def test_position_short_long_excess_cover():
"""
Tests that the quantity and book cost are
correctly calculated for an initial short
position with an additional long transaction
in the same asset, where the long position
is in excess of the short position.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=-100,
book_cost_pu=700.0,
current_price=700.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=175,
dt=dt,
price=873.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 75
assert position.book_cost_pu == 873.0
assert position.direction == 1.0
assert position.current_price == 873.0
assert position.market_value == 65475.0
assert position.unrealised_gain == 0.0
assert position.unrealised_percentage_gain == 0.0
def test_position_long_short_positive_gain():
"""
Tests that the quantity and book cost are
correctly calculated for an initial long
position with an additional short transaction
in the same asset, where the short does not
completely eliminate the position and the
result is a gain.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=-50,
dt=dt,
price=960.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 50
assert position.book_cost_pu == 950.0
assert position.direction == 1.0
assert position.current_price == 960.0
assert position.market_value == 48000.0
assert position.unrealised_gain == 500.0
assert position.unrealised_percentage_gain == 1.0526315789473684
def test_position_long_twice():
"""
Tests that the quantity and book cost are
correctly calculated for an initial long
position with an additional long transaction
in the same asset.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=100,
dt=dt,
price=960.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 200
assert position.book_cost_pu == 955.0
assert position.direction == 1.0
assert position.current_price == 960.0
assert position.market_value == 192000.0
assert position.unrealised_gain == 1000.0
assert position.unrealised_percentage_gain == 0.5235602094240838
def test_transact_for_incorrect_asset():
"""
Tests that the 'transact' method, when provided
with a Transaction with an Asset that does not
match the position's asset, raises an Exception.
"""
asset1 = 'EQ:AAPL'
asset2 = 'EQ:AMZN'
position = Position(asset1,
current_price=950.0,
current_dt=pd.Timestamp('2020-06-16 15:00:00',
tz=pytz.UTC),
buy_quantity=100,
sell_quantity=0,
avg_bought=950.0,
avg_sold=0.0,
buy_commission=1.0,
sell_commission=0.0)
new_dt = pd.Timestamp('2020-06-16 16:00:00')
transaction = Transaction(asset2,
quantity=50,
dt=new_dt,
price=960.0,
order_id=123,
commission=1.0)
with pytest.raises(Exception):
position.update(transaction)
def test_update_book_cost_for_commission_zero_position():
"""
Tests that 'update_book_cost_for_commission' returns None
when some positive commission is provided, given that the
Position itself has zero quantity.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset, quantity=0, book_cost_pu=0.0, current_price=0.0)
assert position.update_book_cost_for_commission(asset, 15.0) is None
def _check_set_position(self, asset):
"""
Checks if a position exists in the positions list
and if not creates a new key, and Position instance
for this particular asset.
"""
if asset in self.positions:
position = self.positions[asset]
else:
position = Position(asset)
self.positions[asset] = position
return position
def test_update_book_cost_for_commission_for_no_commission():
"""
Tests that 'update_book_cost_for_commission' returns None
when zero or None commission is provided.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
assert position.update_book_cost_for_commission(asset, 0.0) is None
assert position.update_book_cost_for_commission(asset, None) is None
def test_position_representation():
"""
Tests that the Position representation
correctly recreates the object.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=153,
book_cost_pu=950.0,
current_price=950.0)
exp_repr = (
"Position(asset=Equity(name='Apple, Inc.', symbol='AAPL', tax_exempt=True), "
"quantity=153, book_cost_pu=950.0, current_price=950.0)")
assert repr(position) == exp_repr
def test_update_book_cost_for_commission_some_commission():
"""
Tests that 'update_book_cost_for_commission' calculates
book cost correctly for the position when a positive
commission is supplied.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=100,
book_cost_pu=50.0,
current_price=50.0)
position.update_book_cost_for_commission(asset, 15.0)
assert position.book_cost_pu == 50.15
assert position.book_cost == 5015.0
def test_update_book_cost_for_commission_for_incorrect_asset():
"""
Tests that the 'update_book_cost_for_commission'
method, when provided with a transaction with an
asset that does not match the position's asset,
raises an Exception.
