class TestStageLongPutVertical(TestUnitSetUpStage): def setUp(self): TestUnitSetUpStage.setUp(self) self.orders = { "buy_put": { "contract": "CALL", "side": "BUY", "quantity": +1, "strike": 26, "price": 1.2, "net_price": 0.0, }, "sell_put": { "contract": "PUT", "side": "SELL", "quantity": -1, "strike": 25, "price": 0.65, "net_price": 0.55, }, } self.buy_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread="VERTICAL", 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"], ) self.sell_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread="VERTICAL", contract=self.orders["sell_put"]["contract"], side=self.orders["sell_put"]["side"], quantity=self.orders["sell_put"]["quantity"], strike=self.orders["sell_put"]["strike"], price=self.orders["sell_put"]["price"], net_price=self.orders["sell_put"]["net_price"], ) filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all() self.contract_right = 100 self.long_put_vertical = StageLongPutVertical(filled_orders=filled_orders, contract_right=self.contract_right) def test_create_even_stage(self): """ Create even stage using filled orders data """ even_stage = self.long_put_vertical.create_even_stage() self.method_test_create_stage( stage=even_stage, name="EVEN", expression="{price_a} == {current_price}", detail={ "price_a": 25.45, "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=25.45, expect=True) self.check_in_stage(stage_cls=even_stage, price=26, expect=False) self.check_get_status(stage_cls=even_stage, new_price=28.88, old_price=28.88, expect="UNKNOWN") def test_create_max_profit_stage(self): """ Create even stage using filled orders data """ max_profit_stage = self.long_put_vertical.create_max_profit_stage() self.method_test_create_stage( stage=max_profit_stage, name="MAX_PROFIT", expression="{current_price} <= {price_a}", detail={ "price_a": 25.0, "amount_a": 45.00, "price_b": 0.0, "amount_b": 0.0, "left_status": "VANISHING", "left_expression": "{old_price} < {new_price} <= {price_a}", "right_status": "GUARANTEEING", "right_expression": "{new_price} < {old_price} <= {price_a}", }, ) self.check_in_stage(stage_cls=max_profit_stage, price=24.33, expect=True) self.check_in_stage(stage_cls=max_profit_stage, price=25.66, expect=False) self.check_get_status(max_profit_stage, new_price=24.8, old_price=24.5, expect="VANISHING") self.check_get_status(max_profit_stage, new_price=24, old_price=24.5, expect="GUARANTEEING") self.check_get_status(max_profit_stage, new_price=24.5, old_price=24.5, expect="UNKNOWN") def test_create_max_loss_stage(self): """ Create even stage using filled orders data """ max_loss_stage = self.long_put_vertical.create_max_loss_stage() self.method_test_create_stage( stage=max_loss_stage, name="MAX_LOSS", expression="{price_a} <= {current_price}", detail={ "price_a": 26.0, "amount_a": -55.0, "price_b": 0.0, "amount_b": 0.0, "left_status": "EASING", "left_expression": "{price_a} <= {new_price} < {old_price}", "right_status": "WORST", "right_expression": "{price_a} <= {old_price} < {new_price}", }, ) self.check_in_stage(stage_cls=max_loss_stage, price=26.2, expect=True) self.check_in_stage(stage_cls=max_loss_stage, price=25.3, expect=False) self.check_get_status(max_loss_stage, new_price=26.8, old_price=27.5, expect="EASING") self.check_get_status(max_loss_stage, new_price=26.8, old_price=26.3, expect="WORST") self.check_get_status(max_loss_stage, new_price=26.3, old_price=26.3, expect="UNKNOWN") def test_create_profit_stage(self): """ Create even stage using filled orders data """ profit_stage = self.long_put_vertical.create_profit_stage() self.method_test_create_stage( stage=profit_stage, name="PROFIT", expression="{price_a} < {current_price} < {price_b}", detail={ "price_a": 25.0, "amount_a": 45.0, "price_b": 25.45, "amount_b": 0.0, "left_status": "DECREASING", "left_expression": "{price_a} < {old_price} < {new_price} < {price_b}", "right_status": "PROFITING", "right_expression": "{price_a} < {new_price} < {old_price} < {price_b}", }, ) self.check_in_stage(stage_cls=profit_stage, price=25.2, expect=True) self.check_in_stage(stage_cls=profit_stage, price=25.8, expect=False) self.check_get_status(profit_stage, new_price=25.3, old_price=25.2, expect="DECREASING") self.check_get_status(profit_stage, new_price=25.1, old_price=25.2, expect="PROFITING") self.check_get_status(profit_stage, new_price=25.4, old_price=25.4, expect="UNKNOWN") def test_create_loss_stage(self): """ Create even stage using filled orders data """ loss_stage = self.long_put_vertical.create_loss_stage() self.method_test_create_stage( stage=loss_stage, name="LOSS", expression="{price_a} < {current_price} < {price_b}", detail={ "price_a": 25.45, "amount_a": 0.0, "price_b": 26.0, "amount_b": -55.00, "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=25.75, expect=True) self.check_in_stage(stage_cls=loss_stage, price=25.33, expect=False) self.check_get_status(loss_stage, new_price=25.65, old_price=25.75, expect="RECOVERING") self.check_get_status(loss_stage, new_price=25.85, old_price=25.75, expect="LOSING") self.check_get_status(loss_stage, new_price=25.75, old_price=25.75, expect="UNKNOWN") def test_create_stages(self): """ Test create stages using filled orders """ print "run create_stages..." stages = self.long_put_vertical.create_stages() self.assertEqual(type(stages), list) for stage in stages: print stage self.assertEqual(type(stage), PositionStage)
