def testSeparateAndCombined(self):
posA = returns.PositionTracker(broker.IntegerTraits())
posA.buy(11, 10)
posA.sell(11, 30)
self.assertEqual(posA.getPnL(), 20 * 11)
self.assertEqual(posA.getReturn(), 2)
posB = returns.PositionTracker(broker.IntegerTraits())
posB.sell(100, 1.1)
posB.buy(100, 1)
self.assertEqual(round(posB.getPnL(), 2), 100 * 0.1)
self.assertEqual(round(posB.getReturn(), 2), 0.09)
combinedPos = returns.PositionTracker(broker.IntegerTraits())
combinedPos.buy(11, 10)
combinedPos.sell(11, 30)
combinedPos.sell(100, 1.1)
combinedPos.buy(100, 1)
self.assertEqual(round(combinedPos.getReturn(), 6), 2.090909)
# The return of the combined position is less than the two returns combined
# because when the second position gets opened the amount of cash not invested is greater
# than that of posB alone.
self.assertLess(round(combinedPos.getReturn(), 6),
((1 + posA.getReturn()) * (1 + posB.getReturn()) - 1))
def __onOrderEvent(self, broker_, orderEvent):
# Only interested in filled or partially filled orders.
if orderEvent.getEventType() not in (
broker.OrderEvent.Type.PARTIALLY_FILLED,
broker.OrderEvent.Type.FILLED):
return
order = orderEvent.getOrder()
# Get or create the tracker for this instrument.
try:
posTracker = self.__posTrackers[order.getInstrument()]
except KeyError:
posTracker = returns.PositionTracker(order.getInstrumentTraits())
self.__posTrackers[order.getInstrument()] = posTracker
# Update the tracker for this order.
execInfo = orderEvent.getEventInfo()
price = execInfo.getPrice()
commission = execInfo.getCommission()
action = order.getAction()
if action in [
broker.Order.Action.BUY, broker.Order.Action.BUY_TO_COVER
]:
quantity = execInfo.getQuantity()
elif action in [
broker.Order.Action.SELL, broker.Order.Action.SELL_SHORT
]:
quantity = execInfo.getQuantity() * -1
else: # Unknown action
assert (False)
self.__updatePosTracker(posTracker, price, commission, quantity)
def testProfitReturnsAndCost(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(10, 1)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getAvgPrice(), 1)
self.assertEqual(posTracker.getCommissions(), 0)
# self.assertEqual(posTracker.getCash(), -10)
posTracker.buy(20, 1, 10)
self.assertEqual(posTracker.getPnL(), -10)
self.assertEqual(posTracker.getAvgPrice(), 1)
self.assertEqual(posTracker.getCommissions(), 10)
# self.assertEqual(posTracker.getCash(), -40)
posTracker.sell(30, 1)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), -10)
# self.assertEqual(posTracker.getCash(), -10)
self.assertEqual(posTracker.getCommissions(), 10)
self.assertEqual(posTracker.getReturn(), -10 / 30.0)
posTracker.buy(10, 1)
self.assertEqual(posTracker.getPnL(), -10)
self.assertEqual(posTracker.getAvgPrice(), 1)
def testBuyAndSellWin(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 1)
self.assertTrue(posTracker.getReturn() == 0.1)
def testBuyAndSellBreakEven(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 10)
# self.assertEqual(posTracker.getCash(), 0)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getReturn(), 0)
def testBuyAndSellBreakEvenWithCommision(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(1, 10, 0.5)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 11, 0.5)
self.assertEqual(posTracker.getPnL(includeCommissions=False), 1)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getReturn(includeCommissions=False), 0.1)
self.assertEqual(posTracker.getReturn(), 0)
def testBuyAndSellInTwoTrades(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(2, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(), 1)
self.assertEqual(posTracker.getReturn(), 0.05)
posTracker.sell(1, 12)
self.assertEqual(posTracker.getPnL(), 3)
self.assertEqual(posTracker.getReturn(), 3 / 20.0)
def testSellAndBuyWin(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.sell(1, 13)
self.assertEqual(posTracker.getAvgPrice(), 13)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getPnL(price=10), 3)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 3)
self.assertEqual(round(posTracker.getReturn(), 9),
round(0.23076923076923, 9))
def testBuyAndSellBreakEvenWithCommission(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
# self.assertEqual(posTracker.getCash(), 0)
posTracker.buy(1, 10, 0.01)
# self.assertEqual(posTracker.getCash(), -10.01)
self.assertEqual(posTracker.getAvgPrice(), 10)
posTracker.sell(1, 10.02, 0.01)
# self.assertEqual(round(posTracker.getCash(), 2), 0)
self.assertEqual(posTracker.getAvgPrice(), 0)
