def setUp(self):
self.scheduling_time_delay = 1
start_date = str_to_date("2018-02-04")
before_close = start_date + MarketCloseEvent.trigger_time(
) - RelativeDelta(minutes=self.scheduling_time_delay)
self.timer = SettableTimer(initial_time=before_close)
contracts_to_tickers_mapper = SimulatedBloombergContractTickerMapper()
msft_contract = Contract("MSFT US Equity",
security_type='STK',
exchange='TEST')
self.msft_ticker = contracts_to_tickers_mapper.contract_to_ticker(
msft_contract)
self.data_handler = Mock(spec=DataHandler)
self.scheduler = Mock(spec=Scheduler)
self.commission_model = FixedCommissionModel(commission=0.0)
self.monitor = Mock(spec=AbstractMonitor)
self.portfolio = Mock(spec=Portfolio)
slippage_model = PriceBasedSlippage(0.0, self.data_handler,
contracts_to_tickers_mapper)
self.exec_handler = SimulatedExecutionHandler(
self.data_handler, self.timer, self.scheduler, self.monitor,
self.commission_model, contracts_to_tickers_mapper, self.portfolio,
slippage_model, RelativeDelta(minutes=self.scheduling_time_delay))
self.order_1 = Order(msft_contract,
quantity=10,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_2 = Order(msft_contract,
quantity=-5,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_3 = Order(msft_contract,
quantity=-7,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_4 = Order(msft_contract,
quantity=4,
execution_style=MarketOnCloseOrder(),
time_in_force=TimeInForce.DAY)
def setUp(self):
self.scheduling_time_delay = 1
start_date = str_to_date("2018-02-04")
before_close = start_date + MarketCloseEvent.trigger_time(
) - RelativeDelta(minutes=self.scheduling_time_delay)
self.timer = SettableTimer(initial_time=before_close)
self.msft_ticker = BloombergTicker("MSFT US Equity")
self.data_handler = Mock(spec=DataHandler)
self.data_handler.frequency = Frequency.DAILY
self.data_handler.data_provider = Mock(spec=DataProvider)
self.scheduler = Mock(spec=Scheduler)
self.commission_model = FixedCommissionModel(commission=0.0)
self.monitor = Mock(spec=AbstractMonitor)
self.portfolio = Mock(spec=Portfolio)
slippage_model = PriceBasedSlippage(0.0, self.data_handler)
self.exec_handler = SimulatedExecutionHandler(
self.data_handler, self.timer, self.scheduler, self.monitor,
self.commission_model, self.portfolio, slippage_model,
RelativeDelta(minutes=self.scheduling_time_delay))
self.order_1 = Order(self.msft_ticker,
quantity=10,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_2 = Order(self.msft_ticker,
quantity=-5,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_3 = Order(self.msft_ticker,
quantity=-7,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_4 = Order(self.msft_ticker,
quantity=4,
execution_style=MarketOnCloseOrder(),
time_in_force=TimeInForce.DAY)
def setUp(self):
self.start_date = str_to_date("2018-02-04")
self.msft_contract = Contract(self.MSFT_TICKER_STR,
security_type='SEK',
exchange='TEST')
self.msft_ticker = BloombergTicker(self.MSFT_TICKER_STR)
self.contracts_to_tickers_mapper = DummyBloombergContractTickerMapper()
self.timer = SettableTimer(initial_time=self.start_date)
self.data_handler = mock(strict=True)
self.scheduler = mock()
self.commission_model = FixedCommissionModel(commission=0.0)
self.monitor = _MonitorMock()
self.spied_monitor = spy(self.monitor)
self.portfolio = mock()
