def test_calculate_unrealized_pnl_for_short_inverse(self):
# Arrange
order = self.order_factory.market(
XBTUSD_BITMEX.id,
OrderSide.SELL,
Quantity.from_int(1250000),
)
fill = TestStubs.event_order_filled(
order,
instrument=XBTUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("15500.00"),
)
position = Position(XBTUSD_BITMEX, fill)
# Act
pnl = position.unrealized_pnl(Price.from_str("12506.65"))
# Assert
self.assertEqual(Money(19.30166700, BTC), pnl)
self.assertEqual(Money(-0.06048387, BTC), position.realized_pnl)
self.assertEqual([Money(0.06048387, BTC)], position.commissions())
def test_calculate_pnl_for_long_position_win(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_int(12),
)
fill = TestStubs.event_order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
pnl = position.calculate_pnl(
avg_px_open=Price.from_str("10500.00"),
avg_px_close=Price.from_str("10510.00"),
quantity=Quantity.from_int(12),
)
# Assert
self.assertEqual(Money(120.00000000, USDT), pnl)
self.assertEqual(Money(-126.00000000, USDT), position.realized_pnl)
self.assertEqual(
Money(120.00000000, USDT),
position.unrealized_pnl(Price.from_str("10510.00")),
)
self.assertEqual(Money(-6.00000000, USDT),
position.total_pnl(Price.from_str("10510.00")))
self.assertEqual([Money(126.00000000, USDT)], position.commissions())
def test_calculate_pnl_for_long_position_loss(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity(12),
)
fill = TestStubs.event_order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10500.00"),
)
position = Position(fill)
# Act
pnl = position.calculate_pnl(
avg_open=Price("10500.00"),
avg_close=Price("10480.50"),
quantity=Quantity(10),
)
# Assert
self.assertEqual(Money("-195.00000000", USDT), pnl)
self.assertEqual(Money("-126.00000000", USDT), position.realized_pnl)
self.assertEqual(Money("-234.00000000", USDT), position.unrealized_pnl(Price("10480.50")))
self.assertEqual(Money("-360.00000000", USDT), position.total_pnl(Price("10480.50")))
self.assertEqual([Money("126.00000000", USDT)], position.commissions())
self.assertEqual(Money("126.00000000", USDT), position.commission)
def test_calculate_pnl_for_long_position_loss(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_int(12),
)
fill = TestEventStubs.order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
pnl = position.calculate_pnl(
avg_px_open=Price.from_str("10500.00"),
avg_px_close=Price.from_str("10480.50"),
quantity=Quantity.from_int(10),
)
# Assert
assert pnl == Money(-195.00000000, USDT)
assert position.realized_pnl == Money(-126.00000000, USDT)
assert position.unrealized_pnl(Price.from_str("10480.50")) == Money(
-234.00000000, USDT)
assert position.total_pnl(Price.from_str("10480.50")) == Money(
-360.00000000, USDT)
assert position.commissions() == [Money(126.00000000, USDT)]
def test_calculate_unrealized_pnl_for_long_inverse(self):
# Arrange
order = self.order_factory.market(
XBTUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=XBTUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(XBTUSD_BITMEX, fill)
# Act
pnl = position.unrealized_pnl(Price.from_str("11505.60"))
# Assert
self.assertEqual(Money(0.83238969, BTC), pnl)
self.assertEqual(Money(-0.00714286, BTC), position.realized_pnl)
self.assertEqual([Money(0.00714286, BTC)], position.commissions())
def test_calculate_pnl_for_inverse1(self):
# Arrange
order = self.order_factory.market(
XBTUSD_BITMEX.symbol,
OrderSide.SELL,
Quantity(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=XBTUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10000.00"),
)
position = Position(fill)
# Act
pnl = position.calculate_pnl(
Price("10000.00"),
Price("11000.00"),
Quantity(100000),
)
# Assert
self.assertEqual(Money(-10000.00, USD), pnl)
self.assertEqual(Money(-10000.00, USD), position.unrealized_pnl(Price("11000.00")))
self.assertEqual(Money(0.00, USD), position.realized_pnl)
self.assertEqual(Money(0.00, USD), position.commission)
self.assertEqual(Money(100000.00, USD), position.notional_value(Price("11000.00")))
def test_calculate_pnl_for_short_position_loss(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.SELL,
Quantity("10"),
)
fill = TestStubs.event_order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10500.00"),
)
position = Position(fill)
# Act
pnl = position.calculate_pnl(
