def test_funds_under_risk(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=200, symbol='a2')
f1 = Fund('f1', {'a1': 10, 'a2': 10, 'a3': 10}, 100, 1, 1)
f2 = Fund('f2', {'a1': 10}, 100, 1, 1)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=MockMarketImpactTestCalculator())
network.reset_order_books = MagicMock()
network.simulate_trade = MagicMock()
network.submit_sell_orders = MagicMock()
network.get_funds_in_margin_calls = MagicMock(return_value=['f1'])
actions_mgr = ActionsManager(network.assets, 0.1)
actual_funds = actions_mgr._ActionsManager__funds_under_risk(network)
self.assertListEqual(actual_funds, ['f1'])
network.reset_order_books.assert_called_once()
network.submit_sell_orders.assert_called_once_with(
[Sell('a1', 10), Sell('a2', 20)])
network.simulate_trade.assert_called_once()
network.get_funds_in_margin_calls.assert_called_once()
def test_get_possible_attacks(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=10, symbol='a1')
a1.set_price(3)
a2 = AssetFundNetwork.Asset(price=2, daily_volume=4, symbol='a2')
a2.set_price(4)
a3 = AssetFundNetwork.Asset(price=7, daily_volume=2, symbol='a3')
f1 = Fund('f1', {'a1': 10, 'a2': 10, 'a3': 10}, 100, 1, 1)
f2 = Fund('f2', {'a1': 10}, 100, 1, 1)
SysConfig.set("STEP_ORDER_SIZE", 0.5)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2,
'a3': a3
},
mi_calc=MockMarketImpactTestCalculator())
actual_orders = get_possible_attacks(network, 10)
expected_orders = []
expected_orders.append(([Sell('a1', 5)], 5))
expected_orders.append(([Sell('a2', 2)], 4))
expected_orders.append(([Sell('a3', 1)], 7))
expected_orders.append(([Sell('a1', 5), Sell('a2', 2)], 9))
expected_orders.append(([], 0))
self.assertEqual(actual_orders, expected_orders)
def single_fund_attack_optimal_attack_generator(network: AssetFundsNetwork,
fund_sym,
mic: MarketImpactCalculator,
order_size, max_num_orders):
fund = network.funds[fund_sym]
assets = network.assets
fund_impacts = {}
for a in assets.values():
shares_for_1M = floor(10000000 / a.zero_time_price)
asset_price_impact = mic.get_market_impact(
Sell(a.symbol, shares_for_1M), a.daily_volume)
fund_impacts[
a.
symbol] = 0 if a.symbol not in fund.portfolio else fund.portfolio[
a.symbol] * asset_price_impact
sorted_impact = sorted(fund_impacts.items(),
key=lambda x: x[1],
reverse=True)
cost = 0
actions = []
for sym, impact in sorted_impact:
num_orders = 1
num_shares = floor(assets[sym].daily_volume * order_size)
while num_orders <= max_num_orders:
order = Sell(sym, num_shares)
actions.append(order)
cost += assets[sym].zero_time_price * num_shares
network.submit_sell_orders([order])
network.clear_order_book()
if fund.marginal_call(assets):
return actions, cost
num_orders += 1
return actions, cost
def test_get_possible_attacks_no_history(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=200, symbol='a2')
assets = {'a1': a1, 'a2': a2}
mgr = ActionsManager(assets, 0.1)
expected_attacks = [([Sell('a1', 10)], 10), ([Sell('a2', 20)], 40),
([], 0)]
actual_attacks = mgr.get_possible_attacks(budget=40)
actual_attacks.sort(key=lambda a: a[1])
expected_attacks.sort(key=lambda a: a[1])
self.assertListEqual(expected_attacks, actual_attacks)
def test_get_single_orders(self):
