def setUp(self):
"""
Set up the Position object that will store the PnL.
"""
self.position = Position("BOT", "XOM", Decimal('100'),
Decimal("74.78"), Decimal("1.00"),
Decimal('74.78'), Decimal('74.80'))
class TestRoundTripXOMPosition(unittest.TestCase):
"""
Test a round-trip trade in Exxon-Mobil where the initial
trade is a buy/long of 100 shares of XOM, at a price of
$74.78, with $1.00 commission.
"""
def setUp(self):
"""
Set up the Position object that will store the PnL.
"""
self.position = Position(
"BOT", "XOM", Decimal('100'),
Decimal("74.78"), Decimal("1.00"),
Decimal('74.78'), Decimal('74.80')
)
def test_calculate_round_trip(self):
"""
After the subsequent purchase, carry out two more buys/longs
and then close the position out with two additional sells/shorts.
The following prices have been tested against those calculated
via Interactive Brokers' Trader Workstation (TWS).
"""
self.position.transact_shares(
"BOT", Decimal('100'), Decimal('74.63'), Decimal('1.00')
)
self.position.transact_shares(
"BOT", Decimal('250'), Decimal('74.620'), Decimal('1.25')
)
self.position.transact_shares(
"SLD", Decimal('200'), Decimal('74.58'), Decimal('1.00')
)
self.position.transact_shares(
"SLD", Decimal('250'), Decimal('75.26'), Decimal('1.25')
)
self.position.update_market_value(Decimal("77.75"), Decimal("77.77"))
self.assertEqual(self.position.action, "BOT")
self.assertEqual(self.position.ticker, "XOM")
self.assertEqual(self.position.quantity, Decimal("0"))
self.assertEqual(self.position.buys, Decimal("450"))
self.assertEqual(self.position.sells, Decimal("450"))
self.assertEqual(self.position.net, Decimal("0"))
self.assertEqual(self.position.avg_bot, Decimal("74.65778"))
self.assertEqual(self.position.avg_sld, Decimal("74.95778"))
self.assertEqual(self.position.total_bot, Decimal("33596.00"))
self.assertEqual(self.position.total_sld, Decimal("33731.00"))
self.assertEqual(self.position.net_total, Decimal("135.00"))
self.assertEqual(self.position.total_commission, Decimal("5.50"))
self.assertEqual(self.position.net_incl_comm, Decimal("129.50"))
self.assertEqual(self.position.avg_price, Decimal("74.665"))
self.assertEqual(self.position.cost_basis, Decimal("0.00"))
self.assertEqual(self.position.market_value, Decimal("0.00"))
self.assertEqual(self.position.unrealised_pnl, Decimal("0.00"))
self.assertEqual(self.position.realised_pnl, Decimal("129.50"))
class TestRoundTripPGPosition(unittest.TestCase):
"""
Test a round-trip trade in Proctor & Gamble where the initial
trade is a sell/short of 100 shares of PG, at a price of
$77.69, with $1.00 commission.
"""
def setUp(self):
self.position = Position(
"SLD", "PG", Decimal('100'),
Decimal("77.69"), Decimal("1.00"),
Decimal('77.68'), Decimal('77.70')
)
def test_calculate_round_trip(self):
"""
After the subsequent sale, carry out two more sells/shorts
and then close the position out with two additional buys/longs.
The following prices have been tested against those calculated
via Interactive Brokers' Trader Workstation (TWS).
