def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'buy_call': {
'contract': 'CALL',
'side': 'BUY',
'quantity': +1,
'strike': 120,
'price': 2.49,
'net_price': 0.0
},
'buy_put': {
'contract': 'PUT',
'side': 'BUY',
'quantity': +1,
'strike': 120,
'price': 2.16,
'net_price': 4.65
},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_call']['contract'],
side=self.orders['buy_call']['side'],
quantity=self.orders['buy_call']['quantity'],
strike=self.orders['buy_call']['strike'],
price=self.orders['buy_call']['price'],
net_price=self.orders['buy_call']['net_price'])
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_put']['contract'],
side=self.orders['buy_put']['side'],
quantity=self.orders['buy_put']['quantity'],
strike=self.orders['buy_put']['strike'],
price=self.orders['buy_put']['price'],
net_price=self.orders['buy_put']['net_price'])
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.long_strangle = StageLongStraddle(
filled_orders=filled_orders, contract_right=self.contract_right)
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'buy_call': {'contract': 'CALL', 'side': 'BUY', 'quantity': +1,
'strike': 120, 'price': 2.49, 'net_price': 0.0},
'buy_put': {'contract': 'PUT', 'side': 'BUY', 'quantity': +1,
'strike': 120, 'price': 2.16, 'net_price': 4.65},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_call']['contract'],
side=self.orders['buy_call']['side'],
quantity=self.orders['buy_call']['quantity'],
strike=self.orders['buy_call']['strike'],
price=self.orders['buy_call']['price'],
net_price=self.orders['buy_call']['net_price']
)
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_put']['contract'],
side=self.orders['buy_put']['side'],
quantity=self.orders['buy_put']['quantity'],
strike=self.orders['buy_put']['strike'],
price=self.orders['buy_put']['price'],
net_price=self.orders['buy_put']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.long_strangle = StageLongStraddle(
filled_orders=filled_orders, contract_right=self.contract_right
)
class TestStageLongStraddle(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'buy_call': {
'contract': 'CALL',
'side': 'BUY',
'quantity': +1,
'strike': 120,
'price': 2.49,
'net_price': 0.0
},
'buy_put': {
'contract': 'PUT',
'side': 'BUY',
'quantity': +1,
'strike': 120,
'price': 2.16,
'net_price': 4.65
},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_call']['contract'],
side=self.orders['buy_call']['side'],
quantity=self.orders['buy_call']['quantity'],
strike=self.orders['buy_call']['strike'],
price=self.orders['buy_call']['price'],
net_price=self.orders['buy_call']['net_price'])
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_put']['contract'],
side=self.orders['buy_put']['side'],
quantity=self.orders['buy_put']['quantity'],
strike=self.orders['buy_put']['strike'],
price=self.orders['buy_put']['price'],
net_price=self.orders['buy_put']['net_price'])
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.long_strangle = StageLongStraddle(
filled_orders=filled_orders, contract_right=self.contract_right)
def test_create_even_stage1(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_strangle.create_even_stage1()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 124.65,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
})
self.check_in_stage(stage_cls=even_stage, price=124.65, expect=True)
self.check_in_stage(stage_cls=even_stage, price=125, expect=False)
self.check_get_status(stage_cls=even_stage,
new_price=124.65,
old_price=124.65,
expect='UNKNOWN')
def test_create_even_stage2(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_strangle.create_even_stage2()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 115.35,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
})
self.check_in_stage(stage_cls=even_stage, price=115.35, expect=True)
self.check_in_stage(stage_cls=even_stage, price=116, expect=False)
self.check_get_status(stage_cls=even_stage,
new_price=115.35,
old_price=115.35,
expect='UNKNOWN')
def test_create_profit_stage1(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_strangle.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price}',
detail={
'price_a': 124.65,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {new_price} < {old_price}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {old_price} < {new_price}',
})
self.check_in_stage(stage_cls=profit_stage, price=125, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=124, expect=False)
self.check_get_status(profit_stage,
new_price=125,
old_price=126,
expect='DECREASING')
self.check_get_status(profit_stage,
new_price=129,
old_price=126,
expect='PROFITING')
self.check_get_status(profit_stage,
new_price=126,
old_price=126,
expect='UNKNOWN')
