def test_get_realized_pnls_when_all_flat_positions_returns_expected_series(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity(100000),
)
order3 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
order4 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00000"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00010"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=AUDUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00000"),
)
fill4 = TestStubs.event_order_filled(
order4,
instrument=AUDUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00020"),
)
position1 = Position(fill1)
position1.apply(fill2)
position2 = Position(fill3)
position2.apply(fill4)
self.analyzer.add_positions([position1, position2])
# Act
result = self.analyzer.get_realized_pnls()
# Assert
self.assertEqual(2, len(result))
self.assertEqual(6.0, result['P-1'])
self.assertEqual(16.0, result['P-2'])
def test_position_closed_and_reopened_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(150000),
)
fill1 = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
ts_filled_ns=1_000_000_000,
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
fill2 = OrderFilled(
self.trader_id,
StrategyId("S-001"),
self.account_id,
order.instrument_id,
order.client_order_id,
VenueOrderId("2"),
ExecutionId("E2"),
PositionId("P-123456"),
OrderSide.SELL,
OrderType.MARKET,
order.quantity,
Price.from_str("1.00011"),
AUDUSD_SIM.quote_currency,
Money(0, USD),
LiquiditySide.TAKER,
UUID4(),
2_000_000_000,
0,
)
position.apply(fill2)
fill3 = OrderFilled(
self.trader_id,
StrategyId("S-001"),
self.account_id,
order.instrument_id,
order.client_order_id,
VenueOrderId("2"),
ExecutionId("E3"),
PositionId("P-123456"),
OrderSide.BUY,
OrderType.MARKET,
order.quantity,
Price.from_str("1.00012"),
AUDUSD_SIM.quote_currency,
Money(0, USD),
LiquiditySide.TAKER,
UUID4(),
3_000_000_000,
0,
)
# Act
position.apply(fill3)
# Assert
last = Price.from_str("1.00030")
assert position.is_opposite_side(fill2.order_side)
assert position.quantity == Quantity.from_int(150000)
assert position.side == PositionSide.LONG
assert position.ts_opened == 1_000_000_000
assert position.duration_ns == 0
assert position.avg_px_open == Decimal("1.00001")
assert position.event_count == 3
assert position.ts_closed == 0
assert position.avg_px_close == Decimal("1.00011")
assert position.is_long
assert position.is_open
assert not position.is_short
assert not position.is_closed
assert position.realized_points == Decimal("0.00010")
assert position.realized_return == Decimal(
"0.00009999900000999990000099999000")
assert position.realized_pnl == Money(12.00, USD)
assert position.unrealized_pnl(last) == Money(43.50, USD)
assert position.total_pnl(last) == Money(55.50, USD)
assert position.commissions() == [Money(3.00, USD)]
assert repr(
position) == "Position(LONG 150_000 AUD/USD.SIM, id=P-123456)"
def test_position_realised_pnl_with_interleaved_order_sides(self):
# Arrange
order1 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("12.000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("17.000000"),
)
order3 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("9.000000"),
)
order4 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("3.000000"),
)
order5 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("4.000000"),
)
# Act
fill1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
last_px=Price.from_str("10000.00"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill1)
fill2 = TestStubs.event_order_filled(
order2,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
last_px=Price.from_str("9999.00"),
)
position.apply(fill2)
assert position.quantity == Quantity.from_str("29.000000")
assert position.realized_pnl == Money(-289.98300000, USDT)
assert position.avg_px_open == Decimal("9999.413793103448275862068966")
fill3 = TestStubs.event_order_filled(
order3,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10001.00"),
)
position.apply(fill3)
assert position.quantity == Quantity.from_int(20)
assert position.realized_pnl == Money(-365.71613793, USDT)
assert position.avg_px_open == Decimal("9999.413793103448275862068966")
fill4 = TestStubs.event_order_filled(
order4,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10003.00"),
)
position.apply(fill4)
assert position.quantity == Quantity.from_int(23)
assert position.realized_pnl == Money(-395.72513793, USDT)
assert position.avg_px_open == Decimal("9999.881559220389805097451274")
fill5 = TestStubs.event_order_filled(
order5,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10005"),
)
position.apply(fill5)
assert position.quantity == Quantity.from_int(19)
assert position.realized_pnl == Money(-415.27137481, USDT)
assert position.avg_px_open == Decimal("9999.881559220389805097451274")
assert (
repr(position) ==
"Position(LONG 19.000000 BTC/USDT.BINANCE, id=P-19700101-000000-000-001-1)"
