def test_long_compute_4():
"""
在没有交易流水情况下的处理
"""
busi_date = "2017-03-21"
yesterday = "2017-03-20"
data = {}
data["trade_id"] = "trade_id"
data["secu_acc_id"] = "secu_acc_id"
data["prd_no"] = "prd_no"
data["busi_date"] = busi_date
data["open_detail"] = [{
"orig_trd_amt": "4000",
"orig_trd_qty": "500",
"trd_amt": "4000",
"gain_return": "0.0",
"unclose_inv": "4000",
"weighted_term": "1.0",
"trd_qty": "500",
"close_amt": "0.0",
"unclose_qty": "500",
"exception_label": "0",
"open_date": "2017-03-16",
"open_timestamp": "1489748407",
"unclose_amt": "4000"
}]
data["now_trd"] = None
data["qty"] = 400
data["mkt_val"] = 3600
re = long_compute(data, busi_date, yesterday)
assert_equal(re['close_detail'][0]['return_rate'], '0.5')
assert_equal(re['close_detail'][0]['weighted_term'], '0.2')
def test_long_compute():
"""
考虑正常情况下普通交易
"""
busi_date = "2017-03-20"
yesterday = "2017-03-17"
data = {}
data["trade_id"] = "trade_id"
data["secu_acc_id"] = "secu_acc_id"
data["prd_no"] = "prd_no"
data["busi_date"] = busi_date
data["open_detail"] = [{
"orig_trd_amt": "2846482.0",
"orig_trd_qty": "296200",
"trd_amt": "2846482.0",
"unclose_inv": "2846482.0",
"weighted_term": "1.0",
"gain_return": "0.0",
"trd_qty": "296200",
"close_amt": "0.0",
"unclose_qty": "296200",
"exception_label": "0",
"open_date": "2017-03-16",
"open_timestamp": "1489626000",
"unclose_amt": "2825748.0"
}, {
"orig_trd_amt": "958.24",
"orig_trd_qty": "100",
"trd_amt": "958.24",
"gain_return": "0.0",
"unclose_inv": "958.24",
"weighted_term": "1.0",
"trd_qty": "100",
"close_amt": "0.0",
"unclose_qty": "100",
"exception_label": "0",
"open_date": "2017-03-17",
"open_timestamp": "1489748407",
"unclose_amt": "954.0"
}]
data["now_trd"] = [{
"timestamp": 1490004007,
"trd_qty": -296300,
"trd_cash_flow": -2828957.76,
"amortize_label": 0
}]
data["qty"] = None
data["mkt_val"] = None
re = long_compute(data, busi_date, yesterday)
cal_return = int(sum([item.get('return') for item in re['close_detail']]))
exp_return = int(
2828957.76 -
sum([float(item.get('orig_trd_amt')) for item in data['open_detail']]))
assert_equal(cal_return, exp_return)
exp_return_rate = (2828957.76 - 958.24 - 2846482) / (958.24 + 2846482)
cal_return_rate = re['close_detail'][0].get('return_rate')
assert_less(abs(exp_return_rate - cal_return_rate), 1e-4)
def test_short_compute_1():
"""
分红分股情况下，正常做空
"""
busi_date = "2017-03-21"
yesterday = "2017-03-20"
data = {}
data["trade_id"] = "trade_id"
data["secu_acc_id"] = "secu_acc_id"
data["prd_no"] = "prd_no"
data["busi_date"] = busi_date
data["open_detail"] = [{
"orig_trd_amt": "-1439280.0",
"orig_trd_qty": "-14400",
"trd_amt": "-1439280.0",
"weighted_term": "1.0",
"gain_return": 0,
"unclose_inv": "-1439280.0",
"trd_qty": "-14400",
"open_type": "trade_exception",
"close_amt": "0.0",
"unclose_qty": "-14400",
"exception_label": "0",
"open_date": "2017-03-20",
"open_timestamp": "1489993201",
"unclose_amt": "-1439280.0"
}]
data["now_trd"] = [{
"timestamp": 1490108421,
"trd_qty": -36000,
"trd_cash_flow": 0.0,
"amortize_label": 1
}, {
"timestamp": 1490108420,
"trd_qty": 0,
"trd_cash_flow": 1440.0,
"amortize_label": 1
}]
data["liab_qty"] = -50400
data["mkt_val"] = -1453032.0
re = short_compute(data, busi_date, yesterday)
assert_equal(re['close_detail'], [])
def test_long_compute2():
"""
考虑在分红分股情况下的，做多异常处理
"""
busi_date = "2017-01-04"
yesterday = "2017-01-03"
