def test_initial_settings_for_default_portfolio():
"""
Test that the initial settings are as they should be
for two specified portfolios.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
# Test a default Portfolio
port1 = Portfolio(start_dt)
assert port1.start_dt == start_dt
assert port1.current_dt == start_dt
assert port1.currency == "USD"
assert port1.starting_cash == 0.0
assert port1.portfolio_id is None
assert port1.name is None
assert port1.total_market_value == 0.0
assert port1.cash == 0.0
assert port1.total_equity == 0.0
# Test a Portfolio with keyword arguments
port2 = Portfolio(start_dt,
starting_cash=1234567.56,
currency="USD",
portfolio_id=12345,
name="My Second Test Portfolio")
assert port2.start_dt == start_dt
assert port2.current_dt == start_dt
assert port2.currency == "USD"
assert port2.starting_cash == 1234567.56
assert port2.portfolio_id == 12345
assert port2.name == "My Second Test Portfolio"
assert port2.total_equity == 1234567.56
assert port2.total_market_value == 0.0
assert port2.cash == 1234567.56
def test_portfolio_to_dict_empty_portfolio():
"""
Test 'portfolio_to_dict' method for an empty Portfolio.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
port.subscribe_funds(start_dt, 100000.0)
port_dict = port.portfolio_to_dict()
assert port_dict == {}
def test_update_market_value_of_asset_not_in_list():
"""
Test update_market_value_of_asset for asset not in list.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
asset = 'EQ:AAA'
update = port.update_market_value_of_asset(asset, 54.34, later_dt)
assert update is None
def test_update_market_value_of_asset_not_in_list():
"""
Test update_market_value_of_asset for asset not in list.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
asset = Equity("Acme Inc.", "AAA", tax_exempt=False)
update = port.update_market_value_of_asset(asset, 54.34, later_dt)
assert update is None
def test_history_to_df_empty():
"""
Test 'history_to_df' with no events.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
hist_df = port.history_to_df()
test_df = pd.DataFrame(
[],
columns=["date", "type", "description", "debit", "credit", "balance"])
test_df.set_index(keys=["date"], inplace=True)
assert sorted(test_df.columns) == sorted(hist_df.columns)
assert len(test_df) == len(hist_df)
assert len(hist_df) == 0
def create_portfolio(self, portfolio_id, name=None):
"""
Create a new sub-portfolio with ID 'portfolio_id' and
an optional name given by 'name'.
Parameters
----------
portfolio_id : `str`
The portfolio ID string.
name : `str`, optional
The optional name string of the portfolio.
"""
portfolio_id_str = str(portfolio_id)
if portfolio_id_str in self.portfolios.keys():
raise ValueError(
"Portfolio with ID '%s' already exists. Cannot create "
"second portfolio with the same ID." % portfolio_id_str)
else:
p = Portfolio(self.current_dt,
currency=self.base_currency,
portfolio_id=portfolio_id_str,
name=name)
self.portfolios[portfolio_id_str] = p
self.open_orders[portfolio_id_str] = queue.Queue()
print(
'(%s) - portfolio creation: Portfolio "%s" created at broker "%s"'
% (self.current_dt, portfolio_id_str, self.account_id))
def test_portfolio_currency_settings():
"""
Test that USD and GBP currencies are correctly set with
some currency keyword arguments and that the currency
formatter produces the correct strings.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
# Test a US portfolio produces correct values
cur1 = "USD"
port1 = Portfolio(start_dt, currency=cur1)
assert port1.currency == "USD"
# Test a UK portfolio produces correct values
cur2 = "GBP"
port2 = Portfolio(start_dt, currency=cur2)
assert port2.currency == "GBP"
def test_subscribe_funds_behaviour():
"""
Test subscribe_funds raises for incorrect datetime
Test subscribe_funds raises for negative amount
Test subscribe_funds correctly adds positive
amount, generates correct event and modifies time
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
earlier_dt = pd.Timestamp('2017-10-04 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
pos_cash = 1000.0
neg_cash = -1000.0
port = Portfolio(start_dt, starting_cash=2000.0)
# Test subscribe_funds raises for incorrect datetime
with pytest.raises(ValueError):
port.subscribe_funds(earlier_dt, pos_cash)
# Test subscribe_funds raises for negative amount
with pytest.raises(ValueError):