Price("10500.00"),
Price("10670.50"),
Quantity("10.000000"),
)
# Assert
self.assertEqual(Money("-1705.00000000", USDT), pnl)
self.assertEqual(Money("-1705.00000000", USDT), position.unrealized_pnl(Price("10670.50")))
self.assertEqual(Money("-105.00000000", USDT), position.realized_pnl)
self.assertEqual([Money("105.00000000", USDT)], position.commissions())
self.assertEqual(Money("105.00000000", USDT), position.commission)
self.assertEqual(Money("106705.00000000", USDT), position.notional_value(Price("10670.50")))
def test_calculate_pnl_for_short_position_loss(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("10"),
)
fill = TestEventStubs.order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
pnl = position.calculate_pnl(
Price.from_str("10500.00"),
Price.from_str("10670.50"),
Quantity.from_str("10.000000"),
)
# Assert
assert pnl == Money(-1705.00000000, USDT)
assert position.unrealized_pnl(Price.from_str("10670.50")) == Money(
-1705.00000000, USDT)
assert position.realized_pnl == Money(-105.00000000, USDT)
assert position.commissions() == [Money(105.00000000, USDT)]
assert position.notional_value(Price.from_str("10670.50")) == Money(
106705.00000000, USDT)
def test_calculate_pnl_for_inverse2(self):
# Arrange
order = self.order_factory.market(
ETHUSD_BITMEX.symbol,
OrderSide.SELL,
Quantity(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("375.95"),
)
position = Position(fill)
# Act
pnl = position.calculate_pnl(
Price("375.95"),
Price("365.50"),
Quantity(100000),
# xrate=Decimal("0.0294337") # Currently not handling quanto settlement
)
# Assert
self.assertEqual(Money(1582.66, USD), position.unrealized_pnl(Price("370.00")))
self.assertEqual(Money(100000.00, USD), position.notional_value(Price("370.00")))
def test_calculate_unrealized_pnl_for_short(self):
# Arrange
order = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.SELL,
Quantity("5.912000"),
)
fill = TestStubs.event_order_filled(
order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10505.60"),
)
position = Position(fill)
pnl = position.unrealized_pnl(Price("10407.15"))
# Assert
self.assertEqual(Money("582.03640000", USDT), pnl)
self.assertEqual(Money("-62.10910720", USDT), position.realized_pnl)
self.assertEqual([Money("62.10910720", USDT)], position.commissions())
self.assertEqual(Money("62.10910720", USDT), position.commission)
def test_calculate_pnl_for_inverse1(self):
# Arrange
order = self.order_factory.market(
XBTUSD_BITMEX.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=XBTUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10000.00"),
)
position = Position(instrument=XBTUSD_BITMEX, fill=fill)
# Act
pnl = position.calculate_pnl(
avg_px_open=Price.from_str("10000.00"),
avg_px_close=Price.from_str("11000.00"),
quantity=Quantity.from_int(100000),
)
# Assert
self.assertEqual(Money(-0.90909091, BTC), pnl)
self.assertEqual(Money(-0.90909091, BTC),
position.unrealized_pnl(Price.from_str("11000.00")))
self.assertEqual(Money(-0.00750000, BTC), position.realized_pnl)
self.assertEqual(Money(9.09090909, BTC),
position.notional_value(Price.from_str("11000.00")))
def test_position_filled_with_no_change_returns_expected_attributes(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
order2 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000))
fill1 = TestStubs.event_order_filled(order1)
position = Position(fill1)
fill2 = TestStubs.event_order_filled(
order2,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00000"),
)
last = QuoteTick(
AUDUSD_FXCM,
Price("1.00050"),
Price("1.00048"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
position.apply(fill2)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.0, position.avg_open_price)
self.assertEqual(2, position.event_count())
self.assertEqual({order1.cl_ord_id, order2.cl_ord_id}, position.cl_ord_ids())
self.assertEqual({
ExecutionId("E-19700101-000000-001-001-1"),
ExecutionId("E-19700101-000000-001-001-2")
},
position.execution_ids(),
)
self.assertEqual(UNIX_EPOCH, position.closed_time)
self.assertEqual(1.0, position.avg_close_price)
self.assertFalse(position.is_long())
self.assertFalse(position.is_short())
self.assertTrue(position.is_closed())
self.assertEqual(0.0, position.realized_points)
self.assertEqual(0.0, position.realized_return)
