def setUp(self):
# Create CsvData class object.
self._dataProvider = 'iVolatility'
self._filename = '/Users/msantoro/PycharmProjects/Backtester/sampleData/aapl_sample_ivolatility.csv'
self._eventQueue = queue.Queue()
self._csvObj = csvData.CsvData(csvPath=self._filename, dataProvider=self._dataProvider,
eventQueue=self._eventQueue)
def testGetOptionChainBadColumnName(self):
"""Tests that an exception is raised if column name in the CSV doesn't match the one in dataProviders.json."""
# Create CsvData class object.
dataProvider = 'iVolatility'
filename = '/Users/msantoro/PycharmProjects/Backtester/sampleData/bad_column_name.csv'
eventQueue = queue.Queue()
csvObj = csvData.CsvData(csvPath=filename, dataProvider=dataProvider, eventQueue=eventQueue)
with self.assertRaisesRegex(TypeError, ('The dateColumnName was not found in the CSV')):
csvObj.getNextTick()
def testUpdatePortfolio(self):
"""Test the ability to update option values for a position in the portfolio.
"""
startingCapital = 1000000
maxCapitalToUse = 0.5
maxCapitalToUsePerTrade = 0.5
portfolioObj = portfolio.Portfolio(self.startingCapital,
self.maxCapitalToUse,
self.maxCapitalToUsePerTrade)
# Get an option chain from the CSV.
# Create CsvData class object.
dataProvider = 'iVolatility'
directory = '/Users/msantoro/PycharmProjects/Backtester/marketData/iVolatility/SPX/SPX_2011_2017'
filename = 'RawIV_5day_sample.csv'
chunkSize = 10000
eventQueue = queue.Queue()
csvObj = csvData.CsvData(directory, filename, dataProvider, eventQueue,
chunkSize)
# Get the first option chain.
firstOptionChainValid = csvObj.getOptionChain()
queueObj = eventQueue.get(False)
firstOptionChainData = queueObj.getData()
# Choose two of the options in the first option chain to create a strangle; using first expiration.
putObj = firstOptionChainData[217] # -0.172245 delta put
callObj = firstOptionChainData[248] # 0.154042 delta call
# Create strangle an add to portfolio.
orderQuantity = 1
strangleObj = strangle.Strangle(orderQuantity, callObj, putObj, "SELL")
# Create signal event.
event = signalEvent.SignalEvent()
event.createEvent(strangleObj)
# Create portfolio onSignal event, which adds the position to the portfolio.
portfolioObj.onSignal(event)
# Next, get the prices for the next day (1/4/11) and update the portfolio values.
newOptionChainValid = csvObj.getOptionChain()
tickEvent = eventQueue.get(False)
# Update portfolio values.
portfolioObj.updatePortfolio(tickEvent)
# Check that the new portfolio values are correct (e.g., buying power, total delta, total gamma, etc).
self.assertAlmostEqual(portfolioObj.getTotalBuyingPower(), 28950.0)
self.assertAlmostEqual(portfolioObj.getVega(), 1.303171)
self.assertAlmostEqual(portfolioObj.getDelta(), -0.018826)
self.assertAlmostEqual(portfolioObj.getGamma(), 0.012173)
self.assertAlmostEqual(portfolioObj.getTheta(), -0.583284)
self.assertAlmostEqual(portfolioObj.getNetLiq(), 1000060.0)
def __init__(self):
# Create queue to hold events (ticks, signals, etc.).
self.eventQueue = queue.Queue()
# Create CsvData class object.
dataProvider = 'iVolatility'
directory = '/Users/msantoro/PycharmProjects/Backtester/marketData/iVolatility/SPX'
filename = 'combinedCSV.csv'
chunkSize = 10000
self.dataHandler = csvData.CsvData(directory, filename, dataProvider, self.eventQueue, chunkSize)
# Parameters for strangle strategy -- TODO: move params to file.
optCallDelta = 0.16
maxCallDelta = 0.30
optPutDelta = -0.16
maxPutDelta = -0.30
startTime = datetime.now(pytz.utc)
buyOrSell = 'SELL' # 'BUY' OR 'SELL'
underlying = 'SPX'
orderQuantity = 1
expCycle = 'm' # monthly expiration
daysBeforeClose = 5
optimalDTE = 45
minimumDTE = 25
minCredit = 0.5
profitTargetPercent = 0.5 # Close out strangle when at least 50% of initial credit has been collected.
customManagement = False # Use special rules to manage trade.
