def setUp(self):
TestUnitSetUpStage.setUp(self)
self.sell_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='CALL',
side='BUY',
quantity=1,
strike=43,
price=1.42,
net_price=0.58
)
self.buy_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='CALL',
side='SELL',
quantity=-2,
strike=46,
price=.42,
net_price=0.0
)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_call_backratio = StageShortCallBackratio(
filled_orders=filled_orders, contract_right=self.contract_right
)
class TestStageLongCallBackratio1(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.sell_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='CALL',
side='BUY',
quantity=1,
strike=43,
price=1.42,
net_price=0.58
)
self.buy_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='CALL',
side='SELL',
quantity=-2,
strike=46,
price=.42,
net_price=0.0
)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_call_backratio = StageShortCallBackratio(
filled_orders=filled_orders, contract_right=self.contract_right
)
def test_create_even_stage1(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_call_backratio.create_even_stage1()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 48.42,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=even_stage, price=48.42, expect=True)
self.check_in_stage(stage_cls=even_stage, price=49, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=48.42, old_price=48.42, expect='UNKNOWN'
)
def test_create_even_stage2(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_call_backratio.create_even_stage2()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 43.58,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=even_stage, price=43.58, expect=True)
self.check_in_stage(stage_cls=even_stage, price=44, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=43.58, old_price=43.58, expect='UNKNOWN'
)
def test_create_max_profit_stage1(self):
"""
Create loss stage using filled orders data
"""
max_profit_stage = self.long_call_backratio.create_max_profit_stage1()
self.method_test_create_stage(
stage=max_profit_stage,
name='MAX_PROFIT',
expression='{price_a} == {current_price}',
detail={
'price_a': 46.0,
'amount_a': 242.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=max_profit_stage, price=46.0, expect=True)
self.check_in_stage(stage_cls=max_profit_stage, price=47.7, expect=False)
self.check_get_status(max_profit_stage, new_price=46.6, old_price=46.6, expect='UNKNOWN')
def test_create_loss_stage1(self):
"""
Create profit stage using filled orders data
"""
loss_stage = self.long_call_backratio.create_loss_stage1()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price}',
detail={
'price_a': 48.42,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {new_price} < {old_price}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {old_price} < {new_price}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=49, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=47, expect=False)
self.check_get_status(loss_stage, new_price=49, old_price=50, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=51, old_price=50.5, expect='LOSING')
self.check_get_status(loss_stage, new_price=49.5, old_price=49.5, expect='UNKNOWN')
def test_create_profit_stage1(self):
"""
Create loss stage using filled orders data
"""
profit_stage = self.long_call_backratio.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 46.0,
'amount_a': 242.0,
'price_b': 48.42,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=47, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=49, expect=False)
self.check_get_status(profit_stage, new_price=47, old_price=46.2, expect='DECREASING')
self.check_get_status(profit_stage, new_price=46.5, old_price=47, expect='PROFITING')
self.check_get_status(profit_stage, new_price=47, old_price=47, expect='UNKNOWN')
def test_create_profit_stage2(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_call_backratio.create_profit_stage2()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 43.58,
'amount_a': 0.0,
'price_b': 46.0,
'amount_b': 242.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=44.5, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=41, expect=False)
self.check_get_status(profit_stage, new_price=44, old_price=45, expect='DECREASING')
self.check_get_status(profit_stage, new_price=44.8, old_price=44.5, expect='PROFITING')
self.check_get_status(profit_stage, new_price=44.5, old_price=44.5, expect='UNKNOWN')
def test_create_loss_stage2(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_call_backratio.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 43.0,
'amount_a': -58.0,
'price_b': 43.58,
'amount_b': 0.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=43.2, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=40, expect=False)
self.check_get_status(loss_stage, new_price=43.4, old_price=43.3, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=43.2, old_price=43.3, expect='LOSING')
self.check_get_status(loss_stage, new_price=43.3, old_price=43.3, expect='UNKNOWN')
def test_create_max_loss_stage1(self):
"""
Create max loss stage using filled orders data
"""
max_loss_stage = self.long_call_backratio.create_max_loss_stage1()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{current_price} <= {price_a}',