data = {}
data["trade_id"] = "trade_id"
data["secu_acc_id"] = "secu_acc_id"
data["prd_no"] = "prd_no"
data["busi_date"] = busi_date
data["open_detail"] = [{
"orig_trd_amt": "1000.0",
"orig_trd_qty": "100",
"trd_amt": "1000.0",
"unclose_inv": "1000.0",
"gain_return": "0.0",
"weighted_term": "4.0",
"trd_qty": "100",
"open_type": "trade",
"close_amt": "0.0",
"unclose_qty": "100",
"exception_label": "0",
"open_date": "2017-01-01",
"open_timestamp": "1489993201",
"unclose_amt": "1000"
}, {
"orig_trd_amt": "6000.0",
"orig_trd_qty": "600",
"trd_amt": "6000.0",
"unclose_inv": "6000.0",
"weighted_term": "3.0",
"trd_qty": "600",
"gain_return": "0.0",
"open_type": "trade",
"close_amt": "0.0",
"unclose_qty": "600",
"exception_label": "0",
"open_date": "2017-01-02",
"open_timestamp": "1489993202",
"unclose_amt": "6000"
}, {
"orig_trd_amt": "5000.0",
"orig_trd_qty": "500",
"trd_amt": "5000.0",
"gain_return": "0.0",
"unclose_inv": "5000.0",
"weighted_term": "3.0",
"trd_qty": "500",
"open_type": "trade",
"close_amt": "0.0",
"unclose_qty": "500",
"exception_label": "0",
"open_date": "2017-01-02",
"open_timestamp": "1489993203",
"unclose_amt": "5000"
}]
data["now_trd"] = [{
"timestamp": 1489993205,
"trd_qty": 0,
"trd_cash_flow": -700.0,
"amortize_label": 1
}, {
"timestamp": 1489993206,
"trd_qty": 700,
"trd_cash_flow": 0.0,
"amortize_label": 1
}, {
"timestamp": 1489993204,
"trd_qty": -500,
"trd_cash_flow": -4500.0,
"amortize_label": 0
}]
data["qty"] = None
data["mkt_val"] = None
re = long_compute(data, busi_date, yesterday)
exp_result = [{
'close_inv': '5000.0',
'weighted_term': '3.2',
'return': '-500.0',
'open_qty': '-500',
'exception_label': '0',
'return_rate': '-0.1',
'unclose_amt': '0.0',
'close_date': '2017-01-04',
'close_type': 'trade',
'close_amt': '4500.0',
'close_timestamp': '1489993204',
'open_amt': '-4500.0',
'close_qty': '500',
'open_date': '2017-01-04',
'unclose_qty': '0'
}, {
'return': '500.0',
'open_qty': '1000',
'weighted_term': '3.0',
'return_rate': '0.1',
'unclose_amt': '0.0',
'exception_label': '1',
'close_date': '2017-01-04',
'open_amt': '5500.0',
'close_type': 'trade_exception',
'close_amt': '5500.0',
'close_timestamp': '1537860183324',
'open_date': '2017-01-02',
'close_qty': '1000',
'close_inv': '5000.0',
'unclose_qty': '0'
}, {
'return': '200.0',
'open_qty': '400',
'weighted_term': '3.0',
'return_rate': '0.1',
'unclose_amt': '0.0',
'exception_label': '1',
'close_date': '2017-01-04',
'open_amt': '2200.0',
'close_type': 'trade_exception',
'close_amt': '2200.0',
'close_timestamp': '1537860183324',
'open_date': '2017-01-02',
'close_qty': '400',
'close_inv': '2000.0',
'unclose_qty': '0'
}]
for i in xrange(0, 3):
assert_equal(re['close_detail'][i]['return'], exp_result[i]['return'])
assert_equal(re['close_detail'][i]['weighted_term'],
exp_result[i]['weighted_term'])
def test_long_compute3():
"""
考虑在配股,分红，分股情况下，正常做多交易
"""
busi_date = "2017-01-04"
yesterday = "2017-01-03"
data = {}
data["trade_id"] = "trade_id"
data["secu_acc_id"] = "secu_acc_id"
data["prd_no"] = "prd_no"
data["busi_date"] = busi_date
data["open_detail"] = [{
"orig_trd_amt": "19726.31",
"orig_trd_qty": "1000",
"trd_amt": "19726.31",
"unclose_inv": "19726.31",
"weighted_term": "3.0",
"trd_qty": "1000",
"open_type": "trade",
"gain_return": "0.0",
"close_amt": "0.0",
"unclose_qty": "1000",
"exception_label": "0",
"open_date": "2017-01-01",