slippage_model = PriceBasedSlippage(0.0)
self.exec_hanlder = SimulatedExecutionHandler(
self.data_handler, self.timer, self.scheduler, self.spied_monitor,
self.commission_model, self.contracts_to_tickers_mapper,
self.portfolio, slippage_model)
self._set_last_msft_price(100.0)
self.order_1 = Order(self.msft_contract,
quantity=10,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_2 = Order(self.msft_contract,
quantity=-5,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_3 = Order(self.msft_contract,
quantity=-7,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_4 = Order(self.msft_contract,
quantity=4,
execution_style=MarketOnCloseOrder(),
time_in_force=TimeInForce.DAY)
def __init__(self, data_provider: GeneralPriceProvider, settings: Settings, pdf_exporter: PDFExporter,
excel_exporter: ExcelExporter):
self._logger = qf_logger.getChild(self.__class__.__name__)
self._backtest_name = "Backtest Results"
self._initial_cash = 100000
self._monitor_type = LightBacktestMonitor
self._logging_level = logging.WARNING
self._contract_ticker_mapper = DummyBloombergContractTickerMapper()
self._commission_model = FixedCommissionModel(0.0)
self._slippage_model = PriceBasedSlippage(0.0)
self._position_sizer_type = SimplePositionSizer
self._position_sizer_param = None
self._data_provider = data_provider
self._settings = settings
self._pdf_exporter = pdf_exporter
self._excel_exporter = excel_exporter
def setUp(self):
MarketOpenEvent.set_trigger_time({"hour": 13, "minute": 30, "second": 0, "microsecond": 0})
MarketCloseEvent.set_trigger_time({"hour": 20, "minute": 0, "second": 0, "microsecond": 0})
self.start_date = str_to_date("2018-02-04")
self.number_of_minutes = 5
before_close = self.start_date + MarketCloseEvent.trigger_time() - RelativeDelta(minutes=self.number_of_minutes)
self.msft_ticker = BloombergTicker(self.MSFT_TICKER_STR)
self.timer = SettableTimer(initial_time=before_close)
self.data_handler = Mock(spec=DataHandler)
self.data_handler.data_provider = Mock(spec=DataProvider)
scheduler = Mock(spec=Scheduler)
ScheduleOrderExecutionEvent.clear()
# Set the periodic bar events to intraday trading
IntradayBarEvent.frequency = Frequency.MIN_1
commission_model = FixedCommissionModel(commission=0.0)
self.monitor = Mock(spec=AbstractMonitor)
self.portfolio = Mock(spec=Portfolio)
slippage_model = PriceBasedSlippage(0.0, self.data_handler)
self.exec_handler = SimulatedExecutionHandler(self.data_handler, self.timer, scheduler, self.monitor,
commission_model, self.portfolio, slippage_model,
RelativeDelta(minutes=self.number_of_minutes))
self._set_last_available_price(100.0)
self.stop_loss_order_1 = Order(self.msft_ticker, quantity=-1, execution_style=StopOrder(95.0),
time_in_force=TimeInForce.GTC)
self.stop_loss_order_2 = Order(self.msft_ticker, quantity=-1, execution_style=StopOrder(90.0),
time_in_force=TimeInForce.GTC)
self.stop_loss_order_3 = Order(self.msft_ticker, quantity=-1, execution_style=StopOrder(50.0),
time_in_force=TimeInForce.DAY)
self.exec_handler.assign_order_ids([self.stop_loss_order_1, self.stop_loss_order_2, self.stop_loss_order_3])
def __init__(self, data_provider: DataProvider, start_date, end_date, initial_cash,
frequency: Frequency = Frequency.MIN_1):
"""
Set up the backtest variables according to what has been passed in.