)
def test_unrealized_pnl_when_insufficient_data_for_xrate_returns_none(
self):
# Arrange
AccountFactory.register_calculated_account("BITMEX")
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
account_type=AccountType.MARGIN,
base_currency=BTC,
reported=True,
balances=[
AccountBalance(
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
margins=[],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(100),
)
self.cache.add_order(order, position_id=None)
self.exec_engine.process(TestEventStubs.order_submitted(order))
self.exec_engine.process(TestEventStubs.order_accepted(order))
fill = TestEventStubs.order_filled(
order=order,
instrument=ETHUSD_BITMEX,
strategy_id=StrategyId("S-1"),
position_id=PositionId("P-123456"),
last_px=Price.from_str("376.05"),
)
self.exec_engine.process(fill)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
self.portfolio.update_position(
TestEventStubs.position_opened(position))
# Act
result = self.portfolio.unrealized_pnls(BITMEX)
# # Assert
assert result == {}
def test_opening_positions_with_multi_asset_account(self):
# Arrange
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
balances=[Money("10.00000000", BTC), Money("10.00000000", ETH)],
balances_free=[Money("0.00000000", BTC), Money("10.00000000", ETH)],
balances_locked=[Money("0.00000000", BTC), Money("0.00000000", ETH)],
info={},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
last_ethusd = QuoteTick(
ETHUSD_BITMEX.symbol,
Price("376.05"),
Price("377.10"),
Quantity("16"),
Quantity("25"),
UNIX_EPOCH,
)
last_btcusd = QuoteTick(
BTCUSD_BITMEX.symbol,
Price("10500.05"),
Price("10501.51"),
Quantity("2.54"),
Quantity("0.91"),
UNIX_EPOCH,
)
self.data_cache.add_quote_tick(last_ethusd)
self.data_cache.add_quote_tick(last_btcusd)
self.portfolio.update_tick(last_ethusd)
self.portfolio.update_tick(last_btcusd)
order = self.order_factory.market(
ETHUSD_BITMEX.symbol,
OrderSide.BUY,
Quantity(10000),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("376.05"),
)
position = Position(fill)
# Act
self.portfolio.update_position(TestStubs.event_position_opened(position))
# Assert
self.assertEqual({ETH: Money("2.65922085", ETH)}, self.portfolio.market_values(BITMEX))
self.assertEqual({ETH: Money("0.03855870", ETH)}, self.portfolio.maint_margins(BITMEX))
self.assertEqual(Money("2.65922085", ETH), self.portfolio.market_value(ETHUSD_BITMEX.symbol))
self.assertEqual(Money("0.00000000", ETH), self.portfolio.unrealized_pnl(ETHUSD_BITMEX.symbol))
def test_several_positions_with_different_instruments_updates_portfolio(
self):
# Arrange
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
margins=[],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order3 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order4 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill1 = TestEventStubs.order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("1.00000"),
)
fill2 = TestEventStubs.order_filled(
order2,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-2"),
last_px=Price.from_str("1.00000"),
)
fill3 = TestEventStubs.order_filled(
order3,
instrument=GBPUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-3"),
last_px=Price.from_str("1.00000"),
)
fill4 = TestEventStubs.order_filled(
order4,
instrument=GBPUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-3"),
last_px=Price.from_str("1.00100"),
)
position1 = Position(instrument=AUDUSD_SIM, fill=fill1)
position2 = Position(instrument=AUDUSD_SIM, fill=fill2)
position3 = Position(instrument=GBPUSD_SIM, fill=fill3)
last_audusd = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("0.80501"),
ask=Price.from_str("0.80505"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
last_gbpusd = QuoteTick(
instrument_id=GBPUSD_SIM.id,
bid=Price.from_str("1.30315"),
ask=Price.from_str("1.30317"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_audusd)
self.cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
self.cache.add_position(position1, OMSType.HEDGING)
self.cache.add_position(position2, OMSType.HEDGING)
self.cache.add_position(position3, OMSType.HEDGING)
# Act
self.portfolio.update_position(
TestEventStubs.position_opened(position1))
self.portfolio.update_position(
TestEventStubs.position_opened(position2))
self.portfolio.update_position(
TestEventStubs.position_opened(position3))
position3.apply(fill4)
self.cache.update_position(position3)
self.portfolio.update_position(
TestEventStubs.position_closed(position3))
# Assert
assert {
USD: Money(-38998.00, USD)
} == self.portfolio.unrealized_pnls(SIM)
assert {
USD: Money(161002.00, USD)
} == self.portfolio.net_exposures(SIM)
assert Money(161002.00,
USD) == self.portfolio.net_exposure(AUDUSD_SIM.id)
assert Money(-38998.00,
USD) == self.portfolio.unrealized_pnl(AUDUSD_SIM.id)
