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https://github.com/wassname/catalyst.git
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fawce
571 lines
16 KiB
Python
571 lines
16 KiB
Python
import unittest
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import copy
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import random
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import datetime
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import pytz
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import zipline.utils.factory as factory
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import zipline.finance.performance as perf
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import zipline.protocol as zp
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from zipline.finance.trading import TradingEnvironment
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class PerformanceTestCase(unittest.TestCase):
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def setUp(self):
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self.benchmark_returns, self.treasury_curves = \
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factory.load_market_data()
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for n in range(100):
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random_index = random.randint(
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0,
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len(self.treasury_curves)
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)
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self.dt = self.treasury_curves.keys()[random_index]
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self.end_dt = self.dt + datetime.timedelta(days=365)
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now = datetime.datetime.utcnow().replace(tzinfo=pytz.utc)
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if self.end_dt <= now:
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break
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assert self.end_dt <= now, """
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failed to find a date suitable daterange after 100 attempts. please double
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check treasury and benchmark data in findb, and re-run the test."""
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self.trading_environment = TradingEnvironment(
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self.benchmark_returns,
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self.treasury_curves,
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period_start = self.dt,
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period_end = self.end_dt
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)
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self.onesec = datetime.timedelta(seconds=1)
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self.oneday = datetime.timedelta(days=1)
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self.tradingday = datetime.timedelta(hours=6, minutes=30)
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self.dt = self.trading_environment.trading_days[random_index]
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def tearDown(self):
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pass
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def test_long_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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#post some trades in the market
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trades = factory.create_trade_history(
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1,
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[10,10,10,11],
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[100,100,100,100],
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self.onesec,
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self.trading_environment
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)
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txn = factory.create_txn(1,10.0,100,self.dt + self.onesec)
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pp = perf.PerformancePeriod({}, 0.0, 1000.0)
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pp.execute_transaction(txn)
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for trade in trades:
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pp.update_last_sale(trade)
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pp.calculate_performance()
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self.assertEqual(
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pp.period_capital_used,
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-1 * txn.price * txn.amount,
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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(len(pp.positions),1,"should be just one position")
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self.assertEqual(
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pp.positions[1].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[1].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[1].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[1].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[1].last_sale_price
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)
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)
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self.assertEqual(
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pp.ending_value,
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1100,
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"ending value should be price of last trade times number of \
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shares in position"
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)
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self.assertEqual(pp.pnl, 100, "gain of 1 on 100 shares should be 100")
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def test_short_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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trades = factory.create_trade_history(
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1,
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[10,10,10,11,10,9],
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[100,100,100,100,100,100],
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self.onesec,
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self.trading_environment
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)
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trades_1 = trades[:-2]
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txn = factory.create_txn(1, 10.0, -100, self.dt + self.onesec)
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pp = perf.PerformancePeriod({}, 0.0, 1000.0)
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pp.execute_transaction(txn)
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for trade in trades_1:
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pp.update_last_sale(trade)
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pp.calculate_performance()
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self.assertEqual(
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pp.period_capital_used,
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-1 * txn.price * txn.amount,
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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(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[1].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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pp.positions[1].amount,
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-100,
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"should have a position of -100 shares"
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)
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self.assertEqual(
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pp.positions[1].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[1].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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-1100,
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"ending value should be price of last trade times number of \
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shares in position"
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)
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self.assertEqual(pp.pnl,-100,"gain of 1 on 100 shares should be 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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pp2 = perf.PerformancePeriod(
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pp.positions,
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pp.ending_value,
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pp.ending_cash
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)
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for trade in trades_2:
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pp2.update_last_sale(trade)
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pp2.calculate_performance()
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self.assertEqual(
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pp2.period_capital_used,
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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(pp2.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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pp2.positions[1].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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pp2.positions[1].amount,
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-100,
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"should have a position of -100 shares"
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)
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self.assertEqual(
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pp2.positions[1].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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pp2.positions[1].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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pp2.ending_value,
