Michael Halls-Moore
325 lines
11 KiB
Python
325 lines
11 KiB
Python
from decimal import Decimal, getcontext, ROUND_HALF_DOWN
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import unittest
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from qsforex.portfolio.portfolio import Portfolio
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from qsforex.portfolio.position_test import TickerMock
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from qsforex.portfolio.position import Position
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class TestPortfolio(unittest.TestCase):
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def setUp(self):
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home_currency = "GBP"
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leverage = 20
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equity = Decimal("100000.00")
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risk_per_trade = Decimal("0.02")
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ticker = TickerMock()
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events = {}
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self.port = Portfolio(
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ticker, events, home_currency=home_currency,
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leverage=leverage, equity=equity,
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risk_per_trade=risk_per_trade
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)
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def test_add_position_long(self):
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position_type = "long"
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currency_pair = "GBPUSD"
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units = Decimal("2000")
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ticker = TickerMock()
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self.port.add_new_position(
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position_type,
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currency_pair,
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units, ticker
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)
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ps = self.port.positions[currency_pair]
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self.assertEquals(ps.position_type, position_type)
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self.assertEquals(ps.currency_pair, currency_pair)
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self.assertEquals(ps.units, units)
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self.assertEquals(ps.avg_price, ticker.prices[currency_pair]["ask"])
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self.assertEquals(ps.cur_price, ticker.prices[currency_pair]["bid"])
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def test_add_position_short(self):
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position_type = "short"
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currency_pair = "GBPUSD"
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units = Decimal("2000")
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ticker = TickerMock()
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self.port.add_new_position(
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position_type,
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currency_pair,
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units, ticker
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)
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ps = self.port.positions[currency_pair]
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self.assertEquals(ps.position_type, position_type)
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self.assertEquals(ps.currency_pair, currency_pair)
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self.assertEquals(ps.units, units)
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self.assertEquals(ps.avg_price, ticker.prices[currency_pair]["bid"])
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self.assertEquals(ps.cur_price, ticker.prices[currency_pair]["ask"])
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def test_add_position_units_long(self):
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position_type = "long"
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currency_pair = "GBPUSD"
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units = Decimal("2000")
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ticker = TickerMock()
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# Test for no position
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alt_currency_pair = "USDCAD"
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apu = self.port.add_position_units(
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alt_currency_pair, units
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)
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self.assertFalse(apu)
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# Add a position and test for real position
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self.port.add_new_position(
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position_type,
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currency_pair,
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units, ticker
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)
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ps = self.port.positions[currency_pair]
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# Test for addition of units
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ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
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ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
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ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
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ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
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apu = self.port.add_position_units(
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currency_pair, units
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)
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self.assertTrue(apu)
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self.assertEqual(ps.avg_price, Decimal("1.511385"))
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def test_add_position_units_short(self):
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position_type = "short"
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currency_pair = "GBPUSD"
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units = Decimal("2000")
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ticker = TickerMock()
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# Test for no position
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alt_currency_pair = "USDCAD"
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apu = self.port.add_position_units(
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alt_currency_pair, units
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)
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self.assertFalse(apu)
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# Add a position and test for real position
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self.port.add_new_position(
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position_type,
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currency_pair,
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units, ticker
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)
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ps = self.port.positions[currency_pair]
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# Test for addition of units
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ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
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ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
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ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
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ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
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apu = self.port.add_position_units(
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currency_pair, units
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)
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self.assertTrue(apu)
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self.assertEqual(ps.avg_price, Decimal("1.51103"))
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def test_remove_position_units_long(self):
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position_type = "long"
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currency_pair = "GBPUSD"
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units = Decimal("2000")
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ticker = TickerMock()
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# Test for no position
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alt_currency_pair = "USDCAD"
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apu = self.port.remove_position_units(
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alt_currency_pair, units
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)
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self.assertFalse(apu)
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# Add a position and then add units to it
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self.port.add_new_position(
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position_type,
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currency_pair,
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units, ticker
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)
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ps = self.port.positions[currency_pair]
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# Test for addition of units
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ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
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ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
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ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
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ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
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add_units = Decimal("8000")
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apu = self.port.add_position_units(
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currency_pair, add_units
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)
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self.assertEqual(ps.units, 10000)
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self.assertEqual(ps.avg_price, Decimal("1.516122"))
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# Test removal of (some) of the units
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ticker.prices["GBPUSD"]["bid"] = Decimal("1.52017")
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ticker.prices["GBPUSD"]["ask"] = Decimal("1.52134")
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ticker.prices["USDGBP"]["bid"] = Decimal("0.65782")
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ticker.prices["USDGBP"]["ask"] = Decimal("0.65732")
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remove_units = Decimal("3000")
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rpu = self.port.remove_position_units(