"""
self.position.transact_shares(
"SLD", Decimal('100'), Decimal('77.68'), Decimal('1.00')
)
self.position.transact_shares(
"SLD", Decimal('50'), Decimal('77.70'), Decimal('1.00')
)
self.position.transact_shares(
"BOT", Decimal('100'), Decimal('77.77'), Decimal('1.00')
)
self.position.transact_shares(
"BOT", Decimal('150'), Decimal('77.73'), Decimal('1.00')
)
self.position.update_market_value(Decimal("77.72"), Decimal("77.72"))
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "PG")
self.assertEqual(self.position.quantity, Decimal("0"))
self.assertEqual(self.position.buys, Decimal("250"))
self.assertEqual(self.position.sells, Decimal("250"))
self.assertEqual(self.position.net, Decimal("0"))
self.assertEqual(self.position.avg_bot, Decimal("77.746"))
self.assertEqual(self.position.avg_sld, Decimal("77.688"))
self.assertEqual(self.position.total_bot, Decimal("19436.50"))
self.assertEqual(self.position.total_sld, Decimal("19422.00"))
self.assertEqual(self.position.net_total, Decimal("-14.50"))
self.assertEqual(self.position.total_commission, Decimal("5.00"))
self.assertEqual(self.position.net_incl_comm, Decimal("-19.50"))
self.assertEqual(self.position.avg_price, Decimal("77.67600"))
self.assertEqual(self.position.cost_basis, Decimal("0.00"))
self.assertEqual(self.position.market_value, Decimal("0.00"))
self.assertEqual(self.position.unrealised_pnl, Decimal("0.00"))
self.assertEqual(self.position.realised_pnl, Decimal("-19.50"))
class TestRoundTripXOMPosition(unittest.TestCase):
"""
Test a round-trip trade in Exxon-Mobil where the initial
trade is a buy/long of 100 shares of XOM, at a price of
$74.78, with $1.00 commission.
"""
def setUp(self):
"""
Set up the Position object that will store the PnL.
"""
self.position = Position("BOT", "XOM", Decimal('100'),
Decimal("74.78"), Decimal("1.00"),
Decimal('74.78'), Decimal('74.80'))
def test_calculate_round_trip(self):
"""
After the subsequent purchase, carry out two more buys/longs
and then close the position out with two additional sells/shorts.
The following prices have been tested against those calculated
via Interactive Brokers' Trader Workstation (TWS).
"""
self.position.transact_shares("BOT", Decimal('100'), Decimal('74.63'),
Decimal('1.00'))
self.position.transact_shares("BOT", Decimal('250'), Decimal('74.620'),
Decimal('1.25'))
self.position.transact_shares("SLD", Decimal('200'), Decimal('74.58'),
Decimal('1.00'))
self.position.transact_shares("SLD", Decimal('250'), Decimal('75.26'),
Decimal('1.25'))
self.position.update_market_value(Decimal("77.75"), Decimal("77.77"))
self.assertEqual(self.position.action, "BOT")
self.assertEqual(self.position.ticker, "XOM")
self.assertEqual(self.position.quantity, Decimal("0"))
self.assertEqual(self.position.buys, Decimal("450"))
self.assertEqual(self.position.sells, Decimal("450"))
self.assertEqual(self.position.net, Decimal("0"))
self.assertEqual(self.position.avg_bot, Decimal("74.65778"))
self.assertEqual(self.position.avg_sld, Decimal("74.95778"))
self.assertEqual(self.position.total_bot, Decimal("33596.00"))
self.assertEqual(self.position.total_sld, Decimal("33731.00"))
self.assertEqual(self.position.net_total, Decimal("135.00"))
self.assertEqual(self.position.total_commission, Decimal("5.50"))
self.assertEqual(self.position.net_incl_comm, Decimal("129.50"))
self.assertEqual(self.position.avg_price, Decimal("74.665"))
self.assertEqual(self.position.cost_basis, Decimal("0.00"))
self.assertEqual(self.position.market_value, Decimal("0.00"))
self.assertEqual(self.position.unrealised_pnl, Decimal("0.00"))
self.assertEqual(self.position.realised_pnl, Decimal("129.50"))
class TestRoundTripPGPosition(unittest.TestCase):
"""
Test a round-trip trade in Proctor & Gamble where the initial
trade is a sell/short of 100 shares of PG, at a price of
$77.69, with $1.00 commission.
