# # Copyright 2013 Quantopian, Inc. # # Licensed under the Apache License, Version 2.0 (the "License"); # you may not use this file except in compliance with the License. # You may obtain a copy of the License at # # http://www.apache.org/licenses/LICENSE-2.0 # # Unless required by applicable law or agreed to in writing, software # distributed under the License is distributed on an "AS IS" BASIS, # WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. # See the License for the specific language governing permissions and # limitations under the License. from __future__ import division import collections from datetime import ( datetime, timedelta, ) import logging import operator import unittest from nose_parameterized import parameterized import pytz import itertools import pandas as pd from six.moves import range, zip import zipline.utils.factory as factory import zipline.finance.performance as perf from zipline.finance.slippage import Transaction, create_transaction import zipline.utils.math_utils as zp_math from zipline.gens.composites import date_sorted_sources from zipline.finance.trading import SimulationParameters from zipline.finance.blotter import Order from zipline.finance.commission import PerShare, PerTrade, PerDollar from zipline.finance import trading from zipline.utils.factory import create_random_simulation_parameters import zipline.protocol as zp from zipline.protocol import Event logger = logging.getLogger('Test Perf Tracking') onesec = timedelta(seconds=1) oneday = timedelta(days=1) tradingday = timedelta(hours=6, minutes=30) def create_txn(trade_event, price, amount): """ Create a fake transaction to be filled and processed prior to the execution of a given trade event. """ mock_order = Order(trade_event.dt, trade_event.sid, amount, id=None) return create_transaction(trade_event, mock_order, price, amount) def benchmark_events_in_range(sim_params): return [ Event({'dt': dt, 'returns': ret, 'type': zp.DATASOURCE_TYPE.BENCHMARK, # We explicitly rely on the behavior that benchmarks sort before # any other events. 'source_id': '1Abenchmarks'}) for dt, ret in trading.environment.benchmark_returns.iterkv() if dt.date() >= sim_params.period_start.date() and dt.date() <= sim_params.period_end.date() ] def calculate_results(host, trade_events, dividend_events=None, splits=None, txns=None): """ Run the given events through a stripped down version of the loop in AlgorithmSimulator.transform. IMPORTANT NOTE FOR TEST WRITERS/READERS: This loop has some wonky logic for the order of event processing for datasource types. This exists mostly to accomodate legacy tests accomodate existing tests that were making assumptions about how events would be sorted. In particular: - Dividends passed for a given date are processed PRIOR to any events for that date. - Splits passed for a given date are process AFTER any events for that date. Tests that use this helper should not be considered useful guarantees of the behavior of AlgorithmSimulator on a stream containing the same events unless the subgroups have been explicitly re-sorted in this way. """ txns = txns or [] splits = splits or [] perf_tracker = perf.PerformanceTracker(host.sim_params) if dividend_events is not None: dividend_frame = pd.DataFrame( [ event.to_series(index=zp.DIVIDEND_FIELDS) for event in dividend_events ], ) perf_tracker.update_dividends(dividend_frame) # Raw trades trade_events = sorted(trade_events, key=lambda ev: (ev.dt, ev.source_id)) # Add a benchmark event for each date. trades_plus_bm = date_sorted_sources(trade_events, host.benchmark_events) # Filter out benchmark events that are later than the last trade date. filtered_trades_plus_bm = (filt_event for filt_event in trades_plus_bm if filt_event.dt <= trade_events[-1].dt) grouped_trades_plus_bm = itertools.groupby(filtered_trades_plus_bm, lambda x: x.dt) results = [] bm_updated = False for date, group in grouped_trades_plus_bm: for txn in filter(lambda txn: txn.dt == date, txns): # Process txns for this date. perf_tracker.process_event(txn) for event in group: perf_tracker.process_event(event) if event.type == zp.DATASOURCE_TYPE.BENCHMARK: bm_updated = True for split in filter(lambda split: split.dt == date, splits): # Process splits for this date. perf_tracker.process_event(split) if bm_updated: msg = perf_tracker.handle_market_close_daily() results.append(msg) bm_updated = False return results class TestSplitPerformance(unittest.TestCase): def setUp(self): self.sim_params, self.dt, self.end_dt = \ create_random_simulation_parameters() # start with $10,000 