self.assertEqual(Money(0, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(0, USD), position.total_pnl(last))
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
order_filled = OrderFilled(
self.account_id,
order.id,
ExecutionId('E123456'),
PositionIdBroker('T123456'),
order.symbol,
order.side,
order.quantity,
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
last = Tick(AUDUSD_FXCM,
Price(1.00050, 5),
Price(1.00048, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
position = Position(PositionId('P-123456'), order_filled)
# Assert
self.assertEqual(OrderId('O-19700101-000000-001-001-1'), position.from_order_id)
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(Quantity(100000), position.peak_quantity)
self.assertEqual(OrderSide.BUY, position.entry_direction)
self.assertEqual(MarketPosition.LONG, position.market_position)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertIsNone(position.open_duration)
self.assertEqual(1.00001, position.average_open_price)
self.assertEqual(1, position.event_count)
self.assertEqual([order.id], position.get_order_ids())
self.assertEqual([ExecutionId('E123456')], position.get_execution_ids())
self.assertEqual(ExecutionId('E123456'), position.last_execution_id)
self.assertEqual(PositionIdBroker('T123456'), position.id_broker)
self.assertTrue(position.is_long)
self.assertFalse(position.is_short)
self.assertFalse(position.is_closed)
self.assertEqual(0.0, position.realized_points)
self.assertEqual(0.0, position.realized_return)
self.assertEqual(Money(0, Currency.USD), position.realized_pnl)
self.assertEqual(0.0004899999999998794, position.unrealized_points(last))
self.assertEqual(0.0004899951000488789, position.unrealized_return(last))
self.assertEqual(Money(49.00, Currency.USD), position.unrealized_pnl(last))
self.assertEqual(0.0004899999999998794, position.total_points(last))
self.assertEqual(0.0004899951000488789, position.total_return(last))
self.assertEqual(Money(49.00, Currency.USD), position.total_pnl(last))
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Assert
assert position.symbol == AUDUSD_SIM.id.symbol
assert position.venue == AUDUSD_SIM.id.venue
assert not position.is_opposite_side(fill.order_side)
assert not position != position # Equality operator test
assert position.from_order == ClientOrderId(
"O-19700101-000000-000-001-1")
assert position.quantity == Quantity.from_int(100000)
assert position.peak_qty == Quantity.from_int(100000)
assert position.entry == OrderSide.BUY
assert position.side == PositionSide.LONG
assert position.ts_opened == 0
assert position.duration_ns == 0
assert position.avg_px_open == Decimal("1.00001")
assert position.event_count == 1
assert position.client_order_ids == [order.client_order_id]
assert position.venue_order_ids == [VenueOrderId("1")]
assert position.execution_ids == [
ExecutionId("E-19700101-000000-000-001-1")
]
assert position.last_execution_id == ExecutionId(
"E-19700101-000000-000-001-1")
assert position.id == PositionId("P-123456")
assert len(position.events) == 1
assert position.is_long
assert not position.is_short
assert position.is_open
assert not position.is_closed
assert position.realized_points == 0
assert position.realized_return == 0
assert position.realized_pnl == Money(-2.00, USD)
assert position.unrealized_pnl(last) == Money(49.00, USD)
assert position.total_pnl(last) == Money(47.00, USD)
assert position.commissions() == [Money(2.00, USD)]
assert repr(
position) == "Position(LONG 100_000 AUD/USD.SIM, id=P-123456)"
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Assert
assert position.symbol == AUDUSD_SIM.id.symbol
assert position.venue == AUDUSD_SIM.id.venue
assert not position.is_opposite_side(fill.order_side)
self.assertFalse(position != position) # Equality operator test
self.assertEqual(ClientOrderId("O-19700101-000000-000-001-1"),
position.from_order)
self.assertEqual(Quantity.from_int(100000), position.quantity)
self.assertEqual(Quantity.from_int(100000), position.peak_qty)
self.assertEqual(OrderSide.BUY, position.entry)
self.assertEqual(PositionSide.LONG, position.side)
self.assertEqual(0, position.opened_timestamp_ns)
self.assertEqual(0, position.open_duration_ns)
self.assertEqual(Decimal("1.00001"), position.avg_px_open)
self.assertEqual(1, position.event_count)
self.assertEqual([order.client_order_id], position.client_order_ids)