maxBidAsk = 15 # A general rule of thumb is to take 0.001*underlyingPrice. Set to 15 to mostly ignore field.
minDaysToEarnings = None
minDaysSinceEarnings = None
minIVR = None
startingCapital = 1000000
maxCapitalToUse = 0.5 # Up to 50% of net liq can be used in trades.
self.maxCapitalToUsePerTrade = 0.10 # 10% max capital to use per trade / strategy.
self.minBuyingPower = self.maxCapitalToUsePerTrade*startingCapital # Forced amount of capital to have in market
# on one trade / strat (optional parameter).
# Set up strategy (strangle strategy).
self.strategyManager = strangleStrat.StrangleStrat(self.eventQueue, optCallDelta, maxCallDelta, optPutDelta,
maxPutDelta, startTime, buyOrSell, underlying,
orderQuantity, daysBeforeClose, expCycle=expCycle,
optimalDTE=optimalDTE, minimumDTE=minimumDTE,
minDaysToEarnings=minDaysToEarnings, minCredit=minCredit,
profitTargetPercent=profitTargetPercent,
customManagement=customManagement, maxBidAsk=maxBidAsk,
minDaysSinceEarnings=minDaysSinceEarnings, minIVR=minIVR,
minBuyingPower=self.minBuyingPower)
# Set up portfolio.
self.portfolioManager = portfolio.Portfolio(startingCapital, maxCapitalToUse, self.maxCapitalToUsePerTrade)
def testCreateBaseType(self): """Tests that Put and Call objects are created successfully.""" # First row in the sample data is a call, and second row is a put. eventQueue = queue.Queue() csvObj = csvData.CsvData(csvPath=self._filename, dataProvider=self._dataProvider, eventQueue=eventQueue) csvObj.getNextTick() optionChainObjs = eventQueue.get().getData() desiredCallAskPrice = decimal.Decimal(40.45) desiredPutAskPrice = decimal.Decimal(0.01) desiredStrikePrice = 55 desiredUnderlyingTicker = 'AAPL' self.assertEqual(optionChainObjs[0].underlyingTicker, desiredUnderlyingTicker) self.assertEqual(optionChainObjs[0].strikePrice, desiredStrikePrice) self.assertEqual(optionChainObjs[1].underlyingTicker, desiredUnderlyingTicker) self.assertEqual(optionChainObjs[1].strikePrice, desiredStrikePrice) self.assertAlmostEqual(optionChainObjs[0].askPrice, desiredCallAskPrice) self.assertAlmostEqual(optionChainObjs[1].askPrice, desiredPutAskPrice)
def __init__(self):
# Create queue to hold events (ticks, signals, etc.).
self.eventQueue = queue.Queue()
# Create CsvData class object.
dataProvider = 'iVolatility'
filename = '/Users/msantoro/PycharmProjects/Backtester/marketData/iVolatility/SPX/combinedCSV.csv'
self.dataHandler = csvData.CsvData(csvPath=filename, dataProvider=dataProvider, eventQueue=self.eventQueue)
# Parameters for strangle strategy -- TODO: move params to file.
optCallDelta = 0.16
maxCallDelta = 0.30
optPutDelta = -0.16
maxPutDelta = -0.30
startDateTime = datetime.now(pytz.utc)
buyOrSell = optionPrimitive.TransactionType.SELL
underlyingTicker = 'SPX'
orderQuantity = 1
expCycle = strategy.ExpirationTypes.MONTHLY
optimalDTE = 45
minimumDTE = 25
minCredit = 0.5
maxBidAsk = 15 # A general rule of thumb is to take 0.001*underlyingPrice. Set to 15 to mostly ignore field.
startingCapital = decimal.Decimal(1000000)
maxCapitalToUse = 0.5 # Up to 50% of net liq can be used in trades.
maxCapitalToUsePerTrade = 0.10 # 10% max capital to use per trade / strategy.
minBuyingPower = decimal.Decimal(maxCapitalToUsePerTrade)*startingCapital
# Set up strategy (strangle strategy) and risk management preference.
riskManagement = strangleRiskManagement.StrangleRiskManagement(
strangleRiskManagement.StrangleManagementStrategyTypes.HOLD_TO_EXPIRATION)
self.strategyManager = strangleStrat.StrangleStrat(self.eventQueue, optCallDelta, maxCallDelta, optPutDelta,
maxPutDelta, startDateTime, buyOrSell, underlyingTicker,
orderQuantity, riskManagement, expCycle, optimalDTE,
minimumDTE, minCredit=minCredit, maxBidAsk=maxBidAsk,
minBuyingPower=minBuyingPower)
# Set up portfolio.
self.portfolioManager = portfolio.Portfolio(startingCapital, maxCapitalToUse, maxCapitalToUsePerTrade)
def setUp(self):
"""Create instance of strangle strategy
Strangle specific attributes:
optCallDelta: Optimal delta for call, usually around 16 delta.
maxCallDelta: Max delta for call, usually around 30 delta.
optPutDelta: Optimal delta for put, usually around 16 delta.
maxPutDelta: Max delta for put, usually around 30 delta.
