def test__calc_transations_change_existing_multiple(self):
new_pos = {self.asset1: (3, 2, 3, None), self.asset2: (1, 2, 3, None)}
old_pos = {self.asset1: (2, 1, 1, None)} # Old was opened at '2018-01-01'
(
transactions,
pnl_close_total, pnl_execution_total,
costs_close_total, costs_exec_total,
costs_potential_close_total, costs_potential_exec_total,
) = Account._calc_transactions(pd.Timestamp('2018-01-02'), new_pos, old_pos)
self.assertEqual(2, len(transactions))
for t in transactions:
(
t_dt,
t_asset,
t_position_action,
t_trans_qty,
t_close_price,
t_exec_price,
t_costs_close,
t_costs_exec,
t_pnl_close,
t_pnl_exec,
t_ctx,
) = t
if t_asset == self.asset1:
self.assertEqual(pd.Timestamp('2018-01-02'), t_dt)
self.assertEqual(self.asset1, t_asset)
self.assertEqual(1, t_position_action)
self.assertEqual(1, t_trans_qty)
self.assertEqual(2, t_close_price)
self.assertEqual(3, t_exec_price)
self.assertEqual(-2 * 0.5 * 1, t_costs_close)
self.assertEqual(-3 * 0.5 * 1, t_costs_exec)
elif t_asset == self.asset2:
self.assertEqual(pd.Timestamp('2018-01-02'), t_dt)
self.assertEqual(self.asset2, t_asset)
self.assertEqual(1, t_position_action)
self.assertEqual(1, t_trans_qty)
self.assertEqual(2, t_close_price)
self.assertEqual(3, t_exec_price)
self.assertEqual(-2 * 0.5 * 1, t_costs_close)
self.assertEqual(-3 * 0.5 * 1, t_costs_exec)
self.assertEqual(pnl_close_total, 2 + (-2 * 0.5 * 1) + (-2 * 0.5 * 1) )
self.assertEqual(pnl_execution_total, 4 + (-3 * 0.5 * 1) + (-3 * 0.5 * 1))
self.assertEqual(costs_close_total, (-2 * 0.5 * 1) + (-2 * 0.5 * 1))
self.assertEqual(costs_exec_total, (-3 * 0.5 * 1) + (-3 * 0.5 * 1))
self.assertEqual(costs_potential_close_total, -2 * 0.5 * 4)
self.assertEqual(costs_potential_exec_total, -3 * 0.5 * 4)
def test__calc_transations_change_existing_both_zeros(self):
new_pos = {self.asset1: (0, 2, 3, None)}
old_pos = {self.asset1: (0, 1, 1, None)} # Old was opened at '2018-01-01'
(
transactions,
pnl_close_total, pnl_execution_total,
costs_close_total, costs_exec_total,
costs_potential_close_total, costs_potential_exec_total,
) = Account._calc_transactions(pd.Timestamp('2018-01-02'), new_pos, old_pos)
self.assertEqual(0, len(transactions))
self.assertEqual(pnl_close_total, 0)
self.assertEqual(pnl_execution_total, 0)
self.assertEqual(costs_close_total, 0)
self.assertEqual(costs_exec_total, 0)
self.assertEqual(costs_potential_close_total, 0)
self.assertEqual(costs_potential_exec_total, 0)
def test__calc_transations_change_existing_decrease(self):
new_pos = {self.asset1: (1, 2, 3, None)}
old_pos = {self.asset1: (2, 1, 1, None)} # Old was opened at '2018-01-01'
(
transactions,
pnl_close_total, pnl_execution_total,
costs_close_total, costs_exec_total,
costs_potential_close_total, costs_potential_exec_total,
) = Account._calc_transactions(pd.Timestamp('2018-01-02'), new_pos, old_pos)
self.assertEqual(1, len(transactions))
(
t_dt,
t_asset,
t_position_action,
t_trans_qty,
t_close_price,
t_exec_price,
t_costs_close,
t_costs_exec,
t_pnl_close,
t_pnl_exec,
t_ctx,
) = transactions[0]
self.assertEqual(pd.Timestamp('2018-01-02'), t_dt)
self.assertEqual(self.asset1, t_asset)
self.assertEqual(-1, t_position_action)
self.assertEqual(-1, t_trans_qty)
self.assertEqual(2, t_close_price)
self.assertEqual(3, t_exec_price)
self.assertEqual(-2 * 0.5 * 1, t_costs_close)
self.assertEqual(-3 * 0.5 * 1, t_costs_exec)
self.assertEqual(None, t_ctx)
self.assertEqual(pnl_close_total, 2 + t_costs_close)
self.assertEqual(pnl_execution_total, 4 + t_costs_exec)
self.assertEqual(costs_close_total, t_costs_close)
self.assertEqual(costs_exec_total, t_costs_exec)
self.assertEqual(costs_potential_close_total, -2 * 0.5 * 1)
self.assertEqual(costs_potential_exec_total, -3 * 0.5 * 1)
def test__calc_transations_new(self):
new_pos = {self.asset1: (2, 2, 3, None)}
old_pos = None
(
transactions,
pnl_close_total, pnl_execution_total,
costs_close_total, costs_exec_total,
costs_potential_close_total, costs_potential_exec_total,
) = Account._calc_transactions(pd.Timestamp('2018-01-02'), new_pos, old_pos)
self.assertEqual(1, len(transactions))
(
t_dt,
t_asset,
t_position_action,
t_curr_qty,
t_close_price,
t_exec_price,
t_costs_close,
t_costs_exec,
t_pnl_close,
t_pnl_exec,
t_ctx,
) = transactions[0]
self.assertEqual(pd.Timestamp('2018-01-02'), t_dt)
self.assertEqual(self.asset1, t_asset)
self.assertEqual(1, t_position_action)
self.assertEqual(2, t_curr_qty)
self.assertEqual(2, t_close_price)
self.assertEqual(3, t_exec_price)
self.assertEqual(-2 * 0.5 * 2, t_costs_close)
self.assertEqual(-3 * 0.5 * 2, t_costs_exec)
self.assertEqual(pnl_close_total, 0 + t_costs_close)
self.assertEqual(pnl_execution_total, 0 + t_costs_exec)
self.assertEqual(costs_close_total, t_costs_close)
self.assertEqual(costs_exec_total, t_costs_exec)
self.assertEqual(costs_potential_close_total, t_costs_close)
self.assertEqual(costs_potential_exec_total, t_costs_exec)