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.

backtest/backtest.py

@@ -0,0 +1,77 @@
+import copy
+import Queue
+import threading
+import time
+from decimal import Decimal, getcontext
+
+from qsforex.execution.execution import SimulatedExecution
+from qsforex.portfolio.portfolio import Portfolio
+from qsforex import settings
+from qsforex.strategy.strategy import TestStrategy
+from qsforex.data.price import HistoricCSVPriceHandler
+
+
+def trade(events, strategy, portfolio, execution, heartbeat):
+    """
+    Carries out an infinite while loop that polls the 
+    events queue and directs each event to either the
+    strategy component of the execution handler. The
+    loop will then pause for "heartbeat" seconds and
+    continue.
+    """
+    while True:
+        try:
+            event = events.get(False)
+        except Queue.Empty:
+            pass
+        else:
+            if event is not None:
+                if event.type == 'TICK':
+                    strategy.calculate_signals(event)
+                elif event.type == 'SIGNAL':
+                    portfolio.execute_signal(event)
+                elif event.type == 'ORDER':
+                    execution.execute_order(event)
+        time.sleep(heartbeat)
+
+
+if __name__ == "__main__":
+    # Set the number of decimal places to 2
+    getcontext().prec = 2
+
+    heartbeat = 0.0  # Half a second between polling
+    events = Queue.Queue()
+    equity = settings.EQUITY
+
+    # Load the historic CSV tick data files
+    pairs = ["GBPUSD"]
+    csv_dir = settings.CSV_DATA_DIR
+    if csv_dir is None:
+        print "No historic data directory provided - backtest terminating."
+        sys.exit()
+
+    # Create the historic tick data streaming class
+    prices = HistoricCSVPriceHandler(pairs, events, csv_dir)
+
+    # Create the strategy/signal generator, passing the 
+    # instrument and the events queue
+    strategy = TestStrategy(pairs[0], events)
+
+    # Create the portfolio object to track trades
+    portfolio = Portfolio(prices, events, equity=equity)
+
+    # Create the simulated execution handler
+    execution = SimulatedExecution()
+    
+    # Create two separate threads: One for the trading loop
+    # and another for the market price streaming class
+    trade_thread = threading.Thread(
+        target=trade, args=(
+            events, strategy, portfolio, execution, heartbeat
+        )
+    )
+    price_thread = threading.Thread(target=prices.stream_to_queue, args=[])
+    
+    # Start both threads
+    trade_thread.start()
+    price_thread.start()

data/price.py

@@ -0,0 +1,86 @@
+from abc import ABCMeta, abstractmethod
+import datetime
+from decimal import Decimal, getcontext, ROUND_HALF_DOWN
+import os
+import os.path
+import numpy as np
+import pandas as pd
+
+from qsforex.event.event import TickEvent
+
+
+class PriceHandler(object):
+    """
+    PriceHandler is an abstract base class providing an interface for
+    all subsequent (inherited) data handlers (both live and historic).
+
+    The goal of a (derived) PriceHandler object is to output a set of
+    bid/ask/timestamp "ticks" for each currency pair and place them into
+    an event queue.
+
+    This will replicate how a live strategy would function as current
+    tick data would be streamed via a brokerage. Thus a historic and live
+    system will be treated identically by the rest of the QSForex 
+    backtesting suite.
+    """
+
+    __metaclass__ = ABCMeta
+
+    @abstractmethod
+    def stream_to_queue(self):
+        """
+        Streams a sequence of tick data events (timestamp, bid, ask)
+        tuples to the events queue.
+        """
+        raise NotImplementedError("Should implement stream_to_queue()")
+
+
+class HistoricCSVPriceHandler(PriceHandler):
+    """
+    HistoricCSVPriceHandler is designed to read CSV files of
+    tick data for each requested currency pair and stream those
+    to the provided events queue.
+    """
+
+    def __init__(self, pairs, events_queue, csv_dir):
+        """
+        Initialises the historic data handler by requesting
+        the location of the CSV files and a list of symbols.
+
+        It will be assumed that all files are of the form
+        'pair.csv', where "pair" is the currency pair. For
+        GBP/USD the filename is GBPUSD.csv.
+
+        Parameters:
+        pairs - The list of currency pairs to obtain.
+        events_queue - The events queue to send the ticks to.
+        csv_dir - Absolute directory path to the CSV files.
+        """
+        self.pairs = pairs
+        self.events_queue = events_queue
+        self.csv_dir = csv_dir
+        self.cur_bid = None
+        self.cur_ask = None
+
+    def _open_convert_csv_files(self):
+        """
+        Opens the CSV files from the data directory, converting
+        them into pandas DataFrames within a pairs dictionary.
+        """
+        pair_path = os.path.join(self.csv_dir, '%s.csv' % self.pairs[0])
+        self.pair = pd.io.parsers.read_csv(
+            pair_path, header=True, index_col=0, parse_dates=True,
+            names=("Time", "Ask", "Bid", "AskVolume", "BidVolume")
+        ).iterrows()
+
+    def stream_to_queue(self):
+        self._open_convert_csv_files()
+        for index, row in self.pair:
+            self.cur_bid = Decimal(str(row["Bid"])).quantize(
+                Decimal("0.00001", ROUND_HALF_DOWN)
+            )
+            self.cur_ask = Decimal(str(row["Ask"])).quantize(
+                Decimal("0.00001", ROUND_HALF_DOWN)
+            )
+            tev = TickEvent(self.pairs[0], index, row["Bid"], row["Ask"])
+            self.events_queue.put(tev)

