def test_get_price(self):
call = Option('call', TSLA, 420, datetime(2020, 12, 4))
call.price = 420
chain = OptionChain(TSLA, datetime.now())
chain.add_option(call)
self.assertEqual(420, chain.get_price(call))
def test_eval_no_security(self):
call = Option('call', TSLA, 500, datetime(2020, 12, 28))
put = Option('put', TSLA, 500, datetime(2020, 12, 28))
port = Portfolio(50000, {TSLA: 100, call: 1, put: 1})
te = TradingEngine([port])
te.eval({Security('GOOG'): 650}, datetime(2020, 12, 28))
self.assertEqual(50000, port.cash)
self.assertEqual(100, port.securities[TSLA])
def test_eval(self):
call = Option('call', TSLA, 400, datetime(2020, 12, 28))
put = Option('put', TSLA, 420, datetime(2020, 12, 28))
port = Portfolio(50000, {TSLA: 200, call: -2, put: -2})
te = TradingEngine([port])
te.eval({TSLA: 410}, datetime(2020, 12, 28))
self.assertEqual(50000 + (40000 * 2) - (42000 * 2), port.cash)
self.assertEqual(200, port.securities[TSLA])
def test_check_and_invoke_contracts(self):
call = Option('call', TSLA, 420, datetime(2021, 4, 20))
call.price = 35
p = Portfolio(securities={call: -1})
ss = StockSplitHandler(Path('tests/test_data/TSLA/splits.csv'), TSLA)
ss.check_and_invoke(p, datetime(2020, 8, 31))
new_call = Option('call', TSLA, 420 / 5, datetime(2021, 4, 20))
contract = next(iter(p.securities.keys()))
self.assertEqual(1, len(p.securities))
self.assertEqual(-1 * 5, p.securities[new_call])
self.assertEqual(7, contract.price)
self.assertEqual(420 / 5, contract.strike)
def test_expire_and_assign(self):
call = Option('call', TSLA, 500, datetime(2020, 12, 28))
port = Portfolio(0, {TSLA: 100})
te = TradingEngine([port])
te.sell_contract(port, call, 10)
te.eval({TSLA: 400}, datetime(2020, 12, 28))
call = Option('call', TSLA, 500, datetime(2021, 1, 15))
te.sell_contract(port, call, 5)
te.eval({TSLA: 600}, datetime(2021, 1, 15))
self.assertEqual(1000 + 500 + 50000, port.cash)
self.assertEqual(0, port.securities[TSLA])
self.assertEqual(0, port.contracts()[call])
def test_otm(self):
security = Security('TSLA')
security.add_quote(Quote(420, datetime.now()))
o1 = Option('call', security, 500, datetime(2020, 4, 20))
o2 = Option('put', security, 300, datetime(2020, 4, 20))
o3 = Option('call', security, 100, datetime(2020, 4, 20)) # ITM
chain = OptionChain(security, datetime.now())
chain.add_option(o1)
chain.add_option(o2)
chain.add_option(o3)
calls, puts = chain.otm(datetime(2020, 4, 20)).values()
self.assertEqual(1, len(calls))
self.assertEqual(1, len(puts))
def test_option_itm(self):
security = Security('TSLA')
call = Option('call', security, 420, datetime(2020, 12, 4))
put = Option('put', security, 420, datetime(2020, 12, 4))
self.assertTrue(call.itm(500))
self.assertFalse(call.itm(400))
self.assertTrue(put.itm(400))
self.assertFalse(put.itm(500))
def test_sell_too_many_contracts(self):
call = Option('call', TSLA, 500, datetime(2020, 12, 28))
port = Portfolio(0, {TSLA: 100})
te = TradingEngine([port])
te.sell_contract(port, call, 10)
self.assertRaises(Exception, te.sell_contract, port, call, 10)
def test_release_collateral(self):
call = Option('call', TSLA, 500, datetime(2020, 12, 28))
port = Portfolio(50000, {TSLA: 100})
te = TradingEngine([port])
# sell a contract to start, putting up 100 shares as collateral
te.sell_contract(port, call, 10)
self.assertEqual(-1, port.securities[call])
self.assertEqual(100, port.collateral[TSLA])
# buy back the contract, eliminating the obligation
te.buy_contract(port, call, 10)
self.assertEqual(0, port.securities[call])
self.assertEqual(0, port.collateral[TSLA])
# go long instead, purchasing a call
te.buy_contract(port, call, 10)
self.assertEqual(1, port.securities[call])
self.assertEqual(0, port.collateral[TSLA])
# close that long call
te.sell_contract(port, call, 10)
self.assertEqual(0, port.securities[call])
self.assertEqual(0, port.collateral[TSLA])
# sell an option to go short again
te.sell_contract(port, call, 10)
self.assertEqual(-1, port.securities[call])
self.assertEqual(100, port.collateral[TSLA])
