def test_nearest_column_round_down(data_dod_greeks, value):
# here we test for mid-point, values returned should round down.
chain = op.OptionQuery(data_dod_greeks).nearest(value[0], value[1], 'rounddown').fetch()
values = chain[value[0]].unique()
assert len(values) == 1
assert values[0] == value[2]
def update(self, date):
# current quote date
self.now = date
# we will slice our spread_data by today's date
latest_quote = op.OptionQuery(self.spread_data.loc[self.now])
# run entry filters against our current quote prices if defined
if self.filters is not None:
self.filter_stack(self, latest_quote)
else:
# if no filters provided, use the logic in the overridden on_update function
self.on_update(latest_quote)
def vertical_strategies(request):
data = op.option_strategy.Vertical(option_type=request.param[1],
width=request.param[2])(
request.param[0]())
return op.OptionQuery(data)
def test_lte(data_dod_greeks, value):
chain = op.OptionQuery(data_dod_greeks).lte(value[0], value[1])
values = chain.oc[value[0]].unique()
assert all(v <= value[1] for v in values)
def test_invalid_column_values(data_dod_greeks, value):
with pytest.raises(ValueError):
op.OptionQuery(data_dod_greeks)._check_inputs(value[0], value[1])
def test_option_query_init():
with pytest.raises(ValueError):
op.OptionQuery(op.OptionStrategy())
def test_without_underlying_price(data_dod_greeks):
with pytest.raises(ValueError):
op.OptionQuery(data_dod_greeks).underlying_price()
def test_underlying_price(data_dod_underlying):
chain = op.OptionQuery(data_dod_underlying).underlying_price()
assert chain == 40.55
def test_option_type(data_dod_greeks, option_type):
chain = op.OptionQuery(data_dod_greeks).option_type(option_type).fetch().option_type.unique()
assert len(chain) == 1
assert chain[0] == option_type.value[0]
def test_invalid_option_type(data_dod_greeks, option_type):
with pytest.raises(ValueError):
op.OptionQuery(data_dod_greeks).option_type(option_type)
def test_between(data_dod_greeks, value):
chain = op.OptionQuery(data_dod_greeks).between(value[0], value[1], value[2])
values = chain.oc[value[0]].unique()
assert all(value[1] <= v <= value[2] for v in values)
def test_puts(data_dod_greeks):
puts = op.OptionQuery(data_dod_greeks).puts().fetch().option_type.unique()
assert len(puts) == 1
assert puts[0] == 'p'
def test_calls(data_dod_greeks):
calls = op.OptionQuery(data_dod_greeks).calls().fetch().option_type.unique()
assert len(calls) == 1
assert calls[0] == 'c'