assert self.portfolio.unrealized_pnl(GBPUSD_SIM.id) == Money(0, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(200000)
assert self.portfolio.net_position(GBPUSD_SIM.id) == Decimal(0)
assert self.portfolio.is_net_long(AUDUSD_SIM.id)
assert self.portfolio.is_flat(GBPUSD_SIM.id)
assert not self.portfolio.is_completely_flat()
def test_opening_one_short_position_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
AccountBalance(
Money(100000.00000000, USDT),
Money(0.00000000, USDT),
Money(100000.00000000, USDT),
),
],
margins=[],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("0.515"),
)
fill = TestEventStubs.order_filled(
order=order,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-001"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("15000.00"),
)
last = QuoteTick(
instrument_id=BTCUSDT_BINANCE.id,
bid=Price.from_str("15510.15"),
ask=Price.from_str("15510.25"),
bid_size=Quantity.from_str("12.62"),
ask_size=Quantity.from_str("3.1"),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last)
self.portfolio.update_tick(last)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestEventStubs.position_opened(position))
# Assert
assert self.portfolio.net_exposures(BINANCE) == {
USDT: Money(7987.77875000, USDT)
}
assert self.portfolio.unrealized_pnls(BINANCE) == {
USDT: Money(-262.77875000, USDT)
}
assert self.portfolio.margins_maint(BINANCE) == {
BTCUSDT_BINANCE.id: Money(7.72500000, USDT)
}
assert self.portfolio.net_exposure(BTCUSDT_BINANCE.id) == Money(
7987.77875000, USDT)
assert self.portfolio.unrealized_pnl(BTCUSDT_BINANCE.id) == Money(
-262.77875000, USDT)
assert self.portfolio.net_position(
order.instrument_id) == Decimal("-0.515")
assert not self.portfolio.is_net_long(order.instrument_id)
assert self.portfolio.is_net_short(order.instrument_id)
assert not self.portfolio.is_flat(order.instrument_id)
assert not self.portfolio.is_completely_flat()
def test_position_filled_with_buy_order_then_sell_order_returns_expected_attributes(
self, ):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(150000),
)
fill1 = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
last_px=Price("1.00001"),
execution_ns=1_000_000_000,
)
position = Position(fill=fill1)
fill2 = OrderFilled(
self.account_id,
order.client_order_id,
VenueOrderId("2"),
ExecutionId("E2"),
PositionId("T123456"),
StrategyId("S", "001"),
order.instrument_id,
OrderSide.SELL,
order.quantity,
Price("1.00011"),
order.quantity,
Quantity(),
AUDUSD_SIM.quote_currency,
AUDUSD_SIM.is_inverse,
Money(0, USD),
LiquiditySide.TAKER,
2_000_000_000,
uuid4(),
0,
)
last = Price("1.00050")
# Act
position.apply(fill2)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(1_000_000_000, position.opened_timestamp_ns)
self.assertEqual(1_000_000_000, position.open_duration_ns)
self.assertEqual(Decimal("1.00001"), position.avg_px_open)
self.assertEqual(2, position.event_count)
self.assertEqual(2_000_000_000, position.closed_timestamp_ns)
self.assertEqual(Decimal("1.00011"), position.avg_px_close)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertFalse(position.is_open)
self.assertTrue(position.is_closed)
self.assertEqual(Decimal("0.00010"), position.realized_points)
self.assertEqual(Decimal("0.00009999900000999990000099999000"),
position.realized_return)
self.assertEqual(Money(12.00, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(12.00, USD), position.total_pnl(last))
self.assertEqual([Money(3.00, USD)], position.commissions())
self.assertEqual(Money(3.00, USD), position.commission)
self.assertEqual("Position(FLAT AUD/USD.SIM, id=P-123456)",
repr(position))
def test_position_long_with_multiple_filled_orders_returns_expected_attributes(
self, ):
# Arrange
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
order3 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity(200000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
last_px=Price("1.00001"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
last_px=Price("1.00010"),
)
last = Price("1.00050")
# Act
position = Position(fill=fill1)
position.apply(fill2)
position.apply(fill3)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(0, position.opened_timestamp_ns)
self.assertEqual(Decimal("1.000005"), position.avg_px_open)
self.assertEqual(3, position.event_count)
self.assertEqual(
[
order1.client_order_id, order2.client_order_id,
order3.client_order_id
],
position.client_order_ids,
)
self.assertEqual(0, position.closed_timestamp_ns)
self.assertEqual(Decimal("1.0001"), position.avg_px_close)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertFalse(position.is_open)
self.assertTrue(position.is_closed)
self.assertEqual(Money(11.00, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(11.00, USD), position.total_pnl(last))
self.assertEqual([Money(8.00, USD)], position.commissions())
self.assertEqual(Money(8.00, USD), position.commission)
self.assertEqual("Position(FLAT AUD/USD.SIM, id=P-123456)",
