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TST: Test multiple calls to update_positions

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Stewart Douglas
2016-03-11 13:11:29 -05:00
parent e47cb96479
commit 0e97a01c05
1 changed files with 43 additions and 2 deletions
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tests/test_perf_tracking.py
+43 -2
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@@ -2552,7 +2552,9 @@ class TestPositionTracker(unittest.TestCase):
def setUpClass(cls):
cls.env = TradingEnvironment()
futures_metadata = {3: {'multiplier': 1000},
4: {'multiplier': 1000}}
4: {'multiplier': 1000},
1032201401: {'multiplier': 50},
}
cls.env.write_data(equities_identifiers=[1, 2],
futures_data=futures_metadata)
@@ -2601,7 +2603,6 @@ class TestPositionTracker(unittest.TestCase):
pt.update_positions({1: pos1, 2: pos2, 3: pos3, 4: pos4})
# Test long-only methods
pos_stats = pt.stats()
self.assertEqual(100, pos_stats.long_value)
self.assertEqual(100 + 300000, pos_stats.long_exposure)
@@ -2620,6 +2621,46 @@ class TestPositionTracker(unittest.TestCase):
self.assertEqual(100 + 200 + 300000 + 400000, pos_stats.gross_exposure)
self.assertEqual(100 - 200 + 300000 - 400000, pos_stats.net_exposure)
def test_update_positions(self):
pt = perf.PositionTracker(self.env.asset_finder)
dt = pd.Timestamp("2014/01/01 3:00PM")
pos1 = perf.Position(1, amount=np.float64(10.0),
last_sale_date=dt, last_sale_price=10)
pos2 = perf.Position(2, amount=np.float64(-20.0),
last_sale_date=dt, last_sale_price=10)
pos3 = perf.Position(1032201401, amount=np.float64(30.0),
last_sale_date=dt, last_sale_price=100)
# Call update_positions twice. When the second call is made,
# self.positions will already contain data. The order of this data
# needs to be preserved so that it is consistent with the order of the
# data stored in the multipliers OrderedDict()'s. If self.positions
# were to be stored as a dict, then its order could change in arbitrary
# ways when the second update_positions call is made. Hence we also
# store it as an OrderedDict.
pt.update_positions({1: pos1, 1032201401: pos3})
pt.update_positions({2: pos2})
pos_stats = pt.stats()
# Test long-only methods
self.assertEqual(100, pos_stats.long_value)
# 150,000 = 30 * 100 * 50 (amount * last_sale_price * multiplier)
self.assertEqual(100 + 150000, pos_stats.long_exposure)
self.assertEqual(2, pos_stats.longs_count)
# Test short-only methods
self.assertEqual(-200, pos_stats.short_value)
self.assertEqual(-200, pos_stats.short_exposure)
self.assertEqual(1, pos_stats.shorts_count)
# Test gross and net values
self.assertEqual(100 + 200, pos_stats.gross_value)
self.assertEqual(100 - 200, pos_stats.net_value)
# Test gross and net exposures
self.assertEqual(100 + 150000 + 200, pos_stats.gross_exposure)
self.assertEqual(100 + 150000 - 200, pos_stats.net_exposure)
def test_serialization(self):
pt = perf.PositionTracker(self.env.asset_finder)
dt = pd.Timestamp("1984/03/06 3:00PM")