def test_can_calculate_free_equity_when_zero(self):
# Arrange
event = AccountStateEvent(
AccountId.py_from_string('FXCM-123456-SIMULATED'), Currency.AUD,
Money(20000, Currency.AUD), Money(100000, Currency.AUD),
Money(0, Currency.AUD), Money(0, Currency.AUD),
Money(20000, Currency.AUD), Decimal(0), ValidString('N'),
GUID(uuid.uuid4()), UNIX_EPOCH)
# Act
account = Account(event)
# Assert
self.assertEqual(AccountId.py_from_string('FXCM-123456-SIMULATED'),
account.id)
self.assertEqual(Brokerage('FXCM'), account.broker)
self.assertEqual(AccountNumber('123456'), account.account_number)
self.assertEqual(Currency.AUD, account.currency)
self.assertEqual(Money(0, Currency.AUD), account.free_equity)
self.assertEqual(Money(100000, Currency.AUD), account.cash_start_day)
self.assertEqual(Money(0, Currency.AUD), account.cash_activity_day)
self.assertEqual(Money(0, Currency.AUD),
account.margin_used_liquidation)
self.assertEqual(Money(20000, Currency.AUD),
account.margin_used_maintenance)
self.assertEqual(Decimal(0), account.margin_ratio)
self.assertEqual('N', account.margin_call_status.value)
self.assertEqual(UNIX_EPOCH, account.last_updated)
def test_initialized_with_no_value_returns_valid_decimal(self):
# Arrange
# Act
result = Decimal()
# Assert
self.assertEqual(0, result)
self.assertEqual(0, result.precision)
self.assertEqual(decimal.Decimal('0'), result.as_decimal())
self.assertEqual(0, result.as_double())
def test_decimal_multiplication(self):
# Arrange
# Act
result0 = Decimal(1.00001, 5) * 2.0
result1 = Decimal(1.00001, 5) * Decimal(1.5000, 5)
# Assert
self.assertEqual(float, type(result0))
self.assertEqual(float, type(result1))
self.assertEqual(2.00002, result0)
self.assertEqual(1.500015, result1)
def test_decimal_division(self):
# Arrange
# Act
result0 = Decimal(1.00001, 5) / 2.0
result1 = Decimal(1.00001, 5) / Decimal(0.5000, 5)
# Assert
self.assertEqual(float, type(result0))
self.assertEqual(float, type(result1))
self.assertEqual(0.500005, result0)
self.assertEqual(2.00002, result1)
self.assertEqual(result0, Decimal(1.00001, 5) / Decimal(2.0, 1))
def test_initialized_with_many_scientific_notation_returns_zero(self):
# Arrange
# Act
result1 = Decimal(0E-30)
result2 = Decimal(-0E-33)
# Assert
self.assertEqual(0.0, result1.as_double())
self.assertEqual(0.0, result2.as_double())
self.assertEqual(decimal.Decimal('0'), result1.as_decimal())
self.assertEqual(decimal.Decimal('0'), result2.as_decimal())
def test_decimal_addition(self):
# Arrange
# Act
result0 = Decimal(1.00001, 5) + 0.00001
result1 = Decimal(1.00001, 5) + Decimal(0.00001, 5)
result3 = Decimal(1.00001, 5).add_decimal(Decimal(0.00001, 5))
result4 = Decimal(1.00001, 5).add_decimal(Decimal(0.5, 1))
# Assert
self.assertEqual(float, type(result0))
self.assertEqual(float, type(result1))
self.assertEqual(Decimal, type(result3))
self.assertEqual(Decimal, type(result4))
self.assertEqual(1.0000200000000001, result0)
self.assertEqual(1.0000200000000001, result1)
self.assertEqual(Decimal(1.00002, 5), result3)
self.assertEqual(Decimal(1.50001, 5), result4)
def test_decimal_subtraction(self):
# Arrange
# Act
result0 = Decimal(1.00001, 5) - 0.00001
result1 = Decimal(1.00001, 5) - Decimal(0.00001, 5)
result3 = Decimal(1.00001, 5).subtract_decimal(Decimal(0.00001, 5))
result4 = Decimal(1.00001, 5).subtract_decimal(Decimal(0.5, 1))
# Assert
self.assertEqual(float, type(result0))
self.assertEqual(float, type(result1))
self.assertEqual(Decimal, type(result3))
self.assertEqual(Decimal, type(result4))
self.assertEqual(1.0, result0)
