def test_position_long_twice():
"""
Tests that the properties on the Position
are calculated for two consective long trades
with differing quantities and market prices.
"""
# Initial long details
asset = 'EQ:MSFT'
quantity = 100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 193.74
order_id = 123
commission = 1.0
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Second long
second_quantity = 60
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 193.79
second_order_id = 234
second_commission = 1.0
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 160
assert position.sell_quantity == 0
assert np.isclose(position.avg_bought, 193.75875)
assert position.avg_sold == 0.0
assert position.commission == 2.0
assert position.direction == 1
assert np.isclose(position.market_value, 31006.40)
assert position.avg_price == 193.77125
assert position.net_quantity == 160
assert position.total_bought == 31001.40
assert position.total_sold == 0.0
assert position.net_total == -31001.40
assert position.net_incl_commission == -31003.40
assert np.isclose(position.unrealised_pnl, 3.0)
assert np.isclose(position.realised_pnl, 0.0)
def test_position_short_twice():
"""
Tests that the properties on the Position
are calculated for two consective short trades
with differing quantities and market prices.
"""
# Initial short details
asset = 'EQ:MSFT'
quantity = -100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 194.55
order_id = 123
commission = 1.44
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Second short
second_quantity = -60
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 194.76
second_order_id = 234
second_commission = 1.27
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 0
assert position.sell_quantity == 160
assert position.avg_bought == 0.0
assert position.avg_sold == 194.62875
assert position.commission == 2.71
assert position.direction == -1
assert np.isclose(position.market_value, -31161.6)
assert np.isclose(position.avg_price, 194.6118125)
assert position.net_quantity == -160
assert position.total_bought == 0.0
assert position.total_sold == 31140.60
assert position.net_total == 31140.6
assert position.net_incl_commission == 31137.89
assert np.isclose(position.unrealised_pnl, -23.71)
assert np.isclose(position.realised_pnl, 0.0)
def test_position_short_close():
"""
Tests that the properties on the Position
are calculated for a short opening trade and
subsequent closing trade.
"""
# Initial short details
asset = 'EQ:TSLA'
quantity = -100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 982.13
order_id = 123
commission = 3.18
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Closing trade
second_quantity = 100
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 982.13
second_order_id = 234
second_commission = 1.0
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 100
assert position.sell_quantity == 100
assert position.avg_bought == 982.13
assert position.avg_sold == 982.13
assert position.commission == 4.18
assert position.direction == 0
assert position.market_value == 0.0
assert position.avg_price == 0.0
assert position.net_quantity == 0
assert position.total_bought == 98213.0
assert position.total_sold == 98213.0
assert position.net_total == 0.0
assert position.net_incl_commission == -4.18
assert position.unrealised_pnl == 0.0
assert position.realised_pnl == -4.18
def test_position_long_close():
"""
Tests that the properties on the Position
are calculated for a long opening trade and
subsequent closing trade.
"""
# Initial long details
asset = 'EQ:AMZN'
quantity = 100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 2615.27
order_id = 123
commission = 1.0
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Closing trade
second_quantity = -100
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 2622.0
second_order_id = 234
second_commission = 6.81
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 100
assert position.sell_quantity == 100
assert position.avg_bought == 2615.27
assert position.avg_sold == 2622.0
assert position.commission == 7.81
assert position.direction == 0
assert position.market_value == 0.0
assert position.avg_price == 0.0
assert position.net_quantity == 0
assert position.total_bought == 261527.0
assert position.total_sold == 262200.0
assert position.net_total == 673.0
assert position.net_incl_commission == 665.19
assert position.unrealised_pnl == 0.0
assert position.realised_pnl == 665.19
def transact_position(self, transaction):
stock_id = transaction.stock_id
if stock_id in self.positions:
self.positions[stock_id].transact(transaction)
else:
position = Position.open_from_transaction(transaction)
self.positions[stock_id] = position
# If the position has zero quantity remove it
if self.positions[stock_id].net_quantity == 0:
del self.positions[stock_id]
def test_basic_short_equities_position():
"""
Tests that the properties on the Position
are calculated for a simple short equities position.
