def test_simulate_trade_mix_trades(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a2': 10}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock(return_value=1.5)
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=mi_calc,
limit_trade_step=False)
network.submit_sell_orders([Sell('a2', 2)])
network.submit_buy_orders([Buy('a1', 2)])
log = network.simulate_trade()
calls = [call(2, a2, -1), call(2, a1, 1)]
mi_calc.get_updated_price.assert_has_calls(calls, any_order=True)
self.assertDictEqual({'a1': '1->1.5', 'a2': '2->1.5'}, log)
self.assertFalse(network.buy_orders)
self.assertFalse(network.sell_orders)
def test_simulate_trade_buy_equals_sell(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a2': 10}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock()
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=mi_calc,
limit_trade_step=False)
network.submit_buy_orders([Buy('a1', 3)])
network.submit_sell_orders([Sell('a1', 3)])
log = network.simulate_trade()
mi_calc.get_updated_price.assert_not_called()
self.assertFalse(log)
self.assertFalse(network.buy_orders)
self.assertFalse(network.sell_orders)
self.assertTrue(a1.price == 1)
self.assertTrue(a2.price == 2)
def test_run_intraday_simulation_raises_exception_for_price_reduction(
self):
a0 = Asset(price=1, daily_volume=40, volatility=1.5, symbol='a0')
a1 = Asset(price=2, daily_volume=40, volatility=1.5, symbol='a1')
f0 = Fund('f0', {'a0': 10},
initial_capital=2,
initial_leverage=8,
tolerance=2)
f1 = Fund('f1', {
'a0': 10,
'a1': 1
},
initial_capital=1,
initial_leverage=1,
tolerance=3)
network = AssetFundsNetwork({
'f0': f0,
'f1': f1
}, {
'a0': a0,
'a1': a1
}, MockMarketImpactTestCalculator())
with self.assertRaises(ValueError):
network.run_intraday_simulation(0.8, 0.7)
def test_funds_under_risk(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=200, symbol='a2')
f1 = Fund('f1', {'a1': 10, 'a2': 10, 'a3': 10}, 100, 1, 1)
f2 = Fund('f2', {'a1': 10}, 100, 1, 1)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=MockMarketImpactTestCalculator())
network.reset_order_books = MagicMock()
network.simulate_trade = MagicMock()
network.submit_sell_orders = MagicMock()
network.get_funds_in_margin_calls = MagicMock(return_value=['f1'])
actions_mgr = ActionsManager(network.assets, 0.1)
actual_funds = actions_mgr._ActionsManager__funds_under_risk(network)
self.assertListEqual(actual_funds, ['f1'])
network.reset_order_books.assert_called_once()
network.submit_sell_orders.assert_called_once_with(
[Sell('a1', 10), Sell('a2', 20)])
network.simulate_trade.assert_called_once()
network.get_funds_in_margin_calls.assert_called_once()
def test_get_possible_defenses_integ(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=100, symbol='a2')
a3 = AssetFundNetwork.Asset(price=3, daily_volume=100, symbol='a3')
a4 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a4')
f1 = Fund('f1', {'a1': 10, 'a2': 10, 'a3': 10}, 100, 1, 1)
f2 = Fund('f2', {'a4': 10}, 100, 1, 1)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2,
'a3': a3,
'a4': a4
},
mi_calc=MockMarketImpactTestCalculator())
actions_mgr = ActionsManager(network.assets, 0.1)
history = {BUY: {'a1': 2}, SELL: {'a1': 1, 'a2': 2}}
budget = 20
actions_mgr._ActionsManager__funds_under_risk = MagicMock(
return_value=['f1'])
actual_defenses = actions_mgr.get_possible_defenses(
network, budget, history)
self.assertListEqual(actual_defenses, [([Buy('a2', 10)], 20), ([], 0)])
actions_mgr._ActionsManager__funds_under_risk.assert_called_once_with(
network)
def test_simulate_trade_sell_more_than_buy(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a2': 10}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock(return_value=0.5)
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=mi_calc,
limit_trade_step=False)
network.submit_buy_orders([Buy('a1', 2)])
network.submit_sell_orders([Sell('a1', 3)])
log = network.simulate_trade()
self.assertDictEqual({'a1': '1->0.5'}, log)
mi_calc.get_updated_price.assert_called_once_with(1, a1, -1)
self.assertFalse(network.buy_orders)
