def test_submit_order(self):
p = Portfolio(
buy_commission_rate=0.001,
sell_commission_rate=0.0015, min_commission=5.0, round_lot=100)
self.assertEqual((-10010.0, 10.0, 1000),
p._submit_order(side="buy", price=10.0, volume=1000))
p.update_before_trade(divide_rate=1.0)
self.assertEqual((5491.75, 11, 500),
p._submit_order(side="sell", price=11, volume=500))
self.assertEqual(8.25, p.transaction_cost)
self.assertEqual(9.0365, p.avg_price)
self.assertEqual(500, p.volume)
self.assertEqual(18.25, p.all_transaction_cost)
def test_sell_all_stock(self):
p = Portfolio(
buy_commission_rate=0.001,
sell_commission_rate=0.0015, min_commission=5.0, round_lot=100)
# sellable==0 , 无可卖
self.assertEqual((0.0, 10, 0), p._sell_all_stock(price=10))
self.assertEqual((-10010.0, 10.0, 1000),
p._submit_order(side="buy", price=10.0, volume=1000))
p.update_before_trade(divide_rate=1.0)
self.assertEqual((10983.5, 11, 1000), p._sell_all_stock(price=11))
self.assertEqual(16.5, p.transaction_cost)
self.assertEqual(0, p.avg_price)
self.assertEqual(0, p.volume)
self.assertEqual(26.5, p.all_transaction_cost)
def test_order_basic(self):
p = Portfolio(
buy_commission_rate=0.001,
sell_commission_rate=0.0015, min_commission=5.0,
round_lot=100)
p.update_before_trade(divide_rate=1.0)
self.assertEqual((-10010.0, 10.0, 1000),
p._submit_order(side="buy", price=10.0, volume=1000))
p.update_after_trade(close_price=10.0, cash_change=-10010,
pre_portfolio_value=30000.0)
# test update_after_trade
self.assertEqual(-10.0, p.daily_pnl)
self.assertEqual(10000.0, p.market_value)
self.assertEqual(-10.0, p.pnl)
self.assertEqual(0.0, round(p.daily_return, 3))
p.update_before_trade(divide_rate=1.0)
# sell && buy
# pecent = 0
self.assertEqual((10983.5, 11, 1000),
p.order_target_percent(
percent=0, price=11,
pre_portfolio_value=29990.0,
current_cash=19990))
self.assertEqual(16.5, p.transaction_cost)
self.assertEqual(0, p.avg_price)
self.assertEqual(0, p.volume)
self.assertEqual(26.5, p.all_transaction_cost)
# percent 0.5, 增仓
self.assertEqual((-14014.0, 10, 1400),
p.order_target_percent(percent=0.5, price=10,
pre_portfolio_value=29990.0,
current_cash=30973.5))
self.assertEqual(30.5, p.transaction_cost)
self.assertEqual(10.01, p.avg_price)
self.assertEqual(1400, p.volume)
self.assertEqual(40.5, p.all_transaction_cost)
# test update after trade
p.update_after_trade(close_price=10.0, cash_change=10983.5-14014.0,
pre_portfolio_value=29990.0)
self.assertEqual(969.5, p.daily_pnl)
self.assertEqual(14000.0, p.market_value)
self.assertEqual(959.5, p.pnl)
self.assertEqual(0.03233, round(p.daily_return, 5))
# next day, buy_hold, then sell
p.update_before_trade(divide_rate=1.0)
# percent 0.452, 保持不变
p.order_target_percent(percent=0.452, price=10,
pre_portfolio_value=29990.0)
self.assertEqual(0, p.daily_pnl)
self.assertEqual(14000.0, p.market_value)
self.assertEqual(959.5, p.pnl)
self.assertEqual(0.0, round(p.daily_return, 5))
p.update_after_trade(close_price=10.0, cash_change=0.0,
pre_portfolio_value=29990.0)
# next day
p.update_before_trade(divide_rate=1.0)
# percent 0.35, 减仓700
p.order_target_percent(percent=0.35, price=10,
pre_portfolio_value=20000.0)
self.assertEqual(10.5, p.transaction_cost)
self.assertEqual(10.035, p.avg_price)
self.assertEqual(700, p.volume)
self.assertEqual(51, p.all_transaction_cost)
