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DEV: Apply adjustments for portfolio and account in BTS

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completely copied from https://github.com/quantopian/zipline/pull/1104/

All credit goes to Andrew Liang (@lianga888)
This commit is contained in:
Jean Bredeche
2016-04-05 11:37:34 -04:00
parent 34f47da033
commit dc01c45dc4
6 changed files with 217 additions and 45 deletions
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tests/test_perf_tracking.py
+19 -18
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@@ -190,7 +190,8 @@ def calculate_results(sim_params,
pass
msg = perf_tracker.handle_market_close_daily(date)
msg['account'] = perf_tracker.get_account(True, date)
perf_tracker.position_tracker.sync_last_sale_prices(date, False)
msg['account'] = perf_tracker.get_account(True)
results.append(copy.deepcopy(msg))
return results
@@ -1251,7 +1252,7 @@ class TestPositionPerformance(unittest.TestCase):
pp.handle_execution(txn2)
dt = trades_1[-2].dt
pt.sync_last_sale_prices(dt)
pt.sync_last_sale_prices(dt, False)
pp.calculate_performance()
@@ -1279,7 +1280,7 @@ class TestPositionPerformance(unittest.TestCase):
net_liquidation=1000.0)
dt = trades_1[-1].dt
pt.sync_last_sale_prices(dt)
pt.sync_last_sale_prices(dt, False)
pp.calculate_performance()
@@ -1354,7 +1355,7 @@ class TestPositionPerformance(unittest.TestCase):
shorts_count=0)
# Validate that the account attributes were updated.
pt.sync_last_sale_prices(trades[-2].dt)
pt.sync_last_sale_prices(trades[-2].dt, False)
# Validate that the account attributes were updated.
account = pp.as_account()
@@ -1372,7 +1373,7 @@ class TestPositionPerformance(unittest.TestCase):
net_liquidation=1000.0)
# now simulate a price jump to $11
pt.sync_last_sale_prices(trades[-1].dt)
pt.sync_last_sale_prices(trades[-1].dt, False)
pp.calculate_performance()
@@ -1443,7 +1444,7 @@ class TestPositionPerformance(unittest.TestCase):
# stocks with a last sale price of 0.
self.assertEqual(pp.positions[1].last_sale_price, 10.0)
pt.sync_last_sale_prices(trades[-1].dt)
pt.sync_last_sale_prices(trades[-1].dt, False)
pp.calculate_performance()
@@ -1554,7 +1555,7 @@ single short-sale transaction"""
pt.execute_transaction(txn)
pp.handle_execution(txn)
pt.sync_last_sale_prices(trades_1[-1].dt)
pt.sync_last_sale_prices(trades_1[-1].dt, False)
pp.calculate_performance()
@@ -1610,7 +1611,7 @@ single short-sale transaction"""
# simulate a rollover to a new period
pp.rollover()
pt.sync_last_sale_prices(trades[-1].dt)
pt.sync_last_sale_prices(trades[-1].dt, False)
pp.calculate_performance()
@@ -1674,7 +1675,7 @@ single short-sale transaction"""
ptTotal.execute_transaction(txn)
ppTotal.handle_execution(txn)
ptTotal.sync_last_sale_prices(trades[-1].dt)
ptTotal.sync_last_sale_prices(trades[-1].dt, False)
ppTotal.calculate_performance()
@@ -1794,7 +1795,7 @@ cost of sole txn in test"
# stocks with a last sale price of 0.
self.assertEqual(pp.positions[3].last_sale_price, 10.0)
pt.sync_last_sale_prices(trades[-1].dt)
pt.sync_last_sale_prices(trades[-1].dt, False)
pp.calculate_performance()
self.assertEqual(
@@ -1908,7 +1909,7 @@ single short-sale transaction"""
pt.execute_transaction(txn)
pp.handle_execution(txn)
pt.sync_last_sale_prices(trades[-3].dt)
pt.sync_last_sale_prices(trades[-3].dt, False)
pp.calculate_performance()
self.assertEqual(
@@ -1968,7 +1969,7 @@ single short-sale transaction"""
# simulate a rollover to a new period
pp.rollover()
pt.sync_last_sale_prices(trades_2[-1].dt)
pt.sync_last_sale_prices(trades_2[-1].dt, False)
pp.calculate_performance()
self.assertEqual(
@@ -2034,13 +2035,13 @@ single short-sale transaction"""
ppTotal.position_tracker = ptTotal
for trade in trades_1:
ptTotal.sync_last_sale_prices(trade.dt)
ptTotal.sync_last_sale_prices(trade.dt, False)
ptTotal.execute_transaction(txn)
ppTotal.handle_execution(txn)
for trade in trades_2:
ptTotal.sync_last_sale_prices(trade.dt)
ptTotal.sync_last_sale_prices(trade.dt, False)
ppTotal.calculate_performance()
@@ -2155,7 +2156,7 @@ trade after cover"""
pt.execute_transaction(cover_txn)
pp.handle_execution(cover_txn)
pt.sync_last_sale_prices(trades[-1].dt)
pt.sync_last_sale_prices(trades[-1].dt, False)
pp.calculate_performance()
@@ -2263,7 +2264,7 @@ shares in position"
"should have a cost basis of 11"
)
pt.sync_last_sale_prices(dt)
pt.sync_last_sale_prices(dt, False)
pp.calculate_performance()
@@ -2280,7 +2281,7 @@ shares in position"
pp.handle_execution(sale_txn)
dt = down_tick.dt
pt.sync_last_sale_prices(dt)
pt.sync_last_sale_prices(dt, False)
pp.calculate_performance()
self.assertEqual(
@@ -2316,7 +2317,7 @@ shares in position"
pp3.handle_execution(sale_txn)
trades.append(down_tick)
pt3.sync_last_sale_prices(trades[-1].dt)
pt3.sync_last_sale_prices(trades[-1].dt, False)
pp3.calculate_performance()
self.assertEqual(