def _parse_chain(self, date, security, contracts):
chain = OptionChain(security, date)
for contract in contracts:
fields = contract.split(' ')
match = re.match(r'(\d+)(c|p)(\d+\.\d*)', fields[0])
expiration = datetime.strptime(match[1], '%y%m%d')
direction = 'call' if match[2] == 'c' else 'put'
strike = float(match[3])
price = float(fields[1])
delta = float(fields[2])
theta = float(fields[3])
option = Option(direction, security, strike, expiration)
option.price = price
option.delta = delta
option.theta = theta
chain.add_option(option)
return chain
def test_sell_contract(self):
call = Option('call', TSLA, 500, datetime(2020, 12, 28))
port = Portfolio(0, {TSLA: 100})
te = TradingEngine([port])
te.sell_contract(port, call, 10)
self.assertEqual(1000, port.cash)
self.assertEqual(-1, port.securities[call])
def test_option_expiration(self):
call = Option('call', TSLA, 500, datetime(2020, 12, 28))
port = Portfolio(0, {TSLA: 100})
te = TradingEngine([port])
te.sell_contract(port, call, 10)
te.eval({TSLA: 400}, datetime(2020, 12, 28))
self.assertFalse(port.contracts())
self.assertEqual(0, port.collateral[TSLA])
def test_assign_put(self):
put = Option('put', TSLA, 500, datetime(2020, 12, 28))
port = Portfolio(70000, {TSLA: 12, put: -1})
port.collateral[TSLA] = 100
te = TradingEngine()
te.assign(port, put, -1)
self.assertEqual(70_000 - 50_000, port.cash)
self.assertEqual(112, port.securities[TSLA])
self.assertEqual(0, port.securities[put])
self.assertEqual(0, port.collateral[TSLA])
def test_close_short_call(self):
path = Path('tests/test_data/normalized/TSLA')
training = pd.read_csv(path / 'training.csv',
parse_dates=['date'],
date_parser=from_small_date)
call = Option('call', TSLA, 420, datetime(2020, 7, 17))
portfolio = Portfolio(cash=133535, securities={call: -1})
sim = Simulator(TSLA, portfolio, path, training)
sim._buy(datetime(2020, 7, 14))
self.assertEqual(0, portfolio.securities[call])
self.assertEqual(0, portfolio.cash)
def test_assign_call(self):
call = Option('call', TSLA, 500, datetime(2020, 12, 28))
secs = {TSLA: 100, call: -1}
port = Portfolio(420, secs)
port.collateral[TSLA] = 100
te = TradingEngine()
te.assign(port, call, -1)
self.assertEqual(420 + 50000, port.cash)
self.assertEqual(0, port.securities[TSLA])
self.assertEqual(0, port.securities[call])
self.assertEqual(0, port.collateral[TSLA])
def _parse_option(self, security, exp_dt, json):
direction = json['optionType'].lower()
strike = json['strikePrice']
expiration = datetime.strptime(exp_dt, '%Y-%m-%d')
option = Option(direction, security, strike, expiration)
option.delta = self._scrub_value(json['OptionGreeks']['delta'])
option.theta = self._scrub_value(json['OptionGreeks']['theta'])
option.vega = self._scrub_value(json['OptionGreeks']['vega'])
option.iv = self._scrub_value(json['OptionGreeks']['iv'])
option.price = self._scrub_value(json['lastPrice'])
return option
def _parse_option(self, security, exp_dt, json):
type = json['optionType'].lower()
strike = json['strikePrice']
expiration = datetime.strptime(exp_dt, '%Y-%m-%d')
option = Option(type, security, strike, expiration)
option.delta = json['OptionGreeks']['delta']
option.theta = json['OptionGreeks']['theta']
option.vega = json['OptionGreeks']['vega']
option.iv = json['OptionGreeks']['iv']
option.price = json['lastPrice']
return option
def test_expire_without_close_on_expiration(self):
path = Path('tests/test_data/normalized/TSLA')
training = pd.read_csv(path / 'training.csv',
parse_dates=['date'],
date_parser=from_small_date)
call = Option('call', TSLA, 2800, datetime(2020, 7, 24))
portfolio = Portfolio(cash=0, securities={TSLA: 100, call: -1})
portfolio.collateral = {TSLA: 100}
sim = Simulator(TSLA, portfolio, path, training)
net = BuyAndHoldNet()
sim.simulate(net, datetime(2020, 7, 23), datetime(2020, 8, 3))
self.assertEqual(0, portfolio.securities.get(call, 0))
def test_calculate_fitness(self):
path = Path('tests/test_data/normalized/TSLA')
training = pd.read_csv(path / 'training.csv',
parse_dates=['date'],
