def test_unrealized_pnl_with_single_asset_account_when_no_open_positions_returns_zero(
self, ):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.unrealized_pnl()
# Assert
self.assertEqual(Money(0, USD), result)
def test_equity_with_single_asset_account_returns_expected_money(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(100000.00, USD),
Money(0.00, USD),
Money(100000.00, USD),
),
],
info={},
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.equity()
# Assert
self.assertEqual(Money(100000.00, USD), result)
def test_margin_available_for_multi_asset_account(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result1 = account.margin_available(BTC)
account.update_initial_margin(Money("0.00010000", BTC))
result2 = account.margin_available(BTC)
account.update_maint_margin(Money("0.00020000", BTC))
result3 = account.margin_available(BTC)
result4 = account.margin_available(ETH)
# Assert
self.assertEqual(Money("10.00000000", BTC), result1)
self.assertEqual(Money("9.99990000", BTC), result2)
self.assertEqual(Money("9.99970000", BTC), result3)
self.assertEqual(Money("20.00000000", ETH), result4)
def test_margin_available_for_single_asset_account(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("100000.00", USD)],
[Money("0.00", USD)],
[Money("0.00", USD)],
info={"default_currency": "USD"}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result1 = account.margin_available()
account.update_initial_margin(Money("500.00", USD))
result2 = account.margin_available()
account.update_maint_margin(Money("1000.00", USD))
result3 = account.margin_available()
# Assert
self.assertEqual(Money("100000.00", USD), result1)
self.assertEqual(Money("99500.00", USD), result2)
self.assertEqual(Money("98500.00", USD), result3)
def test_instantiated_accounts_basic_properties(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money(1_000_000, USD)],
[Money(1_000_000, USD)],
[Money(0, USD)],
info={"default_currency": "USD"}, # Set the default currency
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual("Account(id=SIM-001)", str(account))
self.assertEqual("Account(id=SIM-001)", repr(account))
self.assertEqual(int, type(hash(account)))
self.assertTrue(account == account)
self.assertFalse(account != account)
def test_update_maint_margin(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
margin = Money("0.00050000", BTC)
# Act
account.update_maint_margin(margin)
# Assert
self.assertEqual(margin, account.maint_margin(BTC))
self.assertEqual({BTC: margin}, account.maint_margins())
def test_unrealized_pnl_with_multi_asset_account_when_no_open_positions_returns_zero(
self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.unrealized_pnl(BTC)
# Assert
self.assertEqual(result, Money("0.00000000", BTC))
def test_equity_with_multi_asset_account_returns_expected_money(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.equity(BTC)
# Assert
self.assertEqual(Money("10.00000000", BTC), result)
def test_instantiated_accounts_basic_properties(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event)
# Prepare components
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual("Account(id=SIM-001)", str(account))
self.assertEqual("Account(id=SIM-001)", repr(account))
self.assertEqual(int, type(hash(account)))
self.assertTrue(account == account)
self.assertFalse(account != account)
def test_instantiate_multi_asset_account(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual(None, account.default_currency)
self.assertEqual(event, account.last_event)
self.assertEqual([event], account.events)
self.assertEqual(1, account.event_count)
self.assertEqual(Money("10.00000000", BTC), account.balance(BTC))
self.assertEqual(Money("20.00000000", ETH), account.balance(ETH))
self.assertEqual(Money("10.00000000", BTC), account.balance_free(BTC))
self.assertEqual(Money("20.00000000", ETH), account.balance_free(ETH))
self.assertEqual(Money("0.00000000", BTC), account.balance_locked(BTC))
self.assertEqual(Money("0.00000000", ETH), account.balance_locked(ETH))
self.assertEqual(
{
BTC: Money("10.00000000", BTC),
ETH: Money("20.00000000", ETH)
}, account.balances())
self.assertEqual(
{
BTC: Money("10.00000000", BTC),
ETH: Money("20.00000000", ETH)
}, account.balances_free())
self.assertEqual(
{
BTC: Money("0.00000000", BTC),
ETH: Money("0.00000000", ETH)
}, account.balances_locked())
self.assertEqual(Money("0.00000000", BTC), account.unrealized_pnl(BTC))
self.assertEqual(Money("0.00000000", ETH), account.unrealized_pnl(ETH))
self.assertEqual(Money("10.00000000", BTC), account.equity(BTC))
self.assertEqual(Money("20.00000000", ETH), account.equity(ETH))
self.assertEqual({}, account.init_margins())
self.assertEqual({}, account.maint_margins())