assets = {'a1': Asset(10, 100, 'a1'), 'a2': Asset(20, 200, 'a2')}
expected_sell_orders = [Sell('a1', 10), Sell('a2', 20)]
expected_buy_orders = [Buy('a1', 10), Buy('a2', 20)]
actions_mgr = ActionsManager(assets, 0.1)
actual_buy_orders = actions_mgr._ActionsManager__get_single_orders(
assets, ActionsManager._ActionsManager__gen_buy_order)
actual_sell_orders = actions_mgr._ActionsManager__get_single_orders(
assets, ActionsManager._ActionsManager__gen_sell_order)
self.assertListEqual(expected_sell_orders, actual_sell_orders)
self.assertListEqual(expected_buy_orders, actual_buy_orders)
def test_get_possible_attacks(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=200, symbol='a2')
a3 = AssetFundNetwork.Asset(price=3, daily_volume=300, symbol='a3')
assets = {'a1': a1, 'a2': a2, 'a3': a3}
mgr = ActionsManager(assets, 0.1)
history = {BUY: {'a1': 2}, SELL: {'a1': 1, 'a2': 2}}
expected_attacks = [([Sell('a1', 10)], 10), ([Sell('a3', 30)], 90),
([Sell('a1', 10), Sell('a3', 30)], 100), ([], 0)]
actual_attacks = mgr.get_possible_attacks(100, history)
actual_attacks.sort(key=lambda a: a[1])
expected_attacks.sort(key=lambda a: a[1])
self.assertListEqual(expected_attacks, actual_attacks)
def test_gen_liquidation_orders(self):
SysConfig.set("MINUTE_VOLUME_LIMIT", 0.1)
assets = {
'XXX': Asset(2, 3900, 1.5, 'XXX'),
'YYY': Asset(1, 7900, 1.5, 'yyy'),
'ZZZ': Asset(1, 7900, 1.5, 'yyy')
}
fund = Fund('F1', {'XXX': 10, 'YYY': 11, 'ZZZ': 2}, 5, 2, 0.25)
expected_orders = [Sell('XXX', 1), Sell('YYY', 2), Sell('ZZZ', 2)]
expected_portfolio = {'XXX': 9, 'YYY': 9}
orders = fund.gen_liquidation_orders(assets)
self.assertEqual(orders, expected_orders)
self.assertEqual(fund.portfolio, expected_portfolio)
def test_get_attacks_in_budget(self):
a1 = AssetFundNetwork.Asset(price=10, daily_volume=10, symbol='a1')
a2 = AssetFundNetwork.Asset(price=20, daily_volume=10, symbol='a2')
f1 = MockFund('f1', a1, 1)
f2 = MockFund('f2', a2, 1)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=MockMarketImpactTestCalculator())
expected_portfolio = [
([], 0),
([Sell("a1", 5)], 50),
([Sell("a1", 10)], 100),
([Sell("a2", 5)], 100),
([Sell("a2", 10)], 200),
([Sell("a1", 5), Sell("a2", 5)], 150),
([Sell("a1", 10), Sell("a2", 5)], 200),
]
solver = SingleAgentESSolver(network, 0.5, 2)
actual_portfolio = solver.get_attacks_in_budget(200, True)
expected_portfolio_str = sorted([(str(x), str(y))
for (x, y) in expected_portfolio])
actual_portfolio_str = sorted([(str(x), str(y))
for (x, y) in actual_portfolio])
self.assertEqual(expected_portfolio_str, actual_portfolio_str)
def dont_test_get_possible_attacks_single_asset_per_attack(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=2, symbol='a1')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
SysConfig.set("ORDER_SIZES", [0.5, 1])
network = AssetFundNetwork.AssetFundsNetwork(
funds={'f1': f1},
assets={'a1': a1},
mi_calc=MockMarketImpactTestCalculator())
actual_sell_orders = get_possible_attacks(network, 10)
expected_sell_orders = []
expected_sell_orders.append(([Sell('a1', 2)], 2))
expected_sell_orders.append(([Sell('a1', 1)], 1))
expected_sell_orders.append(([], 0))
self.assertEqual(actual_sell_orders, expected_sell_orders)
def test_gen_optimal_attacks(self):
