class AnalyzerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.analyzer = PerformanceAnalyzer()
def test_add_return(self):
# Arrange
t1 = datetime(year=2010, month=1, day=1)
t2 = datetime(year=2010, month=1, day=2)
t3 = datetime(year=2010, month=1, day=3)
t4 = datetime(year=2010, month=1, day=4)
t5 = datetime(year=2010, month=1, day=5)
t6 = datetime(year=2010, month=1, day=6)
t7 = datetime(year=2010, month=1, day=7)
t8 = datetime(year=2010, month=1, day=8)
t9 = datetime(year=2010, month=1, day=9)
t10 = datetime(year=2010, month=1, day=10)
# Act
self.analyzer.add_return(t1, 0.05)
self.analyzer.add_return(t2, -0.10)
self.analyzer.add_return(t3, 0.10)
self.analyzer.add_return(t4, -0.21)
self.analyzer.add_return(t5, 0.22)
self.analyzer.add_return(t6, -0.23)
self.analyzer.add_return(t7, 0.24)
self.analyzer.add_return(t8, -0.25)
self.analyzer.add_return(t9, 0.26)
self.analyzer.add_return(t10, -0.10)
result = self.analyzer.get_returns()
# Assert
self.assertEqual(10, len(result))
def test_add_positions(self):
# Arrange
position1 = TestStubs.position()
position2 = TestStubs.position()
positions = [position1, position2]
# Act
self.analyzer.add_positions(UNIX_EPOCH, positions, Money(100000, USD))
# Assert
print(self.analyzer.get_positions())
class TestAnalyzer:
def setup(self):
# Fixture Setup
self.analyzer = PerformanceAnalyzer()
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER-000"),
strategy_id=StrategyId("S-001"),
clock=TestClock(),
)
def test_get_realized_pnls_when_no_data_returns_none(self):
# Arrange, Act
result = self.analyzer.realized_pnls()
# Assert
assert result is None
def test_get_realized_pnls_with_currency_when_no_data_returns_none(self):
# Arrange, Act
result = self.analyzer.realized_pnls(AUD)
# Assert
assert result is None
def test_analyzer_tracks_returns(self):
# Arrange
t1 = datetime(year=2010, month=1, day=1)
t2 = datetime(year=2010, month=1, day=2)
t3 = datetime(year=2010, month=1, day=3)
t4 = datetime(year=2010, month=1, day=4)
t5 = datetime(year=2010, month=1, day=5)
t6 = datetime(year=2010, month=1, day=6)
t7 = datetime(year=2010, month=1, day=7)
t8 = datetime(year=2010, month=1, day=8)
t9 = datetime(year=2010, month=1, day=9)
t10 = datetime(year=2010, month=1, day=10)
# Act
self.analyzer.add_return(t1, 0.05)
self.analyzer.add_return(t2, -0.10)
self.analyzer.add_return(t3, 0.10)
self.analyzer.add_return(t4, -0.21)
self.analyzer.add_return(t5, 0.22)
self.analyzer.add_return(t6, -0.23)
self.analyzer.add_return(t7, 0.24)
self.analyzer.add_return(t8, -0.25)
self.analyzer.add_return(t9, 0.26)
self.analyzer.add_return(t10, -0.10)
self.analyzer.add_return(t10, -0.10)
result = self.analyzer.returns()
# Assert
assert len(result) == 10
def test_get_realized_pnls_when_all_flat_positions_returns_expected_series(
self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
order3 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order4 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00000"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00010"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=AUDUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00000"),
)
fill4 = TestStubs.event_order_filled(
order4,
instrument=AUDUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("1.00020"),
)
position1 = Position(instrument=AUDUSD_SIM, fill=fill1)
position1.apply(fill2)
position2 = Position(instrument=AUDUSD_SIM, fill=fill3)
position2.apply(fill4)
self.analyzer.add_positions([position1, position2])
# Act
result = self.analyzer.realized_pnls(USD)
# Assert
assert len(result) == 2
assert result["P-1"] == 6.0
assert result["P-2"] == 16.0
class AnalyzerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.analyzer = PerformanceAnalyzer()
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER", "000"),
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
def test_get_daily_returns_when_no_data_returns_empty_series(self):
# Arrange
# Act
result = self.analyzer.get_daily_returns()
# Assert
self.assertTrue(result.empty)
def test_get_realized_pnls_when_no_data_returns_empty_series(self):
# Arrange
# Act
result = self.analyzer.get_realized_pnls()
# Assert
self.assertTrue(result.empty)
def test_analyzer_tracks_daily_returns(self):
# Arrange
t1 = datetime(year=2010, month=1, day=1)
t2 = datetime(year=2010, month=1, day=2)
t3 = datetime(year=2010, month=1, day=3)
t4 = datetime(year=2010, month=1, day=4)
t5 = datetime(year=2010, month=1, day=5)
t6 = datetime(year=2010, month=1, day=6)
t7 = datetime(year=2010, month=1, day=7)
t8 = datetime(year=2010, month=1, day=8)
t9 = datetime(year=2010, month=1, day=9)
t10 = datetime(year=2010, month=1, day=10)
# Act
self.analyzer.add_return(t1, 0.05)
self.analyzer.add_return(t2, -0.10)
self.analyzer.add_return(t3, 0.10)
self.analyzer.add_return(t4, -0.21)
self.analyzer.add_return(t5, 0.22)
self.analyzer.add_return(t6, -0.23)
self.analyzer.add_return(t7, 0.24)
self.analyzer.add_return(t8, -0.25)
self.analyzer.add_return(t9, 0.26)
self.analyzer.add_return(t10, -0.10)
self.analyzer.add_return(t10, -0.10)
result = self.analyzer.get_daily_returns()
# Assert
self.assertEqual(10, len(result))
self.assertEqual(-0.12, sum(result))
self.assertEqual(-0.20, result.iloc[9])
def test_get_realized_pnls_when_all_flat_positions_returns_expected_series(
self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
)
order3 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order4 = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00000"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00010"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=AUDUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00000"),
)
fill4 = TestStubs.event_order_filled(
order4,
instrument=AUDUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S", "001"),
fill_price=Price("1.00020"),
)
position1 = Position(fill1)
position1.apply(fill2)
position2 = Position(fill3)
position2.apply(fill4)
self.analyzer.add_positions([position1, position2])
# Act
result = self.analyzer.get_realized_pnls()
# Assert
self.assertEqual(2, len(result))
self.assertEqual(6.0, result['P-1'])
self.assertEqual(16.0, result['P-2'])