self.assertEqual(None, account.init_margin(BTC))
self.assertEqual(None, account.init_margin(ETH))
self.assertEqual(None, account.maint_margin(BTC))
self.assertEqual(None, account.maint_margin(ETH))
def test_apply_given_new_state_event_updates_correctly(self):
# Arrange
event1 = AccountState(
AccountId("SIM", "001"),
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("10.00000000", BTC),
Money("20.00000000", ETH)],
[Money("0.00000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account = Account(event1)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
event2 = AccountState(
AccountId("SIM", "001"),
[Money("9.00000000", BTC),
Money("20.00000000", ETH)],
[Money("8.50000000", BTC),
Money("20.00000000", ETH)],
[Money("0.50000000", BTC),
Money("0.00000000", ETH)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account.apply(event2)
# Assert
self.assertEqual(event2, account.last_event)
self.assertEqual([event1, event2], account.events)
self.assertEqual(2, account.event_count)
self.assertEqual(Money("9.00000000", BTC), account.balance(BTC))
self.assertEqual(Money("8.50000000", BTC), account.balance_free(BTC))
self.assertEqual(Money("0.50000000", BTC), account.balance_locked(BTC))
self.assertEqual(Money("20.00000000", ETH), account.balance(ETH))
self.assertEqual(Money("20.00000000", ETH), account.balance_free(ETH))
self.assertEqual(Money("0.00000000", ETH), account.balance_locked(ETH))
def test_instantiate_single_asset_account(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event)
# Prepare components
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(USD, account.base_currency)
self.assertEqual(event, account.last_event)
self.assertEqual([event], account.events)
self.assertEqual(1, account.event_count)
self.assertEqual(Money(1_000_000, USD), account.balance_total())
self.assertEqual(Money(1_000_000, USD), account.balance_free())
self.assertEqual(Money(0, USD), account.balance_locked())
self.assertEqual({USD: Money(1_000_000, USD)},
account.balances_total())
self.assertEqual({USD: Money(1_000_000, USD)}, account.balances_free())
self.assertEqual({USD: Money(0, USD)}, account.balances_locked())
self.assertEqual(Money(0, USD), account.unrealized_pnl())
self.assertEqual(Money(1_000_000, USD), account.equity())
self.assertEqual({}, account.initial_margins())
self.assertEqual({}, account.maint_margins())
self.assertEqual(None, account.initial_margin())
self.assertEqual(None, account.maint_margin())
def test_margin_available_for_multi_asset_account(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result1 = account.margin_available(BTC)
account.update_initial_margin(Money(0.00010000, BTC))
result2 = account.margin_available(BTC)
account.update_maint_margin(Money(0.00020000, BTC))
result3 = account.margin_available(BTC)
result4 = account.margin_available(ETH)
# Assert
self.assertEqual(Money(10.00000000, BTC), result1)
self.assertEqual(Money(9.99990000, BTC), result2)
self.assertEqual(Money(9.99970000, BTC), result3)
self.assertEqual(Money(20.00000000, ETH), result4)
def test_update_maint_margin(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
margin = Money(0.00050000, BTC)
# Act
account.update_maint_margin(margin)
# Assert
self.assertEqual(margin, account.maint_margin(BTC))
self.assertEqual({BTC: margin}, account.maint_margins())
def test_unrealized_pnl_with_multi_asset_account_when_no_open_positions_returns_zero(
self,
):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.unrealized_pnl(BTC)
# Assert
self.assertEqual(Money(0.00000000, BTC), result)
def test_margin_available_for_single_asset_account(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(100000.00, USD),
Money(0.00, USD),
Money(100000.00, USD),
),
],
info={},
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result1 = account.margin_available()
account.update_initial_margin(Money(500.00, USD))
result2 = account.margin_available()
account.update_maint_margin(Money(1000.00, USD))
result3 = account.margin_available()
# Assert
self.assertEqual(Money(100000.00, USD), result1)
self.assertEqual(Money(99500.00, USD), result2)
self.assertEqual(Money(98500.00, USD), result3)
def test_equity_with_single_asset_account_returns_expected_money(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("100000.00", USD)],
[Money("0.00", USD)],
[Money("0.00", USD)],
info={"default_currency": "USD"}, # No default currency set
event_id=uuid4(),
timestamp_ns=0,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.equity()
# Assert
self.assertEqual(Money("100000.00", USD), result)
def test_unrealized_pnl_with_single_asset_account_when_no_open_positions_returns_zero(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
balances=[Money(1_000_000, USD)],
balances_free=[Money(1_000_000, USD)],