"""
asset1 = Equity('Apple, Inc.', 'AAPL')
asset2 = Equity('Amazon, Inc.', 'AMZN')
position = Position(asset1,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
with pytest.raises(Exception):
position.update_book_cost_for_commission(asset2, 23.00)
def test_update_for_incorrect_asset():
"""
Tests that the 'update' method, when provided
with a transaction with an asset that does not
match the position's asset, raises an Exception.
"""
asset1 = Equity('Apple, Inc.', 'AAPL')
asset2 = Equity('Amazon, Inc.', 'AMZN')
position = Position(asset1,
quantity=100,
book_cost_pu=950.0,
current_price=950.0)
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset2,
quantity=50,
dt=dt,
price=960.0,
order_id=123,
commission=None)
with pytest.raises(Exception):
position.update(transaction)
def test_position_short_goes_to_zero():
"""
Tests that the quantity and book cost are
correctly calculated for an initial short
position, where the share value goes to zero.
This should be a percentage gain of 100%.
"""
asset = Equity('Apple, Inc.', 'AAPL')
position = Position(asset,
quantity=-100,
book_cost_pu=50.0,
current_price=50.0)
dt = pd.Timestamp('2015-05-06')
position.current_price = 0.0
position.current_trade_date = dt
assert position.quantity == -100
assert position.book_cost_pu == 50.0
assert position.direction == -1.0
assert position.current_price == 0.0
assert position.market_value == 0.0
assert position.unrealised_gain == 5000.0
assert position.unrealised_percentage_gain == 100.0
def _initialise_portfolio_with_cash(self):
"""
Initialise the portfolio with a (default) currency Cash Asset
with quantity equal to 'starting_cash'.
"""
cash_position = Position(self.cash_position_key,
self.starting_cash,
book_cost_pu=1.0,
current_price=1.0,
current_dt=self.current_dt)
self.pos_handler.positions[self.cash_position_key] = cash_position
if self.starting_cash > 0.0:
self.history.append(
PortfolioEvent.create_subscription(self.current_dt,
self.starting_cash,
self.starting_cash))
self.logger.info(
'(%s) Funds subscribed to portfolio "%s" '
'- Credit: %0.2f, Balance: %0.2f' %
(self.current_dt.strftime(
settings.LOGGING["DATE_FORMAT"]), self.portfolio_id,
round(self.starting_cash, 2), round(self.starting_cash, 2)))
def test_position_three_longs_one_short_one_long():
"""
Tests that the quantity and book cost are
correctly calculated for three long transactions,
followed by a partial closing position, followed
by a new long position, all in the same asset.
Buy 100 qty at £1.00 -> £100
Buy 100 qty at £2.00 -> £200
Buy 200 qty at £3.00 -> £600
Total qty after 3 longs is 400, with book cost £900 (£2.25 p/u)
Sell 100 qty -> Book cost now £675 (25% holdings reduced),
still at £2.25 p/u
Buy 100 at £4.00 -> 400
Final qty is 400, but book cost is now £1,075 (£2.6875 p/u).
"""
asset = Equity('Apple, Inc.', 'AAPL')
# Initial long
position = Position(asset,
quantity=100,
book_cost_pu=1.0,
current_price=1.0)
# Second long
dt = pd.Timestamp('2015-05-06')
transaction = Transaction(asset,
quantity=100,
dt=dt,
price=2.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 200
assert position.book_cost_pu == 1.5
# Third long
dt = pd.Timestamp('2015-05-07')
transaction = Transaction(asset,
quantity=200,
dt=dt,
price=3.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 400
assert position.book_cost_pu == 2.25
# First short
dt = pd.Timestamp('2015-05-08')
transaction = Transaction(asset,
quantity=-100,
dt=dt,
price=3.5,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 300
assert position.book_cost_pu == 2.25
# Final long
dt = pd.Timestamp('2015-05-09')
transaction = Transaction(asset,
quantity=100,
dt=dt,
price=4.0,
order_id=123,
commission=None)
position.update(transaction)
assert position.quantity == 400
assert position.book_cost_pu == 2.6875
assert position.direction == 1.0
assert position.current_price == 4.0
assert position.market_value == 1600.0
assert position.unrealised_gain == 525.0
assert position.unrealised_percentage_gain == 48.837209302325576