self.assertFalse(network.sell_orders)
self.assertTrue(a1.price == 0.5)
self.assertTrue(a2.price == 2)
def test_simulate_trade_sell_orders_in_buy_command(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a2': 10}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock()
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=mi_calc,
limit_trade_step=False)
exception = False
try:
network.submit_buy_orders([Buy('a1', 2), Sell('a1', 2)])
except TypeError:
exception = True
mi_calc.get_updated_price.assert_not_called()
self.assertTrue(exception)
def test_get_possible_attacks(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=10, symbol='a1')
a1.set_price(3)
a2 = AssetFundNetwork.Asset(price=2, daily_volume=4, symbol='a2')
a2.set_price(4)
a3 = AssetFundNetwork.Asset(price=7, daily_volume=2, symbol='a3')
f1 = Fund('f1', {'a1': 10, 'a2': 10, 'a3': 10}, 100, 1, 1)
f2 = Fund('f2', {'a1': 10}, 100, 1, 1)
SysConfig.set("STEP_ORDER_SIZE", 0.5)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2,
'a3': a3
},
mi_calc=MockMarketImpactTestCalculator())
actual_orders = get_possible_attacks(network, 10)
expected_orders = []
expected_orders.append(([Sell('a1', 5)], 5))
expected_orders.append(([Sell('a2', 2)], 4))
expected_orders.append(([Sell('a3', 1)], 7))
expected_orders.append(([Sell('a1', 5), Sell('a2', 2)], 9))
expected_orders.append(([], 0))
self.assertEqual(actual_orders, expected_orders)
def test_get_orders(self):
assets = {
'XXX': Asset(1, 20, 1.5, 'XXX'),
'YYY': Asset(1, 20, 1.5, 'yyy')
}
fund = Fund('F1', {'XXX': 5, 'YYY': 4}, 5, 2, 0.25)
self.assertEqual(fund.get_orders(assets), [])
def test_get_canonical_form(self):
a0 = Asset(price=1, daily_volume=40, volatility=1.5, symbol='a0')
a1 = Asset(price=2, daily_volume=40, volatility=1.5, symbol='a1')
f0 = Fund('f0', {'a0': 10},
initial_capital=2,
initial_leverage=8,
tolerance=2)
f1 = Fund('f1', {
'a0': 10,
'a1': 10
},
initial_capital=1,
initial_leverage=1,
tolerance=3)
network = AssetFundsNetwork({
'f0': f0,
'f1': f1
}, {
'a0': a0,
'a1': a1
}, MockMarketImpactTestCalculator())
expected_canonical_form = np.array([[10., 0.], [10., 20.]])
actual_canonical_form = network.get_canonical_form()
self.assertTrue(
np.array_equal(expected_canonical_form, actual_canonical_form))
def test_get_possible_defenses(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=10, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=4, symbol='a2')
a3 = AssetFundNetwork.Asset(price=7, daily_volume=2, symbol='a3')
f1 = Fund('f1', {'a1': 10, 'a2': 10, 'a3': 10}, 100, 1, 1)
f2 = Fund('f2', {'a1': 10}, 100, 1, 1)
SysConfig.set("STEP_ORDER_SIZE", 0.5)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2,
'a3': a3
},
mi_calc=MockMarketImpactTestCalculator())
actual_orders = get_possible_defenses(network, 10)
expected_orders = []
expected_orders.append(([Buy('a1', 5)], 5))
expected_orders.append(([Buy('a2', 2)], 4))
expected_orders.append(([Buy('a3', 1)], 7))
expected_orders.append(([Buy('a1', 5), Buy('a2', 2)], 9))
expected_orders.append(([], 0))
actual_orders.sort(key=operator.itemgetter(1))
expected_orders.sort(key=operator.itemgetter(1))
self.assertEqual(len(actual_orders), len(expected_orders))
for i in range(0, len(actual_orders)):
actual_orders[i][0].sort(key=lambda x: x.asset_symbol)
expected_orders[i][0].sort(key=lambda x: x.asset_symbol)
self.assertListEqual(actual_orders[i][0], expected_orders[i][0])
self.assertEqual(actual_orders[i][1], expected_orders[i][1])
def test_compute_compute_curr_leverage(self):
assets = {
'XXX': Asset(1, 20, 1.5, 'XXX'),
'YYY': Asset(4, 20, 1.5, 'yyy')
}
fund = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 3)
self.assertEqual(0.25, fund.compute_curr_leverage(assets))
def dont_test_get_possible_defenses(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=10, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=4, symbol='a2')
a3 = AssetFundNetwork.Asset(price=7, daily_volume=2, symbol='a3')
f1 = Fund('f1', {'a1': 10, 'a2': 10, 'a3': 10}, 100, 1, 1)
f2 = Fund('f2', {'a1': 10}, 100, 1, 1)
SysConfig.set("ORDER_SIZES", [0.5, 1])
