def test_single_agent(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
a2 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
f1 = AssetFundNetwork.Fund('f1', {'a2': 10}, 100, 1, 1)
f2 = AssetFundNetwork.Fund('f2', {'a1': 20}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock()
mi_calc.get_updated_price.side_effect = update_price_side_effects
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=mi_calc,
limit_trade_step=True)
f1.marginal_call = MagicMock(return_value=False)
f2.marginal_call = MagicMock()
f2.marginal_call.side_effect = f1_margin_call_side_effect
actions_mgr = ActionsManager(network.assets, 0.1, 2)
result = single_agent(actions_mgr, network, 200)
print(result.value)
print(result.actions)
self.assertEqual(result.value, -1)
self.assertListEqual(result.actions, [[Sell('a1', 20)], ['MARKET']])
def not_test_solver_finds_best_attack_integration(self):
a1 = AssetFundNetwork.Asset(50, 2, 'a1')
a2 = AssetFundNetwork.Asset(20, 2, 'a2')
a3 = AssetFundNetwork.Asset(30, 2, 'a3')
f1 = AssetFundNetwork.Fund('f1', {'a1': 10}, {'a2': 10}, 1000, 1, 1)
f2 = AssetFundNetwork.Fund('f2', {'a2': 10}, {'a3': 10}, 1000, 1, 1)
network = AssetFundNetwork.AssetFundsNetwork(funds=[f1, f2],
assets=[a1, a2, a3])
solver = SingleAgentDynamicProgrammingSolver(network, 10, 0.5)
print(solver.results.value)
print(solver.results.actions)
def test_solution2(self):
a1 = AssetFundNetwork.Asset(price=2, daily_volume=500, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1000, symbol='a2')
f1 = AssetFundNetwork.Fund('f1', {'a1': 10, 'a2': 10}, 16, 1, 1)
f2 = AssetFundNetwork.Fund('f2', {'a1': 5, 'a2': 4}, 5, 2, 0.25)
network = AssetFundNetwork.AssetFundsNetwork(funds = {'f1':f1, 'f2':f2},
assets={'a1':a1, 'a2':a2},
mi_calc=MockMarketImpactTestCalculator(),
intraday_asset_gain_max_range=None,
limit_trade_step=False
)
actions,cost = single_fund_attack_optimal_attack_generator(network, 'f1',
MockMarketImpactTestCalculator(),0.25,3)
self.assertEqual(cost, 500)
self.assertEqual(actions, [Sell('a1', 125),Sell('a1', 125)])