def test_calculate_for_usdjpy_with_commission(self):
# Arrange
sizer = FixedRiskSizer(TestInstrumentProvider.default_fx_ccy("USD/JPY"))
equity = Money(1_000_000, USD)
# Act
result = sizer.calculate(
entry=Price("107.703"),
stop_loss=Price("107.403"),
equity=equity,
risk=Decimal("0.01"), # 1%
commission_rate=Decimal("0.0002"),
exchange_rate=Decimal(str(1 / 107.403)),
unit_batch_size=Decimal(1000),
units=1,
)
# Assert
self.assertEqual(Quantity(3578000), result)
def setup(self):
# Fixture Setup
self.sizer = FixedRiskSizer(USDJPY)
class TestFixedRiskSizer:
def setup(self):
# Fixture Setup
self.sizer = FixedRiskSizer(USDJPY)
def test_calculate_with_zero_equity_returns_quantity_zero(self):
# Arrange
equity = Money(0, USD) # No equity
# Act
result = self.sizer.calculate(
entry=Price.from_str("1.00100"),
stop_loss=Price.from_str("1.00000"),
equity=equity,
risk=Decimal("0.001"), # 0.1%
unit_batch_size=Decimal(1000),
)
# Assert
assert result == Quantity.zero()
def test_calculate_with_zero_exchange_rate_returns_quantity_zero(self):
# Arrange
equity = Money(0, USD) # No equity
# Act
result = self.sizer.calculate(
entry=Price.from_str("1.00100"),
stop_loss=Price.from_str("1.00000"),
equity=equity,
risk=Decimal("0.001"), # 0.1%
exchange_rate=Decimal("0"),
)
# Assert
assert result == Quantity.zero()
def test_calculate_with_zero_risk_returns_quantity_zero(self):
# Arrange
equity = Money(0, USD) # No equity
# Act
result = self.sizer.calculate(
entry=Price.from_str("1.00100"),
stop_loss=Price.from_str("1.00100"),
equity=equity,
risk=Decimal("0.001"), # 0.1%
exchange_rate=Decimal("0"),
)
# Assert
assert result == Quantity.zero()
def test_calculate_single_unit_size(self):
# Arrange
equity = Money(1_000_000, USD)
# Act
result = self.sizer.calculate(
entry=Price.from_str("1.00100"),
stop_loss=Price.from_str("1.00000"),
equity=equity,
risk=Decimal("0.001"), # 0.1%
unit_batch_size=Decimal(1000),
)
# Assert
assert result == Quantity.from_int(1_000_000)
def test_calculate_single_unit_with_exchange_rate(self):
# Arrange
equity = Money(1_000_000, USD)
# Act
result = self.sizer.calculate(
entry=Price.from_str("110.010"),
stop_loss=Price.from_str("110.000"),
equity=equity,
risk=Decimal("0.001"), # 1%
exchange_rate=Decimal(str(1 / 110)),
)
# Assert
assert result == Quantity.from_int(10_000_000)
def test_calculate_single_unit_size_when_risk_too_high(self):
# Arrange
equity = Money(100000, USD)
# Act
result = self.sizer.calculate(
entry=Price.from_str("3.00000"),
stop_loss=Price.from_str("1.00000"),
equity=equity,
risk=Decimal("0.01"), # 1%
unit_batch_size=Decimal(1000),
)
# Assert
assert result == Quantity.zero()
def test_impose_hard_limit(self):
# Arrange
equity = Money(1_000_000, USD)
# Act
result = self.sizer.calculate(
entry=Price.from_str("1.00010"),
stop_loss=Price.from_str("1.00000"),
equity=equity,
risk=Decimal("0.01"), # 1%
hard_limit=Decimal(500000),
unit_batch_size=Decimal(1000),
units=1,
)
# Assert
assert result == Quantity.from_int(500000)
def test_calculate_multiple_unit_size(self):
# Arrange
equity = Money(1_000_000, USD)
# Act
result = self.sizer.calculate(
entry=Price.from_str("1.00010"),
stop_loss=Price.from_str("1.00000"),
equity=equity,
risk=Decimal("0.001"), # 0.1%
unit_batch_size=Decimal(1000),
units=3,
)
# Assert
assert result == Quantity.from_int(3_333_000)
def test_calculate_multiple_unit_size_larger_batches(self):
# Arrange
equity = Money(1_000_000, USD)
# Act
result = self.sizer.calculate(
entry=Price.from_str("1.00087"),
stop_loss=Price.from_str("1.00000"),
equity=equity,
risk=Decimal("0.001"), # 0.1%
unit_batch_size=Decimal(25000),
units=4,
)
# Assert
assert result == Quantity.from_int(275000)
def test_calculate_for_usdjpy_with_commission(self):
# Arrange
sizer = FixedRiskSizer(
TestInstrumentProvider.default_fx_ccy("USD/JPY"))
equity = Money(1_000_000, USD)
# Act
result = sizer.calculate(
entry=Price.from_str("107.703"),
stop_loss=Price.from_str("107.403"),
equity=equity,
risk=Decimal("0.01"), # 1%
commission_rate=Decimal("0.0002"),
exchange_rate=Decimal(str(1 / 107.403)),
unit_batch_size=Decimal(1000),
units=1,
)
# Assert
assert result == Quantity.from_int(3_578_000)