execution/execution.py

@@ -1,8 +1,37 @@
+from abc import ABCMeta, abstractmethod
 import httplib
 import urllib
 
 
-class Execution(object):
+class ExecutionHandler(object):
+    """
+    Provides an abstract base class to handle all execution in the
+    backtesting and live trading system.
+    """
+
+    __metaclass__ = ABCMeta
+
+    @abstractmethod
+    def execute_order(self):
+        """
+        Send the order to the brokerage.
+        """
+        raise NotImplementedError("Should implement execute_order()")
+
+
+class SimulatedExecution(object):
+    """
+    Provides a simulated execution handling environment. This class
+    actually does nothing - it simply receives an order to execute.
+
+    Instead, the Portfolio object actually provides fill handling.
+    This will be modified in later versions.
+    """
+    def execute_order(self, event):
+        pass
+
+
+class OANDAExecutionHandler(ExecutionHandler):
     def __init__(self, domain, access_token, account_id):
         self.domain = domain
         self.access_token = access_token

portfolio/portfolio.py

@@ -24,116 +24,119 @@ class Portfolio(object):
         return self.equity * self.risk_per_trade
 
     def add_new_position(
-        self, side, market, units, exposure,
+        self, position_type, market, units, 
-        add_price, remove_price
+        exposure, bid, ask
     ):
         ps = Position(
-            side, market, units, exposure,
+            position_type, market, units, 
-            add_price, remove_price
+            exposure, bid, ask
         )
         self.positions[market] = ps
 
     def add_position_units(
-        self, market, units, exposure, 
+        self, market, units, 
-        add_price, remove_price
+        exposure, bid, ask
     ):
         if market not in self.positions:
             return False
         else:
             ps = self.positions[market]
+            if ps.position_type == "long":
+                add_price = ask
+            else:
+                add_price = bid
             new_total_units = ps.units + units
             new_total_cost = ps.avg_price*ps.units + add_price*units
             ps.exposure += exposure
             ps.avg_price = new_total_cost/new_total_units
             ps.units = new_total_units
-            ps.update_position_price(remove_price, exposure)
+            ps.update_position_price(bid, ask, exposure)
             return True
 
     def remove_position_units(
-        self, market, units, remove_price
+        self, market, units, bid, ask
     ):
         if market not in self.positions:
             return False
         else:
             ps = self.positions[market]
+            if ps.position_type == "long":
+                remove_price = bid
+            else:
+                remove_price = ask
             ps.units -= units
             exposure = Decimal(str(units))
             ps.exposure -= exposure
-            ps.update_position_price(remove_price, exposure)
+            ps.update_position_price(bid, ask, exposure)
             pnl = ps.calculate_pips() * exposure / remove_price 
             self.balance += pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
             return True
 
