def setUp(self):
TestUnitSetUpStage.setUp(self)
self.sell_order = create_filled_order(trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='PUT',
side='SELL',
quantity=-1,
strike=125,
price=6.15,
net_price=1.75)
self.buy_order = create_filled_order(trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='PUT',
side='BUY',
quantity=2,
strike=120,
price=3.95,
net_price=0.0)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_put_backratio = StageLongPutBackratio(
filled_orders=filled_orders, contract_right=self.contract_right)
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.sell_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='PUT',
side='SELL',
quantity=-1,
strike=125,
price=6.15,
net_price=1.75
)
self.buy_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='PUT',
side='BUY',
quantity=2,
strike=120,
price=3.95,
net_price=0.0
)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_put_backratio = StageLongPutBackratio(
filled_orders=filled_orders, contract_right=self.contract_right
)
class TestStageLongPutBackratio1(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.sell_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='PUT',
side='SELL',
quantity=-1,
strike=125,
price=6.15,
net_price=1.75
)
self.buy_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='PUT',
side='BUY',
quantity=2,
strike=120,
price=3.95,
net_price=0.0
)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_put_backratio = StageLongPutBackratio(
filled_orders=filled_orders, contract_right=self.contract_right
)
def test_create_even_stage1(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_put_backratio.create_even_stage1()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 113.25,
'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=113.25, expect=True)
self.check_in_stage(stage_cls=even_stage, price=114, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(
stage_cls=even_stage, new_price=113.25, old_price=113.25, expect='UNKNOWN'
)
def test_create_max_loss_stage1(self):
"""
Create loss stage using filled orders data
"""
max_loss_stage = self.long_put_backratio.create_max_loss_stage1()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} == {current_price}',
detail={
'price_a': 120.0,
'amount_a': -675.0,
'price_b': 0,
'amount_b': 0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=max_loss_stage, price=120, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=122, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(max_loss_stage, new_price=120, old_price=120, expect='UNKNOWN')
def test_create_profit_stage1(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_put_backratio.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{current_price} < {price_a}',
detail={
'price_a': 113.25,
'amount_a': 0.0,
'price_b': 0,
'amount_b': 0,
'left_status': 'DECREASING',
'left_expression': '{old_price} < {new_price} < {price_a}',
'right_status': 'PROFITING',
'right_expression': '{new_price} < {old_price} < {price_a}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=112, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=116, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(profit_stage, new_price=112, old_price=111, expect='DECREASING')
self.check_get_status(profit_stage, new_price=109, old_price=110, expect='PROFITING')
self.check_get_status(profit_stage, new_price=112, old_price=112, expect='UNKNOWN')
def test_create_loss_stage1(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_put_backratio.create_loss_stage1()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 113.25,
'amount_a': 0.0,
'price_b': 120.00,
'amount_b': -675.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=115, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=111, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(loss_stage, new_price=116, old_price=117, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=118, old_price=116, expect='LOSING')
self.check_get_status(loss_stage, new_price=116, old_price=116, expect='UNKNOWN')
def test_create_loss_stage2(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_put_backratio.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 120.00,
'amount_a': -675.0,
'price_b': 125.0,
'amount_b': -175.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=122, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=118, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(loss_stage, new_price=123, old_price=122, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=123, old_price=124, expect='LOSING')
self.check_get_status(loss_stage, new_price=123, old_price=123, expect='UNKNOWN')
def test_create_max_loss_stage2(self):
"""
Create loss stage using filled orders data
"""
max_loss_stage = self.long_put_backratio.create_max_loss_stage2()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} <= {current_price}',
detail={
'price_a': 125.0,
'amount_a': -175.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'EASING',
'left_expression': '{price_a} <= {new_price} < {old_price}',
'right_status': 'WORST',
'right_expression': '{price_a} <= {old_price} < {new_price}',
}
)