self.sim_params.capital_base = 10e3 self.benchmark_events = benchmark_events_in_range(self.sim_params) def test_split_long_position(self): events = factory.create_trade_history( 1, [20, 20], [100, 100], oneday, self.sim_params ) # set up a long position in sid 1 # 100 shares at $20 apiece = $2000 position txns = [create_txn(events[0], 20, 100)] # set up a split with ratio 3 occurring at the start of the second # day. splits = [ factory.create_split( 1, 3, events[1].dt, ), ] results = calculate_results(self, events, txns=txns, splits=splits) # should have 33 shares (at $60 apiece) and $20 in cash self.assertEqual(2, len(results)) latest_positions = results[1]['daily_perf']['positions'] self.assertEqual(1, len(latest_positions)) # check the last position to make sure it's been updated position = latest_positions[0] self.assertEqual(1, position['sid']) self.assertEqual(33, position['amount']) self.assertEqual(60, position['cost_basis']) self.assertEqual(60, position['last_sale_price']) # since we started with $10000, and we spent $2000 on the # position, but then got $20 back, we should have $8020 # (or close to it) in cash. # we won't get exactly 8020 because sometimes a split is # denoted as a ratio like 0.3333, and we lose some digits # of precision. thus, make sure we're pretty close. daily_perf = results[1]['daily_perf'] self.assertTrue( zp_math.tolerant_equals(8020, daily_perf['ending_cash'], 1)) for i, result in enumerate(results): for perf_kind in ('daily_perf', 'cumulative_perf'): perf_result = result[perf_kind] # prices aren't changing, so pnl and returns should be 0.0 self.assertEqual(0.0, perf_result['pnl'], "day %s %s pnl %s instead of 0.0" % (i, perf_kind, perf_result['pnl'])) self.assertEqual(0.0, perf_result['returns'], "day %s %s returns %s instead of 0.0" % (i, perf_kind, perf_result['returns'])) class TestCommissionEvents(unittest.TestCase): def setUp(self): self.sim_params, self.dt, self.end_dt = \ create_random_simulation_parameters() logger.info("sim_params: %s, dt: %s, end_dt: %s" % (self.sim_params, self.dt, self.end_dt)) self.sim_params.capital_base = 10e3 self.benchmark_events = benchmark_events_in_range(self.sim_params) def test_commission_event(self): with trading.TradingEnvironment(): events = factory.create_trade_history( 1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params ) # Test commission models and validate result # Expected commission amounts: # PerShare commission: 1.00, 1.00, 1.50 = $3.50 # PerTrade commission: 5.00, 5.00, 5.00 = $15.00 # PerDollar commission: 1.50, 3.00, 4.50 = $9.00 # Total commission = $3.50 + $15.00 + $9.00 = $27.50 # Create 3 transactions: 50, 100, 150 shares traded @ $20 transactions = [create_txn(events[0], 20, i) for i in [50, 100, 150]] # Create commission models and validate that produce expected # commissions. models = [PerShare(cost=0.01, min_trade_cost=1.00), PerTrade(cost=5.00), PerDollar(cost=0.0015)] expected_results = [3.50, 15.0, 9.0] for model, expected in zip(models, expected_results): total_commission = 0 for trade in transactions: total_commission += model.calculate(trade)[1] self.assertEqual(total_commission, expected) # Verify that commission events are handled correctly by # PerformanceTracker. cash_adj_dt = events[0].dt cash_adjustment = factory.create_commission(1, 300.0, cash_adj_dt) events.append(cash_adjustment) # Insert a purchase order. txns = [create_txn(events[0], 20, 1)] results = calculate_results(self, events, txns=txns) # Validate that we lost 320 dollars from our cash pool. self.assertEqual(results[-1]['cumulative_perf']['ending_cash'], 9680) # Validate that the cost basis of our position changed. self.assertEqual(results[-1]['daily_perf']['positions'] [0]['cost_basis'], 320.0) def test_commission_zero_position(self): """ Ensure no div-by-zero errors. """ events = factory.create_trade_history( 1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params ) # Buy and sell the same sid so that we have a zero position by the # time of events[3]. txns = [ create_txn(events[0], 20, 1), create_txn(events[1], 20, -1), ] # Add a cash adjustment at the time of event[3]. cash_adj_dt = events[3].dt cash_adjustment = factory.create_commission(1, 300.0, cash_adj_dt) events.append(cash_adjustment) results = calculate_results(self, events, txns=txns) # Validate that we lost 300 dollars from our cash pool. self.assertEqual(results[-1]['cumulative_perf']['ending_cash'], 9700) def test_commission_no_position(self): """ Ensure no position-not-found or sid-not-found errors. """ with trading.TradingEnvironment(): events = factory.create_trade_history( 1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params ) # Add a cash adjustment at the time of event[3]. cash_adj_dt = events[3].dt cash_adjustment = factory.create_commission(1, 300.0, cash_adj_dt) events.append(cash_adjustment) results = calculate_results(self, events) # Validate that we lost 300 dollars from our cash pool. self.assertEqual(results[-1]['cumulative_perf']['ending_cash'], 9700) class TestDividendPerformance(unittest.TestCase): def setUp(self): self.sim_params, self.dt, self.end_dt = \ create_random_simulation_parameters() self.sim_params.capital_base = 10e3 self.benchmark_events = benchmark_events_in_range(self.sim_params) def test_market_hours_calculations(self): with trading.TradingEnvironment(): # DST in US/Eastern began on Sunday March 14, 2010 before = datetime(2010, 3, 12, 14, 31, tzinfo=pytz.utc) after = factory.get_next_trading_dt( before, timedelta(days=1) ) self.assertEqual(after.hour, 13) def test_long_position_receives_dividend(self): with trading.TradingEnvironment(): # post some trades in the market events = factory.create_trade_history( 1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params ) dividend = factory.create_dividend( 1, 10.00, # declared date, when the algorithm finds out about # the dividend events[0].dt, # ex_date, the date before which the algorithm must hold stock # to receive the dividend events[1].dt, # pay date, when the algorithm receives the dividend. events[2].dt ) # Simulate a transaction being filled prior to the ex_date. txns = [create_txn(events[0], 10.0, 100)] results = calculate_results( self, events, dividend_events=[dividend], txns=txns, ) self.assertEqual(len(results), 5) cumulative_returns = \ [event['cumulative_perf']['returns'] for event in results] self.assertEqual(cumulative_returns, [0.0, 0.0, 0.1, 0.1, 0.1]) daily_returns = [event['daily_perf']['returns'] for event in results] self.assertEqual(daily_returns, [0.0, 0.0, 0.10, 0.0, 0.0]) cash_flows = [event['daily_perf']['capital_used'] for event in results] self.assertEqual(cash_flows, [-1000, 0, 1000, 0, 0]) cumulative_cash_flows = \ [event['cumulative_perf']['capital_used'] for event in results] self.assertEqual(cumulative_cash_flows, [-1000, -1000, 0, 0, 0]) cash_pos = \ [event['cumulative_perf']['ending_cash'] for event in results] self.assertEqual(cash_pos, [9000, 9000, 10000, 10000, 10000]) def test_long_position_receives_stock_dividend(self): with trading.TradingEnvironment(): # post some trades in the market events = [] for sid in (1, 2): events.extend( factory.create_trade_history( sid, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params) ) dividend = factory.create_stock_dividend( 1, payment_sid=2, ratio=2, # declared date, when the algorithm finds out about # the dividend declared_date=events[0].dt, # ex_date, the date before which the algorithm must hold stock # to receive the dividend ex_date=events[1].dt, # pay date, when the algorithm receives the dividend. pay_date=events[2].dt ) txns = [create_txn(events[0], 10.0, 100)] results = calculate_results( self, events, dividend_events=[dividend], txns=txns, ) self.assertEqual(len(results), 5) cumulative_returns = \ [event['cumulative_perf']['returns'] for event in results] self.assertEqual(cumulative_returns, [0.0, 0.0, 0.2, 0.2, 0.2]) daily_returns = [event['daily_perf']['returns'] for event in results] self.assertEqual(daily_returns, [0.0, 0.0, 0.2, 0.0, 0.0]) cash_flows = [event['daily_perf']['capital_used'] for event in results] self.assertEqual(cash_flows, [-1000, 0, 0, 0, 0]) cumulative_cash_flows = \ [event['cumulative_perf']['capital_used'] for event in results] self.assertEqual(cumulative_cash_flows, [-1000] * 5) cash_pos = \ [event['cumulative_perf']['ending_cash'] for event in results] self.assertEqual(cash_pos, [9000] * 5) def test_long_position_purchased_on_ex_date_receives_no_dividend(self): # post some trades in the market events = factory.create_trade_history( 1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params ) dividend = factory.create_dividend( 1, 10.00, events[0].dt, # Declared date events[1].dt, # Exclusion date events[2].dt # Pay date ) # Simulate a transaction being filled on the ex_date. txns = [create_txn(events[1], 10.0, 100)] results = calculate_results( self, events, dividend_events=[dividend], txns=txns, ) self.assertEqual(len(results), 5) cumulative_returns = \ [event['cumulative_perf']['returns'] for event in results] self.assertEqual(cumulative_returns, [0, 0, 0, 0, 0]) daily_returns = [event['daily_perf']['returns'] for