balances_locked=[Money(0, USD)],
info={"default_currency": "USD"}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.unrealized_pnl()
# Assert
self.assertEqual(Money(0, USD), result)
def test_equity_with_single_asset_account_no_default_returns_none(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money("100000.00", USD)],
[Money("0.00", USD)],
[Money("0.00", USD)],
info={}, # No default currency set
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Act
result = account.equity(BTC)
# Assert
self.assertIsNone(result)
def test_instantiate_single_asset_account(self):
# Arrange
event = AccountState(
AccountId("SIM", "001"),
[Money(1_000_000, USD)],
[Money(1_000_000, USD)],
[Money(0, USD)],
info={"default_currency": "USD"}, # Set the default currency
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
account = Account(event)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual(USD, account.default_currency)
self.assertEqual(event, account.last_event)
self.assertEqual([event], account.events)
self.assertEqual(1, account.event_count)
self.assertEqual(Money(1_000_000, USD), account.balance())
self.assertEqual(Money(1_000_000, USD), account.balance_free())
self.assertEqual(Money(0, USD), account.balance_locked())
self.assertEqual({USD: Money(1_000_000, USD)}, account.balances())
self.assertEqual({USD: Money(1_000_000, USD)}, account.balances_free())
self.assertEqual({USD: Money(0, USD)}, account.balances_locked())
self.assertEqual(Money(0, USD), account.unrealized_pnl())
self.assertEqual(Money(1_000_000, USD), account.equity())
self.assertEqual({}, account.init_margins())
self.assertEqual({}, account.maint_margins())
self.assertEqual(None, account.init_margin())
self.assertEqual(None, account.maint_margin())
def test_instantiate_multi_asset_account(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event)
# Prepare components
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
# Assert
self.assertEqual(AccountId("SIM", "001"), account.id)
self.assertEqual(None, account.base_currency)
self.assertEqual(event, account.last_event)
self.assertEqual([event], account.events)
self.assertEqual(1, account.event_count)
self.assertEqual(Money(10.00000000, BTC), account.balance_total(BTC))
self.assertEqual(Money(20.00000000, ETH), account.balance_total(ETH))
self.assertEqual(Money(10.00000000, BTC), account.balance_free(BTC))
self.assertEqual(Money(20.00000000, ETH), account.balance_free(ETH))
self.assertEqual(Money(0.00000000, BTC), account.balance_locked(BTC))
self.assertEqual(Money(0.00000000, ETH), account.balance_locked(ETH))
self.assertEqual(
{
BTC: Money(10.00000000, BTC),
ETH: Money(20.00000000, ETH)
},
account.balances_total(),
)
self.assertEqual(
{
BTC: Money(10.00000000, BTC),
ETH: Money(20.00000000, ETH)
},
account.balances_free(),
)
self.assertEqual(
{
BTC: Money(0.00000000, BTC),
ETH: Money(0.00000000, ETH)
},
account.balances_locked(),
)
self.assertEqual(Money(0.00000000, BTC), account.unrealized_pnl(BTC))
self.assertEqual(Money(0.00000000, ETH), account.unrealized_pnl(ETH))
self.assertEqual(Money(10.00000000, BTC), account.equity(BTC))
self.assertEqual(Money(20.00000000, ETH), account.equity(ETH))
self.assertEqual({}, account.initial_margins())
self.assertEqual({}, account.maint_margins())
self.assertEqual(None, account.initial_margin(BTC))
self.assertEqual(None, account.initial_margin(ETH))
self.assertEqual(None, account.maint_margin(BTC))
self.assertEqual(None, account.maint_margin(ETH))
def test_apply_given_new_state_event_updates_correctly(self):
# Arrange
event1 = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account = Account(event1)
# Wire up account to portfolio
account.register_portfolio(self.portfolio)
self.portfolio.register_account(account)
event2 = AccountState(
account_id=AccountId("SIM", "001"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency
reported=True,
balances=[
AccountBalance(
BTC,
Money(9.00000000, BTC),
Money(0.50000000, BTC),
Money(8.50000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={}, # No default currency set
event_id=uuid4(),
ts_updated_ns=0,
timestamp_ns=0,
)
# Act
account.apply(event=event2)
# Assert
self.assertEqual(event2, account.last_event)
self.assertEqual([event1, event2], account.events)
self.assertEqual(2, account.event_count)
self.assertEqual(Money(9.00000000, BTC), account.balance_total(BTC))
self.assertEqual(Money(8.50000000, BTC), account.balance_free(BTC))
self.assertEqual(Money(0.50000000, BTC), account.balance_locked(BTC))
self.assertEqual(Money(20.00000000, ETH), account.balance_total(ETH))
self.assertEqual(Money(20.00000000, ETH), account.balance_free(ETH))
self.assertEqual(Money(0.00000000, ETH), account.balance_locked(ETH))