def test_Option_midpoint():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
opt_id = OptionId(
underlying_id=id,
asset_type=AssetType.Option,
expiration=datetime.date(2018, 9, 21),
strike=100,
right=RightType.Call,
multiplier=100,
contract=None,
)
time = datetime.datetime.now()
opt = Option(id=opt_id,
high=10.0,
low=5.0,
close=8.0,
bid=6.0,
bid_size=100,
ask=7.0,
ask_size=130,
last=7.5,
last_size=67.0,
option_price=2.1,
volume=1000,
delta=0.98,
gamma=0.12,
theta=0.34,
vega=0.78,
iv=0.8,
underlying_price=102.0,
underlying_dividends=2.1,
time=time)
assert opt.midpoint == 6.5
def create_assets(self, watchlist: Tuple[AssetDefinition]) -> List[Asset]:
watchlist_dict = {i.code: i for i in watchlist}
contracts = []
for item in watchlist:
if item.asset_type == AssetType.Stock or item.asset_type == AssetType.ETF:
contracts.append(
IBStock(item.code,
exchange="SMART",
currency=item.currency.value))
if item.asset_type == AssetType.Index:
contracts.append(IBIndex(item.code, exchange=item.exchange))
# TODO: Remove the limit
# It works if len(contracts) < 50. IB limit.
q_contracts = self._broker.qualifyContracts(*contracts)
if len(q_contracts) == len(watchlist):
assets = {}
for qc in q_contracts:
id = AssetId(
code=qc.symbol,
asset_type=watchlist_dict[qc.symbol].asset_type,
currency=self._translator._currency_translation[
qc.currency],
contract=qc,
)
if id.asset_type == AssetType.Stock:
assets[id.code] = Stock(id)
elif id.asset_type == AssetType.ETF:
assets[id.code] = ETF(id)
elif id.asset_type == AssetType.Index:
assets[id.code] = Index(id)
else:
raise ValueError("Error: ambiguous contracts")
return assets
def test_Stock_wrong_asset_type():
id = AssetId("SPY", AssetType.Option, Currency.USDollar, None)
with pytest.raises(ValueError):
Stock(id)
# TODO: Index and ETF tests
def test_OptionId_immutable():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
opt_id = OptionId(underlying_id=id,
asset_type=AssetType.Option,
expiration=datetime.date(2018, 9, 21),
strike=100,
right=RightType.Call,
multiplier=100,
contract=None)
with pytest.raises(FrozenInstanceError):
opt_id.underlying_id = id
def test_Option_init():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
opt_id = OptionId(
underlying_id=id,
asset_type=AssetType.Option,
expiration=datetime.date(2018, 9, 21),
strike=100,
right=RightType.Call,
multiplier=100,
contract=None,
)
time = datetime.datetime.now()
opt = Option(id=opt_id,
high=10.0,
low=5.0,
close=8.0,
bid=6.0,
bid_size=100,
ask=7.0,
ask_size=130,
last=7.5,
last_size=67.0,
option_price=2.1,
volume=1000,
delta=0.98,
gamma=0.12,
theta=0.34,
vega=0.78,
iv=0.8,
underlying_price=102.0,
underlying_dividends=2.1,
time=time)
assert opt.id.underlying_id.code == 'SPY'
assert opt.high == 10.0
assert opt.low == 5.0
assert opt.close == 8.0
assert opt.bid == 6.0
assert opt.bid_size == 100
assert opt.ask == 7.0
assert opt.ask_size == 130
assert opt.last == 7.5
assert opt.last_size == 67.0
assert opt.option_price == 2.1
assert opt.volume == 1000
assert opt.delta == 0.98
assert opt.gamma == 0.12
assert opt.theta == 0.34
assert opt.vega == 0.78
assert opt.iv == 0.8
assert opt.underlying_price == 102.0
assert opt.underlying_dividends == 2.1
assert opt.time == time
def test_OptionId_init():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
opt_id = OptionId(underlying_id=id,
asset_type=AssetType.Option,
expiration=datetime.date(2018, 9, 21),
strike=100,
right=RightType.Call,
multiplier=100,
contract=None)
assert opt_id.underlying_id.code == "SPY"
assert opt_id.asset_type == AssetType.Option
assert opt_id.expiration == datetime.date(2018, 9, 21)
assert opt_id.strike == 100
assert opt_id.right == RightType.Call
def test_Asset_init():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
asset = Asset(id)
asset.current = Current(
high=100.0,
low=50.0,
close=75.0,
bid=2.0,
bid_size=10,
ask=3.0,
ask_size=20,
last=2.5,
last_size=5,
volume=1000,
time=datetime.datetime.now(),
)
bar = Bar(
count=44,
open=50.0,
high=70.0,
low=40.0,
close=60.0,
average=45.5,
volume=2000,
time=datetime.datetime.now(),
)
m = Measures(
iv=0.45,
iv_rank=0.78,
iv_percentile=0.91,
iv_pct=0.03,
stdev=0.04,
beta=0.2,
correlation=0.5,
price_percentile=0.56,
price_pct=0.02,
directional_assumption=Direction.Bullish,
)
asset.price_history = History((bar, ))
asset.iv_history = History((bar, bar))
asset.measures = m
assert asset.id.code == "SPY"
assert asset.id.asset_type == AssetType.Stock
assert asset.id.currency == Currency.USDollar
assert asset.current.high == 100.0
assert len(asset.price_history.values) == 1
assert len(asset.iv_history.values) == 2
assert asset.measures.iv == 0.45
def test_Stock_entity_init():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
stock = Stock(id)
assert stock.id.code == "SPY"
assert stock.id.asset_type == AssetType.Stock
assert stock.id.currency == Currency.USDollar
def test_Asset_init():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
assert id.code == "SPY"
assert id.asset_type == AssetType.Stock
assert id.currency == Currency.USDollar
def test_Asset_not_change_asset_id():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
asset = Asset(id)
with pytest.raises(AttributeError):
asset.id = id
def test_Asset_init_immutable():
id = AssetId("SPY", AssetType.Stock, Currency.USDollar, None)
with pytest.raises(FrozenInstanceError):
id.code = "XXX"