# We need to round to avoid floating point errors.
# The same issue can be reproduced with this piece of code:
# a = 10.02 - 10
# b = 0.02
# print a - b
# print a - b == 0
self.assertEqual(posTracker.getPosition(), 0)
self.assertEqual(round(posTracker.getPnL(), 2), 0)
self.assertEqual(round(posTracker.getReturn(), 2), 0)
def testSellAndBuyMultipleEvals(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.sell(2, 11)
self.assertEqual(posTracker.getAvgPrice(), 11)
self.assertEqual(posTracker.getPnL(price=10), 2)
self.assertEqual(posTracker.getPnL(price=11), 0)
self.assertEqual(posTracker.getPnL(price=12), -2)
self.assertEqual(posTracker.getReturn(11), 0)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 11)
self.assertEqual(posTracker.getPnL(price=11), 1)
self.assertEqual(round(posTracker.getReturn(11), 9),
round(0.045454545, 9))
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 2)
self.assertEqual(posTracker.getPnL(price=100), 2)
self.assertEqual(round(posTracker.getReturn(), 9),
round(0.090909091, 9))
def testSellBuySell(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.sell(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getReturn(), 0)
self.assertEqual(posTracker.getPnL(price=13), -3)
self.assertEqual(posTracker.getReturn(13), -0.3)
# Closing the short position and going long 1 @ $13.
# The cost basis for the new position is $13.
posTracker.buy(2, 13)
self.assertEqual(posTracker.getAvgPrice(), 13)
self.assertEqual(posTracker.getPnL(), -3)
self.assertEqual(round(posTracker.getReturn(), 9),
round(-0.23076923076923, 9))
posTracker.sell(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), -6)
self.assertEqual(round(posTracker.getReturn(), 9),
round(-0.46153846153846, 9))
def __init__(self, strategy, entryOrder, goodTillCanceled, allOrNone):
# The order must be created but not submitted.
assert (entryOrder.isInitial())
self.__state = None
self.__activeOrders = {}
self.__shares = 0
self.__strategy = strategy
self.__entryOrder = None
self.__entryDateTime = None
self.__exitOrder = None
self.__exitDateTime = None
self.__posTracker = returns.PositionTracker(
entryOrder.getInstrumentTraits())
self.__allOrNone = allOrNone
self.switchState(WaitingEntryState())
entryOrder.setGoodTillCanceled(goodTillCanceled)
entryOrder.setAllOrNone(allOrNone)
self.__submitAndRegisterOrder(entryOrder)
self.__entryOrder = entryOrder
def testBuySellBuy(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(price=9), -1)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getPnL(price=10), 0)
self.assertEqual(posTracker.getPnL(price=11), 1)
self.assertEqual(posTracker.getReturn(), 0)
self.assertEqual(posTracker.getReturn(13), 0.3)
# Closing the long position and short selling 1 @ $13.
# The cost basis for the new position is $13.
posTracker.sell(2, 13)
self.assertEqual(posTracker.getAvgPrice(), 13)
self.assertEqual(posTracker.getPnL(), 3)
self.assertEqual(round(posTracker.getReturn(), 8), 0.23076923)
posTracker.buy(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 6)
self.assertEqual(round(posTracker.getReturn(), 9),
round(0.46153846153846, 9))
def testBuyAndSellMultipleEvals(self):
posTracker = returns.PositionTracker(broker.IntegerTraits())
posTracker.buy(2, 10)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(), 0)
self.assertEqual(posTracker.getPnL(price=9), -2)
self.assertEqual(posTracker.getPnL(price=10), 0)
self.assertEqual(posTracker.getPnL(price=11), 2)
self.assertEqual(posTracker.getReturn(10), 0)
self.assertEqual(posTracker.getPnL(price=11), 2)
self.assertEqual(round(posTracker.getReturn(11), 2), 0.1)
self.assertEqual(posTracker.getPnL(price=20), 20)
self.assertEqual(posTracker.getReturn(20), 1)
posTracker.sell(1, 11)
self.assertEqual(posTracker.getAvgPrice(), 10)
self.assertEqual(posTracker.getPnL(price=11), 2)
self.assertEqual(posTracker.getReturn(11), 0.1)
posTracker.sell(1, 10)
self.assertEqual(posTracker.getAvgPrice(), 0)
self.assertEqual(posTracker.getPnL(), 1)
self.assertEqual(posTracker.getReturn(11), 0.05)