a1 = AssetFundNetwork.Asset(price=10, daily_volume=10, symbol='a1')
a2 = AssetFundNetwork.Asset(price=20, daily_volume=10, symbol='a2')
f1 = MockFund('f1', a1, 1)
f2 = MockFund('f2', a2, 1)
f2 = MockFund('f3', a2, 1)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=MockMarketImpactTestCalculator())
expected_portfolio = [
([], 0),
([Sell("a1", 5)], 50),
([Sell("a1", 10)], 100),
([Sell("a2", 5)], 100),
([Sell("a2", 10)], 200),
([Sell("a1", 5), Sell("a2", 5)], 150),
([Sell("a1", 10), Sell("a2", 5)], 200),
]
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)])
def test_simulate_trade_sell_orders_in_buy_command(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a2': 10}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock()
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=mi_calc,
limit_trade_step=False)
exception = False
try:
network.submit_buy_orders([Buy('a1', 2), Sell('a1', 2)])
except TypeError:
exception = True
mi_calc.get_updated_price.assert_not_called()
self.assertTrue(exception)
def test_simulate_trade_sell_more_than_buy(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a2': 10}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock(return_value=0.5)
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=mi_calc,
limit_trade_step=False)
network.submit_buy_orders([Buy('a1', 2)])
network.submit_sell_orders([Sell('a1', 3)])
log = network.simulate_trade()
self.assertDictEqual({'a1': '1->0.5'}, log)
mi_calc.get_updated_price.assert_called_once_with(1, a1, -1)
self.assertFalse(network.buy_orders)
self.assertFalse(network.sell_orders)
self.assertTrue(a1.price == 0.5)
self.assertTrue(a2.price == 2)
def test_simulate_trade_buy_equals_sell(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a2': 10}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock()
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=mi_calc,
limit_trade_step=False)
network.submit_buy_orders([Buy('a1', 3)])
network.submit_sell_orders([Sell('a1', 3)])
log = network.simulate_trade()
mi_calc.get_updated_price.assert_not_called()
self.assertFalse(log)
self.assertFalse(network.buy_orders)
self.assertFalse(network.sell_orders)
self.assertTrue(a1.price == 1)
self.assertTrue(a2.price == 2)
def test_simulate_trade_mix_trades(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a2': 10}, 100, 1, 1)
mi_calc = MarketImpactCalculator()
mi_calc.get_updated_price = MagicMock(return_value=1.5)
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=mi_calc,
limit_trade_step=False)
network.submit_sell_orders([Sell('a2', 2)])
network.submit_buy_orders([Buy('a1', 2)])
log = network.simulate_trade()
calls = [call(2, a2, -1), call(2, a1, 1)]
mi_calc.get_updated_price.assert_has_calls(calls, any_order=True)
self.assertDictEqual({'a1': '1->1.5', 'a2': '2->1.5'}, log)
self.assertFalse(network.buy_orders)
self.assertFalse(network.sell_orders)
def build_attack_rec_wrong(self, n, c, network):
if n == 0 or c == 0:
s = Solution(network, [], 0)
self.solutions[n][c] = s
return s
asset_sym = self.id_to_sym[n]
if self.solutions[n][c]:
return self.solutions[n][c]
elif self.weights[n] > c:
s = self.build_attack(n - 1, c, copy.deepcopy(network))
self.solutions[n][c] = s
return s
else:
prev_solutions = {}