self.assertEqual([VenueOrderId("1")], position.venue_order_ids)
self.assertEqual([ExecutionId("E-19700101-000000-000-001-1")],
position.execution_ids)
self.assertEqual(ExecutionId("E-19700101-000000-000-001-1"),
position.last_execution_id)
self.assertEqual(PositionId("P-123456"), position.id)
self.assertEqual(1, len(position.events))
self.assertTrue(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-2.00, USD), position.realized_pnl)
self.assertEqual(Money(49.00, USD), position.unrealized_pnl(last))
self.assertEqual(Money(47.00, USD), position.total_pnl(last))
self.assertEqual([Money(2.00, USD)], position.commissions())
self.assertEqual("Position(LONG 100_000 AUD/USD.SIM, id=P-123456)",
repr(position))
def test_position_partial_fills_with_sell_order_returns_expected_attributes(
self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity(100000),
)
fill1 = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
execution_id=ExecutionId("1"),
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
last_px=Price("1.00001"),
last_qty=Quantity(50000),
)
fill2 = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
execution_id=ExecutionId("2"),
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
last_px=Price("1.00002"),
last_qty=Quantity(50000),
)
position = Position(fill=fill1)
last = Price("1.00050")
# Act
position.apply(fill2)
# Assert
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(PositionSide.SHORT, position.side)
self.assertEqual(0, position.opened_timestamp_ns)
self.assertEqual(Decimal("1.000015"), position.avg_px_open)
self.assertEqual(2, position.event_count)
self.assertFalse(position.is_long)
self.assertTrue(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-4.00, USD), position.realized_pnl)
self.assertEqual(Money(-48.50, USD), position.unrealized_pnl(last))
self.assertEqual(Money(-52.50, USD), position.total_pnl(last))
self.assertEqual([Money(4.00, USD)], position.commissions())
self.assertEqual(Money(4.00, USD), position.commission)
self.assertEqual("Position(SHORT 100,000 AUD/USD.SIM, id=P-123456)",
repr(position))
def test_position_partial_fills_with_sell_order_returns_expected_attributes(
self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill1 = TestEventStubs.order_filled(
order,
instrument=AUDUSD_SIM,
trade_id=TradeId("1"),
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
last_qty=Quantity.from_int(50000),
)
fill2 = TestEventStubs.order_filled(
order,
instrument=AUDUSD_SIM,
trade_id=TradeId("2"),
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00002"),
last_qty=Quantity.from_int(50000),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
last = Price.from_str("1.00050")
# Act
position.apply(fill2)
# Assert
assert position.quantity == Quantity.from_int(100000)
assert position.side == PositionSide.SHORT
assert position.ts_opened == 0
assert position.avg_px_open == Decimal("1.000015")
assert position.event_count == 2
assert not position.is_long
assert position.is_short
assert position.is_open
assert not position.is_closed
assert position.realized_points == 0
assert position.realized_return == 0
assert position.realized_pnl == Money(-4.00, USD)
assert position.unrealized_pnl(last) == Money(-48.50, USD)
assert position.total_pnl(last) == Money(-52.50, USD)
assert position.commissions() == [Money(4.00, USD)]
assert repr(
position) == "Position(SHORT 100_000 AUD/USD.SIM, id=P-123456)"
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00001"),
)
last = Price("1.00050")
# Act
position = Position(fill)
# Assert
self.assertFalse(position != position) # Equality operator test
self.assertEqual(ClientOrderId("O-19700101-000000-000-001-1"),
position.from_order)
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(Quantity(100000), position.peak_quantity)
self.assertEqual(OrderSide.BUY, position.entry)
self.assertEqual(PositionSide.LONG, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertIsNone(position.open_duration)
self.assertEqual(Decimal("1.00001"), position.avg_open)
self.assertEqual(1, position.event_count)
self.assertEqual([order.cl_ord_id], position.cl_ord_ids)
self.assertEqual([OrderId.null()], position.order_ids)
self.assertEqual([ExecutionId("E-19700101-000000-000-001-1")],
position.execution_ids)
self.assertEqual(ExecutionId("E-19700101-000000-000-001-1"),