"open_timestamp": "1489993201",
"unclose_amt": "19726.31"
}]
data["now_trd"] = [
{
"timestamp": 1489993203,
"trd_qty": 1000,
"trd_cash_flow": 18806.02,
"amortize_label": 0
},
{
"timestamp": 1489993204,
"trd_qty": -500,
"trd_cash_flow": -9470.32,
"amortize_label": 0
},
{
"timestamp": 1489993205,
"trd_qty": 0,
"trd_cash_flow": -126.0,
"amortize_label": 1
},
{
"timestamp": 1489993206,
"trd_qty": 1500,
"trd_cash_flow": 0.0,
"amortize_label": 1
},
{
"timestamp": 1489993207,
"trd_qty": -1500,
"trd_cash_flow": -13735.96,
"amortize_label": 0
},
{
"timestamp": 1489993208,
"trd_qty": -1000,
"trd_cash_flow": -8706.11,
"amortize_label": 0
},
{
"timestamp": 1489993209,
"trd_qty": -300,
"trd_cash_flow": -2692.25,
"amortize_label": 0
},
{
"timestamp": 1489993210,
"trd_qty": -100,
"trd_cash_flow": -894.08,
"amortize_label": 0
},
{
"timestamp": 1489993211,
"trd_qty": -100,
"trd_cash_flow": -869.1,
"amortize_label": 0
},
]
data["qty"] = None
data["mkt_val"] = None
re = long_compute(data, busi_date, yesterday)
print re['close_detail']
print re['open_detail']
rel_return = sum([float(item['return']) for item in re['close_detail']])
exp_return = sum([
float(item['close_amt']) + float(item['unclose_amt']) -
float(item['trd_amt']) for item in re['open_detail']
])
print rel_return
assert_equal(abs(rel_return - exp_return) > 0.0001, False)
def test_long_compute3():
"""
考虑在配股,分红，分股情况下，正常做多交易
"""
busi_date = "2017-01-04"
yesterday = "2017-01-03"
data = {}
data["trade_id"] = "trade_id"
data["secu_acc_id"] = "secu_acc_id"
data["prd_no"] = "prd_no"
data["busi_date"] = busi_date
data["open_detail"] = [{
"orig_trd_amt": "1000.0",
"orig_trd_qty": "100",
"trd_amt": "1000.0",
"unclose_inv": "1000.0",
"weighted_term": "3.0",
"trd_qty": "100",
"open_type": "trade",
"gain_return": "0.0",
"close_amt": "0.0",
"unclose_qty": "100",
"exception_label": "0",
"open_date": "2017-01-01",
"open_timestamp": "1489993201",
"unclose_amt": "1000"
}, {
"orig_trd_amt": "6600.0",
"orig_trd_qty": "600",
"trd_amt": "6600.0",
"unclose_inv": "6600.0",
"weighted_term": "2.0",
"trd_qty": "600",
"gain_return": "0.0",
"open_type": "trade",
"close_amt": "0.0",
"unclose_qty": "600",
"exception_label": "0",
"open_date": "2017-01-02",
"open_timestamp": "1489993202",
"unclose_amt": "6600"
}, {
"orig_trd_amt": "5000.0",
"orig_trd_qty": "500",
"trd_amt": "5000.0",
"unclose_inv": "5000.0",
"weighted_term": "2.0",
"trd_qty": "500",
"gain_return": "0.0",
"open_type": "trade",
"close_amt": "0.0",
"unclose_qty": "500",
"exception_label": "0",
"open_date": "2017-01-02",
"open_timestamp": "1489993203",
"unclose_amt": "5000"
}]
data["now_trd"] = [
{
"timestamp": 1489993204,
"trd_qty": -500,
"trd_cash_flow": -4500.0,
"amortize_label": 0
},
{
"timestamp": 1489993205,
"trd_qty": 0,
"trd_cash_flow": -700.0,
"amortize_label": 1
},
{
"timestamp": 1489993206,
"trd_qty": 700,
"trd_cash_flow": 1400.0,
"amortize_label": 1
},
{
"timestamp": 1489993207,
"trd_qty": 200,
"trd_cash_flow": 1100.0,
"amortize_label": 0
},
{
"timestamp": 1489993208,
"trd_qty": -1500,
"trd_cash_flow": -9000.0,
"amortize_label": 0
},
{
"timestamp": 1489993209,
"trd_qty": -100,
"trd_cash_flow": -590.0,
"amortize_label": 0
},
]
data["qty"] = None
data["mkt_val"] = None
re = long_compute(data, busi_date, yesterday)
print re['close_detail']
print re['open_detail']
rel_return = sum([float(item['return']) for item in re['close_detail']])