date_parser=from_small_date)
call = Option('call', TSLA, 420, datetime(2020, 9, 11))
portfolio = Portfolio(cash=10, securities={TSLA: 100, call: -1})
sim = Simulator(TSLA, portfolio, path, training)
actual = sim._calculate_fitness(0.2990607757568724,
datetime(2020, 9, 8)) # 420.28
# starting cash + value of shares - call obligation - buy-and-hold value
expected = 10 + (420.28 * 100) - (1.44 * 100) - (420.28 * 100)
self.assertAlmostEqual(expected, actual, places=2)
def test_exercise_call(self):
call = Option('call', TSLA, 500, datetime(2020, 12, 28))
port = Portfolio(51000, {})
te = TradingEngine([port])
te.buy_contract(port, call, 10)
self.assertEqual(51000 - 1000, port.cash)
self.assertEqual(1, port.contracts()[call])
te.eval({TSLA: 600}, datetime(2020, 12, 28))
self.assertEqual(0, port.cash)
self.assertEqual(100, port.securities[TSLA])
self.assertEqual(0, port.securities[call])
def test_exercise_put(self):
put = Option('put', TSLA, 500, datetime(2020, 12, 28))
port = Portfolio(2000, {TSLA: 100})
te = TradingEngine([port])
te.buy_contract(port, put, 10)
self.assertEqual(2000 - 1000, port.cash)
self.assertEqual(1, port.contracts()[put])
te.eval({TSLA: 400}, datetime(2020, 12, 28))
self.assertEqual(2000 - 1000 + 50000, port.cash)
self.assertEqual(0, port.securities.get(TSLA, 0))
self.assertEqual(0, port.securities[put])
def test_search(self):
security = Security('TSLA')
o1 = Option('call', security, 500, datetime(2020, 4, 1))
o1.theta = -2.02
o1.delta = 0.83
o2 = Option('put', security, 300, datetime(2020, 4, 20))
o2.theta = -0.16
o2.delta = -0.34
chain = OptionChain(security, datetime.now())
chain.add_option(o1)
chain.add_option(o2)
result = chain.search(theta=-2, delta=0.8)
assert o1.strike == result.strike
result = chain.search(theta=-1, delta=-0.5)
assert o2.strike == result.strike
def test_open_short_call(self):
path = Path('tests/test_data/normalized/TSLA')
training = pd.read_csv(path / 'training.csv',
parse_dates=['date'],
date_parser=from_small_date)
portfolio = Portfolio(cash=0, securities={TSLA: 100})
sim = Simulator(TSLA, portfolio, path, training)
sim._sell(
datetime(2020, 7, 20),
0.293070701634208, # normalized close for 7/20
0.4617712204180135, # should target the 2000 strike
0.3087888191319731 # should target 8/21 expiration
)
call = Option('call', TSLA, 2000, datetime(2020, 8, 21))
self.assertEqual(-1, portfolio.securities[call])
self.assertEqual(100, portfolio.securities[TSLA])
self.assertEqual(100, portfolio.collateral[TSLA])
self.assertEqual(10875, portfolio.cash)
def parse_chain(self, date, security, path):
chain = OptionChain(security, date)
df = pd.read_csv(path,
parse_dates=['expiration'],
date_parser=from_small_date)
for index, contract in df.iterrows():
expiration = contract['expiration']
direction = contract['direction']
strike = contract['strike']
option = Option(direction, security, strike, expiration)
option.price = contract['price']
option.delta = contract['delta']
option.theta = contract['theta']
option.vega = contract['vega']
chain.add_option(option)
return chain
def test_option_expired(self):
security = Security('TSLA')
call = Option('call', security, 420, datetime(2020, 12, 4))
self.assertTrue(call.expired(datetime(2020, 12, 4)))
self.assertTrue(call.expired(datetime(2020, 12, 5)))
def test_iv(self):
security = Security('TSLA')
security.add_quote(Quote(420, datetime.now()))
o1 = Option('call', security, 700, datetime(2020, 4, 20))
o3 = Option('call', security, 500, datetime(2020, 4, 20))
o2 = Option('put', security, 400, datetime(2020, 4, 20))
o1.iv = 5
o1.price = 2
o2.iv = 2
o2.price = 4
o3.iv = 0.5
o3.price = 10
chain = OptionChain(security, datetime.now())
chain.add_option(o1)
chain.add_option(o2)
chain.add_option(o3)
expected = (5 * 2 + 2 * 4 + 0.5 * 10) / (2 + 4 + 10)
result = chain.iv(datetime(2020, 4, 20))
self.assertEqual(expected, result)
def test_contracts(self):
call = Option('call', TSLA, 500, datetime(2020, 12, 28))
p = Portfolio(0, {call: 1})
self.assertEqual(1, p.contracts()[call])