"""
# Initial short details
asset = 'EQ:TLT'
quantity = -100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 162.39
order_id = 123
commission = 1.37
# Create the initial transaction and position
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Update the market price
new_market_price = 159.43
new_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
position.update_current_price(new_market_price, new_dt)
assert position.current_price == new_market_price
assert position.current_dt == new_dt
assert position.buy_quantity == 0
assert position.sell_quantity == 100
assert position.avg_bought == 0.0
assert position.avg_sold == 162.39
assert position.commission == 1.37
assert position.direction == -1
assert position.market_value == -15943.0
assert position.avg_price == 162.3763
assert position.net_quantity == -100
assert position.total_bought == 0.0
# np.isclose used for floating point precision
assert np.isclose(position.total_sold, 16239.0)
assert np.isclose(position.net_total, 16239.0)
assert np.isclose(position.net_incl_commission, 16237.63)
assert np.isclose(position.unrealised_pnl, 294.63)
assert np.isclose(position.realised_pnl, 0.0)
def test_basic_long_equities_position():
"""
Tests that the properties on the Position
are calculated for a simple long equities position.
"""
# Initial long details
asset = 'EQ:MSFT'
quantity = 100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 193.74
order_id = 123
commission = 1.0
# Create the initial transaction and position
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Update the market price
new_market_price = 192.80
new_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
position.update_current_price(new_market_price, new_dt)
assert position.current_price == new_market_price
assert position.current_dt == new_dt
assert position.buy_quantity == 100
assert position.sell_quantity == 0
assert position.avg_bought == 193.74
assert position.avg_sold == 0.0
assert position.commission == 1.0
assert position.direction == 1
assert position.market_value == 19280.0
assert position.avg_price == 193.75
assert position.net_quantity == 100
assert position.total_bought == 19374.0
assert position.total_sold == 0.0
assert position.net_total == -19374.0
assert position.net_incl_commission == -19375.0
assert np.isclose(position.unrealised_pnl, -95.0)
assert np.isclose(position.realised_pnl, 0.0)
def transact_position(self, transaction):
"""
Execute the transaction and update the appropriate
position for the transaction's asset accordingly.
"""
asset = transaction.asset
if asset in self.positions:
self.positions[asset].transact(transaction)
else:
position = Position.open_from_transaction(transaction)
self.positions[asset] = position
# If the position has zero quantity remove it
if self.positions[asset].net_quantity == 0:
del self.positions[asset]
def test_position_short_long_short_long_ending_short():
"""
Tests that the properties on the Position
are calculated for four trades consisting
of a short, long, short and long ending net
short after all trades with varying quantities
and market prices.
"""
# First trade (first short)
asset = 'EQ:AGG'
quantity = -762
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 117.74
order_id = 100
commission = 5.35
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(transaction)
# Second trade (first long)
quantity = 477
dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
price = 117.875597
order_id = 101
commission = 2.31
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
# Third trade (second short)
quantity = -595
dt = pd.Timestamp('2020-06-16 17:00:00', tz=pytz.UTC)
price = 117.74
order_id = 102
commission = 4.18
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
# Fourth trade (second long), now net short
quantity = 427
dt = pd.Timestamp('2020-06-16 18:00:00', tz=pytz.UTC)
price = 117.793115
order_id = 103
commission = 2.06
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
assert position.buy_quantity == 904
assert position.sell_quantity == 1357
assert position.avg_bought == 117.83663702876107
assert position.avg_sold == 117.74
assert np.isclose(position.commission, 13.90)
assert position.direction == -1
assert np.isclose(position.market_value, -53360.281095)
assert position.avg_price == 117.73297715549005
assert position.net_quantity == -453
assert position.total_bought == 106524.31987400001
assert np.isclose(position.total_sold, 159773.18)
assert np.isclose(position.net_total, 53248.86)
assert np.isclose(position.net_incl_commission, 53234.95)
assert np.isclose(position.unrealised_pnl, -27.242443563)
assert np.isclose(position.realised_pnl, -98.0785254)
def test_position_short_and_long():
"""
Tests that the properties on the Position
are calculated for a short trade followed by
a partial closing long trade with differing
market prices.