event in results] self.assertEqual(daily_returns, [0, 0, 0, 0, 0]) cash_flows = [event['daily_perf']['capital_used'] for event in results] self.assertEqual(cash_flows, [0, -1000, 0, 0, 0]) cumulative_cash_flows = \ [event['cumulative_perf']['capital_used'] for event in results] self.assertEqual(cumulative_cash_flows, [0, -1000, -1000, -1000, -1000]) def test_selling_before_dividend_payment_still_gets_paid(self): # post some trades in the market events = factory.create_trade_history( 1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params ) dividend = factory.create_dividend( 1, 10.00, events[0].dt, # Declared date events[1].dt, # Exclusion date events[3].dt # Pay date ) buy_txn = create_txn(events[0], 10.0, 100) sell_txn = create_txn(events[2], 10.0, -100) txns = [buy_txn, sell_txn] results = calculate_results( self, events, dividend_events=[dividend], txns=txns, ) self.assertEqual(len(results), 5) cumulative_returns = \ [event['cumulative_perf']['returns'] for event in results] self.assertEqual(cumulative_returns, [0, 0, 0, 0.1, 0.1]) daily_returns = [event['daily_perf']['returns'] for event in results] self.assertEqual(daily_returns, [0, 0, 0, 0.1, 0]) cash_flows = [event['daily_perf']['capital_used'] for event in results] self.assertEqual(cash_flows, [-1000, 0, 1000, 1000, 0]) cumulative_cash_flows = \ [event['cumulative_perf']['capital_used'] for event in results] self.assertEqual(cumulative_cash_flows, [-1000, -1000, 0, 1000, 1000]) def test_buy_and_sell_before_ex(self): # post some trades in the market events = factory.create_trade_history( 1, [10, 10, 10, 10, 10, 10], [100, 100, 100, 100, 100, 100], oneday, self.sim_params ) dividend = factory.create_dividend( 1, 10.00, events[3].dt, events[4].dt, events[5].dt ) buy_txn = create_txn(events[1], 10.0, 100) sell_txn = create_txn(events[2], 10.0, -100) txns = [buy_txn, sell_txn] results = calculate_results( self, events, dividend_events=[dividend], txns=txns, ) self.assertEqual(len(results), 6) cumulative_returns = \ [event['cumulative_perf']['returns'] for event in results] self.assertEqual(cumulative_returns, [0, 0, 0, 0, 0, 0]) daily_returns = [event['daily_perf']['returns'] for event in results] self.assertEqual(daily_returns, [0, 0, 0, 0, 0, 0]) cash_flows = [event['daily_perf']['capital_used'] for event in results] self.assertEqual(cash_flows, [0, -1000, 1000, 0, 0, 0]) cumulative_cash_flows = \ [event['cumulative_perf']['capital_used'] for event in results] self.assertEqual(cumulative_cash_flows, [0, -1000, 0, 0, 0, 0]) def test_ending_before_pay_date(self): # post some trades in the market events = factory.create_trade_history( 1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params ) pay_date = self.sim_params.first_open # find pay date that is much later. for i in range(30): pay_date = factory.get_next_trading_dt(pay_date, oneday) dividend = factory.create_dividend( 1, 10.00, events[0].dt, events[0].dt, pay_date ) txns = [create_txn(events[1], 10.0, 100)] results = calculate_results( self, events, dividend_events=[dividend], txns=txns, ) self.assertEqual(len(results), 5) cumulative_returns = \ [event['cumulative_perf']['returns'] for event in results] self.assertEqual(cumulative_returns, [0, 0, 0, 0.0, 0.0]) daily_returns = [event['daily_perf']['returns'] for event in results] self.assertEqual(daily_returns, [0, 0, 0, 0, 0]) cash_flows = [event['daily_perf']['capital_used'] for event in results] self.assertEqual(cash_flows, [0, -1000, 0, 0, 0]) cumulative_cash_flows = \ [event['cumulative_perf']['capital_used'] for event in results] self.assertEqual( cumulative_cash_flows, [0, -1000, -1000, -1000, -1000] ) def test_short_position_pays_dividend(self): # post some trades in the market events = factory.create_trade_history( 1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params ) dividend = factory.create_dividend( 1, 10.00, # declare at open of test events[0].dt, # ex_date same as trade 2 events[2].dt, events[3].dt ) txns = [create_txn(events[1], 10.0, -100)] results = calculate_results( self, events, dividend_events=[dividend], txns=txns, ) self.assertEqual(len(results), 5) cumulative_returns = \ [event['cumulative_perf']['returns'] for event in results] self.assertEqual(cumulative_returns, [0.0, 0.0, 0.0, -0.1, -0.1]) daily_returns = [event['daily_perf']['returns'] for event in results] self.assertEqual(daily_returns, [0.0, 0.0, 0.0, -0.1, 0.0]) cash_flows = [event['daily_perf']['capital_used'] for event in results] self.assertEqual(cash_flows, [0, 1000, 0, -1000, 0]) cumulative_cash_flows = \ [event['cumulative_perf']['capital_used'] for event in results] self.assertEqual(cumulative_cash_flows, [0, 1000, 1000, 0, 0]) def test_no_position_receives_no_dividend(self): # post some trades in the market events = factory.create_trade_history( 1, [10, 10, 10, 10, 10], [100, 100, 100, 100, 100], oneday, self.sim_params ) dividend = factory.create_dividend( 1, 10.00, events[0].dt, events[1].dt, events[2].dt ) results = calculate_results( self, events, dividend_events=[dividend], ) self.assertEqual(len(results), 5) cumulative_returns = \ [event['cumulative_perf']['returns'] for event in results] self.assertEqual(cumulative_returns, [0.0, 0.0, 0.0, 0.0, 0.0]) daily_returns = [event['daily_perf']['returns'] for event in results] self.assertEqual(daily_returns, [0.0, 0.0, 0.0, 0.0, 0.0]) cash_flows = [event['daily_perf']['capital_used'] for event in results] self.assertEqual(cash_flows, [0, 0, 0, 0, 0]) cumulative_cash_flows = \ [event['cumulative_perf']['capital_used'] for event in results] self.assertEqual(cumulative_cash_flows, [0, 0, 0, 0, 0]) class TestDividendPerformanceHolidayStyle(TestDividendPerformance): # The holiday tests begins the simulation on the day # before Thanksgiving, so that the next trading day is # two days ahead. Any tests that hard code events # to be start + oneday will fail, since those events will # be skipped by the simulation. def setUp(self): self.dt = datetime(2003, 11, 30, tzinfo=pytz.utc) self.end_dt = datetime(2004, 11, 25, tzinfo=pytz.utc) self.sim_params = SimulationParameters( self.dt, self.end_dt) self.benchmark_events = benchmark_events_in_range(self.sim_params) class TestPositionPerformance(unittest.TestCase): def setUp(self): self.sim_params, self.dt, self.end_dt = \ create_random_simulation_parameters() self.benchmark_events = benchmark_events_in_range(self.sim_params) def test_long_position(self): """ verify that the performance period calculates properly for a single buy transaction """ # post some trades in the market trades = factory.create_trade_history( 1, [10, 10, 10, 11], [100, 100, 100, 100], onesec, self.sim_params ) txn = create_txn(trades[1], 10.0, 100) pp = perf.PerformancePeriod(1000.0) pp.execute_transaction(txn) # This verifies that the last sale price is being correctly # set in the positions. If this is not the case then returns can # incorrectly show as sharply dipping if a transaction arrives # before a trade. This is caused by returns being based on holding # stocks with a last sale price of 0. self.assertEqual(pp.positions[1].last_sale_price, 10.0) for trade in trades: pp.update_last_sale(trade) pp.calculate_performance() self.assertEqual( pp.period_cash_flow, -1 * txn.price * txn.amount, "capital used should be equal to the opposite of the transaction \ cost of sole txn in test" ) self.assertEqual( len(pp.positions), 1, "should be just one position") self.assertEqual( pp.positions[1].sid, txn.sid, "position should be in security with id 1") self.assertEqual( pp.positions[1].amount, txn.amount, "should have a position of {sharecount} shares".format( sharecount=txn.amount ) ) self.assertEqual( pp.positions[1].cost_basis, txn.price, "should have a cost basis of 10" ) self.assertEqual( pp.positions[1].last_sale_price, trades[-1]['price'], "last sale should be same as last trade. \ expected {exp} actual {act}".format( exp=trades[-1]['price'], act=pp.positions[1].last_sale_price) ) self.assertEqual( pp.ending_value, 1100, "ending value should be price of last trade times number of \ shares in position" ) self.assertEqual(pp.pnl, 100, "gain of 1 on 100 shares should be 100") def test_short_position(self): """verify that the performance period calculates properly for a \ single short-sale transaction""" trades = factory.create_trade_history( 1, [10, 10, 10, 11, 10, 9], [100, 100, 100, 100, 100, 100], onesec, self.sim_params ) trades_1 = trades[:-2] txn = create_txn(trades[1], 10.0, -100) pp = perf.PerformancePeriod(1000.0) pp.execute_transaction(txn) for trade in trades_1: pp.update_last_sale(trade) pp.calculate_performance() self.assertEqual( pp.period_cash_flow, -1 * txn.price * txn.amount, "capital used should be equal to the opposite of the transaction\ cost of sole txn in test" ) self.assertEqual( len(pp.positions), 1, "should be just one position") self.assertEqual( pp.positions[1].sid, txn.sid, "position should be in security from the transaction" ) self.assertEqual( pp.positions[1].amount, -100, "should have a position of -100 shares" ) self.assertEqual( pp.positions[1].cost_basis, txn.price, "should have a cost basis of 