self.assertEqual(1.0, result1)
self.assertEqual(result0, result1)
self.assertEqual(Decimal(1.00000, 5), result3)
self.assertEqual(Decimal(0.50001, 5), result4)
def test_default_fx_with_3_dp_returns_expected_instrument(self):
# Arrange
loader = InstrumentLoader()
# Act
instrument = loader.default_fx_ccy(Symbol('USDJPY',
Venue('DUKASCOPY')))
# Assert
self.assertEqual(Symbol('USDJPY', Venue('DUKASCOPY')),
instrument.symbol)
self.assertEqual('USD/JPY', instrument.broker_symbol)
self.assertEqual(3, instrument.price_precision)
self.assertEqual(Decimal(0.001, 3), instrument.tick_size)
self.assertEqual(392, instrument.quote_currency)
def test_can_add_account(self):
# Arrange
event = AccountStateEvent(
AccountId.py_from_string('SIMULATED-123456-SIMULATED'),
Currency.USD, Money(1000000, Currency.USD),
Money(1000000, Currency.USD), Money(0, Currency.USD),
Money(0, Currency.USD), Money(0, Currency.USD), Decimal(0),
ValidString('N'), GUID(uuid.uuid4()), UNIX_EPOCH)
account = Account(event)
# Act
self.database.add_account(account)
# Assert
self.assertTrue(True) # Did not raise exception
def test_can_apply_order_filled_event_to_buy_limit_order(self):
# Arrange
order = self.order_factory.limit(AUDUSD_FXCM, OrderSide.BUY,
Quantity(100000), Price(1.00000, 5))
event = OrderFilled(self.account_id, order.id,
ExecutionId('SOME_EXEC_ID_1'),
PositionIdBroker('SOME_EXEC_TICKET_1'),
order.symbol, order.side, order.quantity,
Price(1.00001, 5), Currency.USD, UNIX_EPOCH,
GUID(uuid.uuid4()), UNIX_EPOCH)
# Act
order.apply(event)
# Assert
self.assertEqual(OrderState.FILLED, order.state)
self.assertEqual(Quantity(100000), order.filled_quantity)
self.assertEqual(Price(1.00000, 5), order.price)
self.assertEqual(Price(1.00001, 5), order.average_price)
self.assertEqual(Decimal(0.00001, 5), order.slippage)
self.assertTrue(order.is_completed)
self.assertEqual(UNIX_EPOCH, order.filled_timestamp)
def test_initialized_with_valid_inputs(self):
# Arrange
# Act
result0 = Decimal(1.0, 1)
result1 = Decimal(1.0, 2)
result2 = Decimal(-1.001, 3)
result3 = Decimal(1.0005, 3)
result4 = Decimal(100)
# Assert
self.assertEqual(decimal.Decimal('1'), result0.as_decimal())
self.assertEqual(decimal.Decimal('1.00'), result1.as_decimal())
self.assertEqual(decimal.Decimal('-1.001'), result2.as_decimal())
self.assertEqual(decimal.Decimal('1.001'), result3.as_decimal()) # Rounds up
self.assertEqual(100, result4)
self.assertEqual(1, result0.as_double())
self.assertEqual(1, result0.as_double())
self.assertEqual(-1.001, result2.as_double())
self.assertEqual(1.001, result3.as_double())
self.assertEqual('1.0', result0.to_string())
self.assertEqual('1.00', result1.to_string())
self.assertEqual('-1.001', result2.to_string())
self.assertEqual('1.001', result3.to_string())
def make_decimal():
Decimal(1.23456, 5)
# limitations under the License.
# -------------------------------------------------------------------------------------------------
import decimal
import unittest
from nautilus_trader.core.decimal import Decimal
from nautilus_trader.model.objects import Price
from tests.test_kit.performance import PerformanceHarness
_PRECISION_5_CONTEXT = decimal.Context(prec=5)
_BUILTIN_DECIMAL1 = decimal.Decimal('1.00000')
_BUILTIN_DECIMAL2 = decimal.Decimal('1.00001')
_DECIMAL1 = Decimal(1.00000, 5)
_DECIMAL2 = Decimal(1.00001, 5)
class DecimalTesting:
@staticmethod
def make_builtin_decimal():
decimal.Decimal('1.23456')
@staticmethod
def make_decimal():
Decimal(1.23456, 5)
@staticmethod
def float_comparisons():
# x1 = 1.0 > 2.0