예제 #1
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    def testFields(self):
        datafile = '%s/data/AC___CCB.csv' % os.path.dirname(__file__)

        i = Instrument('AC',datafile,pointValue=500,currency='USD', exchange='NYMEX', initialMargin=1480, maintMargin=1170, sector='Ag Commodities', description='test description')
        i.load_data()
        
        self.assertEqual( i.point_value(), 500 )
        self.assertEqual( i.currency(), 'USD' )
        self.assertEqual( i.exchange(), 'NYMEX' )
        self.assertEqual( i.initial_margin(), 1480 )
        self.assertEqual( i.maint_margin(), 1170 )
        self.assertEqual( i.sector(), 'Ag Commodities' )
        self.assertEqual( i.description(), 'test description' )
예제 #2
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    def testBasic(self):
        datafile = '%s/data/AC___CCB.csv' % os.path.dirname(__file__)

        i = Instrument('AC',datafile)
        i.load_data()
        
        self.assertEqual( i.symbol(), 'AC' )
        self.assertEqual( len(i.bars()), 252 )
        self.assertAlmostEqual( i.bars()[251].open(), 2.35 )
        self.assertAlmostEqual( i.bars()[0].high(), 2.227 )
        self.assertAlmostEqual( i.bars()[100].low(), 2.031 )
        self.assertAlmostEqual( i.bars()[200].close(), 2.337 )
예제 #3
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    def testFutures(self):
        datafile = '%s/data/AC___CCB.csv' % os.path.dirname(__file__)
        i = Instrument('AC', datafile, pointValue=50)

        pos = PositionTracker(i)
        pos.buy(datetime.datetime(2012, 12, 31), 100, 25.0, 7.95)
        self.assertEqual(pos.getBasis(), 125000.0)
        self.assertEqual(pos.getNetProfit(26.0, includeCommissions=True),
                         4992.05)
        self.assertEqual(pos.getEntryDate(), datetime.datetime(2012, 12, 31))
        pos.sell(datetime.datetime(2013, 1, 1), 100, 26.0, 7.95)
        self.assertEqual(pos.getBasis(), 125000.0)
        self.assertEqual(pos.getNetProfit(0.0, includeCommissions=True),
                         4984.1)
        self.assertEqual(pos.getNetProfit(0.0, includeCommissions=False),
                         5000.0)
        self.assertEqual(pos.getCommissions(), 15.90)
        self.assertEqual(pos.getExitDate(), datetime.datetime(2013, 1, 1))

        pos.reset()

        pos.buy(datetime.datetime(2013, 1, 6), 100, 27.0, 7.95)
        self.assertEqual(pos.getBasis(), 135000.0)
        self.assertEqual(pos.getNetProfit(26.0, includeCommissions=True),
                         -5007.95)
        pos.sell(datetime.datetime(2013, 1, 7), 100, 26.0, 7.95)
        self.assertEqual(pos.getBasis(), 135000.0)
        self.assertEqual(pos.getNetProfit(0.0, includeCommissions=True),
                         -5015.90)
예제 #4
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    def setUp(self):
        datafile = '%s/data/AC___CCB.csv' % os.path.dirname(__file__)
        self._inst1 = Instrument('AC', datafile)

        datafile = '%s/data/ACM__CCB.csv' % os.path.dirname(__file__)
        self._inst2 = Instrument('ACM', datafile)

        # these are dates where only one of the two feeds above traded and has data.
        # we use this in the on_bars_basic as part of the start/emit() test
        self._special_dates = sets.Set()
        self._special_dates.add(datetime.datetime(2012, 2, 20, 0, 0))
        self._special_dates.add(datetime.datetime(2012, 4, 9, 0, 0))
        self._special_dates.add(datetime.datetime(2012, 5, 28, 0, 0))
        self._special_dates.add(datetime.datetime(2012, 7, 4, 0, 0))
        self._special_dates.add(datetime.datetime(2012, 9, 3, 0, 0))
        self._special_dates.add(datetime.datetime(2012, 11, 22, 0, 0))
        self._special_dates.add(datetime.datetime(2012, 12, 26, 0, 0))
예제 #5
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    def testStock(self):
        datafile = '%s/data/AC___CCB.csv' % os.path.dirname(__file__)
        i = Instrument('AC', datafile)

        pos = PositionTracker(i)
        pos.buy(datetime.datetime(2012, 12, 31), 100, 25.0, 7.95)
        self.assertEqual(pos.getBasis(), 2500.0)
        self.assertEqual(pos.getNetProfit(26.0, includeCommissions=True),
                         92.05)
        self.assertEqual(pos.getEntryDate(), datetime.datetime(2012, 12, 31))
        pos.sell(datetime.datetime(2013, 1, 1), 100, 26.0, 7.95)
        self.assertEqual(pos.getBasis(), 2500.0)
        self.assertEqual(pos.getNetProfit(0.0, includeCommissions=True), 84.1)
        self.assertEqual(pos.getNetProfit(0.0, includeCommissions=False),
                         100.0)
        self.assertEqual(pos.getCommissions(), 15.90)
        self.assertEqual(pos.getExitDate(), datetime.datetime(2013, 1, 1))
        self.assertAlmostEqual(pos.getReturn(0.0, includeCommissions=True),
                               0.0336,
                               places=4)
        self.assertEqual(pos.getTradeSize(), 100)
        self.assertEqual(pos.getEntryPrice(), 25.0)
        self.assertEqual(pos.getExitPrice(), 26.0)

        pos.reset()

        pos.buy(datetime.datetime(2013, 1, 6), 100, 27.0, 7.95)
        self.assertEqual(pos.getBasis(), 2700.0)
        self.assertEqual(pos.getNetProfit(26.0, includeCommissions=True),
                         -107.95)
        pos.sell(datetime.datetime(2013, 1, 7), 100, 26.0, 7.95)
        self.assertEqual(pos.getBasis(), 2700.0)
        self.assertEqual(pos.getNetProfit(0.0, includeCommissions=True),
                         -115.90)
        self.assertAlmostEqual(pos.getReturn(0.0, includeCommissions=True),
                               -0.0429,
                               places=4)

        pos.reset()

        pos.sell(datetime.datetime(2013, 1, 10), 100, 28.0, 7.95)
        pos.buy(datetime.datetime(2013, 1, 11), 100, 26.0, 7.95)
        self.assertEqual(pos.getTradeSize(), -100)
        self.assertEqual(pos.getEntryPrice(), 28.0)
        self.assertEqual(pos.getExitPrice(), 26.0)
예제 #6
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 def setUp(self):
     datafile = '%s/data/AC___CCB-10d.csv' % os.path.dirname(__file__)
     self._feed = Feed(Instrument('AC',datafile))
예제 #7
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    def testAltDate(self):
        datafile = '%s/data/S2___CCB.csv' % os.path.dirname(__file__)

        i = Instrument('S2',datafile)
        i.load_data()
        self.assertAlmostEqual( i.bars()[0].close(), 1001.75 )
예제 #8
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 def setUp(self):
     datafile = '%s/data/AC___CCB.csv' % os.path.dirname(__file__)
     self._inst = Instrument('AC', datafile)