     def close_position(
-        self, market, remove_price
+        self, market, bid, ask
     ):
         if market not in self.positions:
             return False
         else:
             ps = self.positions[market]
-            ps.update_position_price(remove_price, ps.exposure)
+            ps.update_position_price(bid, ask, ps.exposure)
+            if ps.position_type == "long":
+                remove_price = bid
+            else:
+                remove_price = ask
             pnl = ps.calculate_pips() * ps.exposure / remove_price 
             self.balance += pnl.quantize(Decimal("0.01", ROUND_HALF_DOWN))
             del[self.positions[market]]
             return True
 
-    def execute_signal(self, signal_event):
+    def execute_signal(self, signal_event):       
         side = signal_event.side
         market = signal_event.instrument
         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 = Decimal(str(self.ticker.cur_bid))
-            remove_price = Decimal(str(self.ticker.cur_ask))
         exposure = Decimal(str(units))
+        bid = Decimal(str(self.ticker.cur_bid))
+        ask = Decimal(str(self.ticker.cur_ask))
 
         # If there is no position, create one
         if market not in self.positions:
+            if side == "buy":
+                position_type = "long"
+            else:
+                position_type = "short"
             self.add_new_position(
-                side, market, units, exposure,
+                position_type, market, units, 
-                add_price, remove_price
+                exposure, bid, ask
             )
-            order = OrderEvent(market, units, "market", side)
+
-            self.events.put(order)
         # If a position exists add or remove units
         else:
             ps = self.positions[market]
-            # Check if the sides equal
+
-            if side == ps.side:
+            if side == "buy" and ps.position_type == "long":
-                # Add to the position
+                add_position_units(market, units, exposure, bid, ask)
-                add_position_units(
+
-                    market, units, exposure,
+            elif side == "sell" and ps.position_type == "long":
-                    add_price, remove_price
-                )
-            else:
-                # Check if the units close out the position
                 if units == ps.units:
-                    # Close the position
+                    self.close_position(market, bid, ask)
-                    self.close_position(market, remove_price)
+                # TODO: Allow units to be added/removed
-                    order = OrderEvent(market, units, "market", side)
-                    self.events.put(order)
                 elif units < ps.units:
-                    # Remove from the position
+                    return
-                    self.remove_position_units(
+                elif units > ps.units:
-                        market, units, remove_price
+                    return
-                    )
+
-                else: # units > ps.units
+            elif side == "buy" and ps.position_type == "short":
-                    # Close the position and add a new one with
+                if units == ps.units:
-                    # additional units of opposite side
+                    self.close_position(market, bid, ask)
-                    new_units = units - ps.units
+                # TODO: Allow units to be added/removed
-                    self.close_position(market, remove_price)
+                elif units < ps.units:
+                    return
+                elif units > ps.units:
+                    return
                     
-                    if side == "buy":
+            elif side == "sell" and ps.position_type == "short":
-                        new_side = "sell"
+                add_position_units(market, units, exposure, bid, ask)
-                    else:
+
-                        new_side = "buy"
+        order = OrderEvent(market, units, "market", side)
-                    new_exposure = Decimal(str(units))
+        self.events.put(order)
-                    self.add_new_position(
+
-                        new_side, market, new_units, 
-                        new_exposure, add_price, remove_price
-                    )
         print "Balance: %0.2f" % self.balance

portfolio/portfolio_test.py

@@ -18,200 +18,199 @@ class TestPortfolio(unittest.TestCase):
         )
 
     def test_add_position_long(self):
-        side = "LONG"
+        position_type = "long"
         market = "GBP/USD"
-        units = 2000
+        units = Decimal("2000")
-        exposure = Decimal(str(units))
+        exposure = Decimal("2000.00")
-        add_price = Decimal("1.51819")
+        bid = Decimal("1.51770")
-        remove_price = Decimal("1.51770")
+        ask = Decimal("1.51819")
-
         self.port.add_new_position(
-            side, market, units, exposure,
+            position_type, market, units, 
-            add_price, remove_price
+            exposure, bid, ask
         )
         ps = self.port.positions[market]
 