port.subscribe_funds(start_dt, neg_cash)
# Test subscribe_funds correctly adds positive
# amount, generates correct event and modifies time
port.subscribe_funds(later_dt, pos_cash)
assert port.cash == 3000.0
assert port.total_market_value == 0.0
assert port.total_equity == 3000.0
pe1 = PortfolioEvent(dt=start_dt,
type='subscription',
description="SUBSCRIPTION",
debit=0.0,
credit=2000.0,
balance=2000.0)
pe2 = PortfolioEvent(dt=later_dt,
type='subscription',
description="SUBSCRIPTION",
debit=0.0,
credit=1000.0,
balance=3000.0)
assert port.history == [pe1, pe2]
assert port.current_dt == later_dt
def test_update_market_value_of_asset_negative_price():
"""
Test update_market_value_of_asset for
asset with negative price.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
asset = 'EQ:AAA'
port.subscribe_funds(later_dt, 100000.0)
tn_asset = Transaction(asset=asset,
quantity=100,
dt=later_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset)
with pytest.raises(ValueError):
port.update_market_value_of_asset(asset, -54.34, later_dt)
def test_update_market_value_of_asset_earlier_date():
"""
Test update_market_value_of_asset for asset
with current_trade_date in past
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
earlier_dt = pd.Timestamp('2017-10-04 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt, portfolio_id='1234')
asset = 'EQ:AAA'
port.subscribe_funds(later_dt, 100000.0)
tn_asset = Transaction(asset=asset,
quantity=100,
dt=later_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset)
with pytest.raises(ValueError):
port.update_market_value_of_asset(asset, 50.23, earlier_dt)
def test_portfolio_to_dict_for_two_holdings():
"""
Test portfolio_to_dict for two holdings.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
asset1_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
asset2_dt = pd.Timestamp('2017-10-07 08:00:00', tz=pytz.UTC)
update_dt = pd.Timestamp('2017-10-08 08:00:00', tz=pytz.UTC)
asset1 = 'EQ:AAA'
asset2 = 'EQ:BBB'
port = Portfolio(start_dt, portfolio_id='1234')
port.subscribe_funds(start_dt, 100000.0)
tn_asset1 = Transaction(asset=asset1,
quantity=100,
dt=asset1_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset1)
tn_asset2 = Transaction(asset=asset2,
quantity=100,
dt=asset2_dt,
price=123.0,
order_id=2,
commission=7.64)
port.transact_asset(tn_asset2)
port.update_market_value_of_asset(asset2, 134.0, update_dt)
test_holdings = {
asset1: {
"quantity": 100,
"market_value": 56700.0,
"unrealised_pnl": -15.78,
"realised_pnl": 0.0,
"total_pnl": -15.78
},
asset2: {
"quantity": 100,
"market_value": 13400.0,
"unrealised_pnl": 1092.3600000000006,
"realised_pnl": 0.0,
"total_pnl": 1092.3600000000006
}
}
port_holdings = port.portfolio_to_dict()
# This is needed because we're not using Decimal
# datatypes and have to compare slightly differing
# floating point representations
for asset in (asset1, asset2):
for key, val in test_holdings[asset].items():
assert port_holdings[asset][key] == pytest.approx(
test_holdings[asset][key])
def test_transact_asset_behaviour():
"""
Test transact_asset raises for incorrect time
Test transact_asset raises for transaction total
cost exceeding total cash
Test correct total_cash and total_securities_value
for correct transaction (commission etc), correct
portfolio event and correct time update
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
earlier_dt = pd.Timestamp('2017-10-04 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
even_later_dt = pd.Timestamp('2017-10-07 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
asset = 'EQ:AAA'
# Test transact_asset raises for incorrect time
tn_early = Transaction(asset=asset,
quantity=100,
dt=earlier_dt,
price=567.0,
order_id=1,
commission=0.0)
with pytest.raises(ValueError):
port.transact_asset(tn_early)
# Test transact_asset raises for transaction total
# cost exceeding total cash
port.subscribe_funds(later_dt, 1000.0)
assert port.cash == 1000.0
assert port.total_market_value == 0.0
assert port.total_equity == 1000.0
pe_sub1 = PortfolioEvent(dt=later_dt,
type='subscription',
description="SUBSCRIPTION",
debit=0.0,
credit=1000.0,
balance=1000.0)
tn_large = Transaction(asset=asset,
quantity=100,
dt=later_dt,
price=567.0,
order_id=1,
commission=15.78)
with pytest.raises(ValueError):
port.transact_asset(tn_large)