"""
def setUp(self):
self.position = Position("SLD", "PG", Decimal('100'), Decimal("77.69"),
Decimal("1.00"), Decimal('77.68'),
Decimal('77.70'))
def test_calculate_round_trip(self):
"""
After the subsequent sale, carry out two more sells/shorts
and then close the position out with two additional buys/longs.
The following prices have been tested against those calculated
via Interactive Brokers' Trader Workstation (TWS).
"""
self.position.transact_shares("SLD", Decimal('100'), Decimal('77.68'),
Decimal('1.00'))
self.position.transact_shares("SLD", Decimal('50'), Decimal('77.70'),
Decimal('1.00'))
self.position.transact_shares("BOT", Decimal('100'), Decimal('77.77'),
Decimal('1.00'))
self.position.transact_shares("BOT", Decimal('150'), Decimal('77.73'),
Decimal('1.00'))
self.position.update_market_value(Decimal("77.72"), Decimal("77.72"))
self.assertEqual(self.position.action, "SLD")
self.assertEqual(self.position.ticker, "PG")
self.assertEqual(self.position.quantity, Decimal("0"))
self.assertEqual(self.position.buys, Decimal("250"))
self.assertEqual(self.position.sells, Decimal("250"))
self.assertEqual(self.position.net, Decimal("0"))
self.assertEqual(self.position.avg_bot, Decimal("77.746"))
self.assertEqual(self.position.avg_sld, Decimal("77.688"))
self.assertEqual(self.position.total_bot, Decimal("19436.50"))
self.assertEqual(self.position.total_sld, Decimal("19422.00"))
self.assertEqual(self.position.net_total, Decimal("-14.50"))
self.assertEqual(self.position.total_commission, Decimal("5.00"))
self.assertEqual(self.position.net_incl_comm, Decimal("-19.50"))
self.assertEqual(self.position.avg_price, Decimal("77.67600"))
self.assertEqual(self.position.cost_basis, Decimal("0.00"))
self.assertEqual(self.position.market_value, Decimal("0.00"))
self.assertEqual(self.position.unrealised_pnl, Decimal("0.00"))
self.assertEqual(self.position.realised_pnl, Decimal("-19.50"))
def _add_position(
self, action, ticker,
quantity, price, commission
):
"""
Adds a new Position object to the Portfolio. This
requires getting the best bid/ask price from the
price handler in order to calculate a reasonable
"market value".
Once the Position is added, the Portfolio values
are updated.
"""
self._reset_values()
if ticker not in self.positions:
if self.price_handler.type == "TICK_HANDLER":
bid, ask = self.price_handler.get_best_bid_ask(ticker)
else:
close_price = self.price_handler.get_last_close(ticker)
bid = close_price
ask = close_price
position = Position(
action, ticker, quantity,
price, commission, bid, ask
)
self.positions[ticker] = position
self._update_portfolio()
else:
print(
"Ticker %s is already in the positions list. " \
"Could not add a new position." % ticker
)
def add_position(self, action, ticker, quantity, price, commission):
self._reset_values()
if ticker not in self.positions:
bid, ask = self.price_handler.get_best_bid_ask(ticker)
position = Position(action, ticker, quantity, price, commission,
bid, ask)
self.positions[ticker] = position
self._update_portfolio()
def setUp(self):
"""
Set up the Position object that will store the PnL.
"""
self.position = Position(
"BOT", "XOM", Decimal('100'),
Decimal("74.78"), Decimal("1.00"),
Decimal('74.78'), Decimal('74.80')
)
def setUp(self):
self.position = Position("SLD", "PG", Decimal('100'), Decimal("77.69"),
Decimal("1.00"), Decimal('77.68'),
Decimal('77.70'))
def setUp(self):
self.position = Position(
"SLD", "PG", Decimal('100'),
Decimal("77.69"), Decimal("1.00"),
Decimal('77.68'), Decimal('77.70')
)