-        self.assertEquals(ps.side, side)
+        self.assertEquals(ps.position_type, position_type)
         self.assertEquals(ps.market, market)
         self.assertEquals(ps.units, units)
         self.assertEquals(ps.exposure, exposure)
-        self.assertEquals(ps.avg_price, add_price)
+        self.assertEquals(ps.avg_price, ask)
-        self.assertEquals(ps.cur_price, remove_price)
+        self.assertEquals(ps.cur_price, bid)
 
     def test_add_position_short(self):
-        side = "SHORT"
+        position_type = "short"
         market = "GBP/USD"
-        units = 2000
+        units = Decimal("2000")
-        exposure = Decimal(str(units))
+        exposure = Decimal("2000.00")
-        add_price = Decimal("1.51770")
+        bid = Decimal("1.51770")
-        remove_price = Decimal("1.51819")
+        ask = Decimal("1.51819")
 
         self.port.add_new_position(
-            side, market, units, exposure,
+            position_type, market, units, 
-            add_price, remove_price
+            exposure, bid, ask
         )
         ps = self.port.positions[market]
 
-        self.assertEquals(ps.side, side)
+        self.assertEquals(ps.position_type, position_type)
         self.assertEquals(ps.market, market)
         self.assertEquals(ps.units, units)
         self.assertEquals(ps.exposure, exposure)
-        self.assertEquals(ps.avg_price, add_price)
+        self.assertEquals(ps.avg_price, bid)
-        self.assertEquals(ps.cur_price, remove_price)
+        self.assertEquals(ps.cur_price, ask)
 
     def test_add_position_units_long(self):
-        side = "LONG"
+        position_type = "long"
         market = "GBP/USD"
-        units = 2000
+        units = Decimal("2000")
-        exposure = Decimal(str(units))
+        exposure = Decimal("2000.00")
-        add_price = Decimal("1.51819")
+        bid = Decimal("1.51770")
-        remove_price = Decimal("1.51770")
+        ask = Decimal("1.51819")
 
         # Test for no position
         market = "EUR/USD"
         apu = self.port.add_position_units(
             market, units, exposure,
-            add_price, remove_price
+            bid, ask
         )
         self.assertFalse(apu)
 
         # Add a position and test for real position
         market = "GBP/USD"        
         self.port.add_new_position(
-            side, market, units, exposure,
+            position_type, market, units, 
-            add_price, remove_price
+            exposure, bid, ask
         )
         ps = self.port.positions[market]
 
         # Test for addition of units
-        add_price = Decimal("1.51928")
+        bid = Decimal("1.51878")
-        remove_price = Decimal("1.51878")
+        ask = Decimal("1.51928")
         apu = self.port.add_position_units(
             market, units, exposure,
-            add_price, remove_price
+            bid, ask
         )
         self.assertTrue(apu)
         self.assertEqual(ps.avg_price, Decimal("1.518735"))
 
     def test_add_position_units_short(self):
-        side = "SHORT"
+        position_type = "short"
         market = "GBP/USD"
-        units = 2000
+        units = Decimal("2000")
-        exposure = Decimal(str(units))
+        exposure = Decimal("2000.00")
-        add_price = Decimal("1.51770")
+        bid = Decimal("1.51770")
-        remove_price = Decimal("1.51819")
+        ask = Decimal("1.51819")
 
         # Test for no position
         market = "EUR/USD"
         apu = self.port.add_position_units(
             market, units, exposure,
-            add_price, remove_price
+            bid, ask
         )
         self.assertFalse(apu)
 
         # Add a position and test for real position
         market = "GBP/USD"        
         self.port.add_new_position(
-            side, market, units, exposure,
+            position_type, market, units, 
-            add_price, remove_price
+            exposure, bid, ask
         )
         ps = self.port.positions[market]
 
