class TestClosedPosition(unittest.TestCase):
def setUp(self):
first_fill = FillEvent('0:00',
'BTC',
10,
'BUY',
1000.00,
'GDAX',
fee=0.0)
second_fill = FillEvent('1:00',
'BTC',
10,
'SELL',
1100.00,
'GDAX',
fee=0.0)
self.position = Position(first_fill)
self.position.add_new_fill(second_fill)
def test_direction_is_na(self):
self.assertEqual(self.position.direction, "N/A")
def test_polarity_is_zero(self):
self.assertEqual(self.position.polarity, 0)
def test_status_is_closed(self):
self.assertEqual(self.position.status, "CLOSED")
class TestMixedPosition(unittest.TestCase):
"""
Based off calculations found at the following URL:
https://www.tradingtechnologies.com/help/fix-adapter-reference/pl-calculation-algorithm/understanding-pl-calculations/
"""
def setUp(self):
fee = 0.00
fill_1 = FillEvent('1:00', 'BTC', 12, 'BUY', 100.0, 'GDAX', fee=fee)
fill_2 = FillEvent('2:00', 'BTC', 17, 'BUY', 99.0, 'GDAX', fee=fee)
fill_3 = FillEvent('3:00', 'BTC', 9, 'SELL', 101.0, 'GDAX', fee=fee)
fill_4 = FillEvent('4:00', 'BTC', 4, 'SELL', 105.0, 'GDAX', fee=fee)
fill_5 = FillEvent('5:00', 'BTC', 3, 'BUY', 103.0, 'GDAX', fee=fee)
self.position = Position(fill_1)
self.position.add_new_fill(fill_2)
self.position.add_new_fill(fill_3)
self.position.add_new_fill(fill_4)
self.position.add_new_fill(fill_5)
self.price_bar = PriceBar("6:00", 100.0, 95.0, 110.0, 105.0, 100,
'BTC')
def test_total_buy_qty(self):
self.assertEqual(self.position.qty_bought, Decimal("32"))
def test_total_sell_qty(self):
self.assertEqual(self.position.qty_sold, Decimal("13"))
def test_avg_buy_price(self):
self.assertEqual(self.position.avg_buy_price, Decimal("99.75"))
def test_avg_sell_price(self):
self.assertEqual(self.position.avg_sell_price, Decimal("102.23"))
def test_avg_open_price(self):
self.assertEqual(self.position.avg_open_price, Decimal("98.05"))
def test_market_value(self):
self.assertEqual(self.position.market_value, Decimal("1957.00"))
def test_realized_pnl(self):
self.assertEqual(self.position.realized_pnl, Decimal("47.12"))
def test_unrealized_pnl(self):
self.position.update_market_value(self.price_bar)
self.assertEqual(self.position.unrealized_pnl, Decimal("132.05"))
def test_total_pnl(self):
self.position.update_market_value(self.price_bar)
self.assertEqual(self.position.total_pnl, Decimal("179.17"))
def test_market_value_after_update(self):
self.position.update_market_value(self.price_bar)
self.assertEqual(self.position.market_value, Decimal("1995.00"))
def setUp(self):
fee = 0.00
fill_1 = FillEvent('1:00', 'BTC', 12, 'BUY', 100.0, 'GDAX', fee=fee)
fill_2 = FillEvent('2:00', 'BTC', 17, 'BUY', 99.0, 'GDAX', fee=fee)
fill_3 = FillEvent('3:00', 'BTC', 9, 'SELL', 101.0, 'GDAX', fee=fee)
fill_4 = FillEvent('4:00', 'BTC', 4, 'SELL', 105.0, 'GDAX', fee=fee)
fill_5 = FillEvent('5:00', 'BTC', 3, 'BUY', 103.0, 'GDAX', fee=fee)
self.position = Position(fill_1)
self.position.add_new_fill(fill_2)
self.position.add_new_fill(fill_3)
self.position.add_new_fill(fill_4)
self.position.add_new_fill(fill_5)
self.price_bar = PriceBar("6:00", 100.0, 95.0, 110.0, 105.0, 100,
'BTC')
class TestShortPosition(unittest.TestCase):
def setUp(self):
first_fill = FillEvent('0:00',
'BTC',
10,
'SELL',
1000.00,
'GDAX',
fee=50.00)
self.second_fill = FillEvent('1:00',
'BTC',
20,
'SELL',
1000.00,
'GDAX',
fee=100.00)
self.position = Position(first_fill)
def test_cost_basis(self):
self.assertEqual(self.position.cost_basis, Decimal("-10050"))
def test_avg_buy_price(self):
self.assertEqual(self.position.avg_buy_price, Decimal("0"))
def test_avg_sell_price(self):
self.assertEqual(self.position.avg_sell_price, Decimal("1000"))
