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Merge pull request #1413 from quantopian/normalize-equity-future-in-data-portal
MAINT: Remove future/equity distinction.
This commit is contained in:
Eddie Hebert
@@ -1615,376 +1615,6 @@ cost of sole txn in test"
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net_leverage=-0.8181,
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net_liquidation=1100.0)
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def test_long_future_position(self):
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"""
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verify that the performance period calculates properly for a
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single buy transaction
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"""
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self.create_environment_stuff()
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sim_params = copy.copy(self.sim_params)
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sim_params.data_frequency = 'minute'
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# post some trades in the market
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trades = factory.create_trade_history(
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self.asset3,
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[10, 10, 10, 11],
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[100, 100, 100, 100],
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oneday,
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sim_params,
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trading_calendar=self.trading_calendar,
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)
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data_portal = create_data_portal_from_trade_history(
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self.env.asset_finder,
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self.trading_calendar,
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self.instance_tmpdir,
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self.sim_params,
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{3: trades}
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)
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txn = create_txn(self.asset3, trades[1].dt, 10.0, 1)
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pt = perf.PositionTracker(self.env.asset_finder,
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self.sim_params.data_frequency)
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pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
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self.sim_params.data_frequency)
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pp.position_tracker = pt
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pt.execute_transaction(txn)
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pp.handle_execution(txn)
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# This verifies that the last sale price is being correctly
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# set in the positions. If this is not the case then returns can
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# incorrectly show as sharply dipping if a transaction arrives
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# before a trade. This is caused by returns being based on holding
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# stocks with a last sale price of 0.
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self.assertEqual(pp.positions[3].last_sale_price, 10.0)
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pt.sync_last_sale_prices(trades[-1].dt, False, data_portal)
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pp.calculate_performance()
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self.assertEqual(
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pp.cash_flow,
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0,
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"there should be no cash flow on a futures txn"
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)
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self.assertEqual(
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len(pp.positions),
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1,
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"should be just one position")
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self.assertEqual(
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pp.positions[3].sid,
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txn.sid,
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"position should be in security with id 1")
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self.assertEqual(
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pp.positions[3].amount,
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txn.amount,
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"should have a position of {sharecount} shares".format(
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sharecount=txn.amount
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)
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)
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self.assertEqual(
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pp.positions[3].cost_basis,
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txn.price,
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"should have a cost basis of 10"
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)
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self.assertEqual(
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pp.positions[3].last_sale_price,
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trades[-1]['price'],
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"last sale should be same as last trade. \
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expected {exp} actual {act}".format(
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exp=trades[-1]['price'],
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act=pp.positions[3].last_sale_price)
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)
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self.assertEqual(
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pp.ending_value,
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0,
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"ending value should be 0 because only futures are held"
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)
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self.assertEqual(
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pp.ending_exposure,
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1100,
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"ending exposure should be price of last trade times number of \
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contracts in position")
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self.assertEqual(pp.pnl, 100, "gain of 1 on 1 100x contract should be "
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"100")
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check_perf_period(
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pp,
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gross_leverage=1.0,
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net_leverage=1.0,
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long_exposure=1100.0,
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longs_count=1,
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short_exposure=0.0,
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shorts_count=0)
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# Validate that the account attributes were updated.
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account = pp.as_account()
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check_account(account,
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settled_cash=1100.0,
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equity_with_loan=1100.0,
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total_positions_value=0.0,
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total_positions_exposure=1100.0,
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regt_equity=1100.0,
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available_funds=1100.0,
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excess_liquidity=1100.0,
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cushion=1.0,
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leverage=1.0,
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net_leverage=1.0,
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net_liquidation=1100.0)
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def test_short_future_position(self):
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"""verify that the performance period calculates properly for a \
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single short-sale transaction"""
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self.create_environment_stuff(num_days=6)
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trades = factory.create_trade_history(
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self.asset3,
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[10, 10, 10, 11, 10, 9],
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[100, 100, 100, 100, 100, 100],
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oneday,
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self.sim_params,
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trading_calendar=self.trading_calendar,
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)
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data_portal = create_data_portal_from_trade_history(
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self.env.asset_finder,
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self.trading_calendar,
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self.instance_tmpdir,
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self.sim_params,
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{3: trades}
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)
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trades_1 = trades[:-2]
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txn = create_txn(self.asset3, trades[0].dt, 10.0, -1)
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pt = perf.PositionTracker(self.env.asset_finder,
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self.sim_params.data_frequency)
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pp = perf.PerformancePeriod(1000.0, self.env.asset_finder,
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self.sim_params.data_frequency)
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pp.position_tracker = pt
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pt.execute_transaction(txn)
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pp.handle_execution(txn)
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pt.sync_last_sale_prices(trades[-3].dt, False, data_portal)
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pp.calculate_performance()
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self.assertEqual(
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pp.cash_flow,
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0,
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"there should be no cash flow on a futures txn"
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)
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self.assertEqual(
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len(pp.positions),
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1,
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"should be just one position")
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self.assertEqual(
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pp.positions[3].sid,
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txn.sid,
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"position should be in future from the transaction"
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)
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self.assertEqual(