         # Test for addition of units
-        add_price = Decimal("1.51878")
+        bid = Decimal("1.51878")
-        remove_price = Decimal("1.51928")
+        ask = Decimal("1.51928")
         apu = self.port.add_position_units(
             market, units, exposure,
-            add_price, remove_price
+            bid, ask
         )
         self.assertTrue(apu)
         self.assertEqual(ps.avg_price, Decimal("1.51824"))
 
     def test_remove_position_units_long(self):
-        side = "LONG"
+        position_type = "long"
-        units = 2000
+        units = Decimal("2000")
-        exposure = Decimal(str(units))
+        exposure = Decimal("2000.00")
-        add_price = Decimal("1.51819")
+        bid = Decimal("1.51770")
-        remove_price = Decimal("1.51770")
+        ask = Decimal("1.51819")
 
         # Test for no position
         market = "EUR/USD"
         apu = self.port.remove_position_units(
-            market, units, remove_price
+            market, units, bid, ask
         )
         self.assertFalse(apu)
 
         # Add a position and then add units to it
         market = "GBP/USD"        
         self.port.add_new_position(
-            side, market, units, exposure,
+            position_type, market, units, 
-            add_price, remove_price
+            exposure, bid, ask
         )
         ps = self.port.positions[market]
-        add_price = Decimal("1.51928")
+        bid = Decimal("1.51878")
-        remove_price = Decimal("1.51878")
+        ask = Decimal("1.51928")
         add_units = 8000
         add_exposure = Decimal(str(add_units))
         apu = self.port.add_position_units(
             market, add_units, add_exposure,
-            add_price, remove_price
+            bid, ask
         )
         self.assertEqual(ps.units, 10000)
         self.assertEqual(ps.exposure, Decimal("10000.00"))
         self.assertEqual(ps.avg_price, Decimal("1.519062"))
 
         # Test removal of (some) of the units
-        add_price = Decimal("1.52134")
+        bid = Decimal("1.52017")
-        remove_price = Decimal("1.52017")
+        ask = Decimal("1.52134")
         remove_units = 3000
         rpu = self.port.remove_position_units(
-            market, remove_units, remove_price
+            market, remove_units, bid, ask
         )
         self.assertTrue(rpu)
         self.assertEqual(ps.units, 7000)
         self.assertEqual(ps.exposure, Decimal("7000.00"))
         self.assertEqual(ps.profit_base, Decimal("2.19054"))
         self.assertEqual(self.port.balance, Decimal("100002.19"))
-
+    
     def test_remove_position_units_short(self):
-        side = "SHORT"
+        position_type = "short"
-        units = 2000
+        units = Decimal("2000")
-        exposure = Decimal(str(units))
+        exposure = Decimal("2000.00")
-        add_price = Decimal("1.51770")
+        bid = Decimal("1.51770")
-        remove_price = Decimal("1.51819")
+        ask = Decimal("1.51819")
 
         # Test for no position
         market = "EUR/USD"
         apu = self.port.remove_position_units(
-            market, units, remove_price
+            market, units, bid, ask
         )
         self.assertFalse(apu)
 
         # Add a position and then add units to it
         market = "GBP/USD"        
         self.port.add_new_position(
-            side, market, units, exposure,
+            position_type, market, units, 
-            add_price, remove_price
+            exposure, bid, ask
         )
         ps = self.port.positions[market]
-        add_price = Decimal("1.51878")
+        bid = Decimal("1.51878")
-        remove_price = Decimal("1.51928")
+        ask = Decimal("1.51928")
         add_units = 8000
         add_exposure = Decimal(str(add_units))
         apu = self.port.add_position_units(
             market, add_units, add_exposure,
-            add_price, remove_price
+            bid, ask
         )
         self.assertEqual(ps.units, 10000)
         self.assertEqual(ps.exposure, Decimal("10000.00"))
         self.assertEqual(ps.avg_price, Decimal("1.518564"))
 
