def setUp(self):
TestUnitSetUpStage.setUp(self)
self.call_order = create_filled_order(trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COMBO',
contract='CALL',
side='BUY',
quantity=1,
strike=211,
price=2.26,
net_price=-0.46)
self.put_order = create_filled_order(trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COMBO',
contract='PUT',
side='SELL',
quantity=-1,
strike=204,
price=2.72,
net_price=0.0)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_combo = StageLongCombo(filled_orders=filled_orders,
contract_right=self.contract_right)
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread="COMBO",
contract="CALL",
side="BUY",
quantity=1,
strike=211,
price=2.26,
net_price=-0.46,
)
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread="COMBO",
contract="PUT",
side="SELL",
quantity=-1,
strike=204,
price=2.72,
net_price=0.0,
)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_combo = StageLongCombo(filled_orders=filled_orders, contract_right=self.contract_right)
class TestStageLongCombo1(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.call_order = create_filled_order(trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COMBO',
contract='CALL',
side='BUY',
quantity=1,
strike=211,
price=2.26,
net_price=-0.46)
self.put_order = create_filled_order(trade_summary=self.trade_summary,
underlying=self.underlying,
spread='COMBO',
contract='PUT',
side='SELL',
quantity=-1,
strike=204,
price=2.72,
net_price=0.0)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_combo = StageLongCombo(filled_orders=filled_orders,
contract_right=self.contract_right)
def test_create_even_stage(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_combo.create_even_stage()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 203.54,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
})
self.check_in_stage(stage_cls=even_stage, price=203.54, expect=True)
self.check_in_stage(stage_cls=even_stage, price=204, expect=False)
self.check_get_status(even_stage,
new_price=203.54,
old_price=203.54,
expect='UNKNOWN')
def test_create_max_profit_stage(self):
"""
Create max profit stage using filled orders data
"""
max_profit_stage = self.long_combo.create_max_profit_stage()
self.method_test_create_stage(
stage=max_profit_stage,
name='MAX_PROFIT',
expression='{price_a} <= {current_price} <= {price_b}',
detail={
'price_a':
204.0,
'amount_a':
46.0,
'price_b':
211.0,
'amount_b':
46.0,
'left_status':
'VANISHING',
'left_expression':
'{price_a} <= {new_price} < {old_price} <= {price_b}',
'right_status':
'GUARANTEEING',
'right_expression':
'{price_a} <= {old_price} < {new_price} <= {price_b}',
})
self.check_in_stage(stage_cls=max_profit_stage, price=207, expect=True)
self.check_in_stage(stage_cls=max_profit_stage,
price=203,
expect=False)
self.check_get_status(max_profit_stage,
new_price=204,
old_price=206,
expect='VANISHING')
self.check_get_status(max_profit_stage,
new_price=208,
old_price=206,
expect='GUARANTEEING')
self.check_get_status(max_profit_stage,
new_price=206,
old_price=206,
expect='UNKNOWN')
def test_create_profit_stage1(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_combo.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price}',
detail={
'price_a': 211.0,
'amount_a': 46.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {new_price} < {old_price}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {old_price} < {new_price}',
})
self.check_in_stage(stage_cls=profit_stage, price=212, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=210, expect=False)
self.check_get_status(profit_stage,
new_price=212,
old_price=214,
expect='DECREASING')
self.check_get_status(profit_stage,
new_price=216,
old_price=214,
expect='PROFITING')
self.check_get_status(profit_stage,
new_price=215,
old_price=215,
expect='UNKNOWN')
def test_create_profit_stage2(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_combo.create_profit_stage2()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
203.54,
'amount_a':
0.0,
'price_b':
204.0,
'amount_b':
46.0,
'left_status':
'DECREASING',
'left_expression':
'{price_a} < {new_price} < {old_price} < {price_b}',
'right_status':
'PROFITING',
'right_expression':
'{price_a} < {old_price} < {new_price} < {price_b}',
})
self.check_in_stage(stage_cls=profit_stage, price=203.8, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=204.1, expect=False)
self.check_get_status(profit_stage,
new_price=203.6,
old_price=203.8,
expect='DECREASING')
self.check_get_status(profit_stage,
new_price=203.9,
old_price=203.7,
expect='PROFITING')
self.check_get_status(profit_stage,
new_price=203.8,
old_price=203.8,
expect='UNKNOWN')
def test_create_loss_stage2(self):
"""
Create profit stage using filled orders data
"""
loss_stage = self.long_combo.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{current_price} < {price_a}',
detail={
'price_a': 203.54,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'RECOVERING',
'left_expression': '{old_price} < {new_price} < {price_a}',
'right_status': 'LOSING',
'right_expression': '{new_price} < {old_price} < {price_a}',
})
self.check_in_stage(stage_cls=loss_stage, price=203, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=205, expect=False)
