gavindiaz/qsforex
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Decimalised the trading engine to be more realistic

Browse Source
This commit is contained in:
Michael Halls-Moore
2015-03-06 09:57:15 +00:00
parent 30dbcc7bfa
commit 6c77cc1deb
6 changed files with 106 additions and 78 deletions
Download Patch File Download Diff File Expand all files Collapse all files
portfolio/portfolio_test.py
+42 -41
View File
@@ -1,6 +1,6 @@
from decimal import Decimal, getcontext, ROUND_HALF_DOWN
import unittest
#from position import Position
from portfolio import Portfolio
@@ -8,11 +8,12 @@ class TestPortfolio(unittest.TestCase):
def setUp(self):
base = "GBP"
leverage = 20
equity = 100000.0
risk_per_trade = 0.02
equity = Decimal("100000.00")
risk_per_trade = Decimal("0.02")
ticker = {}
events = {}
self.port = Portfolio(
ticker, base=base, leverage=leverage,
ticker, events, base=base, leverage=leverage,
equity=equity, risk_per_trade=risk_per_trade
)
@@ -20,9 +21,9 @@ class TestPortfolio(unittest.TestCase):
side = "LONG"
market = "GBP/USD"
units = 2000
exposure = float(units)
add_price = 1.51819
remove_price = 1.51770
exposure = Decimal(str(units))
add_price = Decimal("1.51819")
remove_price = Decimal("1.51770")
self.port.add_new_position(
side, market, units, exposure,
@@ -41,9 +42,9 @@ class TestPortfolio(unittest.TestCase):
side = "LONG"
market = "GBP/USD"
units = 2000
exposure = float(units)
add_price = 1.51819
remove_price = 1.51770
exposure = Decimal(str(units))
add_price = Decimal("1.51819")
remove_price = Decimal("1.51770")
# Test for no position
market = "EUR/USD"
@@ -62,21 +63,21 @@ class TestPortfolio(unittest.TestCase):
ps = self.port.positions[market]
# Test for addition of units
add_price = 1.51928
remove_price = 1.51878
add_price = Decimal("1.51928")
remove_price = Decimal("1.51878")
apu = self.port.add_position_units(
market, units, exposure,
add_price, remove_price
)
self.assertTrue(apu)
self.assertAlmostEqual(ps.avg_price, 1.518735)
self.assertEqual(ps.avg_price, Decimal("1.518735"))
def test_remove_position_units(self):
side = "LONG"
units = 2000
exposure = float(units)
add_price = 1.51819
remove_price = 1.51770
exposure = Decimal(str(units))
add_price = Decimal("1.51819")
remove_price = Decimal("1.51770")
# Test for no position
market = "EUR/USD"
@@ -92,37 +93,37 @@ class TestPortfolio(unittest.TestCase):
add_price, remove_price
)
ps = self.port.positions[market]
add_price = 1.51928
remove_price = 1.51878
add_price = Decimal("1.51928")
remove_price = Decimal("1.51878")
add_units = 8000
add_exposure = float(add_units)
add_exposure = Decimal(str(add_units))
apu = self.port.add_position_units(
market, add_units, add_exposure,
add_price, remove_price
)
self.assertEqual(ps.units, 10000)
self.assertEqual(ps.exposure, 10000.0)
self.assertAlmostEqual(ps.avg_price, 1.519062)
self.assertEqual(ps.exposure, Decimal("10000.00"))
self.assertEqual(ps.avg_price, Decimal("1.519062"))
# Test removal of (some) of the units
add_price = 1.52134
remove_price = 1.52017
add_price = Decimal("1.52134")
remove_price = Decimal("1.52017")
remove_units = 3000
rpu = self.port.remove_position_units(
market, remove_units, remove_price
)
self.assertTrue(rpu)
self.assertEqual(ps.units, 7000)
self.assertEqual(ps.exposure, 7000.0)
self.assertAlmostEqual(ps.profit_base, 5.102060953709626)
self.assertAlmostEqual(self.port.balance, 100002.18659755158)
self.assertEqual(ps.exposure, Decimal("7000.00"))
self.assertEqual(ps.profit_base, Decimal("5.11127"))
self.assertEqual(self.port.balance, Decimal("100002.19"))
def test_close_position(self):
side = "LONG"
units = 2000
exposure = float(units)
add_price = 1.51819
remove_price = 1.51770
exposure = Decimal(str(units))
add_price = Decimal("1.51819")
remove_price = Decimal("1.51770")
# Test for no position
market = "EUR/USD"
@@ -144,7 +145,7 @@ class TestPortfolio(unittest.TestCase):
)
self.assertTrue(cp)
self.assertRaises(ps) # Key doesn't exist
self.assertAlmostEqual(self.port.balance, 99999.35428609079)
self.assertEqual(self.port.balance, Decimal("99999.35"))
# Add 2000, add another 8000, remove 3000 and then
# close the position. Balance should be as expected
@@ -154,33 +155,33 @@ class TestPortfolio(unittest.TestCase):
add_price, remove_price
)
ps = self.port.positions[market]
add_price = 1.51928
remove_price = 1.51878
add_price = Decimal("1.51928")
remove_price = Decimal("1.51878")
add_units = 8000
add_exposure = float(add_units)
add_exposure = Decimal(str(add_units))
apu = self.port.add_position_units(
market, add_units, add_exposure,
add_price, remove_price
)
self.assertEqual(ps.units, 10000)
self.assertEqual(ps.exposure, 10000.0)
self.assertAlmostEqual(ps.avg_price, 1.519062)
add_price = 1.52134
remove_price = 1.52017
self.assertEqual(ps.exposure, Decimal("10000.00"))
self.assertEqual(ps.avg_price, Decimal("1.519062"))
add_price = Decimal("1.52134")
remove_price = Decimal("1.52017")
remove_units = 3000
rpu = self.port.remove_position_units(
market, remove_units, remove_price
)
self.assertEqual(ps.units, 7000)
self.assertEqual(ps.exposure, 7000.0)
self.assertAlmostEqual(ps.profit_base, 5.102060953709626)
self.assertAlmostEqual(self.port.balance, 100001.54088364237)
self.assertEqual(ps.exposure, Decimal("7000.00"))
self.assertEqual(ps.profit_base, Decimal("5.11127"))
self.assertEqual(self.port.balance, Decimal("100001.54"))
cp = self.port.close_position(
market, remove_price
)
self.assertTrue(cp)
self.assertRaises(ps) # Key doesn't exist
self.assertAlmostEqual(self.port.balance, 100006.64294459608)
self.assertEqual(self.port.balance, Decimal("100006.65"))
if __name__ == "__main__":