def test_create_interest_weekend_event(self):
blt = self.make_blotter()
blt.connect_market_data()
ts = pd.Timestamp('2015-08-06T00:00:00')
blt._holdings.update_cash(ts, "AUD", 1000000)
blt._holdings.update_cash(ts, "JPY", 1000000)
ts = pd.Timestamp('2015-08-07T00:00:00')
evs = blt.create_events(ts, "INTEREST")
irates = pd.read_csv(self.rates, index_col=0, parse_dates=True)
aud_int = irates.loc[ts, "AUD"] / 365 * 3 * 1000000
jpy_int = irates.loc[ts, "JPY"] / 365 * 3 * 1000000
evs_exp = [
blotter._Event("INTEREST", {
"timestamp": ts,
"ccy": "AUD",
"quantity": aud_int
}),
blotter._Event("INTEREST", {
"timestamp": ts,
"ccy": "JPY",
"quantity": jpy_int
})
]
self.assertEventsEqual(evs, evs_exp)
def test_create_trade_fx_USDCAD(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
blt.connect_market_data()
blt.define_generic("USDCAD", "CAD", 0, 1, 0, True)
blt.map_instrument("USDCAD", "USDCAD")
ts = pd.Timestamp('2015-08-03T12:00:00')
evs = blt._create_trade(ts, "USDCAD", quantity=1000, price=1.31)
ev_exp = [
blotter._Event(
"TRADE", {
"timestamp": ts,
"instrument": "USDCAD",
"ccy": "CAD",
"price": 1.31,
"quantity": 1000,
"multiplier": 1,
"commission": 0
}),
blotter._Event("CASH", {
"timestamp": ts,
"ccy": "CAD",
"quantity": -1000 * 1.31
}),
blotter._Event("CASH", {
"timestamp": ts,
"ccy": "USD",
"quantity": 1000
})
]
self.assertEventsEqual(evs, ev_exp)
def test_create_read_log(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
# test events can be properly read error free
blt.read_log(self.log)
evs = blt._create_log_events(self.log)
ts1 = pd.Timestamp('2016-12-01T10:00:00')
ts2 = pd.Timestamp('2016-12-02T10:00:00')
exp_evs = [
blotter._Event(
"TRADE", {
"timestamp": ts1,
"instrument": "CLZ16",
"ccy": "USD",
"price": 53.46,
"quantity": 100,
"multiplier": 1,
"commission": 2.50
}),
blotter._Event(
"TRADE", {
"timestamp": ts2,
"instrument": "CLZ16",
"ccy": "USD",
"price": 55.32,
"ntc_price": 55.32,
"quantity": 100,
"multiplier": 1,
"commission": 2.50
})
]
self.assertEventsEqual(evs, exp_evs)
def test_create_short_margin_event(self):
blt = blotter.Blotter(self.prices,
self.rates,
base_ccy="USD",
margin_charge=0.015)
blt.connect_market_data()
ts = pd.Timestamp('2015-08-04T00:00:00')
qty = -1
price = 0
blt.define_generic("ES", "USD", 0.05, 1, 2.5)
blt.map_instrument("ES", "ESZ15")
blt._trade(ts, "ESZ15", qty, price)
ts = pd.Timestamp('2015-08-05T00:00:00')
ev = blt.create_events(ts, "MARGIN")
rates = pd.read_csv(self.rates, index_col=0, parse_dates=True)
es_fp = os.path.join(self.prices, 'ESZ15.csv')
es = pd.read_csv(es_fp, index_col=0, parse_dates=True)
es_notional = float(es.loc[ts].values * np.abs(qty) * 0.05)
quantity = es_notional * (rates.loc[ts, "USD"] + 0.015) / 365
ev_exp = [
blotter._Event("INTEREST", {
"timestamp": ts,
"ccy": "USD",
"quantity": quantity
})
]
self.assertEventsEqual(ev, ev_exp)
def test_pnl(self):
blt = blotter.Blotter()
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'prices': pd.Series([53.46, 52], index=['CLZ6', 'COZ6'])
}
ev = [blotter._Event('PNL', data)]
blt.dispatch_events(ev)
def test_cash(self):
blt = blotter.Blotter()
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'ccy': 'USD',
'quantity': 1000
}
ev = [blotter._Event('CASH', data)]
blt.dispatch_events(ev)
def test_dispatch_unknown_event(self):
blt = self.make_blotter()
ev = blotter._Event("NotAnEvent",
{"timestamp": pd.Timestamp('2015-01-01')})
def dispatch_unknown():
blt.dispatch_events([ev])
self.assertRaises(NotImplementedError, dispatch_unknown)
def test_sweep(self):
blt = blotter.Blotter()
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'ccy1': 'USD',
'quantity1': 1000,
'ccy2': 'CAD',
'quantity2': -1300
}
ev = [blotter._Event('PNL_SWEEP', data)]
blt.dispatch_events(ev)
def test_pnl_fromstring(self):
trd_str = ('PNL|{"timestamp":"2016-12-01 10:00:00",'
'"prices":{"CLZ6": 53.46, "COZ6": 52}}')
ev = blotter._Event.fromstring(trd_str)
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'prices': pd.Series([53.46, 52], index=['CLZ6', 'COZ6'])