self.check_get_status(loss_stage,
new_price=202,
old_price=201,
expect='RECOVERING')
self.check_get_status(loss_stage,
new_price=201,
old_price=202,
expect='LOSING')
self.check_get_status(loss_stage,
new_price=202,
old_price=202,
expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.long_combo.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
class TestStageLongCombo1(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread="COMBO",
contract="CALL",
side="BUY",
quantity=1,
strike=211,
price=2.26,
net_price=-0.46,
)
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread="COMBO",
contract="PUT",
side="SELL",
quantity=-1,
strike=204,
price=2.72,
net_price=0.0,
)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_combo = StageLongCombo(filled_orders=filled_orders, contract_right=self.contract_right)
def test_create_even_stage(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_combo.create_even_stage()
self.method_test_create_stage(
stage=even_stage,
name="EVEN",
expression="{price_a} == {current_price}",
detail={
"price_a": 203.54,
"amount_a": 0.0,
"price_b": 0.0,
"amount_b": 0.0,
"left_status": "",
"left_expression": "",
"right_status": "",
"right_expression": "",
},
)
self.check_in_stage(stage_cls=even_stage, price=203.54, expect=True)
self.check_in_stage(stage_cls=even_stage, price=204, expect=False)
self.check_get_status(even_stage, new_price=203.54, old_price=203.54, expect="UNKNOWN")
def test_create_max_profit_stage(self):
"""
Create max profit stage using filled orders data
"""
max_profit_stage = self.long_combo.create_max_profit_stage()
self.method_test_create_stage(
stage=max_profit_stage,
name="MAX_PROFIT",
expression="{price_a} <= {current_price} <= {price_b}",
detail={
"price_a": 204.0,
"amount_a": 46.0,
"price_b": 211.0,
"amount_b": 46.0,
"left_status": "VANISHING",
"left_expression": "{price_a} <= {new_price} < {old_price} <= {price_b}",
"right_status": "GUARANTEEING",
"right_expression": "{price_a} <= {old_price} < {new_price} <= {price_b}",
},
)
self.check_in_stage(stage_cls=max_profit_stage, price=207, expect=True)
self.check_in_stage(stage_cls=max_profit_stage, price=203, expect=False)
self.check_get_status(max_profit_stage, new_price=204, old_price=206, expect="VANISHING")
self.check_get_status(max_profit_stage, new_price=208, old_price=206, expect="GUARANTEEING")
self.check_get_status(max_profit_stage, new_price=206, old_price=206, expect="UNKNOWN")
def test_create_profit_stage1(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_combo.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name="PROFIT",
expression="{price_a} < {current_price}",
detail={
"price_a": 211.0,
"amount_a": 46.0,
"price_b": 0.0,
"amount_b": 0.0,
"left_status": "DECREASING",
"left_expression": "{price_a} < {new_price} < {old_price}",
"right_status": "PROFITING",
"right_expression": "{price_a} < {old_price} < {new_price}",
},
)
self.check_in_stage(stage_cls=profit_stage, price=212, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=210, expect=False)
self.check_get_status(profit_stage, new_price=212, old_price=214, expect="DECREASING")
self.check_get_status(profit_stage, new_price=216, old_price=214, expect="PROFITING")
self.check_get_status(profit_stage, new_price=215, old_price=215, expect="UNKNOWN")
def test_create_profit_stage2(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_combo.create_profit_stage2()
self.method_test_create_stage(
stage=profit_stage,
name="PROFIT",
expression="{price_a} < {current_price} < {price_b}",
detail={
"price_a": 203.54,
"amount_a": 0.0,
"price_b": 204.0,
"amount_b": 46.0,
"left_status": "DECREASING",
"left_expression": "{price_a} < {new_price} < {old_price} < {price_b}",
"right_status": "PROFITING",
"right_expression": "{price_a} < {old_price} < {new_price} < {price_b}",
},
)
self.check_in_stage(stage_cls=profit_stage, price=203.8, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=204.1, expect=False)
self.check_get_status(profit_stage, new_price=203.6, old_price=203.8, expect="DECREASING")
self.check_get_status(profit_stage, new_price=203.9, old_price=203.7, expect="PROFITING")
self.check_get_status(profit_stage, new_price=203.8, old_price=203.8, expect="UNKNOWN")
def test_create_loss_stage2(self):
"""
Create profit stage using filled orders data
"""
loss_stage = self.long_combo.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name="LOSS",
expression="{current_price} < {price_a}",
detail={
"price_a": 203.54,
"amount_a": 0.0,
"price_b": 0.0,
"amount_b": 0.0,
"left_status": "RECOVERING",
"left_expression": "{old_price} < {new_price} < {price_a}",
"right_status": "LOSING",
"right_expression": "{new_price} < {old_price} < {price_a}",
},
)
self.check_in_stage(stage_cls=loss_stage, price=203, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=205, expect=False)
self.check_get_status(loss_stage, new_price=202, old_price=201, expect="RECOVERING")
self.check_get_status(loss_stage, new_price=201, old_price=202, expect="LOSING")
self.check_get_status(loss_stage, new_price=202, old_price=202, expect="UNKNOWN")
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print "run create_stages..."
stages = self.long_combo.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