repr(position))
def test_update_position_for_closed_position(self):
# Arrange
order1 = self.strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
position_id = PositionId('P-1')
self.database.add_order(order1)
order1.apply(TestStubs.event_order_submitted(order1))
self.database.update_order(order1)
order1.apply(TestStubs.event_order_accepted(order1))
self.database.update_order(order1)
order1.apply(
TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=position_id,
fill_price=Price("1.00001"),
))
self.database.update_order(order1)
# Act
position = Position(order1.last_event)
self.database.add_position(position)
order2 = self.strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
)
self.database.add_order(order2)
order2.apply(TestStubs.event_order_submitted(order2))
self.database.update_order(order2)
order2.apply(TestStubs.event_order_accepted(order2))
self.database.update_order(order2)
filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=position_id,
fill_price=Price("1.00001"),
)
order2.apply(filled)
self.database.update_order(order2)
position.apply(filled)
# Act
self.database.update_position(position)
# Assert
self.assertEqual(position, self.database.load_position(position.id))
def test_update_position_for_closed_position(self):
# Arrange
self.database.add_instrument(AUDUSD_SIM)
order1 = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
position_id = PositionId("P-1")
self.database.add_order(order1)
order1.apply(TestStubs.event_order_submitted(order1))
self.database.update_order(order1)
order1.apply(TestStubs.event_order_accepted(order1))
self.database.update_order(order1)
order1.apply(
TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=position_id,
last_px=Price.from_str("1.00001"),
))
self.database.update_order(order1)
# Act
position = Position(instrument=AUDUSD_SIM, fill=order1.last_event)
self.database.add_position(position)
order2 = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
self.database.add_order(order2)
order2.apply(TestStubs.event_order_submitted(order2))
self.database.update_order(order2)
order2.apply(TestStubs.event_order_accepted(order2))
self.database.update_order(order2)
filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=position_id,
last_px=Price.from_str("1.00001"),
)
order2.apply(filled)
self.database.update_order(order2)
position.apply(filled)
# Act
self.database.update_position(position)
# Assert
assert self.database.load_position(position.id) == position
def test_several_positions_with_different_symbols_updates_portfolio(self):
# Arrange
state = AccountState(
AccountId("SIM", "01234"),
balances=[Money(1_000_000.00, USD)],
balances_free=[Money(1_000_000.00, USD)],
balances_locked=[Money(0.00, USD)],
info={"default_currency": "USD"},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
order1 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order3 = self.order_factory.market(
GBPUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order4 = self.order_factory.market(
GBPUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
)
order1_filled = TestStubs.event_order_filled(
order1,
instrument=GBPUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=GBPUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
order3_filled = TestStubs.event_order_filled(
order3,
instrument=GBPUSD_SIM,
position_id=PositionId("P-3"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
order4_filled = TestStubs.event_order_filled(
order4,
instrument=GBPUSD_SIM,
position_id=PositionId("P-3"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00100"),
)
position1 = Position(order1_filled)
position2 = Position(order2_filled)
position3 = Position(order3_filled)
last_audusd = QuoteTick(
AUDUSD_SIM.symbol,
Price("0.80501"),
Price("0.80505"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
last_gbpusd = QuoteTick(
GBPUSD_SIM.symbol,
Price("1.30315"),
Price("1.30317"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
self.data_cache.add_quote_tick(last_audusd)
self.data_cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
# Act
self.portfolio.update_position(TestStubs.event_position_opened(position1))
self.portfolio.update_position(TestStubs.event_position_opened(position2))
self.portfolio.update_position(TestStubs.event_position_opened(position3))
position3.apply(order4_filled)
self.portfolio.update_position(TestStubs.event_position_closed(position3))
# Assert
self.assertEqual({USD: Money("-38998.00", USD)}, self.portfolio.unrealized_pnls(SIM))
self.assertEqual({USD: Money("3220.04", USD)}, self.portfolio.market_values(SIM))
self.assertEqual({USD: Money("99.82", USD)}, self.portfolio.maint_margins(SIM))
self.assertEqual(Money("3220.04", USD), self.portfolio.market_value(AUDUSD_SIM.symbol))
self.assertEqual(Money("-38998.00", USD), self.portfolio.unrealized_pnl(AUDUSD_SIM.symbol))