self.check_in_stage(stage_cls=max_loss_stage, price=126, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=124, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(max_loss_stage, new_price=127, old_price=127, expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.long_put_backratio.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
class TestStageLongPutBackratio1(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.sell_order = create_filled_order(trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='PUT',
side='SELL',
quantity=-1,
strike=125,
price=6.15,
net_price=1.75)
self.buy_order = create_filled_order(trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='PUT',
side='BUY',
quantity=2,
strike=120,
price=3.95,
net_price=0.0)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_put_backratio = StageLongPutBackratio(
filled_orders=filled_orders, contract_right=self.contract_right)
def test_create_even_stage1(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_put_backratio.create_even_stage1()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 113.25,
'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=113.25, expect=True)
self.check_in_stage(stage_cls=even_stage, price=114, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(stage_cls=even_stage,
new_price=113.25,
old_price=113.25,
expect='UNKNOWN')
def test_create_max_loss_stage1(self):
"""
Create loss stage using filled orders data
"""
max_loss_stage = self.long_put_backratio.create_max_loss_stage1()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} == {current_price}',
detail={
'price_a': 120.0,
'amount_a': -675.0,
'price_b': 0,
'amount_b': 0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
})
self.check_in_stage(stage_cls=max_loss_stage, price=120, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=122, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(max_loss_stage,
new_price=120,
old_price=120,
expect='UNKNOWN')
def test_create_profit_stage1(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_put_backratio.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{current_price} < {price_a}',
detail={
'price_a': 113.25,
'amount_a': 0.0,
'price_b': 0,
'amount_b': 0,
'left_status': 'DECREASING',
'left_expression': '{old_price} < {new_price} < {price_a}',
'right_status': 'PROFITING',
'right_expression': '{new_price} < {old_price} < {price_a}',
})
self.check_in_stage(stage_cls=profit_stage, price=112, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=116, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(profit_stage,
new_price=112,
old_price=111,
expect='DECREASING')
self.check_get_status(profit_stage,
new_price=109,
old_price=110,
expect='PROFITING')
self.check_get_status(profit_stage,
new_price=112,
old_price=112,
expect='UNKNOWN')
def test_create_loss_stage1(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_put_backratio.create_loss_stage1()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
113.25,
'amount_a':
0.0,
'price_b':
120.00,
'amount_b':
-675.0,
'left_status':
'RECOVERING',
'left_expression':
'{price_a} < {new_price} < {old_price} < {price_b}',
'right_status':
'LOSING',
'right_expression':
'{price_a} < {old_price} < {new_price} < {price_b}',
})
self.check_in_stage(stage_cls=loss_stage, price=115, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=111, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(loss_stage,
new_price=116,
old_price=117,
expect='RECOVERING')
self.check_get_status(loss_stage,
new_price=118,
old_price=116,
expect='LOSING')
self.check_get_status(loss_stage,
new_price=116,
old_price=116,
expect='UNKNOWN')
def test_create_loss_stage2(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_put_backratio.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
120.00,
'amount_a':
-675.0,
'price_b':
125.0,
'amount_b':
-175.0,
'left_status':
'RECOVERING',
'left_expression':
'{price_a} < {old_price} < {new_price} < {price_b}',
'right_status':
'LOSING',
'right_expression':
'{price_a} < {new_price} < {old_price} < {price_b}',
})
self.check_in_stage(stage_cls=loss_stage, price=122, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=118, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(loss_stage,
new_price=123,
old_price=122,
expect='RECOVERING')
self.check_get_status(loss_stage,
new_price=123,
old_price=124,
expect='LOSING')
self.check_get_status(loss_stage,
new_price=123,
old_price=123,
expect='UNKNOWN')
def test_create_max_loss_stage2(self):
"""
Create loss stage using filled orders data
"""
max_loss_stage = self.long_put_backratio.create_max_loss_stage2()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} <= {current_price}',
detail={
'price_a': 125.0,
'amount_a': -175.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'EASING',
'left_expression': '{price_a} <= {new_price} < {old_price}',
'right_status': 'WORST',
'right_expression': '{price_a} <= {old_price} < {new_price}',
})
self.check_in_stage(stage_cls=max_loss_stage, price=126, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=124, expect=False)
print '\n' + ':' * 80 + '\n'
self.check_get_status(max_loss_stage,
new_price=127,
old_price=127,
expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.long_put_backratio.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