"""
super().__init__()
self.logger = qf_logger.getChild(self.__class__.__name__)
self.logger.info(
"\n".join([
"Testing the Backtester:",
"Start date: {:s}".format(date_to_str(start_date)),
"End date: {:s}".format(date_to_str(end_date)),
"Initial cash: {:.2f}".format(initial_cash),
"Frequency of the simulated execution handler: {}".format(frequency)
])
)
timer = SettableTimer(start_date)
notifiers = Notifiers(timer)
if frequency <= Frequency.DAILY:
data_handler = DailyDataHandler(data_provider, timer)
else:
data_handler = IntradayDataHandler(data_provider, timer)
contract_ticker_mapper = SimulatedBloombergContractTickerMapper()
portfolio = Portfolio(data_handler, initial_cash, timer, contract_ticker_mapper)
signals_register = BacktestSignalsRegister()
backtest_result = BacktestResult(portfolio=portfolio, backtest_name="Testing the Backtester",
start_date=start_date, end_date=end_date, signals_register=signals_register)
monitor = Mock(spec=BacktestMonitor)
commission_model = FixedCommissionModel(0.0)
slippage_model = PriceBasedSlippage(0.0, data_provider, contract_ticker_mapper)
execution_handler = SimulatedExecutionHandler(
data_handler, timer, notifiers.scheduler, monitor, commission_model,
contract_ticker_mapper, portfolio, slippage_model)
broker = BacktestBroker(portfolio, execution_handler)
order_factory = OrderFactory(broker, data_handler, contract_ticker_mapper)
event_manager = self._create_event_manager(timer, notifiers)
time_flow_controller = BacktestTimeFlowController(
notifiers.scheduler, event_manager, timer, notifiers.empty_queue_event_notifier, end_date
)
position_sizer = SimplePositionSizer(broker, data_handler, order_factory, contract_ticker_mapper,
signals_register)
self.logger.info(
"\n".join([
"Configuration of components:",
"Position sizer: {:s}".format(position_sizer.__class__.__name__),
"Timer: {:s}".format(timer.__class__.__name__),
"Data Provider: {:s}".format(data_provider.__class__.__name__),
"Backtest Result: {:s}".format(backtest_result.__class__.__name__),
"Monitor: {:s}".format(monitor.__class__.__name__),
"Execution Handler: {:s}".format(execution_handler.__class__.__name__),
"Commission Model: {:s}".format(commission_model.__class__.__name__),
"Broker: {:s}".format(broker.__class__.__name__),
"Contract-Ticker Mapper: {:s}".format(contract_ticker_mapper.__class__.__name__)
])
)
self.broker = broker
self.notifiers = notifiers
self.initial_cash = initial_cash
self.start_date = start_date
self.end_date = end_date
self.event_manager = event_manager
self.contract_ticker_mapper = contract_ticker_mapper
self.data_handler = data_handler
self.portfolio = portfolio
self.execution_handler = execution_handler
self.position_sizer = position_sizer
self.orders_filters = []
self.monitor = monitor
self.timer = timer
self.order_factory = order_factory
self.time_flow_controller = time_flow_controller
class TestMarketOnOpenExecutionStyle(TestCase):
MarketOpenEvent.set_trigger_time({
"hour": 13,
"minute": 30,
"second": 0,
"microsecond": 0
})
MarketCloseEvent.set_trigger_time({
"hour": 20,
"minute": 0,
"second": 0,
"microsecond": 0
})
def setUp(self):
self.scheduling_time_delay = 1
start_date = str_to_date("2018-02-04")
before_close = start_date + MarketCloseEvent.trigger_time(
) - RelativeDelta(minutes=self.scheduling_time_delay)
self.timer = SettableTimer(initial_time=before_close)
contracts_to_tickers_mapper = SimulatedBloombergContractTickerMapper()
msft_contract = Contract("MSFT US Equity",
security_type='STK',
exchange='TEST')
self.msft_ticker = contracts_to_tickers_mapper.contract_to_ticker(
msft_contract)
self.data_handler = Mock(spec=DataHandler)
self.scheduler = Mock(spec=Scheduler)
self.commission_model = FixedCommissionModel(commission=0.0)
self.monitor = Mock(spec=AbstractMonitor)
self.portfolio = Mock(spec=Portfolio)
slippage_model = PriceBasedSlippage(0.0, self.data_handler,
contracts_to_tickers_mapper)
self.exec_handler = SimulatedExecutionHandler(
self.data_handler, self.timer, self.scheduler, self.monitor,
self.commission_model, contracts_to_tickers_mapper, self.portfolio,
slippage_model, RelativeDelta(minutes=self.scheduling_time_delay))
self.order_1 = Order(msft_contract,
quantity=10,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_2 = Order(msft_contract,
quantity=-5,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_3 = Order(msft_contract,
quantity=-7,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_4 = Order(msft_contract,
quantity=4,
execution_style=MarketOnCloseOrder(),
time_in_force=TimeInForce.DAY)
def _trigger_single_time_event(self):
self.timer.set_current_time(self.timer.now() + RelativeDelta(
minutes=self.scheduling_time_delay))
event = ScheduleOrderExecutionEvent()
self.exec_handler.on_orders_accept(event)
def test_1_order_fill(self):
self.exec_handler.assign_order_ids([self.order_1])
self._set_current_price(101)
self._trigger_single_time_event()
self.exec_handler.on_market_open(...)