10" ) self.assertEqual( pp.positions[1].last_sale_price, trades_1[-1]['price'], "last sale should be price of last trade" ) self.assertEqual( pp.ending_value, -1100, "ending value should be price of last trade times number of \ shares in position" ) self.assertEqual(pp.pnl, -100, "gain of 1 on 100 shares should be 100") # simulate additional trades, and ensure that the position value # reflects the new price trades_2 = trades[-2:] # simulate a rollover to a new period pp.rollover() for trade in trades_2: pp.update_last_sale(trade) pp.calculate_performance() self.assertEqual( pp.period_cash_flow, 0, "capital used should be zero, there were no transactions in \ performance period" ) self.assertEqual( len(pp.positions), 1, "should be just one position" ) self.assertEqual( pp.positions[1].sid, txn.sid, "position should be in security from the transaction" ) self.assertEqual( pp.positions[1].amount, -100, "should have a position of -100 shares" ) self.assertEqual( pp.positions[1].cost_basis, txn.price, "should have a cost basis of 10" ) self.assertEqual( pp.positions[1].last_sale_price, trades_2[-1].price, "last sale should be price of last trade" ) self.assertEqual( pp.ending_value, -900, "ending value should be price of last trade times number of \ shares in position") self.assertEqual( pp.pnl, 200, "drop of 2 on -100 shares should be 200" ) # now run a performance period encompassing the entire trade sample. ppTotal = perf.PerformancePeriod(1000.0) for trade in trades_1: ppTotal.update_last_sale(trade) ppTotal.execute_transaction(txn) for trade in trades_2: ppTotal.update_last_sale(trade) ppTotal.calculate_performance() self.assertEqual( ppTotal.period_cash_flow, -1 * txn.price * txn.amount, "capital used should be equal to the opposite of the transaction \ cost of sole txn in test" ) self.assertEqual( len(ppTotal.positions), 1, "should be just one position" ) self.assertEqual( ppTotal.positions[1].sid, txn.sid, "position should be in security from the transaction" ) self.assertEqual( ppTotal.positions[1].amount, -100, "should have a position of -100 shares" ) self.assertEqual( ppTotal.positions[1].cost_basis, txn.price, "should have a cost basis of 10" ) self.assertEqual( ppTotal.positions[1].last_sale_price, trades_2[-1].price, "last sale should be price of last trade" ) self.assertEqual( ppTotal.ending_value, -900, "ending value should be price of last trade times number of \ shares in position") self.assertEqual( ppTotal.pnl, 100, "drop of 1 on -100 shares should be 100" ) def test_covering_short(self): """verify performance where short is bought and covered, and shares \ trade after cover""" trades = factory.create_trade_history( 1, [10, 10, 10, 11, 9, 8, 7, 8, 9, 10], [100, 100, 100, 100, 100, 100, 100, 100, 100, 100], onesec, self.sim_params ) short_txn = create_txn( trades[1], 10.0, -100, ) cover_txn = create_txn(trades[6], 7.0, 100) pp = perf.PerformancePeriod(1000.0) pp.execute_transaction(short_txn) pp.execute_transaction(cover_txn) for trade in trades: pp.update_last_sale(trade) pp.calculate_performance() short_txn_cost = short_txn.price * short_txn.amount cover_txn_cost = cover_txn.price * cover_txn.amount self.assertEqual( pp.period_cash_flow, -1 * short_txn_cost - cover_txn_cost, "capital used should be equal to the net transaction costs" ) self.assertEqual( len(pp.positions), 1, "should be just one position" ) self.assertEqual( pp.positions[1].sid, short_txn.sid, "position should be in security from the transaction" ) self.assertEqual( pp.positions[1].amount, 0, "should have a position of -100 shares" ) self.assertEqual( pp.positions[1].cost_basis, 0, "a covered position should have a cost basis of 0" ) self.assertEqual( pp.positions[1].last_sale_price, trades[-1].price, "last sale should be price of last trade" ) self.assertEqual( pp.ending_value, 0, "ending value should be price of last trade times number of \ shares in position" ) self.assertEqual( pp.pnl, 300, "gain of 1 on 100 shares should be 300" ) def test_cost_basis_calc(self): history_args = ( 1, [10, 11, 11, 12], [100, 100, 100, 100], onesec, self.sim_params ) trades = factory.create_trade_history(*history_args) transactions = factory.create_txn_history(*history_args) pp = perf.PerformancePeriod(1000.0) average_cost = 0 for i, txn in enumerate(transactions): pp.execute_transaction(txn) average_cost = (average_cost * i + txn.price) / (i + 1) self.assertEqual(pp.positions[1].cost_basis, average_cost) for trade in trades: pp.update_last_sale(trade) pp.calculate_performance() self.assertEqual( pp.positions[1].last_sale_price, trades[-1].price, "should