def test_multi_orders(self):
# Settings: (Use list to contain data)
date_range = pd.date_range('2020-01-01', periods=3, freq='D')
order_info = [('market', 'ticker1', 3.0, None),
('target', 'ticker1', 2.0, 1.1),
('target', 'ticker2', 2.0, 0.2),
('limit_up', 'ticker1', 3.0, 2.0),
('limit_up', 'ticker2', -4.0, 1.8),
('limit_down', 'ticker2', 3.0, 4.2)]
execute_price = [1.0, 1.1, None, 2.0, None, 4.2]
# Backtest on the period:
for i in range(len(date_range)):
date = date_range[i]
self.trading_system.create_order(bt.Order(*order_info[i * 2]))
self.trading_system.create_order(bt.Order(*order_info[i * 2 + 1]))
self.market.execute_orders(self.trading_system, date)
# Expected final result:
transaction = pd.DataFrame(
dict(
Date=pd.to_datetime(['2020-01-01'] * 4 + ['2020-01-03'] * 4),
Ticker=['ticker1', 'Cash'] * 3 + ['ticker2', 'Cash'],
Quantity=[3., -3., 2., -2.2, 3., -6., 3., -12.6],
))
account = bt.Account(date_range[-1], {
'ticker1': 8.,
'ticker2': 3.,
'Cash': -23.8,
})
order_book = [bt.Order(*order_info[2]), bt.Order(*order_info[4])]
assert_frame_equal(self.trading_system.transaction, transaction)
self.assertEqual(self.trading_system.account, account)
self.assertEqual(self.trading_system.order_book, order_book)
def test_target_fail_order(self):
order_book = []
# Create target buy order:
share, price = 3., 4.3
order = bt.Order('target', 'ticker1', share, price)
self.trading_system.create_order(order)
order_book.append(order)
# Execute at '2020-01-01' and fail:
date = pd.to_datetime('2020-01-01')
self.market.execute_orders(self.trading_system, date)
transaction = pd.DataFrame(columns=['Date', 'Ticker', 'Quantity'])
transaction = transaction.astype({'Ticker': str, 'Quantity': float})
account = (date, dict())
assert_frame_equal(self.trading_system.transaction, transaction)
self.assertEqual(self.trading_system.account, account)
self.assertEqual(self.trading_system.order_book, order_book)
# Create target sell order:
share, price = 2., 1.5
order = bt.Order('target', 'ticker2', -share, price)
self.trading_system.create_order(order)
order_book.append(order)
self.assertEqual(self.trading_system.order_book, order_book)
# Execute at '2020-01-03' and fail:
date = pd.to_datetime('2020-01-03')
self.market.execute_orders(self.trading_system, date)
account = (date, dict())
assert_frame_equal(self.trading_system.transaction, transaction)
self.assertEqual(self.trading_system.account, account)
self.assertEqual(self.trading_system.order_book, order_book)
def test_limit_down_sell_intra_order(self):
order_type, ticker, share, price = 'limit_down', 'ticker2', -2.0, 3.5
date = pd.to_datetime('2020-01-02')
execute_price = 3.5
# Create limit up order:
order = bt.Order(order_type, ticker, share, price)
self.trading_system.create_order(order)
order_book = [order]
self.assertEqual(self.trading_system.order_book, order_book)
# Execute at '2020-01-02' and succeed at open:
self.market.execute_orders(self.trading_system, date)
transaction = pd.DataFrame(
dict(
Date=[date] * 2,
Ticker=[ticker, 'Cash'],
Quantity=[share, -share * execute_price],
))
account = bt.Account(date, {
ticker: share,
'Cash': -share * execute_price,
})
order_book = list()
assert_frame_equal(self.trading_system.transaction, transaction)
self.assertEqual(self.trading_system.account, account)
self.assertEqual(self.trading_system.order_book, order_book)
def test_limit_down_sell_fail_order(self):
# Setting for test:
order_type, ticker, share, price = 'limit_down', 'ticker1', -2.0, 4.1
date = pd.to_datetime('2020-01-02')
execute_price = None
# Create limit up buy order:
order = bt.Order(order_type, ticker, share, price)
self.trading_system.create_order(order)
order_book = [order]
self.assertEqual(self.trading_system.order_book, order_book)
# Execute at '2020-01-02' and fail:
self.market.execute_orders(self.trading_system, date)
transaction = pd.DataFrame(columns=['Date', 'Ticker', 'Quantity'])
transaction = transaction.astype({'Ticker': str, 'Quantity': float})
account = (date, dict())
assert_frame_equal(self.trading_system.transaction, transaction)
self.assertEqual(self.trading_system.account, account)
self.assertEqual(self.trading_system.order_book, order_book)
def test_target_buy_order(self):
# Create target buy order:
share, price = 1.0, 3.2
order = bt.Order('target', 'ticker1', share, price)
self.trading_system.create_order(order)
order_book = [order]
self.assertEqual(self.trading_system.order_book, order_book)
# Execute at '2020-01-02' and succeed:
date = pd.to_datetime('2020-01-02')
self.market.execute_orders(self.trading_system, date)
transaction = pd.DataFrame(
dict(
Date=[date, date],
Ticker=['ticker1', 'Cash'],
Quantity=[share, -share * price],
))
account = bt.Account(date, {'ticker1': share, 'Cash': -share * price})
order_book = list()
assert_frame_equal(self.trading_system.transaction, transaction)
self.assertEqual(self.trading_system.account, account)
self.assertEqual(self.trading_system.order_book, order_book)
def test_market_sell_order(self):
# Create market sell order:
share, price = 2., 4.
order = bt.Order('market', 'ticker2', -share, None)
self.trading_system.create_order(order)
order_book = [order]
self.assertEqual(self.trading_system.order_book, order_book)
# Execute a sell order at '2020-01-03'
date = pd.to_datetime('2020-01-03')
self.market.execute_orders(self.trading_system, date)
transaction = pd.DataFrame(
dict(
Date=[date] * 2,
Ticker=['ticker2', 'Cash'],
Quantity=[-share, share * price],
))
account = bt.Account(date, {
'ticker2': -share,
'Cash': share * price,
})
order_book = list()
assert_frame_equal(self.trading_system.transaction, transaction)
self.assertEqual(self.trading_system.account, account)
self.assertEqual(self.trading_system.order_book, order_book)