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currency_pair, remove_units
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)
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self.assertTrue(rpu)
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self.assertEqual(ps.units, Decimal("7000"))
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self.assertEqual(self.port.balance, Decimal("100007.99"))
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def test_remove_position_units_short(self):
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position_type = "short"
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currency_pair = "GBPUSD"
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units = Decimal("2000")
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ticker = TickerMock()
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# Test for no position
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alt_currency_pair = "USDCAD"
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apu = self.port.remove_position_units(
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alt_currency_pair, units
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)
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self.assertFalse(apu)
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# Add a position and then add units to it
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self.port.add_new_position(
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position_type,
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currency_pair,
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units, ticker
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)
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ps = self.port.positions[currency_pair]
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# Test for addition of units
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ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
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ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
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ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
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ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
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add_units = Decimal("8000")
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apu = self.port.add_position_units(
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currency_pair, add_units
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)
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self.assertEqual(ps.units, 10000)
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self.assertEqual(ps.avg_price, Decimal("1.51568"))
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# Test removal of (some) of the units
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ticker.prices["GBPUSD"]["bid"] = Decimal("1.52017")
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ticker.prices["GBPUSD"]["ask"] = Decimal("1.52134")
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ticker.prices["USDGBP"]["bid"] = Decimal("0.65782")
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ticker.prices["USDGBP"]["ask"] = Decimal("0.65732")
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remove_units = Decimal("3000")
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rpu = self.port.remove_position_units(
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currency_pair, remove_units
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)
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self.assertTrue(rpu)
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self.assertEqual(ps.units, Decimal("7000"))
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self.assertEqual(self.port.balance, Decimal("99988.84"))
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def test_close_position_long(self):
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position_type = "long"
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currency_pair = "GBPUSD"
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units = Decimal("2000")
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ticker = TickerMock()
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# Test for no position
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alt_currency_pair = "USDCAD"
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apu = self.port.remove_position_units(
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alt_currency_pair, units
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)
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self.assertFalse(apu)
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# Add a position and then add units to it
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self.port.add_new_position(
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position_type,
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currency_pair,
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units, ticker
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)
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ps = self.port.positions[currency_pair]
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# Test for addition of units
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ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
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ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
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ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
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ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
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add_units = Decimal("8000")
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apu = self.port.add_position_units(
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currency_pair, add_units
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)
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self.assertEqual(ps.units, 10000)
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self.assertEqual(ps.avg_price, Decimal("1.516122"))
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# Test removal of (some) of the units
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ticker.prices["GBPUSD"]["bid"] = Decimal("1.52017")
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ticker.prices["GBPUSD"]["ask"] = Decimal("1.52134")
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ticker.prices["USDGBP"]["bid"] = Decimal("0.65782")
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ticker.prices["USDGBP"]["ask"] = Decimal("0.65732")
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remove_units = Decimal("3000")
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rpu = self.port.remove_position_units(
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currency_pair, remove_units
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)
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self.assertTrue(rpu)
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self.assertEqual(ps.units, Decimal("7000"))
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self.assertEqual(self.port.balance, Decimal("100007.99"))
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# Close the position
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cp = self.port.close_position(currency_pair)
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self.assertTrue(cp)
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self.assertRaises(ps) # Key doesn't exist
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self.assertEqual(self.port.balance, Decimal("100026.64"))
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def test_close_position_short(self):
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position_type = "short"
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currency_pair = "GBPUSD"
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units = Decimal("2000")
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ticker = TickerMock()
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# Test for no position
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alt_currency_pair = "USDCAD"
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apu = self.port.remove_position_units(
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alt_currency_pair, units
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)
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self.assertFalse(apu)
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# Add a position and then add units to it
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self.port.add_new_position(
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position_type,
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currency_pair,
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units, ticker
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)
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ps = self.port.positions[currency_pair]
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# Test for addition of units
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ticker.prices["GBPUSD"]["bid"] = Decimal("1.51878")
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ticker.prices["GBPUSD"]["ask"] = Decimal("1.51928")
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ticker.prices["USDGBP"]["bid"] = Decimal("0.65842")
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ticker.prices["USDGBP"]["ask"] = Decimal("0.65821")
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add_units = Decimal("8000")
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apu = self.port.add_position_units(
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currency_pair, add_units
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)
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self.assertEqual(ps.units, 10000)
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self.assertEqual(ps.avg_price, Decimal("1.51568"))
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# Test removal of (some) of the units
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ticker.prices["GBPUSD"]["bid"] = Decimal("1.52017")
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ticker.prices["GBPUSD"]["ask"] = Decimal("1.52134")
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ticker.prices["USDGBP"]["bid"] = Decimal("0.65782")
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ticker.prices["USDGBP"]["ask"] = Decimal("0.65732")
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remove_units = Decimal("3000")
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rpu = self.port.remove_position_units(
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currency_pair, remove_units
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)
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self.assertTrue(rpu)
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self.assertEqual(ps.units, Decimal("7000"))
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self.assertEqual(self.port.balance, Decimal("99988.84"))
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# Close the position
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cp = self.port.close_position(currency_pair)
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self.assertTrue(cp)
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self.assertRaises(ps) # Key doesn't exist
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self.assertEqual(self.port.balance, Decimal("99962.80"))
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if __name__ == "__main__":
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unittest.main() |