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9 lines
2.3 KiB
Plaintext
9 lines
2.3 KiB
Plaintext
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œig ã ót — d dl Z d dlmZmZ G d„ de j « Zedk( r e j « yy)é N)Ú
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RiskEngineÚ
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RiskLimitsc ó — e Zd Zd„ Zd„ Zd„ Zy)ÚRiskEngineTestc óF — t dddd¬« }t |d¬« | _ y )Ni † g @iˆ gš™™™™™¹?)Úmax_position_notionalÚmax_gross_leverageÚmax_daily_lossÚ max_drawdownéPà )ÚlimitsÚstarting_equity)r r Úengine)Úselfr
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s úQ/Users/chuan/Documents/Projects/FX_Backtest/QuantTrader/tests/test_risk_engine.pyÚsetUpzRiskEngineTest.setUp s( € ÜØ"(Ø "Ø Ø ô
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ˆô !¨ÀÔFˆ� ó c ó* — | j j ddd« \ }}| j |« | j j dddd¬« | j j ddd« \ }}| j |« | j |d« y )NÚEURUSDÚbuyi�_ r ©Úpnli N z symbol_exposure_limit:EURUSD)r Úevaluate_orderÚ
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assertTrueÚ record_fillÚ assertFalseÚ assertEqual©r ÚokÚ_Úreasons r Útest_exposure_limitz"RiskEngineTest.test_exposure_limit s€ € Ø— ‘ ×*Ñ*¨8°U¸EÓB‰ˆˆAØ �‰˜ÔØ � ‰ × Ñ ¨%°¸AÐ Ô>Ø—[‘[×/Ñ/°¸%ÀÓG‰
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ˆˆFØ ×Ñ˜Ô Ø ×јÐ!?Õ@r c ó — | j j « \ }}| j |« | j j dddd¬« | j j « \ }}| j |« | j |d« y )NÚUSDJPYÚsellr i�èÿÿr Údaily_loss_limit)r Úcheck_loss_limitsr r r r r s r Útest_daily_loss_limitz$RiskEngineTest.test_daily_loss_limit st € Ø— ‘ ×-Ñ-Ó/‰ˆˆAØ �‰˜ÔØ � ‰ × Ñ ¨&°%¸UÐ ÔCØ—[‘[×2Ñ2Ó4‰
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