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2,
'a3': a3
},
mi_calc=MockMarketImpactTestCalculator())
actual_orders = get_possible_defenses(network, 10)
expected_orders = []
expected_orders.append(([Buy('a1', 5)], 5))
expected_orders.append(([Buy('a1', 10)], 10))
expected_orders.append(([Buy('a2', 2)], 4))
expected_orders.append(([Buy('a2', 4)], 8))
expected_orders.append(([Buy('a3', 1)], 7))
expected_orders.append(([Buy('a1', 5), Buy('a2', 2)], 9))
expected_orders.append(([], 0))
self.assertEqual(actual_orders, expected_orders)
def test_marginal_call_true(self):
assets = {
'XXX': Asset(1, 20, 1.5, 'XXX'),
'YYY': Asset(1, 20, 1.5, 'yyy')
}
fund = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 3)
self.assertTrue(True, fund.marginal_call(assets))
def test_compute_portfolio_value(self):
assets = {
'XXX': Asset(1, 20, 1.5, 'XXX'),
'YYY': Asset(4, 20, 1.5, 'yyy')
}
fund = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 3)
self.assertEqual(50, fund.compute_portfolio_value(assets))
def test_gen_liquidation_orders(self):
SysConfig.set("MINUTE_VOLUME_LIMIT", 0.1)
assets = {
'XXX': Asset(2, 3900, 1.5, 'XXX'),
'YYY': Asset(1, 7900, 1.5, 'yyy'),
'ZZZ': Asset(1, 7900, 1.5, 'yyy')
}
fund = Fund('F1', {'XXX': 10, 'YYY': 11, 'ZZZ': 2}, 5, 2, 0.25)
expected_orders = [Sell('XXX', 1), Sell('YYY', 2), Sell('ZZZ', 2)]
expected_portfolio = {'XXX': 9, 'YYY': 9}
orders = fund.gen_liquidation_orders(assets)
self.assertEqual(orders, expected_orders)
self.assertEqual(fund.portfolio, expected_portfolio)
def test_is_liquidated(self):
fund = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 3)
self.assertFalse(fund.is_in_margin_call())
fund.is_liquidating = True
self.assertTrue(fund.is_in_margin_call())
fund.is_liquidating = False
self.assertFalse(fund.is_in_margin_call())
def test_default(self):
fund = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 3)
self.assertFalse(fund.default())
fund.is_in_default = True
self.assertTrue(fund.default())
fund.is_in_default = False
self.assertFalse(fund.default())
def dont_test_get_possible_defenses_unit(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=100, symbol='a2')
a3 = AssetFundNetwork.Asset(price=3, daily_volume=100, symbol='a3')
a4 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a4')
f1 = Fund('f1', {'a1': 10, 'a2': 10, 'a3': 10}, 100, 1, 1)
f2 = Fund('f2', {'a4': 10}, 100, 1, 1)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2,
'a3': a3,
'a4': a4
},
mi_calc=MockMarketImpactTestCalculator())
actions_mgr = ActionsManager(network.assets, 0.1)
actions_mgr.funds_under_risk = MagicMock(return_value=['f1'])
actions_mgr.get_single_orders = MagicMock(
return_value=[Buy('a1', 10),
Buy('a2', 10),
Buy('a3', 10)])
expected_order_set = [[Buy('a1', 10)]]
actions_mgr.get_defenses_in_budget = MagicMock(
return_value=[(expected_order_set, 10)])
history = {BUY: {'a1': 2}, SELL: {'a1': 1, 'a2': 2}}
budget = 60
actual_defenses = actions_mgr.get_possible_defenses(
network, budget, history)
self.assertListEqual(actual_defenses, [(expected_order_set, 10),
([], 0)])
actions_mgr.funds_under_risk.assert_called_once_with(network)
defense_assets = {
'a2': a2,
'a1': a1,
'a3': a3,
}
actions_mgr.get_single_orders.assert_called_once_with(defense_assets)
filtered_defenses = [Buy('a2', 10), Buy('a3', 10)]
actions_mgr.get_defenses_in_budget.assert_called_once_with(
defense_assets, filtered_defenses)
def test_tree(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a1': 20}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock()
mi_calc.get_updated_price.side_effect = update_price_side_effects
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2
},
assets={'a1': a1},
mi_calc=mi_calc,
limit_trade_step=False)
action_manager = ActionsManager(network.assets, 0.5, 1, [50, 30])
SysConfig.set("STEP_ORDER_SIZE", 0.5)
f1.marginal_call = MagicMock(return_value=False)
f2.marginal_call = MagicMock()
f2.marginal_call.side_effect = f1_margin_call_side_effect
actual_tree = PortfolioFlashCrashRootChanceGameState(
action_manager, af_network=network, defender_budget=50)