position.last_execution_id)
self.assertEqual(PositionId("P-123456"), position.id)
self.assertEqual(1, len(position.events))
self.assertTrue(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-2.00, USD), position.realized_pnl)
self.assertEqual(Money(49.00, USD), position.unrealized_pnl(last))
self.assertEqual(Money(47.00, USD), position.total_pnl(last))
self.assertEqual(Money(2.00, USD), position.commission)
self.assertEqual([Money(2.00, USD)], position.commissions())
self.assertEqual("Position(id=P-123456, LONG 100,000 AUD/USD.SIM)",
repr(position))
def test_position_long_with_multiple_filled_orders_returns_expected_attributes(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order3 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(200000),
)
fill1 = TestStubs.event_order_filled(order1, PositionId("P-123456"), StrategyId("S", "001"))
fill2 = TestStubs.event_order_filled(order2, PositionId("P-123456"), StrategyId("S", "001"), fill_price=Price("1.00001"))
fill3 = TestStubs.event_order_filled(order3, PositionId("P-123456"), StrategyId("S", "001"), fill_price=Price("1.00010"))
last = QuoteTick(
AUDUSD_FXCM,
Price("1.00050"),
Price("1.00048"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
position = Position(fill1)
position.apply(fill2)
position.apply(fill3)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(PositionSide.FLAT, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.000005, position.avg_open_price)
self.assertEqual(3, position.event_count())
self.assertEqual({order1.cl_ord_id, order2.cl_ord_id, order3.cl_ord_id}, position.cl_ord_ids())
self.assertEqual(UNIX_EPOCH, position.closed_time)
self.assertEqual(1.0001, position.avg_close_price)
self.assertFalse(position.is_long())
self.assertFalse(position.is_short())
self.assertTrue(position.is_closed())
self.assertEqual(Money(19.00, USD), position.realized_pnl)
self.assertEqual(Money(0, USD), position.unrealized_pnl(last))
self.assertEqual(Money(19.00, USD), position.total_pnl(last))
def test_position_partial_fills_with_sell_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000))
fill1 = TestStubs.event_order_filled(
order,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00001"),
filled_qty=Quantity(50000),
leaves_qty=Quantity(50000),
)
fill2 = TestStubs.event_order_filled(
order,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00002"),
filled_qty=Quantity(50000),
leaves_qty=Quantity(),
)
position = Position(fill1)
last = QuoteTick(
AUDUSD_FXCM,
Price("1.00050"),
Price("1.00048"),
Quantity(1),
Quantity(1),
UNIX_EPOCH)
# Act
position.apply(fill2)
# Assert
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(PositionSide.SHORT, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.000015, position.avg_open_price)
self.assertEqual(2, position.event_count())
self.assertFalse(position.is_long())
self.assertTrue(position.is_short())
self.assertFalse(position.is_closed())
self.assertEqual(0.0, position.realized_points)
self.assertEqual(0.0, position.realized_return)
self.assertEqual(Money(0, USD), position.realized_pnl)
self.assertEqual(Money(-46.50, USD), position.unrealized_pnl(last))
self.assertEqual(Money(-46.50, USD), position.total_pnl(last))
def test_position_filled_with_sell_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000))
order_filled = OrderFilled(
self.account_id,
order.id,
ExecutionId('E123456'),
PositionIdBroker('T123456'),
order.symbol,
order.side,
order.quantity,
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
last = Tick(AUDUSD_FXCM,
Price(1.00050, 5),
Price(1.00048, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
position = Position(PositionId('P-123456'), order_filled)
# Assert
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(Quantity(100000), position.peak_quantity)
self.assertEqual(MarketPosition.SHORT, position.market_position)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.00001, position.average_open_price)
self.assertEqual(1, position.event_count)
self.assertEqual(ExecutionId('E123456'), position.last_execution_id)
self.assertEqual(PositionIdBroker('T123456'), position.id_broker)
self.assertFalse(position.is_long)
self.assertTrue(position.is_short)
self.assertFalse(position.is_closed)
self.assertEqual(0.0, position.realized_points)
self.assertEqual(0.0, position.realized_return)