max_result = self.build_attack(n - 1, c, copy.deepcopy(network))
prev_solutions[1] = self.build_attack(n - 1, c - self.weights[n],
copy.deepcopy(network))
prev_solutions[2] = self.build_attack(n, c - self.weights[n],
copy.deepcopy(network))
order = Sell(
asset_sym, self.min_order_percentage *
network.assets[asset_sym].daily_volume)
for i in range(1, 2):
net2 = prev_solutions[i].network
net2.submit_sell_orders([order])
net2.clear_order_book()
value = net2.count_margin_calls()
if value > max_result.value:
actions = copy.copy(prev_solutions[i].actions)
actions.append(order)
max_result = Solution(net2, actions, value)
self.solutions[n][c] = max_result
return max_result
def attack(self, n, network, orders_list):
if n == 0:
net2 = copy.deepcopy(network)
net2.submit_sell_orders(orders_list)
net2.clear_order_book()
funds = net2.get_funds_in_margin_calls()
cost = sum([
o.num_shares * network.assets[o.asset_symbol].zero_time_price
for o in orders_list
])
value = len(funds)
for i in range(1, value + 1):
if i not in self.solutions or cost < self.solutions[i].cost:
self.solutions[i] = Solution(network, orders_list, value,
funds, cost)
return
asset_sym = self.id_to_sym[n]
orders_list2 = copy.copy(orders_list)
self.attack(n - 1, network, orders_list2)
for i in range(1, self.max_order_num + 1):
num_shares = int(
floor(i * self.min_order_percentage *
network.assets[asset_sym].daily_volume))
order = Sell(asset_sym, num_shares)
orders_list2 = copy.copy(orders_list)
orders_list2.append(order)
self.attack(n - 1, network, orders_list2)
return
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 test_get_portfolio_dict(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=100, symbol='a2')
a3 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a3')
a4 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a4')
assets = {'a1': a1, 'a2': a2, 'a3': a3, 'a4': a4}
actions_mgr = ActionsManager(assets, 0.1)
attack1 = Attack([Sell('a1', 10)], 10)
attack2 = Attack([Sell('a1', 10), Sell('a2', 10)], 40)
attack3 = Attack([Sell('a3', 10)], 10)
actions_mgr._ActionsManager__get_all_attacks = MagicMock(
return_value=[attack1, attack2, attack3])
expected_dict = {10: [attack1, attack3], 40: [attack2]}
actual_dict = dict(
actions_mgr._ActionsManager__get_portfolio_dict(assets))
self.assertDictEqual(expected_dict, actual_dict)
actions_mgr._ActionsManager__get_all_attacks.assert_called_once_with(
assets, 4)
def test_filter_from_history(self):
sell_action1 = Attack([Sell('a1', 1), Sell('a2', 1)], 10)
sell_action2 = Attack([Sell('a1', 1), Sell('a3', 1)], 10)
buy_action1 = Attack([Buy('a1', 1), Buy('a2', 1)], 10)
buy_action2 = Attack([Buy('a2', 1)], 10)
history = {BUY: {'a1': 2}, SELL: {'a1': 1, 'a2': 2}}
self.assertTrue(
ActionsManager._ActionsManager__filter_from_history(
sell_action1, history, SELL))
self.assertFalse(
ActionsManager._ActionsManager__filter_from_history(
sell_action2, history, SELL))
self.assertTrue(
ActionsManager._ActionsManager__filter_from_history(
buy_action1, history, BUY))
self.assertFalse(
ActionsManager._ActionsManager__filter_from_history(
buy_action2, history, BUY))
def test_2(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = MockFund('f1', a1, 1)