         # Test removal of (some) of the units
-        add_price = Decimal("1.52017")
+        bid = Decimal("1.52017")
-        remove_price = Decimal("1.52134")
+        ask = Decimal("1.52134")
         remove_units = 3000
         rpu = self.port.remove_position_units(
-            market, remove_units, remove_price
+            market, remove_units, bid, ask
         )
         self.assertTrue(rpu)
         self.assertEqual(ps.units, 7000)
@@ -220,16 +219,16 @@ class TestPortfolio(unittest.TestCase):
         self.assertEqual(self.port.balance, Decimal("99994.52"))
 
     def test_close_position_long(self):
-        side = "LONG"
+        position_type = "long"
-        units = 2000
+        units = Decimal("2000")
-        exposure = Decimal(str(units))
+        exposure = Decimal("2000.00")
-        add_price = Decimal("1.51819")
+        bid = Decimal("1.51770")
-        remove_price = Decimal("1.51770")
+        ask = Decimal("1.51819")
 
         # Test for no position
         market = "EUR/USD"
         cp = self.port.close_position(
-            market, remove_price
+            market, bid, ask
         )
         self.assertFalse(cp)
 
@@ -237,12 +236,12 @@ class TestPortfolio(unittest.TestCase):
         # Will lose money on the spread
         market = "GBP/USD" 
         self.port.add_new_position(
-            side, market, units, exposure,
+            position_type, market, units, 
-            add_price, remove_price
+            exposure, bid, ask
         )
         ps = self.port.positions[market]
         cp = self.port.close_position(
-            market, remove_price
+            market, bid, ask
         )
         self.assertTrue(cp)
         self.assertRaises(ps)  # Key doesn't exist
@@ -252,38 +251,114 @@ class TestPortfolio(unittest.TestCase):
         # close the position. Balance should be as expected 
         # for a multi-leg transaction.
         self.port.add_new_position(
-            side, market, units, exposure,
+            position_type, market, units, 
-            add_price, remove_price
+            exposure, bid, ask
         )
         ps = self.port.positions[market]
-        add_price = Decimal("1.51928")
+
-        remove_price = Decimal("1.51878")
+        # Add 8000 units
+        bid = Decimal("1.51878")
+        ask = Decimal("1.51928")      
         add_units = 8000
         add_exposure = Decimal(str(add_units))
         apu = self.port.add_position_units(
-            market, add_units, add_exposure,
+            market, add_units, 
-            add_price, remove_price
+            add_exposure, bid, ask
         )
         self.assertEqual(ps.units, 10000)
         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 3000 units
+        bid = Decimal("1.52017")
+        ask = Decimal("1.52134")
         remove_units = 3000
         rpu = self.port.remove_position_units(
-            market, remove_units, remove_price
+            market, remove_units, bid, ask
         )
         self.assertEqual(ps.units, 7000)
         self.assertEqual(ps.exposure, Decimal("7000.00"))
         self.assertEqual(ps.profit_base, Decimal("2.19054"))
         self.assertEqual(self.port.balance, Decimal("100001.54"))
+
+        # Close the position
         cp = self.port.close_position(
-            market, remove_price
+            market, bid, ask
         )
         self.assertTrue(cp)
         self.assertRaises(ps)  # Key doesn't exist
         self.assertEqual(self.port.balance, Decimal("100006.65"))
 
