def test_portfolio_to_dict_for_two_holdings():
"""
Test portfolio_to_dict for two holdings.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
asset1_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
asset2_dt = pd.Timestamp('2017-10-07 08:00:00', tz=pytz.UTC)
update_dt = pd.Timestamp('2017-10-08 08:00:00', tz=pytz.UTC)
asset1 = Equity("AAA Inc.", "EQ:AAA", tax_exempt=False)
asset2 = Equity("BBB Inc.", "EQ:BBB", tax_exempt=False)
port = Portfolio(start_dt, portfolio_id='1234')
port.subscribe_funds(start_dt, 100000.0)
tn_asset1 = Transaction(asset=asset1.symbol,
quantity=100,
dt=asset1_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset1)
tn_asset2 = Transaction(asset=asset2.symbol,
quantity=100,
dt=asset2_dt,
price=123.0,
order_id=2,
commission=7.64)
port.transact_asset(tn_asset2)
port.update_market_value_of_asset(asset2.symbol, 134.0, update_dt)
test_holdings = {
asset1.symbol: {
"quantity": 100,
"book_cost": 56715.78,
"market_value": 56700.0,
"gain": -15.78,
"perc_gain": -0.027822944513854874
},
asset2.symbol: {
"quantity": 100,
"book_cost": 12307.64,
"market_value": 13400.0,
"gain": 1092.3600000000006,
"perc_gain": 8.8754627207165679
}
}
port_holdings = port.portfolio_to_dict()
# This is needed because we're not using Decimal
# datatypes and have to compare slightly differing
# floating point representations
for asset in (asset1.symbol, asset2.symbol):
for key, val in test_holdings[asset].items():
assert port_holdings[asset][key] == pytest.approx(
test_holdings[asset][key])
def test_portfolio_to_dict_for_two_holdings():
"""
Test portfolio_to_dict for two holdings.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
asset1_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
asset2_dt = pd.Timestamp('2017-10-07 08:00:00', tz=pytz.UTC)
update_dt = pd.Timestamp('2017-10-08 08:00:00', tz=pytz.UTC)
asset1 = 'EQ:AAA'
asset2 = 'EQ:BBB'
port = Portfolio(start_dt, portfolio_id='1234')
port.subscribe_funds(start_dt, 100000.0)
tn_asset1 = Transaction(asset=asset1,
quantity=100,
dt=asset1_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset1)
tn_asset2 = Transaction(asset=asset2,
quantity=100,
dt=asset2_dt,
price=123.0,
order_id=2,
commission=7.64)
port.transact_asset(tn_asset2)
port.update_market_value_of_asset(asset2, 134.0, update_dt)
test_holdings = {
asset1: {
"quantity": 100,
"market_value": 56700.0,
"unrealised_pnl": -15.78,
"realised_pnl": 0.0,
"total_pnl": -15.78
},
asset2: {
"quantity": 100,
"market_value": 13400.0,
"unrealised_pnl": 1092.3600000000006,
"realised_pnl": 0.0,
"total_pnl": 1092.3600000000006
}
}
port_holdings = port.portfolio_to_dict()
# This is needed because we're not using Decimal
# datatypes and have to compare slightly differing
# floating point representations
for asset in (asset1, asset2):
for key, val in test_holdings[asset].items():
assert port_holdings[asset][key] == pytest.approx(
test_holdings[asset][key])
def test_update_market_value_of_asset_negative_price():
"""
Test update_market_value_of_asset for
asset with negative price.
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
asset = 'EQ:AAA'
port.subscribe_funds(later_dt, 100000.0)
tn_asset = Transaction(asset=asset,
quantity=100,
dt=later_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset)
with pytest.raises(ValueError):
port.update_market_value_of_asset(asset, -54.34, later_dt)
def test_update_market_value_of_asset_earlier_date():
"""
Test update_market_value_of_asset for asset
with current_trade_date in past
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
earlier_dt = pd.Timestamp('2017-10-04 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt, portfolio_id='1234')
asset = 'EQ:AAA'
port.subscribe_funds(later_dt, 100000.0)
tn_asset = Transaction(asset=asset,
quantity=100,
dt=later_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_asset)
with pytest.raises(ValueError):
port.update_market_value_of_asset(asset, 50.23, earlier_dt)
def test_transact_asset_behaviour():
"""
Test transact_asset raises for incorrect time
Test transact_asset raises for transaction total
cost exceeding total cash
Test correct total_cash and total_securities_value
for correct transaction (commission etc), correct
portfolio event and correct time update
"""
start_dt = pd.Timestamp('2017-10-05 08:00:00', tz=pytz.UTC)
earlier_dt = pd.Timestamp('2017-10-04 08:00:00', tz=pytz.UTC)
later_dt = pd.Timestamp('2017-10-06 08:00:00', tz=pytz.UTC)
even_later_dt = pd.Timestamp('2017-10-07 08:00:00', tz=pytz.UTC)
port = Portfolio(start_dt)
asset = 'EQ:AAA'
# Test transact_asset raises for incorrect time
tn_early = Transaction(asset=asset,
quantity=100,
dt=earlier_dt,
price=567.0,
order_id=1,
commission=0.0)
with pytest.raises(ValueError):
port.transact_asset(tn_early)
# Test transact_asset raises for transaction total
# cost exceeding total cash
port.subscribe_funds(later_dt, 1000.0)
assert port.cash == 1000.0
assert port.total_market_value == 0.0
assert port.total_equity == 1000.0
pe_sub1 = PortfolioEvent(dt=later_dt,
type='subscription',
description="SUBSCRIPTION",
debit=0.0,
credit=1000.0,
balance=1000.0)
tn_large = Transaction(asset=asset,
quantity=100,
dt=later_dt,
price=567.0,
order_id=1,
commission=15.78)
with pytest.raises(ValueError):
port.transact_asset(tn_large)
# Test correct total_cash and total_securities_value
# for correct transaction (commission etc), correct
# portfolio event and correct time update
port.subscribe_funds(even_later_dt, 99000.0)
assert port.cash == 100000.0
assert port.total_market_value == 0.0
assert port.total_equity == 100000.0
pe_sub2 = PortfolioEvent(dt=even_later_dt,
type='subscription',
description="SUBSCRIPTION",
debit=0.0,
credit=99000.0,
balance=100000.0)
tn_even_later = Transaction(asset=asset,
quantity=100,
dt=even_later_dt,
price=567.0,
order_id=1,
commission=15.78)
port.transact_asset(tn_even_later)
assert port.cash == 43284.22
assert port.total_market_value == 56700.00
assert port.total_equity == 99984.22
description = "LONG 100 EQ:AAA 567.00 07/10/2017"
pe_tn = PortfolioEvent(dt=even_later_dt,
type="asset_transaction",
description=description,
debit=56715.78,
credit=0.0,
balance=43284.22)
assert port.history == [pe_sub1, pe_sub2, pe_tn]
assert port.current_dt == even_later_dt