f2 = MockFund('f2', a2, 1)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=MockMarketImpactTestCalculator())
solver = SingleAgentDynamicProgrammingSolver(network, 3, 1, 1)
self.assertEqual(solver.results.value, 2)
self.assertEqual(solver.results.actions[0], Sell('a1', 1))
self.assertEqual(solver.results.actions[1], Sell('a2', 1))
def test_gen_optimal_attacks(self):
a1 = AssetFundNetwork.Asset(price=10, daily_volume=10, symbol='a1')
a2 = AssetFundNetwork.Asset(price=20, daily_volume=10, symbol='a2')
f1_margin_call = lambda assets: assets['a1'].price <= 8
f2_margin_call = lambda assets: assets['a2'].price <= 19
f3_margin_call = lambda assets: assets['a2'].price <= 19
mi_calc = MockMarketImpactTestCalculator({
'a1': {
5: 9,
10: 8
},
'a2': {
5: 19,
10: 18
}
})
f1 = MockFund('f1', a1, f1_margin_call)
f2 = MockFund('f2', a2, f2_margin_call)
f3 = MockFund('f3', a2, f3_margin_call)
network = AssetFundNetwork.AssetFundsNetwork(funds={
'f1': f1,
'f2': f2,
'f3': f3
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=mi_calc,
limit_trade_step=False)
solver = SingleAgentESSolver(network, 0.5, 2)
actual_solutions = solver.gen_optimal_attacks()
solution_2 = Solution(network, [Sell('a2', 5)], 2, ['f2', 'f3'], 100)
solution_3 = Solution(network,
[Sell('a1', 10), Sell('a2', 5)], 3,
['f1', 'f2', 'f3'], 200)
expected_solutions = {1: solution_2, 2: solution_2, 3: solution_3}
self.assertEqual(expected_solutions, actual_solutions)
def gen_liquidation_orders(self, assets: Dict[str, Asset]):
orders = []
assets_to_remove = []
for asset_symbol, num_shares in self.portfolio.items():
asset = assets[asset_symbol]
shares_limit = floor(asset.avg_minute_volume * SysConfig.get("MINUTE_VOLUME_LIMIT"))
shares_to_sell = min(shares_limit, num_shares)
orders.append(Sell(asset_symbol, shares_to_sell))
self.portfolio[asset_symbol] -= shares_to_sell
if self.portfolio[asset_symbol] == 0:
assets_to_remove.append(asset_symbol)
for asset_symbol in assets_to_remove:
self.portfolio.pop(asset_symbol)
return orders
def test_get_portfolios_in_budget_dict(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=200, symbol='a2')
assets = {'a1': a1, 'a2': a2}
mgr = ActionsManager(assets, 0.1, attacker_budgets=[5, 10])
id2portfolios = mgr.get_portfolios()
actual = mgr.get_portfolios_in_budget_dict()
expected_attacks_b5 = [Attack([], 0)]
expected_attacks_b10 = [Attack([], 0), Attack([Sell('a1', 10)], 10)]
actual_attacks_b5 = [id2portfolios[x] for x in actual[5]]
actual_attacks_b10 = [id2portfolios[x] for x in actual[10]]
self.assertListEqual(expected_attacks_b5, actual_attacks_b5)
self.assertListEqual(expected_attacks_b10, actual_attacks_b10)
def get_all_attack_portfolios2(self, n, assets, budget, order_set):
if n == 0:
return
order_set.append(
self.get_all_attack_portfolios(n - 1, assets, budget, order_set))
asset_sym = self.id_to_sym[n]
for i in range(1, self.max_order_num + 1):
asset = assets[asset_sym]
num_shares = int(
floor(i * self.min_order_percentage * asset.daily_volume))
cost = num_shares * asset.zero_time_price
if cost < budget:
return
order = Sell(asset_sym, num_shares)
prev = self.get_all_attack_portfolios(n - 1, assets, budget - cost,
order_set)
def test_order_limited_by_parameter(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=2, symbol='a2')
