Modified the Position handling to use long/short instead of buy/sell for side/position_type. Also modified the unit tests for both Portfolio and Position to reflect these changes. Added a basic historical backtesting capability via backtest.py and using CSV tick data for currency pairs.

portfolio/position_test.py

@@ -7,55 +7,91 @@ from position import Position
 class TestLongGBPUSDPosition(unittest.TestCase):
     def setUp(self):
         getcontext.prec = 2
-        side = "LONG"
+        position_type = "long"
         market = "GBP/USD"
-        units = Decimal(str(2000))
+        units = Decimal("2000")
         exposure = Decimal("2000.00")
-        avg_price = Decimal("1.51819")
-        cur_price = Decimal("1.51770")
+        bid = Decimal("1.50328")
+        ask = Decimal("1.50349")
         self.position = Position(
-            side, market, units, exposure,
-            avg_price, cur_price
+            position_type, market, 
+            units, exposure, bid, ask
         )
 
-    def test_calculate_pips(self):
+    def test_calculate_init_pips(self):
         pos_pips = self.position.calculate_pips()
-        self.assertEqual(pos_pips, Decimal("-0.00049"))
+        self.assertEqual(pos_pips, Decimal("-0.00021"))
 
-    def test_calculate_profit_base(self):
+    def test_calculate_init_profit_base(self):
         profit_base = self.position.calculate_profit_base(self.position.exposure)
-        self.assertEqual(profit_base, Decimal("-0.64571"))
+        self.assertEqual(profit_base, Decimal("-0.27939"))
 
-    def test_calculate_profit_perc(self):
+    def test_calculate_init_profit_perc(self):
         profit_perc = self.position.calculate_profit_perc(self.position.exposure)
-        self.assertEqual(profit_perc, Decimal("-0.03229"))
+        self.assertEqual(profit_perc, Decimal("-0.01397"))
+
+    def test_calculate_updated_values(self):
+        """
+        Check that after the bid/ask prices move, that the updated
+        pips, profit and percentage profit calculations are correct.
+        """
+        bid = Decimal("1.50486")
+        ask = Decimal("1.50586")
+        self.position.update_position_price(bid, ask, self.position.exposure)
+        # Check pips
+        pos_pips = self.position.calculate_pips()
+        self.assertEqual(pos_pips, Decimal("0.00137"))
+        # Check profit base
+        profit_base = self.position.calculate_profit_base(self.position.exposure)
+        self.assertEqual(profit_base, Decimal("1.82077"))
+        # Check profit percentage
+        profit_perc = self.position.calculate_profit_perc(self.position.exposure)
+        self.assertEqual(profit_perc, Decimal("0.09104"))
 
 
 class TestShortGBPUSDPosition(unittest.TestCase):
     def setUp(self):
         getcontext.prec = 2
-        side = "SHORT"
+        position_type = "short"
         market = "GBP/USD"
-        units = 2000
+        units = Decimal("2000")
         exposure = Decimal("2000.00")
-        avg_price = Decimal("1.51819")
-        cur_price = Decimal("1.51770")
+        bid = Decimal("1.50328")
+        ask = Decimal("1.50349")
         self.position = Position(
-            side, market, units, exposure,
-            avg_price, cur_price
+            position_type, market, 
+            units, exposure, bid, ask
         )
 
-    def test_calculate_pips(self):
+    def test_calculate_init_pips(self):
         pos_pips = self.position.calculate_pips()
-        self.assertEqual(pos_pips, Decimal("0.00049"))
+        self.assertEqual(pos_pips, Decimal("-0.00021"))
 
-    def test_calculate_profit_base(self):
+    def test_calculate_init_profit_base(self):
         profit_base = self.position.calculate_profit_base(self.position.exposure)
-        self.assertEqual(profit_base, Decimal("0.64571"))
+        self.assertEqual(profit_base, Decimal("-0.27935"))
 
-    def test_calculate_profit_perc(self):
+    def test_calculate_init_profit_perc(self):
         profit_perc = self.position.calculate_profit_perc(self.position.exposure)
-        self.assertEqual(profit_perc, Decimal("0.03229"))
+        self.assertEqual(profit_perc, Decimal("-0.01397"))
+
+    def test_calculate_updated_values(self):
+        """
+        Check that after the bid/ask prices move, that the updated
+        pips, profit and percentage profit calculations are correct.
+        """
+        bid = Decimal("1.50486")
+        ask = Decimal("1.50586")
+        self.position.update_position_price(bid, ask, self.position.exposure)
+        # Check pips
+        pos_pips = self.position.calculate_pips()
+        self.assertEqual(pos_pips, Decimal("-0.00258"))
+        # Check profit base
+        profit_base = self.position.calculate_profit_base(self.position.exposure)
+        self.assertEqual(profit_base, Decimal("-3.42661"))
+        # Check profit percentage
+        profit_perc = self.position.calculate_profit_perc(self.position.exposure)
+        self.assertEqual(profit_perc, Decimal("-0.17133"))
 
 
 if __name__ == "__main__":