self.assertEqual(Money(0, Currency.USD), position.realized_pnl)
self.assertEqual(-0.00046999999999997044, position.unrealized_points(last))
self.assertEqual(-0.0004699953000469699, position.unrealized_return(last))
self.assertEqual(Money(-47.00, Currency.USD), position.unrealized_pnl(last))
self.assertEqual(-0.00046999999999997044, position.total_points(last))
self.assertEqual(-0.0004699953000469699, position.total_return(last))
self.assertEqual(Money(-47.00, Currency.USD), position.total_pnl(last))
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
fill = TestStubs.event_order_filled(
order,
PositionId("P-123456"),
StrategyId("S", "001"),
Price("1.00001"),
)
last = QuoteTick(
AUDUSD_FXCM,
Price("1.00050"),
Price("1.00048"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
# Act
position = Position(fill)
# Assert
self.assertEqual(ClientOrderId("O-19700101-000000-001-001-1"), position.from_order)
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(Quantity(100000), position.peak_quantity)
self.assertEqual(OrderSide.BUY, position.entry)
self.assertEqual(PositionSide.LONG, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertIsNone(position.open_duration)
self.assertEqual(1.00001, position.avg_open_price)
self.assertEqual(1, position.event_count())
self.assertEqual({order.cl_ord_id}, position.cl_ord_ids())
self.assertEqual({ExecutionId("E-19700101-000000-001-001-1")}, position.execution_ids())
self.assertEqual(ExecutionId("E-19700101-000000-001-001-1"), position.last_execution_id())
self.assertEqual(PositionId("P-123456"), position.id)
self.assertTrue(position.is_long())
self.assertFalse(position.is_short())
self.assertFalse(position.is_closed())
self.assertEqual(0.0, position.realized_points)
self.assertEqual(0.0, position.realized_return)
self.assertEqual(Money(0, USD), position.realized_pnl)
self.assertEqual(Money(49.00, USD), position.unrealized_pnl(last))
self.assertEqual(Money(49.00, USD), position.total_pnl(last))
def test_position_filled_with_sell_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Assert
assert position.quantity == Quantity.from_int(100000)
assert position.peak_qty == Quantity.from_int(100000)
assert position.side == PositionSide.SHORT
assert position.ts_opened == 0
assert position.avg_px_open == Decimal("1.00001")
assert position.event_count == 1
assert position.execution_ids == [
ExecutionId("E-19700101-000000-000-001-1")
]
assert position.last_execution_id == ExecutionId(
"E-19700101-000000-000-001-1")
assert position.id == PositionId("P-123456")
assert not position.is_long
assert position.is_short
assert position.is_open
assert not position.is_closed
assert position.realized_points == 0
assert position.realized_return == 0
assert position.realized_pnl == Money(-2.00, USD)
assert position.unrealized_pnl(last) == Money(-49.00, USD)
assert position.total_pnl(last) == Money(-51.00, USD)
assert position.commissions() == [Money(2.00, USD)]
assert repr(
position) == "Position(SHORT 100_000 AUD/USD.SIM, id=P-123456)"
def test_position_filled_with_sell_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
)
last = Price.from_str("1.00050")
# Act
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Assert
self.assertEqual(Quantity.from_int(100000), position.quantity)
self.assertEqual(Quantity.from_int(100000), position.peak_qty)
self.assertEqual(PositionSide.SHORT, position.side)
self.assertEqual(0, position.opened_timestamp_ns)
self.assertEqual(Decimal("1.00001"), position.avg_px_open)
self.assertEqual(1, position.event_count)
self.assertEqual([ExecutionId("E-19700101-000000-000-001-1")],
position.execution_ids)
self.assertEqual(ExecutionId("E-19700101-000000-000-001-1"),
position.last_execution_id)
self.assertEqual(PositionId("P-123456"), position.id)
self.assertFalse(position.is_long)
self.assertTrue(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-2.00, USD), position.realized_pnl)
self.assertEqual(Money(-49.00, USD), position.unrealized_pnl(last))
self.assertEqual(Money(-51.00, USD), position.total_pnl(last))
self.assertEqual([Money(2.00, USD)], position.commissions())
self.assertEqual("Position(SHORT 100_000 AUD/USD.SIM, id=P-123456)",
repr(position))
def test_position_partial_fills_with_buy_order_returns_expected_attributes(
self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00001"),