f1 = MockFund(symbol='f1', my_asset=a1, margin_ratio=0.9)
f2 = MockFund(symbol='f2', my_asset=a2, margin_ratio=0.9)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=MockMarketImpactTestCalculator())
solver = SingleAgentDynamicProgrammingSolver(network, 4, 0.5, 2)
self.assertEqual(solver.results.value, 1)
self.assertEqual(solver.results.actions[0], Sell('a2', 2))
def test_get_all_attacks(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=100, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=200, symbol='a2')
a3 = AssetFundNetwork.Asset(price=3, daily_volume=300, symbol='a3')
assets = {'a1': a1, 'a2': a2, 'a3': a3}
expected_attacks = [
Attack([Sell('a1', 10)], 10),
Attack([Sell('a2', 20)], 40),
Attack([Sell('a3', 30)], 90),
Attack([Sell('a1', 10), Buy('a2', 20)], 50),
Attack([Sell('a1', 10), Buy('a3', 30)], 100),
Attack([Sell('a2', 20), Buy('a3', 30)], 130),
Attack(
[Sell('a1', 10), Sell('a2', 20),
Buy('a3', 30)], 140),
Attack([], 0)
]
mgr = ActionsManager(assets, 0.1)
actual_attacks = mgr._ActionsManager__get_all_attacks(assets, 3)
actual_attacks.sort(key=lambda a: a.cost)
expected_attacks.sort(key=lambda a: a.cost)
self.assertListEqual(actual_attacks, expected_attacks)
def build_attack(self, n, c, network):
if n == 0 or c == 0:
s = Solution(network, [], 0, [], 0)
self.solutions[n][c] = s
return s
asset_sym = self.id_to_sym[n]
if c in self.solutions[n]:
return self.solutions[n][c]
elif self.weights[n] > c:
s = self.build_attack(n - 1, c, copy.deepcopy(network))
self.solutions[n][c] = s
return s
else:
max_assets_orders = min(self.max_order_num,
(int)(floor(c / self.weights[n])))
max_result = self.build_attack(n - 1, c, copy.deepcopy(network))
for i in range(1, max_assets_orders + 1):
prev_solution = self.build_attack(n - 1,
c - i * self.weights[n],
copy.deepcopy(network))
num_shares = floor(i * self.min_order_percentage *
network.assets[asset_sym].daily_volume)
if not num_shares:
continue
order = Sell(asset_sym, num_shares)
net2 = prev_solution.network
net2.submit_sell_orders([order])
net2.clear_order_book()
funds = net2.get_funds_in_margin_calls()
value = len(funds)
cost = prev_solution.cost + order.num_shares * network.assets[
order.asset_symbol].zero_time_price
if value > max_result.value or (value == max_result.value
and cost < max_result.cost):
actions = copy.copy(prev_solution.actions)
actions.append(order)
max_result = Solution(net2, actions, value, funds, cost)
self.solutions[n][c] = max_result
return max_result
def test_reset_books(self):
a1 = AssetFundNetwork.Asset(price=1, daily_volume=1, symbol='a1')
a2 = AssetFundNetwork.Asset(price=2, daily_volume=1, symbol='a2')
f1 = Fund('f1', {'a1': 10}, 100, 1, 1)
f2 = Fund('f2', {'a2': 10}, 100, 1, 1)
network = AssetFundNetwork.AssetFundsNetwork(
funds={
'f1': f1,
'f2': f2
},
assets={
'a1': a1,
'a2': a2
},
mi_calc=MockMarketImpactTestCalculator(),
limit_trade_step=True)
network.submit_buy_orders([Buy('a1', 2)])
network.submit_sell_orders([Sell('a1', 2)])
self.assertTrue(network.sell_orders)
self.assertTrue(network.buy_orders)
network.reset_order_books()
self.assertFalse(network.sell_orders)
self.assertFalse(network.buy_orders)
def gen_tree(self, ):