"""
# Initial short details
asset = 'EQ:TLT'
quantity = -100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 162.39
order_id = 123
commission = 1.37
# Create the initial transaction and position
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Long details and transaction
second_quantity = 60
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 159.99
second_order_id = 234
second_commission = 1.0
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 60
assert position.sell_quantity == 100
assert np.isclose(position.avg_bought, 159.99)
assert position.avg_sold == 162.39
assert position.commission == 2.37
assert position.direction == -1
assert np.isclose(position.market_value, -6399.6)
assert position.avg_price == 162.3763
assert position.net_quantity == -40
assert np.isclose(position.total_bought, 9599.40)
assert np.isclose(position.total_sold, 16239.0)
assert np.isclose(position.net_total, 6639.60)
assert np.isclose(position.net_incl_commission, 6637.23)
assert np.isclose(position.unrealised_pnl, 95.452)
assert np.isclose(position.realised_pnl, 142.1779999999)
def test_position_long_short_long_short_ending_long():
"""
Tests that the properties on the Position
are calculated for four trades consisting
of a long, short, long and short, net long
after all trades with varying quantities
and market prices.
"""
# First trade (first long)
asset = 'EQ:SPY'
quantity = 453
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 312.96
order_id = 100
commission = 1.95
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
# Second trade (first short)
quantity = -397
dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
price = 315.599924
order_id = 101
commission = 4.8
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
# Third trade (second long)
quantity = 624
dt = pd.Timestamp('2020-06-16 17:00:00', tz=pytz.UTC)
price = 312.96
order_id = 102
commission = 2.68
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
# Fourth trade (second short), now net long
quantity = -519
dt = pd.Timestamp('2020-06-16 18:00:00', tz=pytz.UTC)
price = 315.78
order_id = 103
commission = 6.28
transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position.transact(transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
assert position.buy_quantity == 1077
assert position.sell_quantity == 916
assert position.avg_bought == 312.96
assert position.avg_sold == 315.70195396069863
assert position.commission == 15.71
assert position.direction == 1
assert np.isclose(position.market_value, 50840.58)
assert position.avg_price == 312.96429897864436
assert position.net_quantity == 161
assert position.total_bought == 337057.92
assert np.isclose(position.total_sold, 289182.99)
assert np.isclose(position.net_total, -47874.93)
assert np.isclose(position.net_incl_commission, -47890.64)
assert np.isclose(position.unrealised_pnl, 453.327864438)
assert np.isclose(position.realised_pnl, 2496.61)
def test_position_long_and_short():
"""
Tests that the properties on the Position
are calculated for a long trade followed by
a partial closing short trade with differing
market prices.
"""
# Initial long details
asset = 'EQ:SPY'
quantity = 100
dt = pd.Timestamp('2020-06-16 15:00:00', tz=pytz.UTC)
price = 307.05
order_id = 123
commission = 1.0
# Create the initial transaction and position
first_transaction = Transaction(asset,
quantity=quantity,
dt=dt,
price=price,
order_id=order_id,
commission=commission)
position = Position.open_from_transaction(first_transaction)
assert position.asset == asset
assert position.current_price == price
assert position.current_dt == dt
# Short details and transaction
second_quantity = -60
second_dt = pd.Timestamp('2020-06-16 16:00:00', tz=pytz.UTC)
second_price = 314.91
second_order_id = 234
second_commission = 1.42
second_transaction = Transaction(asset,
quantity=second_quantity,
dt=second_dt,
price=second_price,
order_id=second_order_id,
commission=second_commission)
position.transact(second_transaction)
assert position.current_price == second_price
assert position.current_dt == second_dt
assert position.buy_quantity == 100
assert position.sell_quantity == 60
assert position.avg_bought == 307.05
assert position.avg_sold == 314.91
assert position.commission == 2.42
assert position.direction == 1
assert np.isclose(position.market_value, 12596.40)
assert position.avg_price == 307.06
assert position.net_quantity == 40
assert position.total_bought == 30705.0
assert np.isclose(position.total_sold, 18894.60)
assert np.isclose(position.net_total, -11810.40)
assert np.isclose(position.net_incl_commission, -11812.82)
assert np.isclose(position.unrealised_pnl, 314.0)
assert np.isclose(position.realised_pnl, 469.58)