def transact_asset(self, txn):
"""
Adjusts positions to account for a transaction.
"""
if txn.dt < self.current_dt:
raise ValueError('Transaction datetime (%s) is earlier than '
'current portfolio datetime (%s). Cannot '
'transact assets.' % (txn.dt, self.current_dt))
self.current_dt = txn.dt
txn_share_cost = txn.price * txn.quantity
txn_total_cost = txn_share_cost + txn.commission
if txn_total_cost > self.total_cash:
raise ValueError('Not enough cash in the portfolio to '
'carry out transaction. Transaction cost of %s '
'exceeds remaining cash of %s.' %
(txn_total_cost, self.total_cash))
self.pos_handler.transact_position(txn)
cash_position = self.pos_handler.positions[self.cash_position_key]
new_cash_quantity = cash_position.quantity - txn_total_cost
self.pos_handler.update_position(self.cash_position_key,
quantity=new_cash_quantity,
current_dt=self.current_dt)
# Form Portfolio history details
direction = "LONG" if txn.direction > 0 else "SHORT"
description = "%s %s %s %0.2f %s" % (
direction, txn.quantity, txn.asset.upper(), txn.price,
datetime.datetime.strftime(txn.dt, "%d/%m/%Y"))
if direction == "LONG":
pe = PortfolioEvent(dt=txn.dt,
type='asset_transaction',
description=description,
debit=round(txn_total_cost, 2),
credit=0.0,
balance=round(self.total_cash, 2))
self.logger.info(
'(%s) Asset "%s" transacted LONG in portfolio "%s" '
'- Debit: %0.2f, Balance: %0.2f' %
(txn.dt.strftime(settings.LOGGING["DATE_FORMAT"]), txn.asset,
self.portfolio_id, round(txn_total_cost,
2), round(self.total_cash, 2)))
else:
pe = PortfolioEvent(dt=txn.dt,
type='asset_transaction',
description=description,
debit=0.0,
credit=-1.0 * round(txn_total_cost, 2),
balance=round(self.total_cash, 2))
self.logger.info(
'(%s) Asset "%s" transacted SHORT in portfolio "%s" '
'- Credit: %0.2f, Balance: %0.2f' %
(txn.dt.strftime(settings.LOGGING["DATE_FORMAT"]), txn.asset,
self.portfolio_id, -1.0 * round(txn_total_cost, 2),
round(self.total_cash, 2)))
self.history.append(pe)
def subscribe_funds(self, dt, amount):
"""
Credit funds to the portfolio.
"""
if dt < self.current_dt:
raise ValueError('Subscription datetime (%s) is earlier than '
'current portfolio datetime (%s). Cannot '
'subscribe funds.' % (dt, self.current_dt))
self.current_dt = dt
if amount < 0.0:
raise ValueError('Cannot credit negative amount: '
'%s to the portfolio.' % amount)
cash_position = self.pos_handler.positions[self.cash_position_key]
new_quantity = cash_position.quantity + amount
self.pos_handler.update_position(self.cash_position_key,
quantity=new_quantity,
current_dt=self.current_dt)
self.history.append(
PortfolioEvent.create_subscription(self.current_dt, amount,
self.total_cash))
self.logger.info(
'(%s) Funds subscribed to portfolio "%s" '
'- Credit: %0.2f, Balance: %0.2f' %
(self.current_dt.strftime(settings.LOGGING["DATE_FORMAT"]),
self.portfolio_id, round(amount, 2), round(self.total_cash, 2)))
def withdraw_funds(self, dt, amount):
"""
Withdraw funds from the portfolio if there is enough
cash to allow it.
"""
# Check that amount is positive and that there is
# enough in the portfolio to withdraw the funds
if dt < self.current_dt:
raise ValueError('Withdrawal datetime (%s) is earlier than '
'current portfolio datetime (%s). Cannot '
'withdraw funds.' % (dt, self.current_dt))
self.current_dt = dt
if amount < 0:
raise ValueError('Cannot debit negative amount: '
'%0.2f from the portfolio.' % amount)
if amount > self.cash:
raise ValueError('Not enough cash in the portfolio to '
'withdraw. %s withdrawal request exceeds '
'current portfolio cash balance of %s.' %
(amount, self.cash))
self.cash -= amount
self.history.append(
PortfolioEvent.create_withdrawal(self.current_dt, amount,
self.cash))
self.logger.info(
'(%s) Funds withdrawn from portfolio "%s" '
'- Debit: %0.2f, Balance: %0.2f' %
(self.current_dt.strftime(settings.LOGGING["DATE_FORMAT"]),
self.portfolio_id, round(amount, 2), round(self.cash, 2)))
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 _initialise_portfolio_with_cash(self):
"""
Initialise the portfolio with a (default) currency Cash Asset
with quantity equal to 'starting_cash'.