sell_order = Sell('a1', 50)
sell = str([sell_order])
buy = str([Buy('a1', 50)])
nope = str([])
buy_actions = [nope, buy]
root = {
'tree_size': 8,
'to_move': CHANCE,
'actions': ['p1', 'p2'],
'inf_set': '.',
'terminal': False
}
price_drop_log = "{'a1': '1->0.5'}"
empty_log = '{}'
node_1_0 = self.fill_dict(tree_size=6,
to_move=ATTACKER,
actions=[sell],
history_assets_dict={
BUY: {},
SELL: {}
},
players_info=PlayersHiddenInfo(
attacker_attack=[sell_order],
attacker_pid='p2',
defender_budget=50),
actions_history={
BUY: [],
SELL: [],
SIM_TRADE: []
},
inf_set='.p2.A_HISTORY:[]',
terminal=False,
eval=None)
node_1_0_0 = self.fill_dict(tree_size=5,
to_move=DEFENDER,
actions=buy_actions,
history_assets_dict={
BUY: {},
SELL: {
'a1': 1
}
},
players_info=PlayersHiddenInfo(
attacker_attack=[],
attacker_pid='p2',
defender_budget=50),
actions_history={
BUY: [],
SELL: [sell],
SIM_TRADE: []
},
inf_set='.50.D_HISTORY:[]',
terminal=False,
eval=None)
node_1_0_0_0 = self.fill_dict(
tree_size=2,
to_move=MARKET,
actions=[empty_log],
history_assets_dict={
BUY: {
'a1': 1
},
SELL: {
'a1': 1
}
},
players_info=PlayersHiddenInfo(attacker_attack=[],
attacker_pid='p2',
defender_budget=0),
actions_history={
BUY: [buy],
SELL: [sell],
SIM_TRADE: []
},
inf_set=".MARKET_HISTORY:[].BUY:{'a1': 50}.SELL:{'a1': 50}",
terminal=False,
eval=None)
node_1_0_0_1 = self.fill_dict(
tree_size=2,
to_move=MARKET,
actions=[price_drop_log],
history_assets_dict={
BUY: {},
SELL: {
'a1': 1
}
},
players_info=PlayersHiddenInfo(attacker_attack=[],
attacker_pid='p2',
defender_budget=50),
actions_history={
BUY: [nope],
SELL: [sell],
SIM_TRADE: []
},
inf_set=".MARKET_HISTORY:[].BUY:{}.SELL:{'a1': 50}",
terminal=False,
eval=None)
node_1_0_0_0_0 = self.fill_dict(
tree_size=1,
terminal=True,
eval=0,
to_move=ATTACKER,
actions=[],
history_assets_dict={
BUY: {
'a1': 1
},
SELL: {
'a1': 1
}
},
players_info=PlayersHiddenInfo(attacker_attack=[],
attacker_pid='p2',
defender_budget=0),
actions_history={
BUY: [buy, empty_log],
SELL: [sell, empty_log],
SIM_TRADE: [empty_log]
},
inf_set=".p2.A_HISTORY:['[Sell a1 50]', '{}']")
node_1_0_0_1_0 = self.fill_dict(
tree_size=1,
terminal=True,
eval=-1,
to_move=ATTACKER,
actions=[],
history_assets_dict={
BUY: {
'a1': 1
},
SELL: {
'a1': 1
}
},
players_info=PlayersHiddenInfo(attacker_attack=[],
attacker_pid='p2',
defender_budget=50),
actions_history={
BUY: [nope, price_drop_log],
SELL: [sell, price_drop_log],
SIM_TRADE: [price_drop_log]
},
inf_set=".p2.A_HISTORY:['[Sell a1 50]', \"{'a1': '1->0.5'}\"]")
###########
node_1_1 = self.fill_dict(tree_size=1,
terminal=True,
eval=0,
to_move=ATTACKER,
actions=[],
history_assets_dict={
BUY: {},
SELL: {}
},
players_info=PlayersHiddenInfo(
attacker_attack=[],
attacker_pid='p1',
defender_budget=50),
actions_history={
BUY: [],
SELL: [],
SIM_TRADE: []
},
inf_set='.p1.A_HISTORY:[]')
##########
root['children'] = {'p2': node_1_0, 'p1': node_1_1}
node_1_0['children'] = {sell: node_1_0_0}
node_1_0_0['children'] = {buy: node_1_0_0_0, nope: node_1_0_0_1}
node_1_0_0_0['children'] = {empty_log: node_1_0_0_0_0}
node_1_0_0_1['children'] = {price_drop_log: node_1_0_0_1_0}
node_1_0_0_0_0['children'] = {}
node_1_0_0_1_0['children'] = {}
node_1_1['children'] = {}
return root