have a last sale of 12, got {val}".format( val=pp.positions[1].last_sale_price) ) self.assertEqual( pp.positions[1].cost_basis, 11, "should have a cost basis of 11" ) self.assertEqual( pp.pnl, 400 ) down_tick = factory.create_trade( 1, 10.0, 100, trades[-1].dt + onesec) sale_txn = create_txn( down_tick, 10.0, -100) pp.rollover() pp.execute_transaction(sale_txn) pp.update_last_sale(down_tick) pp.calculate_performance() self.assertEqual( pp.positions[1].last_sale_price, 10, "should have a last sale of 10, was {val}".format( val=pp.positions[1].last_sale_price) ) self.assertEqual( pp.positions[1].cost_basis, 11, "should have a cost basis of 11" ) self.assertEqual(pp.pnl, -800, "this period goes from +400 to -400") pp3 = perf.PerformancePeriod(1000.0) average_cost = 0 for i, txn in enumerate(transactions): pp3.execute_transaction(txn) average_cost = (average_cost * i + txn.price) / (i + 1) self.assertEqual(pp3.positions[1].cost_basis, average_cost) pp3.execute_transaction(sale_txn) trades.append(down_tick) for trade in trades: pp3.update_last_sale(trade) pp3.calculate_performance() self.assertEqual( pp3.positions[1].last_sale_price, 10, "should have a last sale of 10" ) self.assertEqual( pp3.positions[1].cost_basis, 11, "should have a cost basis of 11" ) self.assertEqual( pp3.pnl, -400, "should be -400 for all trades and transactions in period" ) def test_cost_basis_calc_close_pos(self): history_args = ( 1, [10, 9, 11, 8, 9, 12, 13, 14], [200, -100, -100, 100, -300, 100, 500, 400], onesec, self.sim_params ) cost_bases = [10, 10, 0, 8, 9, 9, 13, 13.5] trades = factory.create_trade_history(*history_args) transactions = factory.create_txn_history(*history_args) pp = perf.PerformancePeriod(1000.0) for txn, cb in zip(transactions, cost_bases): pp.execute_transaction(txn) self.assertEqual(pp.positions[1].cost_basis, cb) for trade in trades: pp.update_last_sale(trade) pp.calculate_performance() self.assertEqual(pp.positions[1].cost_basis, cost_bases[-1]) class TestPerformanceTracker(unittest.TestCase): NumDaysToDelete = collections.namedtuple( 'NumDaysToDelete', ('start', 'middle', 'end')) @parameterized.expand([ ("Don't delete any events", NumDaysToDelete(start=0, middle=0, end=0)), ("Delete first day of events", NumDaysToDelete(start=1, middle=0, end=0)), ("Delete first two days of events", NumDaysToDelete(start=2, middle=0, end=0)), ("Delete one day of events from the middle", NumDaysToDelete(start=0, middle=1, end=0)), ("Delete two events from the middle", NumDaysToDelete(start=0, middle=2, end=0)), ("Delete last day of events", NumDaysToDelete(start=0, middle=0, end=1)), ("Delete last two days of events", NumDaysToDelete(start=0, middle=0, end=2)), ("Delete all but one event.", NumDaysToDelete(start=2, middle=1, end=2)), ]) def test_tracker(self, parameter_comment, days_to_delete): """ @days_to_delete - configures which days in the data set we should remove, used for ensuring that we still return performance messages even when there is no data. """ # This date range covers Columbus day, # however Columbus day is not a market holiday # # October 2008 # Su Mo Tu We Th Fr Sa # 1 2 3 4 # 5 6 7 8 9 10 11 # 12 13 14 15 16 17 18 # 19 20 21 22 23 24 25 # 26 27 28 29 30 31 start_dt = datetime(year=2008, month=10, day=9, tzinfo=pytz.utc) end_dt = datetime(year=2008, month=10, day=16, tzinfo=pytz.utc) trade_count = 6 sid = 133 price = 10.1 price_list = [price] * trade_count volume = [100] * trade_count trade_time_increment = timedelta(days=1) sim_params = SimulationParameters( period_start=start_dt, period_end=end_dt ) benchmark_events = benchmark_events_in_range(sim_params) trade_history = factory.create_trade_history( sid, price_list, volume, trade_time_increment, sim_params, source_id="factory1" ) sid2 = 134 price2 = 12.12 price2_list = [price2] * trade_count trade_history2 = factory.create_trade_history( sid2, price2_list, volume, trade_time_increment, sim_params, source_id="factory2" ) # 'middle' start of 3 depends on number of days == 7 middle = 3 # First delete from middle if days_to_delete.middle: del trade_history[middle:(middle + days_to_delete.middle)] del trade_history2[middle:(middle + days_to_delete.middle)] # Delete start if days_to_delete.start: del trade_history[:days_to_delete.start] del trade_history2[:days_to_delete.start] # Delete from end if days_to_delete.end: del trade_history[-days_to_delete.end:] del trade_history2[-days_to_delete.end:] sim_params.first_open = \ sim_params.calculate_first_open() sim_params.last_close = \ sim_params.calculate_last_close() sim_params.capital_base = 1000.0 sim_params.frame_index = [ 'sid', 'volume', 'dt', 'price', 'changed'] perf_tracker = perf.PerformanceTracker( sim_params ) events = date_sorted_sources(trade_history, trade_history2) events = [event for event in self.trades_with_txns(events, trade_history[0].dt)] # Extract events with transactions to use for verification. txns = [event for event in events if event.type == zp.DATASOURCE_TYPE.TRANSACTION] orders = [event for event in events if event.type == zp.DATASOURCE_TYPE.ORDER] all_events = date_sorted_sources(events, benchmark_events) filtered_events = [filt_event for filt_event in all_events if filt_event.dt <= end_dt] filtered_events.sort(key=lambda x: x.dt) grouped_events = itertools.groupby(filtered_events, lambda x: x.dt) perf_messages = [] for date, group in grouped_events: for event in group: perf_tracker.process_event(event) msg = perf_tracker.handle_market_close_daily() perf_messages.append(msg) self.assertEqual(perf_tracker.txn_count, len(txns)) self.assertEqual(perf_tracker.txn_count, len(orders)) cumulative_pos = perf_tracker.cumulative_performance.positions[sid] expected_size = len(txns) / 2 * -25 self.assertEqual(cumulative_pos.amount, expected_size) self.assertEqual(len(perf_messages), sim_params.days_in_period) def trades_with_txns(self, events, no_txn_dt): for event in events: # create a transaction for all but # first trade in each sid, to simulate None transaction if event.dt != no_txn_dt: order = Order( sid=event.sid, amount=-25, dt=event.dt ) order.source_id = 'MockOrderSource' yield order yield event txn = Transaction( sid=event.sid, amount=-25, dt=event.dt, price=10.0, commission=0.50, order_id=order.id ) txn.source_id = 'MockTransactionSource' yield txn else: yield event def test_minute_tracker(self): """ Tests minute performance tracking.""" with trading.TradingEnvironment(): start_dt = trading.environment.exchange_dt_in_utc( datetime(2013, 3, 1, 9, 31)) end_dt = trading.environment.exchange_dt_in_utc( datetime(2013, 3, 1, 16, 0)) sim_params = SimulationParameters( period_start=start_dt, period_end=end_dt, emission_rate='minute' ) tracker = perf.PerformanceTracker(sim_params) foo_event_1 = factory.create_trade('foo', 10.0, 20, start_dt) order_event_1 = Order(sid=foo_event_1.sid, amount=-25, dt=foo_event_1.dt) bar_event_1 = factory.create_trade('bar', 100.0, 200, start_dt) txn_event_1 = Transaction(sid=foo_event_1.sid, amount=-25, dt=foo_event_1.dt, price=10.0, commission=0.50, order_id=order_event_1.id) benchmark_event_1 = Event({ 'dt': start_dt, 'returns': 0.01, 'type': zp.DATASOURCE_TYPE.BENCHMARK }) foo_event_2 = factory.create_trade( 'foo', 11.0, 20, start_dt + timedelta(minutes=1)) bar_event_2 = factory.create_trade( 'bar', 11.0, 20, start_dt + timedelta(minutes=1)) benchmark_event_2 = Event({ 'dt': start_dt + timedelta(minutes=1), 'returns': 0.02, 'type': zp.DATASOURCE_TYPE.BENCHMARK }) events = [ foo_event_1, order_event_1, benchmark_event_1, txn_event_1, bar_event_1, foo_event_2, benchmark_event_2, bar_event_2, ] grouped_events = itertools.groupby( events, operator.attrgetter('dt')) messages = {} for date, group in grouped_events: tracker.set_date(date) for event in group: tracker.process_event(event) tracker.handle_minute_close(date) msg = tracker.to_dict() messages[date] = msg self.assertEquals(2, len(messages)) msg_1 = messages[foo_event_1.dt] msg_2 = messages[foo_event_2.dt] self.assertEquals(1, len(msg_1['minute_perf']['transactions']), "The first message should contain one " "transaction.") # Check that transactions aren't emitted for previous events. self.assertEquals(0, len(msg_2['minute_perf']['transactions']), "The second message should have no " "transactions.") self.assertEquals(1, len(msg_1['minute_perf']['orders']), "The first message should contain one orders.") # Check that orders aren't emitted for previous events. self.assertEquals(0, len(msg_2['minute_perf']['orders']), "The second message should have no orders.") # Ensure that period_close moves through time. # Also, ensure that the period_closes are the expected dts. self.assertEquals(foo_event_1.dt, msg_1['minute_perf']['period_close']) self.assertEquals(foo_event_2.dt, msg_2['minute_perf']['period_close']) # In this test event1 transactions arrive on the first bar. # This leads to no returns as the price is constant. # Sharpe ratio cannot be computed and is None. # In the second bar we can start establishing a sharpe ratio. self.assertIsNone(msg_1['cumulative_risk_metrics']['sharpe']) self.assertIsNotNone(msg_2['cumulative_risk_metrics']['sharpe'])