fill_qty=Quantity(50000),
)
last = Price("1.00048")
position = Position(fill)
# Act
# Assert
self.assertEqual(Quantity(50000), position.quantity)
self.assertEqual(Quantity(50000), position.peak_quantity)
self.assertEqual(PositionSide.LONG, position.side)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(Decimal("1.00001"), position.avg_open)
self.assertEqual(1, position.event_count)
self.assertTrue(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_open)
self.assertFalse(position.is_closed)
self.assertEqual(0, position.realized_points)
self.assertEqual(0, position.realized_return)
self.assertEqual(Money(-2.00, USD), position.realized_pnl)
self.assertEqual(Money(23.50, USD), position.unrealized_pnl(last))
self.assertEqual(Money(21.50, USD), position.total_pnl(last))
self.assertEqual(Money(2.00, USD), position.commission)
self.assertEqual([Money(2.00, USD)], position.commissions())
self.assertEqual("Position(id=P-123456, LONG 50,000 AUD/USD.SIM)",
repr(position))
def test_calculate_unrealized_pnl_for_long(self):
# Arrange
order1 = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("2.000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("2.000000"),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10500.00"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("10500.00"),
)
position = Position(fill1)
position.apply(fill2)
# Act
pnl = position.unrealized_pnl(Price("11505.60"))
# Assert
self.assertEqual(Money("4022.40000000", USDT), pnl)
self.assertEqual(Money("-42.00000000", USDT), position.realized_pnl)
self.assertEqual([Money("42.00000000", USDT)], position.commissions())
self.assertEqual(Money("42.00000000", USDT), position.commission)
def test_position_partial_fills_with_buy_order_returns_expected_attributes(
self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill = TestEventStubs.order_filled(
order,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00001"),
last_qty=Quantity.from_int(50000),
)
last = Price.from_str("1.00048")
position = Position(instrument=AUDUSD_SIM, fill=fill)
# Act, Assert
assert position.quantity == Quantity.from_int(50000)
assert position.peak_qty == Quantity.from_int(50000)
assert position.side == PositionSide.LONG
assert position.ts_opened == 0
assert position.avg_px_open == Decimal("1.00001")
assert position.event_count == 1
assert position.is_long
assert not position.is_short
assert position.is_open
assert not position.is_closed
assert position.realized_points == 0
assert position.realized_return == 0
assert position.realized_pnl == Money(-2.00, USD)
assert position.unrealized_pnl(last) == Money(23.50, USD)
assert position.total_pnl(last) == Money(21.50, USD)
assert position.commissions() == [Money(2.00, USD)]
assert repr(
position) == "Position(LONG 50_000 AUD/USD.SIM, id=P-123456)"
def test_calculate_unrealized_pnl_for_long(self):
# Arrange
order1 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("2.000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("2.000000"),
)
fill1 = TestEventStubs.order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
fill2 = TestEventStubs.order_filled(
order2,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill1)
position.apply(fill2)
# Act
pnl = position.unrealized_pnl(Price.from_str("11505.60"))
# Assert
assert pnl == Money(4022.40000000, USDT)
assert position.realized_pnl == Money(-42.00000000, USDT)
assert position.commissions() == [Money(42.00000000, USDT)]
def test_calculate_pnl_for_inverse2(self):
# Arrange
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.SELL,
Quantity(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("375.95"),
)
position = Position(fill)
# Act
# Assert
self.assertEqual(Money(1582.66, USD), position.unrealized_pnl(Price("370.00")))
self.assertEqual(Money(100000.00, USD), position.notional_value(Price("370.00")))
def test_calculate_pnl_for_inverse2(self):
# Arrange
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill = TestStubs.event_order_filled(
order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("375.95"),
)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
# Act, Assert
self.assertEqual(Money(4.27745208, ETH),
position.unrealized_pnl(Price.from_str("370.00")))
self.assertEqual(Money(270.27027027, ETH),
position.notional_value(Price.from_str("370.00")))