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pp.positions[3].amount,
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-1,
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"should have a position of -1 contract"
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)
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self.assertEqual(
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pp.positions[3].cost_basis,
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txn.price,
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"should have a cost basis of 10"
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)
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self.assertEqual(
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pp.positions[3].last_sale_price,
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trades_1[-1]['price'],
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"last sale should be price of last trade"
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)
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self.assertEqual(
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pp.ending_value,
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0,
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"ending value should be 0 because only futures are held"
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)
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self.assertEqual(
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pp.ending_exposure,
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-1100,
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"ending exposure should be price of last trade times number of \
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contracts in position")
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self.assertEqual(pp.pnl, -100, "gain of 1 on 1 100x contract should be"
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" 100")
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# simulate additional trades, and ensure that the position value
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# reflects the new price
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trades_2 = trades[-2:]
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# simulate a rollover to a new period
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pp.rollover()
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pt.sync_last_sale_prices(trades_2[-1].dt, False, data_portal)
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pp.calculate_performance()
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self.assertEqual(
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pp.cash_flow,
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0,
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"capital used should be zero, there were no transactions in \
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performance period"
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)
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self.assertEqual(
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len(pp.positions),
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1,
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"should be just one position"
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)
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self.assertEqual(
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pp.positions[3].sid,
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txn.sid,
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"position should be in future from the transaction"
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)
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self.assertEqual(
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pp.positions[3].amount,
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-1,
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"should have a position of -1 contract"
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)
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self.assertEqual(
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pp.positions[3].cost_basis,
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txn.price,
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"should have a cost basis of 10"
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)
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self.assertEqual(
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pp.positions[3].last_sale_price,
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trades_2[-1].price,
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"last sale should be price of last trade"
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)
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self.assertEqual(
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pp.ending_value,
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0,
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"ending value should be 0 because only futures are held")
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self.assertEqual(
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pp.ending_exposure,
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-900,
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"ending exposure should be price of last trade times number of \
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shares in position")
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self.assertEqual(
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pp.pnl,
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200,
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"drop of 2 on -1 100x contract should be 200"
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)
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# now run a performance period encompassing the entire trade sample.
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ptTotal = perf.PositionTracker(self.env.asset_finder,
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self.sim_params.data_frequency)
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ppTotal = perf.PerformancePeriod(1000.0, self.env.asset_finder,
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self.sim_params.data_frequency)
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ppTotal.position_tracker = ptTotal
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for trade in trades_1:
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ptTotal.sync_last_sale_prices(trade.dt, False, data_portal)
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ptTotal.execute_transaction(txn)
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ppTotal.handle_execution(txn)
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for trade in trades_2:
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ptTotal.sync_last_sale_prices(trade.dt, False, data_portal)
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ppTotal.calculate_performance()
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self.assertEqual(
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ppTotal.cash_flow,
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0,
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"capital used should be equal to the opposite of the transaction \
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cost of sole txn in test"
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)
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self.assertEqual(
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len(ppTotal.positions),
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1,
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"should be just one position"
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)
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self.assertEqual(
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ppTotal.positions[3].sid,
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txn.sid,
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"position should be in security from the transaction"
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)
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self.assertEqual(
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ppTotal.positions[3].amount,
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-1,
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"should have a position of -1 contract"
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)
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self.assertEqual(
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ppTotal.positions[3].cost_basis,
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txn.price,
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"should have a cost basis of 10"
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)
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self.assertEqual(
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ppTotal.positions[3].last_sale_price,
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trades_2[-1].price,
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"last sale should be price of last trade"
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)
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self.assertEqual(
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pp.ending_value,
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0,
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"ending value should be 0 because only futures are held")
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self.assertEqual(
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pp.ending_exposure,
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-900,
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"ending exposure should be price of last trade times number of \
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shares in position")
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self.assertEqual(
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ppTotal.pnl,
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100,
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"drop of 1 on -1 100x contract should be 100"
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)
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check_perf_period(
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pp,
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gross_leverage=0.8181,
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net_leverage=-0.8181,
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long_exposure=0.0,
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longs_count=0,
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short_exposure=-900.0,
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shorts_count=1)
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# Validate that the account attributes.
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account = ppTotal.as_account()
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check_account(account,
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settled_cash=1100.0,
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equity_with_loan=1100.0,
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total_positions_value=0.0,
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total_positions_exposure=-900.0,
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regt_equity=1100.0,
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available_funds=1100.0,
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excess_liquidity=1100.0,
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cushion=1.0,
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leverage=0.8181,
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net_leverage=-0.8181,
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net_liquidation=1100.0)
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def test_covering_short(self):
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"""verify performance where short is bought and covered, and shares \
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trade after cover"""
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