detail={
'price_a': 43.0,
'amount_a': -58.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'EASING',
'left_expression': '{old_price} < {new_price} <= {price_a}',
'right_status': 'WORST',
'right_expression': '{new_price} < {old_price} <= {price_a}',
}
)
self.check_in_stage(stage_cls=max_loss_stage, price=42.5, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=46, expect=False)
self.check_get_status(max_loss_stage, new_price=42.5, old_price=41, expect='EASING')
self.check_get_status(max_loss_stage, new_price=41, old_price=42.5, expect='WORST')
self.check_get_status(max_loss_stage, new_price=42, old_price=42, expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.long_call_backratio.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
class TestStageLongCallBackratio2(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.sell_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='CALL',
side='BUY',
quantity=1,
strike=165,
price=5.25,
net_price=-1.0
)
self.buy_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='BACKRATIO',
contract='CALL',
side='SELL',
quantity=-2,
strike=170,
price=3.25,
net_price=0.0
)
self.contract_right = 100
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.long_call_backratio = StageShortCallBackratio(
filled_orders=filled_orders, contract_right=self.contract_right
)
def test_create_even_stage1(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_call_backratio.create_even_stage1()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 176.0,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=even_stage, price=176.0, expect=True)
self.check_in_stage(stage_cls=even_stage, price=178.0, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=176, old_price=176, expect='UNKNOWN'
)
def test_create_max_profit_stage1(self):
"""
Create loss stage using filled orders data
"""
max_profit_stage = self.long_call_backratio.create_max_profit_stage1()
self.method_test_create_stage(
stage=max_profit_stage,
name='MAX_PROFIT',
expression='{price_a} == {current_price}',
detail={
'price_a': 170.0,
'amount_a': 600.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=max_profit_stage, price=170, expect=True)
self.check_in_stage(stage_cls=max_profit_stage, price=172, expect=False)
self.check_get_status(max_profit_stage, new_price=171, old_price=171, expect='UNKNOWN')
def test_create_loss_stage1(self):
"""
Create profit stage using filled orders data
"""
loss_stage = self.long_call_backratio.create_loss_stage1()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price}',
detail={
'price_a': 176,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {new_price} < {old_price}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {old_price} < {new_price}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=177, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=175, expect=False)
self.check_get_status(loss_stage, new_price=177, old_price=178.5, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=179, old_price=177, expect='LOSING')
self.check_get_status(loss_stage, new_price=177, old_price=177, expect='UNKNOWN')
def test_create_profit_stage1(self):
"""
Create loss stage using filled orders data
"""
profit_stage = self.long_call_backratio.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 170.0,
'amount_a': 600.0,
'price_b': 176.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=171, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=169, expect=False)
self.check_get_status(profit_stage, new_price=174, old_price=173, expect='DECREASING')
self.check_get_status(profit_stage, new_price=173, old_price=174, expect='PROFITING')
self.check_get_status(profit_stage, new_price=172, old_price=172, expect='UNKNOWN')
def test_create_profit_stage2(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_call_backratio.create_profit_stage2()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 165.0,
'amount_a': 100,
'price_b': 170.0,
'amount_b': 600.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=168, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=172, expect=False)
self.check_get_status(profit_stage, new_price=167, old_price=169, expect='DECREASING')
self.check_get_status(profit_stage, new_price=169, old_price=167, expect='PROFITING')
self.check_get_status(profit_stage, new_price=168, old_price=168, expect='UNKNOWN')
def test_create_max_profit_stage2(self):
"""
Create loss stage using filled orders data
"""
max_profit_stage = self.long_call_backratio.create_max_profit_stage2()
self.method_test_create_stage(
stage=max_profit_stage,
name='MAX_PROFIT',
expression='{current_price} <= {price_a}',
detail={
'price_a': 165.0,
'amount_a': 100.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'VANISHING',
'left_expression': '{old_price} < {new_price} <= {price_a}',
'right_status': 'GUARANTEEING',
'right_expression': '{new_price} < {old_price} <= {price_a}',
}
)
self.check_in_stage(stage_cls=max_profit_stage, price=164, expect=True)
self.check_in_stage(stage_cls=max_profit_stage, price=167, expect=False)
self.check_get_status(max_profit_stage, new_price=163, old_price=163, expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.long_call_backratio.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