self.assertEqual(Money("0", USD), self.portfolio.unrealized_pnl(GBPUSD_SIM.symbol))
self.assertEqual(Decimal(200000), self.portfolio.net_position(AUDUSD_SIM.symbol))
self.assertEqual(Decimal(0), self.portfolio.net_position(GBPUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_net_long(AUDUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_flat(GBPUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_completely_flat())
def test_closing_position_updates_portfolio(self):
# Arrange
state = AccountState(
AccountId("SIM", "01234"),
balances=[Money(1_000_000.00, USD)],
balances_free=[Money(1_000_000.00, USD)],
balances_locked=[Money(0.00, USD)],
info={"default_currency": "USD"},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
order1 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order1_filled = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
position = Position(order1_filled)
self.portfolio.update_position(TestStubs.event_position_opened(position))
order2 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00010"),
)
position.apply(order2_filled)
# Act
self.portfolio.update_position(TestStubs.event_position_closed(position))
# Assert
self.assertEqual({}, self.portfolio.market_values(SIM))
self.assertEqual({}, self.portfolio.unrealized_pnls(SIM))
self.assertEqual({}, self.portfolio.maint_margins(SIM))
self.assertEqual(Money("0", USD), self.portfolio.market_value(AUDUSD_SIM.symbol))
self.assertEqual(Money("0", USD), self.portfolio.unrealized_pnl(AUDUSD_SIM.symbol))
self.assertEqual(Decimal(0), self.portfolio.net_position(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_net_long(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_net_short(AUDUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_flat(AUDUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_completely_flat())
def test_opening_several_positions_updates_portfolio(self):
# Arrange
state = AccountState(
AccountId("SIM", "01234"),
balances=[Money(1_000_000.00, USD)],
balances_free=[Money(1_000_000.00, USD)],
balances_locked=[Money(0.00, USD)],
info={"default_currency": "USD"},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(state)
self.portfolio.register_account(account)
last_audusd = QuoteTick(
AUDUSD_SIM.symbol,
Price("0.80501"),
Price("0.80505"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
last_gbpusd = QuoteTick(
GBPUSD_SIM.symbol,
Price("1.30315"),
Price("1.30317"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
self.data_cache.add_quote_tick(last_audusd)
self.data_cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
order1 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
GBPUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order1_filled = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("1.00000"),
)
position1 = Position(order1_filled)
position2 = Position(order2_filled)
position_opened1 = TestStubs.event_position_opened(position1)
position_opened2 = TestStubs.event_position_opened(position2)
# Act
self.portfolio.update_position(position_opened1)
self.portfolio.update_position(position_opened2)
# Assert
self.assertEqual({USD: Money("4216.32", USD)}, self.portfolio.market_values(SIM))
self.assertEqual({USD: Money("10816.00", USD)}, self.portfolio.unrealized_pnls(SIM))
self.assertEqual({USD: Money("130.71", USD)}, self.portfolio.maint_margins(SIM))
self.assertEqual(Money("1610.02", USD), self.portfolio.market_value(AUDUSD_SIM.symbol))
self.assertEqual(Money("2606.30", USD), self.portfolio.market_value(GBPUSD_SIM.symbol))
self.assertEqual(Money("-19499.00", USD), self.portfolio.unrealized_pnl(AUDUSD_SIM.symbol))
self.assertEqual(Money("30315.00", USD), self.portfolio.unrealized_pnl(GBPUSD_SIM.symbol))
self.assertEqual(Decimal(100000), self.portfolio.net_position(AUDUSD_SIM.symbol))
self.assertEqual(Decimal(100000), self.portfolio.net_position(GBPUSD_SIM.symbol))
self.assertTrue(self.portfolio.is_net_long(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_net_short(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_flat(AUDUSD_SIM.symbol))
self.assertFalse(self.portfolio.is_completely_flat())
def test_opening_several_positions_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("SIM")
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
margins=[],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
last_audusd = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("0.80501"),
ask=Price.from_str("0.80505"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
last_gbpusd = QuoteTick(
instrument_id=GBPUSD_SIM.id,
bid=Price.from_str("1.30315"),
ask=Price.from_str("1.30317"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_audusd)
self.cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
self.cache.add_order(order1, position_id=None)
self.cache.add_order(order2, position_id=None)