expected_tree = self.gen_tree()
self.assertEqual(actual_tree.chance_prob(), {'p1': 0.75, 'p2': 0.25})
self.assertEqual(actual_tree.tree_size, 8)
self.cmp_tree(expected_tree, actual_tree)
def test_reset_books(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a2': 10}, 100, 1, 1)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=MockMarketImpactTestCalculator(),
limit_trade_step=True)
network.submit_buy_orders([Buy('a1', 2)])
network.submit_sell_orders([Sell('a1', 2)])
self.assertTrue(network.sell_orders)
self.assertTrue(network.buy_orders)
network.reset_order_books()
self.assertFalse(network.sell_orders)
self.assertFalse(network.buy_orders)
def dont_test_get_possible_attacks_single_asset_per_attack(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=2, symbol='a1')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
SysConfig.set("ORDER_SIZES", [0.5, 1])
network = AssetFundNetwork.AssetFundsNetwork(
funds={'f1': f1},
assets={'a1': a1},
mi_calc=MockMarketImpactTestCalculator())
actual_sell_orders = get_possible_attacks(network, 10)
expected_sell_orders = []
expected_sell_orders.append(([Sell('a1', 2)], 2))
expected_sell_orders.append(([Sell('a1', 1)], 1))
expected_sell_orders.append(([], 0))
self.assertEqual(actual_sell_orders, expected_sell_orders)
def test_update_state_margin_only(self):
assets = {
'XXX': Asset(1, 20, 1.5, 'XXX'),
'YYY': Asset(1, 20, 1.5, 'yyy')
}
fund = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 0.25)
fund.update_state(assets)
self.assertTrue(fund.is_in_margin_call())
self.assertFalse(fund.default())
def test_run_intraday_simulation_price_rises(self):
a0 = Asset(price=1, daily_volume=40, volatility=1.5, symbol='a0')
a1 = Asset(price=2, daily_volume=40, volatility=1.5, symbol='a1')
f0 = Fund('f0', {'a0': 10},
initial_capital=2,
initial_leverage=8,
tolerance=2)
f1 = Fund('f1', {
'a0': 10,
'a1': 1
},
initial_capital=1,
initial_leverage=1,
tolerance=3)
network = AssetFundsNetwork({
'f0': f0,
'f1': f1
}, {
'a0': a0,
'a1': a1
}, MockMarketImpactTestCalculator())
network.run_intraday_simulation(1.5, 1)
self.assertTrue(a0.price >= 1)
self.assertTrue(a1.price >= 2)
def test_simulate_trade_limit_trade_step(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1000, symbol='a1')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock(return_value=1.5)
network = AssetFundNetwork.AssetFundsNetwork(funds={'f1': f1},
assets={'a1': a1},
mi_calc=mi_calc)
SysConfig.set('TIME_STEP_MINUTES', 1)
SysConfig.set('DAILY_PORTION_PER_MIN', 0.001)
network.submit_buy_orders([Buy('a1', 2)])
log = network.simulate_trade()
self.assertDictEqual({'a1': '1->1.5'}, log)
mi_calc.get_updated_price.assert_called_once_with(1, a1, 1)
self.assertEqual(network.buy_orders['a1'], 1)
def test_run_intraday_simulation_goal_leverage_reached(self):
a0 = Asset(price=1, daily_volume=40, volatility=1.5, symbol='a0')
a1 = Asset(price=2, daily_volume=40, volatility=1.5, symbol='a1')
f0 = Fund('f0', {'a0': 10},
initial_capital=2,
initial_leverage=8,
tolerance=2)
f1 = Fund('f1', {
'a0': 10,
'a1': 1
},
initial_capital=1,
initial_leverage=1,
tolerance=3)
assets = {'a0': a0, 'a1': a1}
network = AssetFundsNetwork({
'f0': f0,
'f1': f1
}, assets, MockMarketImpactTestCalculator())
network.run_intraday_simulation(2, 0.8)
self.assertTrue(f0.compute_curr_leverage(assets) <= 0.8)
self.assertTrue(f1.compute_curr_leverage(assets) <= 0.8)
def test_update_funds(self):
assets = {
'XXX': Asset(1, 20, 1.5, 'XXX'),
'YYY': Asset(1, 20, 1.5, 'yyy')
}
f1 = Fund('F1', {'XXX': 10, 'YYY': 10}, 5, 2, 0.25)
f2 = Fund('F1', {'XXX': 5, 'YYY': 4}, 5, 2, 0.25)
f3 = Fund('F1', {'XXX': 20, 'YYY': 4}, 5, 2, 4)
network = AssetFundsNetwork({
'f1': f1,
'f2': f2,
'f3': f3
}, assets, MockMarketImpactTestCalculator())
network.update_funds()
self.assertTrue(f1.is_in_margin_call())
self.assertFalse(f1.default())
self.assertTrue(f2.is_in_margin_call())
self.assertTrue(f2.default())
self.assertFalse(f3.is_in_margin_call())
self.assertFalse(f3.default())
"""a0 = Asset(price=1, daily_volume=40, volatility=1.5, symbol='a0')