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Merge pull request #938 from quantopian/futures-payouts-without-every-bar-update

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MAINT: Futures cash adjustment on change and calc.
This commit is contained in:
Eddie Hebert
2016-01-06 10:25:29 -05:00
parent ab3318f3ee 1362f155c6
commit 80a553d1c0
4 changed files with 60 additions and 38 deletions
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tests/test_perf_tracking.py
-20
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@@ -2227,26 +2227,6 @@ class TestPositionTracker(unittest.TestCase):
self.assertEquals(val, 0)
self.assertNotIsInstance(val, (bool, np.bool_))
def test_update_last_sale(self):
pt = perf.PositionTracker(self.env.asset_finder)
dt = pd.Timestamp("1984/03/06 3:00PM")
pos1 = perf.Position(1, amount=np.float64(100.0),
last_sale_date=dt, last_sale_price=10)
pos3 = perf.Position(3, amount=np.float64(100.0),
last_sale_date=dt, last_sale_price=10)
pt.update_positions({1: pos1, 3: pos3})
event1 = Event({'sid': 1,
'price': 11,
'dt': dt})
event3 = Event({'sid': 3,
'price': 11,
'dt': dt})
# Check cash-adjustment return value
self.assertEqual(0, pt.update_last_sale(event1))
self.assertEqual(100000, pt.update_last_sale(event3))
def test_position_values_and_exposures(self):
pt = perf.PositionTracker(self.env.asset_finder)
dt = pd.Timestamp("1984/03/06 3:00PM")