fill1 = TestEventStubs.order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("1.00000"),
)
fill2 = TestEventStubs.order_filled(
order2,
instrument=GBPUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-2"),
last_px=Price.from_str("1.00000"),
)
self.cache.update_order(order1)
self.cache.update_order(order2)
position1 = Position(instrument=AUDUSD_SIM, fill=fill1)
position2 = Position(instrument=GBPUSD_SIM, fill=fill2)
position_opened1 = TestEventStubs.position_opened(position1)
position_opened2 = TestEventStubs.position_opened(position2)
# Act
self.cache.add_position(position1, OMSType.HEDGING)
self.cache.add_position(position2, OMSType.HEDGING)
self.portfolio.update_position(position_opened1)
self.portfolio.update_position(position_opened2)
# Assert
assert self.portfolio.net_exposures(SIM) == {
USD: Money(210816.00, USD)
}
assert self.portfolio.unrealized_pnls(SIM) == {
USD: Money(10816.00, USD)
}
assert self.portfolio.margins_maint(SIM) == {
AUDUSD_SIM.id: Money(3002.00, USD),
GBPUSD_SIM.id: Money(3002.00, USD),
}
assert self.portfolio.net_exposure(AUDUSD_SIM.id) == Money(
80501.00, USD)
assert self.portfolio.net_exposure(GBPUSD_SIM.id) == Money(
130315.00, USD)
assert self.portfolio.unrealized_pnl(AUDUSD_SIM.id) == Money(
-19499.00, USD)
assert self.portfolio.unrealized_pnl(GBPUSD_SIM.id) == Money(
30315.00, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(100000)
assert self.portfolio.net_position(GBPUSD_SIM.id) == Decimal(100000)
assert self.portfolio.is_net_long(AUDUSD_SIM.id)
assert not self.portfolio.is_net_short(AUDUSD_SIM.id)
assert not self.portfolio.is_flat(AUDUSD_SIM.id)
assert not self.portfolio.is_completely_flat()
def test_pnl_calculation_from_trading_technologies_example(self):
# https://www.tradingtechnologies.com/xtrader-help/fix-adapter-reference/pl-calculation-algorithm/understanding-pl-calculations/ # noqa
# Arrange
order1 = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.BUY,
Quantity(12),
)
order2 = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.BUY,
Quantity(17),
)
order3 = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.SELL,
Quantity(9),
)
order4 = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.SELL,
Quantity(4),
)
order5 = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.BUY,
Quantity(3),
)
# Act
fill1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
last_px=Price(100),
)
position = Position(fill=fill1)
fill2 = TestStubs.event_order_filled(
order2,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
last_px=Price(99),
)
position.apply(fill2)
self.assertEqual(Quantity(29), position.quantity)
self.assertEqual(Money("-2.88300000", USDT), position.realized_pnl)
self.assertEqual(Decimal("99.41379310344827586206896552"),
position.avg_px_open)
fill3 = TestStubs.event_order_filled(
order3,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S", "001"),
last_px=Price(101),
)
position.apply(fill3)
self.assertEqual(Quantity(20), position.quantity)
self.assertEqual(Money("10.48386207", USDT), position.realized_pnl)
self.assertEqual(Decimal("99.41379310344827586206896552"),
position.avg_px_open)
fill4 = TestStubs.event_order_filled(
order4,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S", "001"),
last_px=Price(105),
)
position.apply(fill4)
self.assertEqual(Quantity(16), position.quantity)
self.assertEqual(Money("32.40868966", USDT), position.realized_pnl)
self.assertEqual(Decimal("99.41379310344827586206896552"),
position.avg_px_open)
fill5 = TestStubs.event_order_filled(
order5,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S", "001"),
last_px=Price(103),
)
position.apply(fill5)
self.assertEqual(Quantity(19), position.quantity)
self.assertEqual(Money("32.09968966", USDT), position.realized_pnl)
self.assertEqual(Decimal("99.98003629764065335753176042"),
position.avg_px_open)
self.assertEqual(
"Position(LONG 19 ETH/USDT.BINANCE, id=P-19700101-000000-000-001-1)",
repr(position),
)
def test_closing_position_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("SIM")
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
margins=[],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill1 = TestEventStubs.order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("1.00000"),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestEventStubs.position_opened(position))
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
order2_filled = TestEventStubs.order_filled(
order2,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("1.00010"),
)
position.apply(order2_filled)
self.cache.update_position(position)
# Act
self.portfolio.update_position(
TestEventStubs.position_closed(position))
# Assert
assert self.portfolio.net_exposures(SIM) == {}
assert self.portfolio.unrealized_pnls(SIM) == {}
assert self.portfolio.margins_maint(SIM) == {}
assert self.portfolio.net_exposure(AUDUSD_SIM.id) == Money(0, USD)