def test_create_profit_stage2(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_strangle.create_profit_stage2()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{current_price} < {price_a}',
detail={
'price_a': 115.35,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{old_price} < {new_price} < {price_a}',
'right_status': 'PROFITING',
'right_expression': '{new_price} < {old_price} < {price_a}',
})
self.check_in_stage(stage_cls=profit_stage, price=114, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=116, expect=False)
self.check_get_status(profit_stage,
new_price=113,
old_price=112,
expect='DECREASING')
self.check_get_status(profit_stage,
new_price=111,
old_price=113,
expect='PROFITING')
self.check_get_status(profit_stage,
new_price=113,
old_price=113,
expect='UNKNOWN')
def test_create_loss_stage1(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_strangle.create_loss_stage1()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
120.0,
'amount_a':
-465.0,
'price_b':
124.65,
'amount_b':
0.0,
'left_status':
'RECOVERING',
'left_expression':
'{price_a} < {old_price} < {new_price} < {price_b}',
'right_status':
'LOSING',
'right_expression':
'{price_a} < {new_price} < {old_price} < {price_b}',
})
self.check_in_stage(stage_cls=loss_stage, price=123, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=125, expect=False)
self.check_get_status(loss_stage,
new_price=124,
old_price=122,
expect='RECOVERING')
self.check_get_status(loss_stage,
new_price=122,
old_price=123,
expect='LOSING')
self.check_get_status(loss_stage,
new_price=123,
old_price=123,
expect='UNKNOWN')
def test_create_loss_stage2(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_strangle.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a':
115.35,
'amount_a':
0.0,
'price_b':
120.0,
'amount_b':
-465.0,
'left_status':
'RECOVERING',
'left_expression':
'{price_a} < {new_price} < {old_price} < {price_b}',
'right_status':
'LOSING',
'right_expression':
'{price_a} < {old_price} < {new_price} < {price_b}',
})
self.check_in_stage(stage_cls=loss_stage, price=118, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=114, expect=False)
self.check_get_status(loss_stage,
new_price=116,
old_price=118,
expect='RECOVERING')
self.check_get_status(loss_stage,
new_price=119,
old_price=117,
expect='LOSING')
self.check_get_status(loss_stage,
new_price=117,
old_price=117,
expect='UNKNOWN')
def test_create_max_loss_stage1(self):
"""
Create max loss stage using filled orders data
"""
max_loss_stage = self.long_strangle.create_max_loss_stage()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} == {current_price}',
detail={
'price_a': 120.0,
'amount_a': -465.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
})
self.check_in_stage(stage_cls=max_loss_stage, price=120, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=119, expect=False)
self.check_get_status(max_loss_stage,
new_price=120,
old_price=120,
expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.long_strangle.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)
class TestStageLongStraddle(TestUnitSetUpStage):
def setUp(self):
TestUnitSetUpStage.setUp(self)
self.orders = {
'buy_call': {'contract': 'CALL', 'side': 'BUY', 'quantity': +1,
'strike': 120, 'price': 2.49, 'net_price': 0.0},
'buy_put': {'contract': 'PUT', 'side': 'BUY', 'quantity': +1,
'strike': 120, 'price': 2.16, 'net_price': 4.65},
}
self.call_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_call']['contract'],
side=self.orders['buy_call']['side'],
quantity=self.orders['buy_call']['quantity'],
strike=self.orders['buy_call']['strike'],
price=self.orders['buy_call']['price'],
net_price=self.orders['buy_call']['net_price']
)
self.put_order = create_filled_order(
trade_summary=self.trade_summary,
underlying=self.underlying,
spread='STRANGLE',
contract=self.orders['buy_put']['contract'],
side=self.orders['buy_put']['side'],
quantity=self.orders['buy_put']['quantity'],
strike=self.orders['buy_put']['strike'],
price=self.orders['buy_put']['price'],
net_price=self.orders['buy_put']['net_price']
)
filled_orders = FilledOrder.objects.filter(underlying=self.underlying)
self.contract_right = 100
self.long_strangle = StageLongStraddle(
filled_orders=filled_orders, contract_right=self.contract_right
)
def test_create_even_stage1(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_strangle.create_even_stage1()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 124.65,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=even_stage, price=124.65, expect=True)
self.check_in_stage(stage_cls=even_stage, price=125, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=124.65, old_price=124.65, expect='UNKNOWN'
)