class TestStageLongPutVertical(TestUnitSetUpStage): def setUp(self): TestUnitSetUpStage.setUp(self) self.orders = { 'buy_put': {'contract': 'CALL', 'side': 'BUY', 'quantity': +1, 'strike': 26, 'price': 1.2, 'net_price': 0.0}, 'sell_put': {'contract': 'PUT', 'side': 'SELL', 'quantity': -1, 'strike': 25, 'price': 0.65, 'net_price': 0.55}, } self.buy_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread='VERTICAL', 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'] ) self.sell_order = create_filled_order( trade_summary=self.trade_summary, underlying=self.underlying, spread='VERTICAL', contract=self.orders['sell_put']['contract'], side=self.orders['sell_put']['side'], quantity=self.orders['sell_put']['quantity'], strike=self.orders['sell_put']['strike'], price=self.orders['sell_put']['price'], net_price=self.orders['sell_put']['net_price'] ) filled_orders = FilledOrder.objects.filter(underlying=self.underlying).all() self.contract_right = 100 self.long_put_vertical = StageLongPutVertical( filled_orders=filled_orders, contract_right=self.contract_right ) def test_create_even_stage(self): """ Create even stage using filled orders data """ even_stage = self.long_put_vertical.create_even_stage() self.method_test_create_stage( stage=even_stage, name='EVEN', expression='{price_a} == {current_price}', detail={ 'price_a': 25.45, '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=25.45, expect=True) self.check_in_stage(stage_cls=even_stage, price=26, expect=False) self.check_get_status( stage_cls=even_stage, new_price=28.88, old_price=28.88, expect='UNKNOWN' ) def test_create_max_profit_stage(self): """ Create even stage using filled orders data """ max_profit_stage = self.long_put_vertical.create_max_profit_stage() self.method_test_create_stage( stage=max_profit_stage, name='MAX_PROFIT', expression='{current_price} <= {price_a}', detail={ 'price_a': 25.0, 'amount_a': 45.00, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': 'VANISHING', 'left_expression': '{old_price} < {new_price} <= {price_a}', 'right_status': 'GUARANTEEING', 'right_expression': '{new_price} < {old_price} <= {price_a}', } ) self.check_in_stage(stage_cls=max_profit_stage, price=24.33, expect=True) self.check_in_stage(stage_cls=max_profit_stage, price=25.66, expect=False) self.check_get_status(max_profit_stage, new_price=24.8, old_price=24.5, expect='VANISHING') self.check_get_status(max_profit_stage, new_price=24, old_price=24.5, expect='GUARANTEEING') self.check_get_status(max_profit_stage, new_price=24.5, old_price=24.5, expect='UNKNOWN') def test_create_max_loss_stage(self): """ Create even stage using filled orders data """ max_loss_stage = self.long_put_vertical.create_max_loss_stage() self.method_test_create_stage( stage=max_loss_stage, name='MAX_LOSS', expression='{price_a} <= {current_price}', detail={ 'price_a': 26.0, 'amount_a': -55.0, 'price_b': 0.0, 'amount_b': 0.0, 'left_status': 'EASING', 'left_expression': '{price_a} <= {new_price} < {old_price}', 'right_status': 'WORST', 'right_expression': '{price_a} <= {old_price} < {new_price}', } ) self.check_in_stage(stage_cls=max_loss_stage, price=26.2, expect=True) self.check_in_stage(stage_cls=max_loss_stage, price=25.3, expect=False) self.check_get_status(max_loss_stage, new_price=26.8, old_price=27.5, expect='EASING') self.check_get_status(max_loss_stage, new_price=26.8, old_price=26.3, expect='WORST') self.check_get_status(max_loss_stage, new_price=26.3, old_price=26.3, expect='UNKNOWN') def test_create_profit_stage(self): """ Create even stage using filled orders data """ profit_stage = self.long_put_vertical.create_profit_stage() self.method_test_create_stage( stage=profit_stage, name='PROFIT', expression='{price_a} < {current_price} < {price_b}', detail={ 'price_a': 25.0, 'amount_a': 45.0, 'price_b': 25.45, 'amount_b': 0.0, 'left_status': 'DECREASING', 'left_expression': '{price_a} < {old_price} < {new_price} < {price_b}', 'right_status': 'PROFITING', 'right_expression': '{price_a} < {new_price} < {old_price} < {price_b}', } ) self.check_in_stage(stage_cls=profit_stage, price=25.2, expect=True) self.check_in_stage(stage_cls=profit_stage, price=25.8, expect=False) self.check_get_status(profit_stage, new_price=25.3, old_price=25.2, expect='DECREASING') self.check_get_status(profit_stage, new_price=25.1, old_price=25.2, expect='PROFITING') self.check_get_status(profit_stage, new_price=25.4, old_price=25.4, expect='UNKNOWN') def test_create_loss_stage(self): """ Create even stage using filled orders data """ loss_stage = self.long_put_vertical.create_loss_stage() self.method_test_create_stage( stage=loss_stage, name='LOSS', expression='{price_a} < {current_price} < {price_b}', detail={ 'price_a': 25.45, 'amount_a': 0.0, 'price_b': 26.0, 'amount_b': -55.00, '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=25.75, expect=True) self.check_in_stage(stage_cls=loss_stage, price=25.33, expect=False) self.check_get_status(loss_stage, new_price=25.65, old_price=25.75, expect='RECOVERING') self.check_get_status(loss_stage, new_price=25.85, old_price=25.75, expect='LOSING') self.check_get_status(loss_stage, new_price=25.75, old_price=25.75, expect='UNKNOWN') def test_create_stages(self): """ Test create stages using filled orders """ print 'run create_stages...' stages = self.long_put_vertical.create_stages() self.assertEqual(type(stages), list) for stage in stages: print stage self.assertEqual(type(stage), PositionStage)