}
ev_exp = blotter._Event('PNL', data)
self.assertEventEqual(ev, ev_exp)
def test_tostr_valid_dict(self):
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'instrument': 'CLZ6',
'price': 53.46,
'quantity': 100,
'commission': 2.50,
'ccy': 'USD'
}
trd_str = str(blotter._Event('TRADE', data))
ast.literal_eval(trd_str.split('|')[1])
def test_trade(self):
blt = blotter.Blotter()
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'instrument': 'CLZ6',
'price': 53.46,
'quantity': 100,
'multiplier': 1,
'commission': 2.50,
'ccy': 'USD'
}
ev = [blotter._Event('TRADE', data)]
blt.dispatch_events(ev)
def test_trade_tostr(self):
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'instrument': 'CLZ6',
'price': 53.46,
'quantity': 100,
'commission': 2.50,
'ccy': 'USD'
}
trd_str = str(blotter._Event('TRADE', data))
exp_str = ('TRADE|{"timestamp": "2016-12-01 10:00:00", '
'"ccy": "USD", "commission": 2.5, "instrument": "CLZ6", '
'"price": 53.46, "quantity": 100}')
self.assertEqual(trd_str, exp_str)
def test_trade_fromstring(self):
trd_str = ('TRADE|{"timestamp":"2016-12-01 10:00:00",'
'"instrument":"CLZ6","price":53.46,"quantity":100,'
'"commission":2.50,"ccy":"USD"}')
ev = blotter._Event.fromstring(trd_str)
data = {
'timestamp': pd.Timestamp('2016-12-01T10:00:00'),
'instrument': 'CLZ6',
'price': 53.46,
'quantity': 100,
'commission': 2.50,
'ccy': 'USD'
}
ev_exp = blotter._Event('TRADE', data)
self.assertEventEqual(ev, ev_exp)
def test_create_pnl_sweep_event_closed_pnl(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
blt.connect_market_data()
ts = pd.Timestamp('2015-08-03T12:00:00')
blt._holdings.record_trade(ts, 'CLZ15', 50.50, 1, 1, 0, "CAD")
ts = pd.Timestamp('2015-08-03T14:00:00')
blt._holdings.record_trade(ts, 'CLZ15', 51.50, -1, 1, 0, "CAD")
ts = pd.Timestamp('2015-08-04T00:00:00')
evs = blt.create_events(ts, "PNL_SWEEP")
evs_exp = [
blotter._Event(
"PNL_SWEEP", {
"timestamp": ts,
"ccy1": "CAD",
"quantity1": -1.00,
"ccy2": "USD",
"quantity2": 1 / 1.3125
})
]
self.assertEventsEqual(evs, evs_exp)
def test_closed_position_pnl_event(self):
blt = self.make_blotter()
blt.connect_market_data()
ts = pd.Timestamp('2015-08-04T00:00:00')
qty = 1
price = 0
blt.define_generic("ES", "USD", 0.05, 1, 2.5)
blt.map_instrument("ES", "ESZ15")
blt._trade(ts, "ESZ15", qty, price)
ts = pd.Timestamp('2015-08-05T00:00:00')
blt._trade(ts, "ESZ15", -qty, price)
ts = pd.Timestamp('2015-08-06T00:00:00')
ev = blt.create_events(ts, "PNL")
ev_exp = [
blotter._Event("PNL", {
"timestamp": ts,
"prices": pd.Series([])
})
]
self.assertEventsEqual(ev, ev_exp)
def test_create_trade_future(self):
blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD")
blt.connect_market_data()
blt.define_generic("ES", "USD", 0, 1, 0, False)
blt.map_instrument("ES", "ESZ15")
ts = pd.Timestamp('2015-08-03T12:00:00')
evs = blt._create_trade(ts, "ESZ15", quantity=1, price=1800)
ev_exp = [
blotter._Event(
"TRADE", {
"timestamp": ts,
"instrument": "ESZ15",
"ccy": "USD",
"price": 1800,
"quantity": 1,
"multiplier": 1,
"commission": 0
})
]
self.assertEventsEqual(evs, ev_exp)
def test_create_pnl_event(self):
blt = self.make_blotter()
blt.connect_market_data()
ts = pd.Timestamp('2015-08-04T00:00:00')
qty = 1
price = 0
blt.define_generic("SXM", "CAD", 0.1, 1, 2.5)
blt.map_instrument("SXM", "SXMZ15")
blt.define_generic("ES", "USD", 0.05, 1, 2.5)
blt.map_instrument("ES", "ESZ15")
blt._trade(ts, 'SXMZ15', qty, price)
blt._trade(ts, "ESZ15", qty, price)
ts = pd.Timestamp('2015-08-05T00:00:00')
ev = blt.create_events(ts, "PNL")
es_fp = os.path.join(self.prices, 'ESZ15.csv')
es = pd.read_csv(es_fp, index_col=0, parse_dates=True)
sxm_fp = os.path.join(self.prices, 'SXMZ15.csv')
sxm = pd.read_csv(sxm_fp, index_col=0, parse_dates=True)
prices = pd.concat([es.loc[ts], sxm.loc[ts]], axis=0)
ev_exp = [blotter._Event("PNL", {"timestamp": ts, "prices": prices})]
self.assertEventsEqual(ev, ev_exp)
def make_ev():
blotter._Event('TRADE', data)