def test_create_even_stage2(self):
"""
Create even stage using filled orders data
"""
even_stage = self.long_strangle.create_even_stage2()
self.method_test_create_stage(
stage=even_stage,
name='EVEN',
expression='{price_a} == {current_price}',
detail={
'price_a': 115.35,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=even_stage, price=115.35, expect=True)
self.check_in_stage(stage_cls=even_stage, price=116, expect=False)
self.check_get_status(
stage_cls=even_stage, new_price=115.35, old_price=115.35, expect='UNKNOWN'
)
def test_create_profit_stage1(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_strangle.create_profit_stage1()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{price_a} < {current_price}',
detail={
'price_a': 124.65,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{price_a} < {new_price} < {old_price}',
'right_status': 'PROFITING',
'right_expression': '{price_a} < {old_price} < {new_price}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=125, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=124, expect=False)
self.check_get_status(profit_stage, new_price=125, old_price=126, expect='DECREASING')
self.check_get_status(profit_stage, new_price=129, old_price=126, expect='PROFITING')
self.check_get_status(profit_stage, new_price=126, old_price=126, expect='UNKNOWN')
def test_create_profit_stage2(self):
"""
Create profit stage using filled orders data
"""
profit_stage = self.long_strangle.create_profit_stage2()
self.method_test_create_stage(
stage=profit_stage,
name='PROFIT',
expression='{current_price} < {price_a}',
detail={
'price_a': 115.35,
'amount_a': 0.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': 'DECREASING',
'left_expression': '{old_price} < {new_price} < {price_a}',
'right_status': 'PROFITING',
'right_expression': '{new_price} < {old_price} < {price_a}',
}
)
self.check_in_stage(stage_cls=profit_stage, price=114, expect=True)
self.check_in_stage(stage_cls=profit_stage, price=116, expect=False)
self.check_get_status(profit_stage, new_price=113, old_price=112, expect='DECREASING')
self.check_get_status(profit_stage, new_price=111, old_price=113, expect='PROFITING')
self.check_get_status(profit_stage, new_price=113, old_price=113, expect='UNKNOWN')
def test_create_loss_stage1(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_strangle.create_loss_stage1()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 120.0,
'amount_a': -465.0,
'price_b': 124.65,
'amount_b': 0.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=123, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=125, expect=False)
self.check_get_status(loss_stage, new_price=124, old_price=122, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=122, old_price=123, expect='LOSING')
self.check_get_status(loss_stage, new_price=123, old_price=123, expect='UNKNOWN')
def test_create_loss_stage2(self):
"""
Create loss stage using filled orders data
"""
loss_stage = self.long_strangle.create_loss_stage2()
self.method_test_create_stage(
stage=loss_stage,
name='LOSS',
expression='{price_a} < {current_price} < {price_b}',
detail={
'price_a': 115.35,
'amount_a': 0.0,
'price_b': 120.0,
'amount_b': -465.0,
'left_status': 'RECOVERING',
'left_expression': '{price_a} < {new_price} < {old_price} < {price_b}',
'right_status': 'LOSING',
'right_expression': '{price_a} < {old_price} < {new_price} < {price_b}',
}
)
self.check_in_stage(stage_cls=loss_stage, price=118, expect=True)
self.check_in_stage(stage_cls=loss_stage, price=114, expect=False)
self.check_get_status(loss_stage, new_price=116, old_price=118, expect='RECOVERING')
self.check_get_status(loss_stage, new_price=119, old_price=117, expect='LOSING')
self.check_get_status(loss_stage, new_price=117, old_price=117, expect='UNKNOWN')
def test_create_max_loss_stage1(self):
"""
Create max loss stage using filled orders data
"""
max_loss_stage = self.long_strangle.create_max_loss_stage()
self.method_test_create_stage(
stage=max_loss_stage,
name='MAX_LOSS',
expression='{price_a} == {current_price}',
detail={
'price_a': 120.0,
'amount_a': -465.0,
'price_b': 0.0,
'amount_b': 0.0,
'left_status': '',
'left_expression': '',
'right_status': '',
'right_expression': '',
}
)
self.check_in_stage(stage_cls=max_loss_stage, price=120, expect=True)
self.check_in_stage(stage_cls=max_loss_stage, price=119, expect=False)
self.check_get_status(max_loss_stage, new_price=120, old_price=120, expect='UNKNOWN')
def test_create_stages(self):
"""
Test create stages using filled orders
"""
print 'run create_stages...'
stages = self.long_strangle.create_stages()
self.assertEqual(type(stages), list)
for stage in stages:
print stage
self.assertEqual(type(stage), PositionStage)