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Added some more unit tests for Portfolio and Position. Added a README and a requirements file now that qsforex is open-source under an MIT license.

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Michael Halls-Moore
2015-03-17 07:48:37 +00:00
parent 6c77cc1deb
commit d9a7444fc2
8 changed files with 189 additions and 39 deletions
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portfolio/portfolio.py
+13 -13
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@@ -46,7 +46,7 @@ class Portfolio(object):
ps.exposure += exposure
ps.avg_price = new_total_cost/new_total_units
ps.units = new_total_units
ps.update_position_price(remove_price)
ps.update_position_price(remove_price, exposure)
return True
def remove_position_units(
@@ -57,9 +57,9 @@ class Portfolio(object):
else:
ps = self.positions[market]
ps.units -= units
exposure = Decimal(units)
exposure = Decimal(str(units))
ps.exposure -= exposure
ps.update_position_price(remove_price)
ps.update_position_price(remove_price, exposure)
pnl = ps.calculate_pips() * exposure / remove_price
self.balance += pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
return True
@@ -71,7 +71,7 @@ class Portfolio(object):
return False
else:
ps = self.positions[market]
ps.update_position_price(remove_price)
ps.update_position_price(remove_price, ps.exposure)
pnl = ps.calculate_pips() * ps.exposure / remove_price
self.balance += pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
del[self.positions[market]]
@@ -83,12 +83,12 @@ class Portfolio(object):
units = int(self.trade_units)
# Check side for correct bid/ask prices
#if side == "buy":
add_price = Decimal(str(self.ticker.cur_ask))
remove_price = Decimal(str(self.ticker.cur_bid))
#else:
#add_price = self.ticker.cur_bid
#remove_price = self.ticker.cur_ask
if side == "buy":
add_price = Decimal(str(self.ticker.cur_ask))
remove_price = Decimal(str(self.ticker.cur_bid))
else:
add_price = Decimal(str(self.ticker.cur_bid))
remove_price = Decimal(str(self.ticker.cur_ask))
exposure = Decimal(str(units))
# If there is no position, create one
@@ -97,7 +97,7 @@ class Portfolio(object):
side, market, units, exposure,
add_price, remove_price
)
order = OrderEvent(market, units, "market", "buy")
order = OrderEvent(market, units, "market", side)
self.events.put(order)
# If a position exists add or remove units
else:
@@ -114,7 +114,7 @@ class Portfolio(object):
if units == ps.units:
# Close the position
self.close_position(market, remove_price)
order = OrderEvent(market, units, "market", "sell")
order = OrderEvent(market, units, "market", side)
self.events.put(order)
elif units < ps.units:
# Remove from the position
@@ -130,7 +130,7 @@ class Portfolio(object):
if side == "buy":
new_side = "sell"
else:
new_side = "sell"
new_side = "buy"
new_exposure = Decimal(str(units))
self.add_new_position(
new_side, market, new_units,