self.monitor.record_transaction.assert_called_once()
self.portfolio.transact_transaction.assert_called_once()
actual_orders = self.exec_handler.get_open_orders()
expected_orders = []
assert_lists_equal(expected_orders, actual_orders)
def test_3_orders_fill(self):
self.exec_handler.assign_order_ids(
[self.order_1, self.order_2, self.order_3])
self._set_current_price(101)
self._trigger_single_time_event()
self.exec_handler.on_market_open(...)
self.assertEqual(self.monitor.record_transaction.call_count, 3)
self.assertEqual(self.portfolio.transact_transaction.call_count, 3)
actual_orders = self.exec_handler.get_open_orders()
expected_orders = []
assert_lists_equal(expected_orders, actual_orders)
def test_3_orders_fill_only_at_open(self):
self.exec_handler.assign_order_ids(
[self.order_1, self.order_2, self.order_3])
self._set_current_price(101)
self._trigger_single_time_event()
self.exec_handler.on_market_close(...)
self.portfolio.transact_transaction.assert_not_called()
self.monitor.record_transaction.assert_not_called()
actual_orders = self.exec_handler.get_open_orders()
expected_orders = [self.order_1, self.order_2, self.order_3]
self.assertCountEqual(expected_orders, actual_orders)
def test_fill_open_and_close(self):
self.exec_handler.assign_order_ids([self.order_1, self.order_2])
self.exec_handler.assign_order_ids([self.order_2, self.order_3])
self.exec_handler.assign_order_ids([self.order_3, self.order_4])
self.exec_handler.assign_order_ids([self.order_4, self.order_4])
self._set_current_price(101)
self._trigger_single_time_event()
self.exec_handler.on_market_open(...)
self.assertEqual(self.monitor.record_transaction.call_count, 3)
self.assertEqual(self.portfolio.transact_transaction.call_count, 3)
actual_orders = self.exec_handler.get_open_orders()
expected_orders = [self.order_4]
assert_lists_equal(expected_orders, actual_orders)
self.exec_handler.on_market_close(...)
self.assertEqual(self.monitor.record_transaction.call_count, 4)
self.assertEqual(self.portfolio.transact_transaction.call_count, 4)
actual_orders = self.exec_handler.get_open_orders()
expected_orders = []
assert_lists_equal(expected_orders, actual_orders)
def test_fill_close_and_open(self):
self.exec_handler.assign_order_ids([self.order_1, self.order_2])
self.exec_handler.assign_order_ids([self.order_2, self.order_3])
self.exec_handler.assign_order_ids([self.order_3, self.order_4])
self.exec_handler.assign_order_ids([self.order_4, self.order_4])
self._set_current_price(101)
self._trigger_single_time_event()
self.exec_handler.on_market_close(...)
# Transaction related to order 4 will be executed only once, as only one Order object was passed
self.monitor.record_transaction.assert_called_once()
self.portfolio.transact_transaction.assert_called_once()
actual_orders = self.exec_handler.get_open_orders()
expected_orders = [self.order_1, self.order_2, self.order_3]
self.assertCountEqual(expected_orders, actual_orders)
self.exec_handler.on_market_open(...)
self.assertEqual(self.monitor.record_transaction.call_count, 4)
self.assertEqual(self.portfolio.transact_transaction.call_count, 4)
actual_orders = self.exec_handler.get_open_orders()
expected_orders = []
self.assertCountEqual(expected_orders, actual_orders)
def test_market_open_transaction(self):
order = self.order_1
price = 102
self.exec_handler.assign_order_ids([order])
self._set_current_price(price)
self._trigger_single_time_event()
self.exec_handler.on_market_open(...)
timestamp = self.timer.now()
contract = order.contract
quantity = order.quantity
commission = self.commission_model.calculate_commission(order, price)
expected_transaction = Transaction(timestamp, contract, quantity,
price, commission)
self.monitor.record_transaction.assert_called_once_with(
expected_transaction)
def test_market_close_transaction(self):
order = self.order_4
price = 102
self.exec_handler.assign_order_ids([self.order_1, order])
self._set_current_price(price)
self._trigger_single_time_event()
self.exec_handler.on_market_close(...)