assert self.portfolio.unrealized_pnl(AUDUSD_SIM.id) == Money(0, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(0)
assert not self.portfolio.is_net_long(AUDUSD_SIM.id)
assert not self.portfolio.is_net_short(AUDUSD_SIM.id)
assert self.portfolio.is_flat(AUDUSD_SIM.id)
assert self.portfolio.is_completely_flat()
def test_position_long_with_multiple_filled_orders_returns_expected_attributes(
self, ):
# Arrange
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order3 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(200000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00010"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill1)
position.apply(fill2)
position.apply(fill3)
# Assert
assert position.quantity == Quantity.zero()
assert position.side == PositionSide.FLAT
assert position.ts_opened == 0
assert position.avg_px_open == Decimal("1.000005")
assert position.event_count == 3
assert position.client_order_ids == [
order1.client_order_id,
order2.client_order_id,
order3.client_order_id,
]
assert position.ts_closed == 0
assert position.avg_px_close == Decimal("1.0001")
assert not position.is_long
assert not position.is_short
assert not position.is_open
assert position.is_closed
assert position.realized_pnl == Money(11.00, USD)
assert position.unrealized_pnl(last) == Money(0, USD)
assert position.total_pnl(last) == Money(11.00, USD)
assert position.commissions() == [Money(8.00, USD)]
assert repr(position) == "Position(FLAT AUD/USD.SIM, id=P-123456)"
def test_update_positions(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
margins=[],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
# Create a closed position
order1 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.50000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("10.50000000"),
)
self.cache.add_order(order1, position_id=None)
self.cache.add_order(order2, position_id=None)
# Push states to ACCEPTED
order1.apply(TestEventStubs.order_submitted(order1))
self.cache.update_order(order1)
order1.apply(TestEventStubs.order_accepted(order1))
self.cache.update_order(order1)
fill1 = TestEventStubs.order_filled(
order1,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("25000.00"),
)
fill2 = TestEventStubs.order_filled(
order2,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("25000.00"),
)
position1 = Position(instrument=BTCUSDT_BINANCE, fill=fill1)
position1.apply(fill2)
order3 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.00000000"),
)
fill3 = TestEventStubs.order_filled(
order3,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-2"),
last_px=Price.from_str("25000.00"),
)
position2 = Position(instrument=BTCUSDT_BINANCE, fill=fill3)
# Update the last quote
last = QuoteTick(
instrument_id=BTCUSDT_BINANCE.id,
bid=Price.from_str("25001.00"),
ask=Price.from_str("25002.00"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
# Act
self.cache.add_position(position1, OMSType.HEDGING)
self.cache.add_position(position2, OMSType.HEDGING)
self.portfolio.initialize_positions()
self.portfolio.update_tick(last)
# Assert
assert self.portfolio.is_net_long(BTCUSDT_BINANCE.id)
def test_side_from_order_side_given_invalid_value_returns_none(self):
# Arrange, Act
with pytest.raises(ValueError):
Position.side_from_order_side(0)
def test_opening_positions_with_multi_asset_account(self):
# Arrange
AccountFactory.register_calculated_account("BITMEX")
account_id = AccountId("BITMEX", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
margins=[],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
last_ethusd = QuoteTick(
instrument_id=ETHUSD_BITMEX.id,
bid=Price.from_str("376.05"),
ask=Price.from_str("377.10"),
bid_size=Quantity.from_str("16"),
ask_size=Quantity.from_str("25"),
ts_event=0,
ts_init=0,
)
last_btcusd = QuoteTick(
instrument_id=BTCUSD_BITMEX.id,
bid=Price.from_str("10500.05"),
ask=Price.from_str("10501.51"),
bid_size=Quantity.from_str("2.54"),
ask_size=Quantity.from_str("0.91"),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_ethusd)
self.cache.add_quote_tick(last_btcusd)
self.portfolio.update_tick(last_ethusd)
self.portfolio.update_tick(last_btcusd)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(10000),
)
fill = TestEventStubs.order_filled(
order=order,
instrument=ETHUSD_BITMEX,
strategy_id=StrategyId("S-001"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("376.05"),
)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
# Act
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestEventStubs.position_opened(position))
# Assert
assert self.portfolio.net_exposures(BITMEX) == {
ETH: Money(26.59220848, ETH)
}
assert self.portfolio.margins_maint(BITMEX) == {
ETHUSD_BITMEX.id: Money(0.20608962, ETH)
}
assert self.portfolio.net_exposure(ETHUSD_BITMEX.id) == Money(
26.59220848, ETH)
assert self.portfolio.unrealized_pnl(ETHUSD_BITMEX.id) == Money(
