o1.level)
		self.aEq(p1.exit, p1.mark)

	def testCloseMark(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		p1 = self.pl.add(o1, datetime.now())
	
		#close @ a specified mark level	
		self.pl.close(p1, mark_level=2.0)
		self.aEq([], self.pl.open)
		self.aEq([p1], self.pl.closed)
		self.aEq(p1.exit, 2.0)
	
	def testCloseAll(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o4 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 

		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o2, datetime.now())
		p3 = self.pl.add(o2, datetime.now())
		p4 = self.pl.add(o2, datetime.now())

		self.pl.close_all()

		self.aEq([], self.pl.open)
		self.aEq([p1, p2, p3, p4], self.pl.closed)
			

	def testNetSize(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=100) 
		o2 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=1000) 
		o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
	
		for o in (o1, o2, o3):
			self.pl.add(o, datetime.now())

		self.aEq(self.pl.net_size(), 11100)	
			
	def testValue(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order(self.sym, dir=Order.SELL, type=Order.MARKET, level=1.0000, size=-10000) 

		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o2, datetime.now())
	
		#mark = entry
		self.aEq(self.pl.value(), 0)

		p1.mark = 1.0001
		self.aEq(round(self.pl.value()), 1)

		p2.mark = 0.9998
		self.aEq(round(self.pl.value()), 3)

		p1.mark = 0.9999
		self.aEq(round(self.pl.value()), 1)

		p2.mark = 1.0001
		self.aEq(round(self.pl.value()), -2)

	def testSymOpen(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order("NOPE", dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 

		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o2, datetime.now())
		p3 = self.pl.add(o3, datetime.now())

		self.aEq(self.pl.sym_open(self.sym), [p1, p3])
		self.aEq(self.pl.sym_open("NOPE"), [p2])
		self.aEq(self.pl.sym_open("PETE"), [])
		self.aEq(self.pl.sym_open(None), [])

예제 #4

class TestPositionList(unittest.TestCase):

	def setUp(self):
		self.sym = "EURUSD"
		self.aEq = self.assertEqual
		self.aIn = self.assertIn
		self.aRaise = self.assertRaises
		self.pl = PositionList() 
		#self.ob = OrderBook(debug=False)

	def tearDown(self):
		pass

	def testAddEmpty(self):
		o = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		p = self.pl.add(o, datetime.now())
		self.aEq(self.pl.open, [p])
		self.aEq(p.order_id, o.id)
			
	def testAddEmptyLevel(self):
		o = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		p = self.pl.add(o, datetime.now(), level=2.0)
		self.aEq(p.entry, 2.0)
		self.aEq(p.mark, 2.0)
		self.aEq(self.pl.open, [p])
	
	def testAddTriggered(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=1.1000, size=-10000) 
		o1.trigger(o2)
		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o2, datetime.now())
		
		self.aEq([p1], self.pl.closed)
		self.aEq([], self.pl.open)
		

	def testAddLink(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=1.1000, size=-10000, link=o1.id) 
		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o2, datetime.now())
		
		self.aEq([p1], self.pl.closed)
		self.aEq([], self.pl.open)

	def testMark(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order("NOPE", dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		
		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o1, datetime.now())
		p3 = self.pl.add(o2, datetime.now())

		b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506")
		
		self.pl.mark(b1)

		#mark should update p1 & p2 but not p3
		self.aEq(p1.mark, b1.cl)
		self.aEq(p2.mark, b1.cl)
		self.aEq(p3.mark, o2.level)

	def testRewind(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.rewind(o1.id)
		self.aEq(p1, p2)

		self.aEq([], self.pl.open)
		self.aEq([p1], self.pl.rewinded)

	def testClose(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		p1 = self.pl.add(o1, datetime.now())

		self.pl.close(p1)
		self.aEq([], self.pl.open)
		self.aEq([p1], self.pl.closed)
		self.aEq(p1.exit, o1.level)
		self.aEq(p1.exit, p1.mark)

	def testCloseMark(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		p1 = self.pl.add(o1, datetime.now())
	
		#close @ a specified mark level	
		self.pl.close(p1, mark_level=2.0)
		self.aEq([], self.pl.open)
		self.aEq([p1], self.pl.closed)
		self.aEq(p1.exit, 2.0)
	
	def testCloseAll(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o4 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 

		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o2, datetime.now())
		p3 = self.pl.add(o2, datetime.now())
		p4 = self.pl.add(o2, datetime.now())

		self.pl.close_all()

		self.aEq([], self.pl.open)
		self.aEq([p1, p2, p3, p4], self.pl.closed)
			

	def testNetSize(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=100) 
		o2 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=1000) 
		o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
	
		for o in (o1, o2, o3):
			self.pl.add(o, datetime.now())

		self.aEq(self.pl.net_size(), 11100)	
			
	def testValue(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order(self.sym, dir=Order.SELL, type=Order.MARKET, level=1.0000, size=-10000) 

		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o2, datetime.now())
	
		#mark = entry
		self.aEq(self.pl.value(), 0)

		p1.mark = 1.0001
		self.aEq(self.pl.value(), 1)

		p2.mark = 0.9998
		self.aEq(self.pl.value(), 3)

		p1.mark = 0.9999
		self.aEq(self.pl.value(), 1)

		p2.mark = 1.0001
		self.aEq(self.pl.value(), -2)

	def testSymOpen(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o2 = Order("NOPE", dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 
		o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) 

		p1 = self.pl.add(o1, datetime.now())
		p2 = self.pl.add(o2, datetime.now())
		p3 = self.pl.add(o3, datetime.now())

		self.aEq(self.pl.sym_open(self.sym), [p1, p3])
		self.aEq(self.pl.sym_open("NOPE"), [p2])
		self.aEq(self.pl.sym_open("PETE"), [])
		self.aEq(self.pl.sym_open(None), [])