+    def test_close_position_short(self):
+        position_type = "short"
+        units = Decimal("2000")
+        exposure = Decimal("2000.00")
+        bid = Decimal("1.51770")
+        ask = Decimal("1.51819")
+
+        # Test for no position
+        market = "EUR/USD"
+        cp = self.port.close_position(
+            market, bid, ask
+        )
+        self.assertFalse(cp)
+
+        # Add a position and then close it
+        # Will lose money on the spread
+        market = "GBP/USD" 
+        self.port.add_new_position(
+            position_type, market, units, 
+            exposure, bid, ask
+        )
+        ps = self.port.positions[market]
+        cp = self.port.close_position(
+            market, bid, ask
+        )
+        self.assertTrue(cp)
+        self.assertRaises(ps)  # Key doesn't exist
+        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 
+        # for a multi-leg transaction.
+        self.port.add_new_position(
+            position_type, market, units, 
+            exposure, bid, ask
+        )
+        ps = self.port.positions[market]
+
+        # Add 8000 units
+        bid = Decimal("1.51878")
+        ask = Decimal("1.51928")      
+        add_units = 8000
+        add_exposure = Decimal(str(add_units))
+        apu = self.port.add_position_units(
+            market, add_units, 
+            add_exposure, bid, ask
+        )
+        self.assertEqual(ps.units, 10000)
+        self.assertEqual(ps.exposure, Decimal("10000.00"))
+        self.assertEqual(ps.avg_price, Decimal("1.518564"))
+
+        # Remove 3000 units
+        bid = Decimal("1.52017")
+        ask = Decimal("1.52134")
+        remove_units = 3000
+        rpu = self.port.remove_position_units(
+            market, remove_units, bid, ask
+        )
+        self.assertEqual(ps.units, 7000)
+        self.assertEqual(ps.exposure, Decimal("7000.00"))
+        self.assertEqual(ps.profit_base, Decimal("-5.48201"))
+        self.assertEqual(self.port.balance, Decimal("99993.87"))
+
+        # Close the position
+        cp = self.port.close_position(
+            market, bid, ask
+        )
+        self.assertTrue(cp)
+        self.assertRaises(ps)  # Key doesn't exist
+        self.assertEqual(self.port.balance, Decimal("99981.08"))
 
 if __name__ == "__main__":
     unittest.main()

portfolio/position.py

@@ -3,22 +3,31 @@ from decimal import Decimal, getcontext, ROUND_HALF_DOWN
 
 class Position(object):
     def __init__(
-        self, side, market, units, 
+        self, position_type, market, 
-        exposure, avg_price, cur_price
+        units, exposure, bid, ask
     ):
-        self.side = side
+        self.position_type = position_type  # Long or short
         self.market = market
         self.units = units
         self.exposure = Decimal(str(exposure))
-        self.avg_price = Decimal(str(avg_price))
+
-        self.cur_price = Decimal(str(cur_price))
+        # Long or short
+        if self.position_type == "long":
+            self.avg_price = Decimal(str(ask))
+            self.cur_price = Decimal(str(bid))
+        else:
+            self.avg_price = Decimal(str(bid))
+            self.cur_price = Decimal(str(ask))
+
         self.profit_base = self.calculate_profit_base(self.exposure)
         self.profit_perc = self.calculate_profit_perc(self.exposure)
 
     def calculate_pips(self):
         getcontext.prec = 6
         mult = Decimal("1")
-        if self.side == "SHORT":
+        if self.position_type == "long":
+            mult = Decimal("1")
+        elif self.position_type == "short":
             mult = Decimal("-1")
         return (mult * (self.cur_price - self.avg_price)).quantize(
             Decimal("0.00001"), ROUND_HALF_DOWN
@@ -35,8 +44,10 @@ class Position(object):
             Decimal("0.00001"), ROUND_HALF_DOWN
         )
 
-    def update_position_price(self, cur_price, exposure):
+    def update_position_price(self, bid, ask, exposure):
-        self.cur_price = cur_price
+        if self.position_type == "long":
+            self.cur_price = Decimal(str(bid))
+        else:
+            self.cur_price = Decimal(str(ask))
         self.profit_base = self.calculate_profit_base(exposure)
         self.profit_perc = self.calculate_profit_perc(exposure)
-