timestamp = self.timer.now()
contract = order.contract
quantity = order.quantity
commission = self.commission_model.calculate_commission(order, price)
expected_transaction = Transaction(timestamp, contract, quantity,
price, commission)
self.monitor.record_transaction.assert_called_once_with(
expected_transaction)
def test_market_close_does_not_trade(self):
price = None
self.exec_handler.assign_order_ids([self.order_1, self.order_4])
self._set_current_price(price)
self._trigger_single_time_event()
self.exec_handler.on_market_close(...)
self.portfolio.transact_transaction.assert_not_called()
self.monitor.record_transaction.assert_not_called()
def test_market_open_does_not_trade(self):
price = None
self.exec_handler.assign_order_ids([self.order_1, self.order_4])
self._set_current_price(price)
self._trigger_single_time_event()
self.exec_handler.on_market_open(...)
self.portfolio.transact_transaction.assert_not_called()
self.monitor.record_transaction.assert_not_called()
def _set_last_available_price(self, price):
self.data_handler.get_last_available_price.side_effect = lambda t: QFSeries(
data=[price], index=pd.Index([self.msft_ticker]))
def _set_current_price(self, price):
self.data_handler.get_current_price.side_effect = lambda t: QFSeries(
data=[price], index=pd.Index([self.msft_ticker]))
class TestMarketOnOpenExecutionStyle(TestCase):
MSFT_TICKER_STR = "MSFT US Equity"
def setUp(self):
self.start_date = str_to_date("2018-02-04")
self.msft_contract = Contract(self.MSFT_TICKER_STR,
security_type='SEK',
exchange='TEST')
self.msft_ticker = BloombergTicker(self.MSFT_TICKER_STR)
self.contracts_to_tickers_mapper = DummyBloombergContractTickerMapper()
self.timer = SettableTimer(initial_time=self.start_date)
self.data_handler = mock(strict=True)
self.scheduler = mock()
self.commission_model = FixedCommissionModel(commission=0.0)
self.monitor = _MonitorMock()
self.spied_monitor = spy(self.monitor)
self.portfolio = mock()
slippage_model = PriceBasedSlippage(0.0)
self.exec_hanlder = SimulatedExecutionHandler(
self.data_handler, self.timer, self.scheduler, self.spied_monitor,
self.commission_model, self.contracts_to_tickers_mapper,
self.portfolio, slippage_model)
self._set_last_msft_price(100.0)
self.order_1 = Order(self.msft_contract,
quantity=10,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_2 = Order(self.msft_contract,
quantity=-5,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_3 = Order(self.msft_contract,
quantity=-7,
execution_style=MarketOrder(),
time_in_force=TimeInForce.OPG)
self.order_4 = Order(self.msft_contract,
quantity=4,
execution_style=MarketOnCloseOrder(),
time_in_force=TimeInForce.DAY)
def test_1_order_fill(self):
self.exec_hanlder.accept_orders([self.order_1])
self._set_price_for_now(101)
self.exec_hanlder.on_market_open(...)
verify(self.spied_monitor, times=1).record_transaction(...)
verify(self.portfolio, times=1).transact_transaction(...)
actual_orders = self.exec_hanlder.get_open_orders()
expected_orders = []
assert_lists_equal(expected_orders, actual_orders)
def test_3_orders_fill(self):
self.exec_hanlder.accept_orders(
[self.order_1, self.order_2, self.order_3])
self._set_price_for_now(101)
self.exec_hanlder.on_market_open(...)
verify(self.spied_monitor, times=3).record_transaction(...)
verify(self.portfolio, times=3).transact_transaction(...)
actual_orders = self.exec_hanlder.get_open_orders()
expected_orders = []
assert_lists_equal(expected_orders, actual_orders)
def test_3_orders_fill_only_at_open(self):
self.exec_hanlder.accept_orders(
[self.order_1, self.order_2, self.order_3])
self._set_price_for_now(101)
self.exec_hanlder.on_market_close(...)