General strategy attributes:
startDateTime: Date/time to start the live trading or backtest.
strategy: Option strategy to use -- e.g., iron condor, strangle
buyOrSell: Do we buy an iron condor or sell an iron condor? 0 = buy, 1 = sell.
underlying: Which underlying to use for the strategy.
orderQuantity: Number of strangles, iron condors, etc.
daysBeforeClose: Number of days before expiration to close the trade.
Optional attributes:
expCycle: Specifies if we want to do monthly ('m'); unspecified means we can do weekly, quarterly, etc.
optimalDTE: Optimal number of days before expiration to put on strategy.
minimumDTE: Minimum number of days before expiration to put on strategy.
roc: Minimal return on capital for overall trade as a decimal.
minDaysToEarnings: Minimum number of days to put on trade before earnings.
minCredit: Minimum credit to collect on overall trade.
maxBuyingPower: Maximum buying power to use on overall trade.
profitTargetPercent: Percentage of initial credit to use when closing trade.
maxBidAsk: Maximum price to allow between bid and ask prices of option (for any strike or put/call).
maxMidDev: Maximum deviation from midprice on opening and closing of trade (e.g., 0.02 cents from midprice).
minDaysSinceEarnings: Minimum number of days to wait after last earnings before putting on strategy.
minIVR: Minimum implied volatility rank needed to put on strategy.
"""
# Use CSV data source to test.
tickEventQueue = queue.Queue()
dataProvider = 'iVolatility'
filename = '/Users/msantoro/PycharmProjects/Backtester/sampleData/aapl_sample_ivolatility.csv'
csvObj = csvData.CsvData(csvPath=filename,
dataProvider=dataProvider,
eventQueue=tickEventQueue)
csvObj.getNextTick()
self.optionChain = tickEventQueue.get()
# Create strangle strategy object.
self.signalEventQueue = queue.Queue()
self.optCallDelta = 0.16
self.maxCallDelta = 0.30
self.optPutDelta = -0.16
self.maxPutDelta = -0.30
self.startDateTime = datetime.now(pytz.utc)
self.buyOrSell = optionPrimitive.TransactionType.SELL
self.underlyingTicker = 'AAPL'
self.orderQuantity = 1
self.riskManagement = strangleRiskManagement.StrangleRiskManagement(
strangleRiskManagement.StrangleManagementStrategyTypes.
HOLD_TO_EXPIRATION)
self.expCycle = strangleStrat.strategy.ExpirationTypes.MONTHLY
self.optimalDTE = 45
self.minimumDTE = 25
self.minimumROC = 0.001
self.minCredit = 0.5
self.maxBidAsk = 0.15
self.minBuyingPower = None
self.curStrategy = strangleStrat.StrangleStrat(
self.signalEventQueue, self.optCallDelta, self.maxCallDelta,
self.optPutDelta, self.maxPutDelta, self.startDateTime,
self.buyOrSell, self.underlyingTicker, self.orderQuantity,
self.riskManagement, self.expCycle, self.optimalDTE,
self.minimumDTE, self.minimumROC, self.minCredit, self.maxBidAsk,
self.minBuyingPower)
def testOpenDataSourceInvalidDataProvider(self):
"""Tests that an exception is rasied if the requested data provider isn't in the config file."""
with self.assertRaisesRegex(ValueError, ('The requested data provider: unknown_data_provider was not found in '
'dataProviders.json')):
csvData.CsvData(csvPath=self._filename, dataProvider='unknown_data_provider',
eventQueue=self._eventQueue)
def testOpenDataSourceNoCSVFound(self):
"""Tests that an exception is raised when no CSV is found."""
with self.assertRaisesRegex(OSError, 'Unable to open CSV at location: bad_path_name.'):
csvData.CsvData(csvPath='bad_path_name', dataProvider=self._dataProvider,
eventQueue=self._eventQueue)