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")
+        bid = Decimal("1.50328")
-        cur_price = Decimal("1.51770")
+        ask = Decimal("1.50349")
         self.position = Position(
-            side, market, units, exposure,
+            position_type, market, 
-            avg_price, cur_price
+            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")
+        bid = Decimal("1.50328")
-        cur_price = Decimal("1.51770")
+        ask = Decimal("1.50349")
         self.position = Position(
-            side, market, units, exposure,
+            position_type, market, 
-            avg_price, cur_price
+            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__":

settings.py

@@ -1,3 +1,4 @@
+from decimal import Decimal
 import os
 
 
@@ -14,8 +15,13 @@ ENVIRONMENTS = {
     }
 }
 
+CSV_DATA_DIR = os.environ.get('QSFOREX_CSV_DATA_DIR', None)
+
 DOMAIN = "practice"
 STREAM_DOMAIN = ENVIRONMENTS["streaming"][DOMAIN]
 API_DOMAIN = ENVIRONMENTS["api"][DOMAIN]
 ACCESS_TOKEN = os.environ.get('OANDA_API_ACCESS_TOKEN', None)
-ACCOUNT_ID = os.environ.get('OANDA_API_ACCOUNT_ID', None)
+ACCOUNT_ID = os.environ.get('OANDA_API_ACCOUNT_ID', None)
+
+BASE_CURRENCY = "GBP"
+EQUITY = Decimal("100000.00")

strategy/strategy.py

@@ -10,7 +10,7 @@ class TestStrategy(object):
 
     def calculate_signals(self, event):
         if event.type == 'TICK':
-            if self.ticks % 200 == 0:
+            if self.ticks % 5 == 0:
                 if self.invested == False:
                     signal = SignalEvent(self.instrument, "market", "buy")
                     self.events.put(signal)
@@ -19,4 +19,4 @@ class TestStrategy(object):
                     signal = SignalEvent(self.instrument, "market", "sell")
                     self.events.put(signal)
                     self.invested = False
-            self.ticks += 1
+            self.ticks += 1

trading/trading.py

@@ -4,14 +4,14 @@ import threading
 import time
 from decimal import Decimal, getcontext
 
-from qsforex.execution.execution import Execution
+from qsforex.execution.execution import OANDAExecutionHandler
 from qsforex.portfolio.portfolio import Portfolio
-from qsforex.settings import STREAM_DOMAIN, API_DOMAIN, ACCESS_TOKEN, ACCOUNT_ID
+from qsforex import settings
 from qsforex.strategy.strategy import TestStrategy
 from qsforex.streaming.streaming import StreamingForexPrices
 
 
-def trade(events, strategy, portfolio, execution):
+def trade(events, strategy, portfolio, execution, heartbeat):
     """
     Carries out an infinite while loop that polls the 
     events queue and directs each event to either the
@@ -39,9 +39,9 @@ if __name__ == "__main__":
     # Set the number of decimal places to 2
     getcontext().prec = 2
 
-    heartbeat = 0.5  # Half a second between polling
+    heartbeat = 0.0  # Half a second between polling
     events = Queue.Queue()
-    equity = Decimal("99949.82")
+    equity = settings.EQUITY
 
     # Trade "Cable"
     instrument = "GBP_USD"
@@ -49,8 +49,8 @@ if __name__ == "__main__":
     # Create the OANDA market price streaming class
     # making sure to provide authentication commands
     prices = StreamingForexPrices(
-        STREAM_DOMAIN, ACCESS_TOKEN, ACCOUNT_ID,
+        settings.STREAM_DOMAIN, settings.ACCESS_TOKEN, 
-        instrument, events
+        settings.ACCOUNT_ID, instrument, events
     )
 
     # Create the strategy/signal generator, passing the 
@@ -64,13 +64,17 @@ if __name__ == "__main__":
 
     # Create the execution handler making sure to
     # provide authentication commands
-    execution = Execution(API_DOMAIN, ACCESS_TOKEN, ACCOUNT_ID)
+    execution = OANDAExecutionHandler(
+        settings.API_DOMAIN, 
+        settings.ACCESS_TOKEN, 
+        settings.ACCOUNT_ID
+    )
     
     # Create two separate threads: One for the trading loop
     # and another for the market price streaming class
     trade_thread = threading.Thread(
         target=trade, args=(
-            events, strategy, portfolio, execution
+            events, strategy, portfolio, execution, heartbeat
         )
     )
     price_thread = threading.Thread(target=prices.stream_to_queue, args=[])