# Test correct total_cash and total_securities_value
# for correct transaction (commission etc), correct
# portfolio event and correct time update
port.subscribe_funds(even_later_dt, 99000.0)
assert port.cash == 100000.0
assert port.total_market_value == 0.0
assert port.total_equity == 100000.0
pe_sub2 = PortfolioEvent(dt=even_later_dt,
type='subscription',
description="SUBSCRIPTION",
debit=0.0,
credit=99000.0,
balance=100000.0)
tn_even_later = Transaction(asset=asset,
quantity=100,
dt=even_later_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_even_later)
assert port.cash == 43284.22
assert port.total_market_value == 56700.00
assert port.total_equity == 99984.22
description = "LONG 100 EQ:AAA 567.00 07/10/2017"
pe_tn = PortfolioEvent(dt=even_later_dt,
type="asset_transaction",
description=description,
debit=56715.78,
credit=0.0,
balance=43284.22)
assert port.history == [pe_sub1, pe_sub2, pe_tn]
assert port.current_dt == even_later_dt
def test_withdraw_funds_behaviour():
"""
Test withdraw_funds raises for incorrect datetime
Test withdraw_funds raises for negative amount
Test withdraw_funds raises for lack of cash
Test withdraw_funds correctly subtracts positive
amount, generates correct event and modifies time
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
earlier_dt = pd.Timestamp('2017-10-04 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
even_later_dt = pd.Timestamp('2017-10-07 08:00:00', tz=pytz.UTC)
pos_cash = 1000.0
neg_cash = -1000.0
port_raise = Portfolio(start_dt)
# Test withdraw_funds raises for incorrect datetime
with pytest.raises(ValueError):
port_raise.withdraw_funds(earlier_dt, pos_cash)
# Test withdraw_funds raises for negative amount
with pytest.raises(ValueError):
port_raise.withdraw_funds(start_dt, neg_cash)
# Test withdraw_funds raises for not enough cash
port_broke = Portfolio(start_dt)
port_broke.subscribe_funds(later_dt, 1000.0)
with pytest.raises(ValueError):
port_broke.withdraw_funds(later_dt, 2000.0)
# Test withdraw_funds correctly subtracts positive
# amount, generates correct event and modifies time
# Initial subscribe
port_cor = Portfolio(start_dt)
port_cor.subscribe_funds(later_dt, pos_cash)
pe_sub = PortfolioEvent(dt=later_dt,
type='subscription',
description="SUBSCRIPTION",
debit=0.0,
credit=1000.0,
balance=1000.0)
assert port_cor.cash == 1000.0
assert port_cor.total_market_value == 0.0
assert port_cor.total_equity == 1000.0
assert port_cor.history == [pe_sub]
assert port_cor.current_dt == later_dt
# Now withdraw
port_cor.withdraw_funds(even_later_dt, 468.0)
pe_wdr = PortfolioEvent(dt=even_later_dt,
type='withdrawal',
description="WITHDRAWAL",
debit=468.0,
credit=0.0,
balance=532.0)
assert port_cor.cash == 532.0
assert port_cor.total_market_value == 0.0
assert port_cor.total_equity == 532.0
assert port_cor.history == [pe_sub, pe_wdr]
assert port_cor.current_dt == even_later_dt
def test_portfolio_to_dict_for_two_holdings():
"""
Test portfolio_to_dict for two holdings.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
asset1_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
asset2_dt = pd.Timestamp('2017-10-07 08:00:00', tz=pytz.UTC)
update_dt = pd.Timestamp('2017-10-08 08:00:00', tz=pytz.UTC)
asset1 = Equity("AAA Inc.", "EQ:AAA", tax_exempt=False)
asset2 = Equity("BBB Inc.", "EQ:BBB", tax_exempt=False)
port = Portfolio(start_dt, portfolio_id='1234')
port.subscribe_funds(start_dt, 100000.0)
tn_asset1 = Transaction(asset=asset1.symbol,
quantity=100,
dt=asset1_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset1)
tn_asset2 = Transaction(asset=asset2.symbol,
quantity=100,
dt=asset2_dt,
price=123.0,
order_id=2,
commission=7.64)
port.transact_asset(tn_asset2)
port.update_market_value_of_asset(asset2.symbol, 134.0, update_dt)
test_holdings = {
asset1.symbol: {
"quantity": 100,
"book_cost": 56715.78,
"market_value": 56700.0,
"gain": -15.78,
"perc_gain": -0.027822944513854874
},
asset2.symbol: {
"quantity": 100,
"book_cost": 12307.64,
"market_value": 13400.0,
"gain": 1092.3600000000006,
"perc_gain": 8.8754627207165679
}
}
port_holdings = port.portfolio_to_dict()
# This is needed because we're not using Decimal
# datatypes and have to compare slightly differing
# floating point representations
for asset in (asset1.symbol, asset2.symbol):
for key, val in test_holdings[asset].items():
assert port_holdings[asset][key] == pytest.approx(
test_holdings[asset][key])