verifyZeroInteractions(self.portfolio, self.spied_monitor)
actual_orders = self.exec_hanlder.get_open_orders()
expected_orders = [self.order_1, self.order_2, self.order_3]
assert_lists_equal(expected_orders, actual_orders)
def test_fill_open_and_close(self):
self.exec_hanlder.accept_orders([self.order_1, self.order_2])
self.exec_hanlder.accept_orders([self.order_2, self.order_3])
self.exec_hanlder.accept_orders([self.order_3, self.order_4])
self.exec_hanlder.accept_orders([self.order_4, self.order_4])
self._set_price_for_now(101)
self.exec_hanlder.on_market_open(...)
verify(self.spied_monitor, times=5).record_transaction(...)
verify(self.portfolio, times=5).transact_transaction(...)
actual_orders = self.exec_hanlder.get_open_orders()
expected_orders = [self.order_4, self.order_4, self.order_4]
assert_lists_equal(expected_orders, actual_orders)
self.exec_hanlder.on_market_close(...)
verify(self.spied_monitor, times=8).record_transaction(...)
verify(self.portfolio, times=8).transact_transaction(...)
actual_orders = self.exec_hanlder.get_open_orders()
expected_orders = []
assert_lists_equal(expected_orders, actual_orders)
def test_fill_close_and_open(self):
self.exec_hanlder.accept_orders([self.order_1, self.order_2])
self.exec_hanlder.accept_orders([self.order_2, self.order_3])
self.exec_hanlder.accept_orders([self.order_3, self.order_4])
self.exec_hanlder.accept_orders([self.order_4, self.order_4])
self._set_price_for_now(101)
self.exec_hanlder.on_market_close(...)
verify(self.spied_monitor, times=3).record_transaction(...)
verify(self.portfolio, times=3).transact_transaction(...)
actual_orders = self.exec_hanlder.get_open_orders()
expected_orders = [
self.order_1, self.order_2, self.order_2, self.order_3,
self.order_3
]
assert_lists_equal(expected_orders, actual_orders)
self.exec_hanlder.on_market_open(...)
verify(self.spied_monitor, times=8).record_transaction(...)
verify(self.portfolio, times=8).transact_transaction(...)
actual_orders = self.exec_hanlder.get_open_orders()
expected_orders = []
assert_lists_equal(expected_orders, actual_orders)
def test_market_open_transaction(self):
order = self.order_1
price = 102
self.exec_hanlder.accept_orders([order])
self._set_price_for_now(price)
self.exec_hanlder.on_market_open(...)
timestamp = self.timer.now()
contract = order.contract
quantity = order.quantity
commission = self.commission_model.calculate_commission(order, price)
expected_transaction = Transaction(timestamp, contract, quantity,
price, commission)
captor = _ArgCaptor()
verify(self.spied_monitor, times=1).record_transaction(captor)
self.assertEqual(expected_transaction, captor.get_value())
def test_market_close_transaction(self):
order = self.order_4
price = 102
self.exec_hanlder.accept_orders([self.order_1, order])
self._set_price_for_now(price)
self.exec_hanlder.on_market_close(...)
timestamp = self.timer.now()
contract = order.contract
quantity = order.quantity
commission = self.commission_model.calculate_commission(order, price)
expected_transaction = Transaction(timestamp, contract, quantity,
price, commission)
captor = _ArgCaptor()
verify(self.spied_monitor, times=1).record_transaction(captor)
self.assertEqual(expected_transaction, captor.get_value())
def test_market_close_does_not_trade(self):
price = None
self.exec_hanlder.accept_orders([self.order_1, self.order_4])
self._set_price_for_now(price)
self.exec_hanlder.on_market_close(...)
verifyZeroInteractions(self.portfolio, self.spied_monitor)
def test_market_open_does_not_trade(self):
price = None
self.exec_hanlder.accept_orders([self.order_1, self.order_4])
self._set_price_for_now(price)
self.exec_hanlder.on_market_open(...)
verifyZeroInteractions(self.portfolio, self.spied_monitor)
def _set_last_msft_price(self, price):
when(self.data_handler).get_last_available_price(
[self.msft_ticker]).thenReturn(
pd.Series(data=[price],
index=pd.Index([self.msft_ticker]),
name=self.start_date))
def _set_price_for_now(self, price):
when(self.data_handler).get_current_price(
[self.msft_ticker]).thenReturn(
pd.Series(data=[price], index=pd.Index([self.msft_ticker])))