exp_return = sum([
float(item['close_amt']) + float(item['unclose_amt']) -
float(item['trd_amt']) for item in re['open_detail']
])
#print re
assert_equal(rel_return, exp_return)
def test_short_compute3():
"""
考虑在分红分股情况下的，做空异常处理
"""
busi_date = "2017-03-20"
yesterday = "2017-03-17"
data = {}
data["trade_id"] = "trade_id"
data["secu_acc_id"] = "secu_acc_id"
data["prd_no"] = "prd_no"
data["busi_date"] = busi_date
data["open_detail"] = [{
"orig_trd_amt": "-1000.0",
"orig_trd_qty": "-100",
"trd_amt": "-1000.0",
"unclose_inv": "-1000.0",
"weighted_term": "4.0",
"trd_qty": "-100",
"open_type": "trade",
"gain_return": "0",
"close_amt": "0.0",
"unclose_qty": "-100",
"exception_label": "0",
"open_date": "2017-01-01",
"open_timestamp": "1489993201",
"unclose_amt": "-1000"
}, {
"orig_trd_amt": "-6600.0",
"orig_trd_qty": "-600",
"trd_amt": "-6000.0",
"unclose_inv": "-6600.0",
"weighted_term": "3.0",
"trd_qty": "-600",
"gain_return": "0",
"open_type": "trade",
"close_amt": "0.0",
"unclose_qty": "-600",
"exception_label": "0",
"open_date": "2017-01-02",
"open_timestamp": "1489993202",
"unclose_amt": "-6600"
}, {
"orig_trd_amt": "-5000.0",
"orig_trd_qty": "-500",
"trd_amt": "-5000.0",
"gain_return": "0",
"unclose_inv": "-5000.0",
"weighted_term": "3.0",
"trd_qty": "-500",
"open_type": "trade",
"close_amt": "0.0",
"unclose_qty": "-500",
"exception_label": "0",
"open_date": "2017-01-02",
"open_timestamp": "1489993203",
"unclose_amt": "-5000"
}]
data["now_trd"] = [
{
"timestamp": 1489993204,
"trd_qty": 500,
"trd_cash_flow": 4500.0,
"amortize_label": 0
},
{
"timestamp": 1489993205,
"trd_qty": 0,
"trd_cash_flow": 700.0,
"amortize_label": 1
},
{
"timestamp": 1489993206,
"trd_qty": -700,
"trd_cash_flow": 1400,
"amortize_label": 1
},
{
"timestamp": 1489993207,
"trd_qty": -200,
"trd_cash_flow": -1100,
"amortize_label": 0
},
{
"timestamp": 1489993208,
"trd_qty": 1500,
"trd_cash_flow": 9000,
"amortize_label": 0
},
{
"timestamp": 1489993209,
"trd_qty": 100,
"trd_cash_flow": 590,
"amortize_label": 0
},
]
data["liab_qty"] = None
data["mkt_val"] = None
re = short_compute(data, busi_date, yesterday)
print re['close_detail']
exp_result = [{
'close_inv': '5400.0',
'weighted_term': '2.8',
'return': '900.0',
'open_qty': '500',
'exception_label': '0',
'return_rate': '0.2',
'unclose_amt': '0.0',
'close_date': '2017-03-20',
'close_type': 'trade',
'close_amt': '4500.0',
'close_timestamp': '1489993204',
'open_amt': '4500.0',
'close_qty': '500',
'open_date': '2017-03-20',
'unclose_qty': '0'
}, {
'close_inv': '7750.0',
'weighted_term': '-4.66666666667',
'return': '-3350.0',
'open_qty': '1500',
'exception_label': '0',
'return_rate': '-0.301801801802',
'unclose_amt': '0.0',
'close_date': '2017-03-20',
'close_type': 'trade',
'close_amt': '11100.0',
'close_timestamp': '1489993208',
'open_amt': '9000',
'close_qty': '1500',
'open_date': '2017-03-20',
'unclose_qty': '0'
}, {
'close_inv': '550.0',
'weighted_term': '0.0',
'return': '-40.0',
'open_qty': '100',
'exception_label': '0',
'return_rate': '-0.0677966101695',
'unclose_amt': '0.0',
'close_date': '2017-03-20',
'close_type': 'trade',
'close_amt': '590.0',
'close_timestamp': '1489993209',
'open_amt': '590',
'close_qty': '100',
'open_date': '2017-03-20',
'unclose_qty': '0'
}]
for i in xrange(len(exp_result)):
assert_equal(re['close_detail'][i]['return'], exp_result[i]['return'])