def test_avg_open_price(self):
self.assertEqual(self.position.avg_open_price, Decimal("1000"))
def test_total_open_price(self):
self.assertEqual(self.position.total_open_price, Decimal("-10000"))
def test_quantities(self):
self.assertEqual(self.position.qty_sold, Decimal("10"))
self.assertEqual(self.position.qty_bought, Decimal("0"))
self.assertEqual(self.position.qty_open, Decimal("-10"))
def test_quantities_with_second_fill(self):
self.position.add_new_fill(self.second_fill)
self.assertEqual(self.position.qty_sold, Decimal("30"))
self.assertEqual(self.position.qty_bought, Decimal("0"))
self.assertEqual(self.position.qty_open, Decimal("-30"))
def test_direction_is_short(self):
self.assertEqual(self.position.direction, "SHORT")
def test_polarity_is_negative(self):
self.assertEqual(self.position.polarity, -1)
def setUp(self):
first_fill = FillEvent('0:00',
'BTC',
10,
'SELL',
1000.00,
'GDAX',
fee=50.00)
self.second_fill = FillEvent('1:00',
'BTC',
20,
'SELL',
1000.00,
'GDAX',
fee=100.00)
self.position = Position(first_fill)
def setUp(self):
first_fill = FillEvent('0:00',
'BTC',
10,
'BUY',
1000.00,
'GDAX',
fee=0.0)
second_fill = FillEvent('1:00',
'BTC',
10,
'SELL',
1100.00,
'GDAX',
fee=0.0)
self.position = Position(first_fill)
self.position.add_new_fill(second_fill)
class TestLongPosition(unittest.TestCase):
def setUp(self):
first_fill = FillEvent('0:00',
'BTC',
10,
'BUY',
1000.00,
'GDAX',
fee=50.00)
self.second_fill = FillEvent('1:00',
'BTC',
20,
'BUY',
1000.00,
'GDAX',
fee=100.00)
self.position = Position(first_fill)
def test_cost_basis(self):
self.assertEqual(self.position.cost_basis, Decimal("10050"))
def test_avg_buy_price(self):
self.assertEqual(self.position.avg_buy_price, Decimal("1000"))
def test_avg_sell_price(self):
self.assertEqual(self.position.avg_sell_price, Decimal("0"))
def test_avg_open_price(self):
self.assertEqual(self.position.avg_open_price, Decimal("1000"))
def test_total_open_price(self):
self.assertEqual(self.position.total_open_price, Decimal("10000"))
def test_fees(self):
self.assertEqual(self.position.fees, Decimal("50"))
def test_fees_with_second_fill(self):
self.position.add_new_fill(self.second_fill)
self.assertEqual(self.position.fees, Decimal("150"))
def test_quantities(self):
self.assertEqual(self.position.qty_bought, Decimal("10"))
self.assertEqual(self.position.qty_sold, Decimal("0"))
self.assertEqual(self.position.qty_open, Decimal("10"))
def test_quantities_with_second_fill(self):
self.position.add_new_fill(self.second_fill)
self.assertEqual(self.position.qty_bought, Decimal("30"))
self.assertEqual(self.position.qty_sold, Decimal("0"))
self.assertEqual(self.position.qty_open, Decimal("30"))
def test_realized_pnl(self):
self.assertEqual(self.position.realized_pnl, Decimal("0"))
def test_update_market_value_with_invalid_symbol(self):
price_bar = PriceBar("0:00", 0, 0, 0, 0, 0, 'INVALID')
self.assertRaises(ValueError, self.position.update_market_value,
price_bar)
def test_add_new_fill_with_invalid_symbol(self):
fill = FillEvent('0:00',
'INVALID',
10,
'BUY',
1000.00,
'GDAX',
fee=50.00)
self.assertRaises(ValueError, self.position.add_new_fill, fill)
def test_add_new_fill_with_invalid_exchange(self):
fill = FillEvent('0:00',
'BTC',
10,
'BUY',
1000.00,
'INVALID',
fee=50.00)
self.assertRaises(ValueError, self.position.add_new_fill, fill)
def test_direction_is_long(self):
self.assertEqual(self.position.direction, "LONG")
def test_polarity_is_positive(self):
self.assertEqual(self.position.polarity, 1)
def test_status_is_open(self):
self.assertEqual(self.position.status, "OPEN")