0.00000000, ETH)
def test_pnl_calculation_from_trading_technologies_example(self):
# https://www.tradingtechnologies.com/xtrader-help/fix-adapter-reference/pl-calculation-algorithm/understanding-pl-calculations/ # noqa
# Arrange
order1 = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_int(12),
)
order2 = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_int(17),
)
order3 = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_int(9),
)
order4 = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_int(4),
)
order5 = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_int(3),
)
# Act
fill1 = TestStubs.event_order_filled(
order1,
instrument=ETHUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
last_px=Price.from_int(100),
)
position = Position(instrument=ETHUSDT_BINANCE, fill=fill1)
fill2 = TestStubs.event_order_filled(
order2,
instrument=ETHUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
last_px=Price.from_int(99),
)
position.apply(fill2)
assert position.quantity == Quantity.from_int(29)
assert position.realized_pnl == Money(-0.28830000, USDT)
assert position.avg_px_open == Decimal("99.41379310344827586206896552")
fill3 = TestStubs.event_order_filled(
order3,
instrument=ETHUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_int(101),
)
position.apply(fill3)
assert position.quantity == Quantity.from_int(20)
assert position.realized_pnl == Money(13.89666207, USDT)
assert position.avg_px_open == Decimal("99.41379310344827586206896552")
fill4 = TestStubs.event_order_filled(
order4,
instrument=ETHUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_int(105),
)
position.apply(fill4)
assert position.quantity == Quantity.from_int(16)
assert position.realized_pnl == Money(36.19948966, USDT)
assert position.avg_px_open == Decimal("99.41379310344827586206896552")
fill5 = TestStubs.event_order_filled(
order5,
instrument=ETHUSDT_BINANCE,
position_id=PositionId("P-19700101-000000-000-001-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_int(103),
)
position.apply(fill5)
assert position.quantity == Quantity.from_int(19)
assert position.realized_pnl == Money(36.16858966, USDT)
assert position.avg_px_open == Decimal("99.98003629764065335753176042")
assert (
repr(position) ==
"Position(LONG 19.00000 ETH/USDT.BINANCE, id=P-19700101-000000-000-001-1)"
)
def test_market_value_when_insufficient_data_for_xrate_returns_none(self):
# Arrange
AccountFactory.register_calculated_account("BITMEX")
account_id = AccountId("BITMEX", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=BTC,
reported=True,
balances=[
AccountBalance(
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
],
margins=[],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(100),
)
fill = TestEventStubs.order_filled(
order=order,
instrument=ETHUSD_BITMEX,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("376.05"),
)
last_ethusd = QuoteTick(
instrument_id=ETHUSD_BITMEX.id,
bid=Price.from_str("376.05"),
ask=Price.from_str("377.10"),
bid_size=Quantity.from_str("16"),
ask_size=Quantity.from_str("25"),
ts_event=0,
ts_init=0,
)
last_xbtusd = QuoteTick(
instrument_id=BTCUSD_BITMEX.id,
bid=Price.from_str("50000.00"),
ask=Price.from_str("50000.00"),
bid_size=Quantity.from_str("1"),
ask_size=Quantity.from_str("1"),
ts_event=0,
ts_init=0,
)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
self.portfolio.update_position(
TestEventStubs.position_opened(position))
self.cache.add_position(position, OMSType.HEDGING)
self.cache.add_quote_tick(last_ethusd)
self.cache.add_quote_tick(last_xbtusd)
self.portfolio.update_tick(last_ethusd)
self.portfolio.update_tick(last_xbtusd)
# Act
result = self.portfolio.net_exposures(BITMEX)
# Assert
assert result == {BTC: Money(0.00200000, BTC)}
def test_update_positions(self):
# Arrange
self.portfolio.register_account(self.account)
# Create a closed position
order1 = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("10.50000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.SELL,
Quantity("10.50000000"),
)
filled1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("25000.00"),
)
filled2 = TestStubs.event_order_filled(
order2,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("25000.00"),
)
position1 = Position(filled1)
position1.apply(filled2)
order3 = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("10.00000000"),
)
filled3 = TestStubs.event_order_filled(
order3,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S", "1"),
fill_price=Price("25000.00"),
)
position2 = Position(filled3)
# Update the last quote
last = QuoteTick(
BTCUSDT_BINANCE.symbol,
Price("25001.00"),
Price("25002.00"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
self.portfolio.initialize_positions({position1, position2})
self.portfolio.update_tick(last)
# Assert
self.assertTrue(self.portfolio.is_net_long(BTCUSDT_BINANCE.symbol))