"""
self.cash = copy.copy(self.starting_cash)
if self.starting_cash > 0.0:
self.history.append(
PortfolioEvent.create_subscription(self.current_dt,
self.starting_cash,
self.starting_cash))
self.logger.info(
'(%s) Funds subscribed to portfolio "%s" '
'- Credit: %0.2f, Balance: %0.2f' %
(self.current_dt.strftime(
settings.LOGGING["DATE_FORMAT"]), self.portfolio_id,
round(self.starting_cash, 2), round(self.starting_cash, 2)))
def _initialise_portfolio_with_cash(self):
self.cash = copy.copy(self.starting_cash)
if self.starting_cash > 0.0:
self.history.append(
PortfolioEvent.create_subscription(
self.current_k, self.starting_cash, self.starting_cash
)
)
self.logger.info(
'(%s) Funds subscribed to portfolio "%s" '
'- Credit: %0.2f, Balance: %0.2f' % (
self.current_k,
# self.current_k.strftime(settings.LOGGING["DATE_FORMAT"]),
self.portfolio_id,
round(self.starting_cash, 2),
round(self.starting_cash, 2)
)
)
def _initialise_portfolio_with_cash(self):
"""
Initialise the portfolio with a (default) currency Cash Asset
with quantity equal to 'starting_cash'.
"""
cash_position = Position(self.cash_position_key,
self.starting_cash,
book_cost_pu=1.0,
current_price=1.0,
current_dt=self.current_dt)
self.pos_handler.positions[self.cash_position_key] = cash_position
if self.starting_cash > 0.0:
self.history.append(
PortfolioEvent.create_subscription(self.current_dt,
self.starting_cash,
self.starting_cash))
self.logger.info(
'(%s) Funds subscribed to portfolio "%s" '
'- Credit: %0.2f, Balance: %0.2f' %
(self.current_dt.strftime(
settings.LOGGING["DATE_FORMAT"]), self.portfolio_id,
round(self.starting_cash, 2), round(self.starting_cash, 2)))
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 transact_stock(self, txn):
if txn.dt < self.current_k:
raise ValueError(
'Transaction datetime (%s) is earlier than '
'current portfolio datetime (%s). Cannot '
'transact assets.' % (txn.dt, self.current_dt)
)
self.current_dt = txn.dt
txn_share_cost = txn.price * txn.quantity
txn_total_cost = txn_share_cost + txn.commission
if txn_total_cost > self.cash:
if settings.PRINT_EVENTS:
print(
'WARNING: Not enough cash in the portfolio to '
'carry out transaction. Transaction cost of %s '
'exceeds remaining cash of %s. Transaction '
'will proceed with a negative cash balance.' % (
txn_total_cost, self.cash
)
)
self.pos_handler.transact_position(txn)
self.cash -= txn_total_cost
# Form Portfolio history details
direction = "LONG" if txn.direction > 0 else "SHORT"
description = "%s %s %s %0.2f %s" % (
direction, txn.quantity, txn.asset.upper(),
txn.price, datetime.datetime.strftime(txn.dt, "%d/%m/%Y")
)
if direction == "LONG":
pe = PortfolioEvent(
dt=txn.dt, type='asset_transaction',
description=description,
debit=round(txn_total_cost, 2), credit=0.0,
balance=round(self.cash, 2)
)
self.logger.info(
'(%s) Asset "%s" transacted LONG in portfolio "%s" '
'- Debit: %0.2f, Balance: %0.2f' % (
txn.dt.strftime(settings.LOGGING["DATE_FORMAT"]),
txn.asset, self.portfolio_id,
round(txn_total_cost, 2), round(self.cash, 2)
)
)
else:
pe = PortfolioEvent(
dt=txn.dt, type='asset_transaction',
description=description,
debit=0.0, credit=-1.0 * round(txn_total_cost, 2),
balance=round(self.cash, 2)
)
self.logger.info(
'(%s) Asset "%s" transacted SHORT in portfolio "%s" '
'- Credit: %0.2f, Balance: %0.2f' % (
txn.dt.strftime(settings.LOGGING["DATE_FORMAT"]),
txn.asset, self.portfolio_id,
-1.0 * round(txn_total_cost, 2), round(self.cash, 2)
)
)
self.history.append(pe)