def get_quantity_to_trade(self, instrument, value, date):
'''
return the number of instrument to trade to exposed to the asked nb units
@param instrument: the instrument
@param value: the number units
@param date: the date
@return: the quantity of instruments
'''
calendar_util = self.strategy.calendar_util
ptf_value = self.strategy.portfolio.get_value(date)
current_atr = ATR.get_value(instrument, date, 21, calendar_util)
return value*0.001*ptf_value/current_atr
def testGetValue(self):
calendar_util = MockCalendarUtil()
instrument = MockInstrument()
self.assertEqual(ATR.get_value(instrument, 30, 20, calendar_util), 20, "good ATR")