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-900,
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"ending value 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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pp2.pnl,
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200,
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"drop of 2 on -100 shares 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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ppTotal = perf.PerformancePeriod({}, 0.0, 1000.0)
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for trade in trades_1:
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ppTotal.update_last_sale(trade)
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ppTotal.execute_transaction(txn)
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for trade in trades_2:
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ppTotal.update_last_sale(trade)
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ppTotal.calculate_performance()
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self.assertEqual(
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ppTotal.period_capital_used,
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-1 * txn.price * txn.amount,
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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[1].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[1].amount,
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-100,
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"should have a position of -100 shares"
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)
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self.assertEqual(
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ppTotal.positions[1].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[1].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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ppTotal.ending_value,
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-900,
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"ending value 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 -100 shares should be 100"
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)
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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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trades = factory.create_trade_history(
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1,
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[10,10,10,11,9,8,7,8,9,10],
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[100,100,100,100,100,100,100,100,100,100],
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self.onesec,
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self.trading_environment
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)
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short_txn = factory.create_txn(
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1,
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10.0,
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-100,
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self.dt + self.onesec
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)
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cover_txn = factory.create_txn(1,7.0,100,self.dt + self.onesec * 6)
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pp = perf.PerformancePeriod({}, 0.0, 1000.0)
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pp.execute_transaction(short_txn)
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pp.execute_transaction(cover_txn)
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for trade in trades:
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pp.update_last_sale(trade)
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pp.calculate_performance()
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short_txn_cost = short_txn.price * short_txn.amount
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cover_txn_cost = cover_txn.price * cover_txn.amount
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self.assertEqual(
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pp.period_capital_used,
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-1 * short_txn_cost - cover_txn_cost,
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"capital used should be equal to the net transaction costs"
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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[1].sid,
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short_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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pp.positions[1].amount,
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0,
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"should have a position of -100 shares"
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)
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self.assertEqual(
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pp.positions[1].cost_basis,
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0,
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"a covered position should have a cost basis of 0"
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)
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self.assertEqual(
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pp.positions[1].last_sale_price,
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trades[-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 price of last trade times number of \
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shares in position"
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)
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self.assertEqual(
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pp.pnl,
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300,
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"gain of 1 on 100 shares should be 300"
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)
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def test_cost_basis_calc(self):
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trades = factory.create_trade_history(
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1,
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[10,11,11,12],
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[100,100,100,100],
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self.onesec,
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self.trading_environment
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)
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transactions = factory.create_txn_history(
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1,
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[10,11,11,12],
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[100,100,100,100],
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self.onesec,
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self.trading_environment
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)
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pp = perf.PerformancePeriod({}, 0.0, 1000.0)
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for txn in transactions:
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pp.execute_transaction(txn)
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for trade in trades:
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pp.update_last_sale(trade)
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pp.calculate_performance()
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self.assertEqual(
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pp.positions[1].last_sale_price,
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trades[-1].price,
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"should have a last sale of 12, got {val}".format(
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val=pp.positions[1].last_sale_price
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)
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)
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self.assertEqual(
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pp.positions[1].cost_basis,
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11,
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"should have a cost basis of 11"
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)
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self.assertEqual(
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pp.pnl,
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400
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)
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saleTxn = factory.create_txn(
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1,
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10.0,
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-100,
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self.dt + self.onesec * 4)
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down_tick = factory.create_trade(
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1,
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10.0,
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100,
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trades[-1].dt + self.onesec)
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pp2 = perf.PerformancePeriod(
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copy.deepcopy(pp.positions),
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pp.ending_value,
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pp.ending_cash
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)
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pp2.execute_transaction(saleTxn)
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pp2.update_last_sale(down_tick)
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pp2.calculate_performance()
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self.assertEqual(
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pp2.positions[1].last_sale_price,
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10,
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"should have a last sale of 10, was {val}".format(val=pp2.positions[1].last_sale_price)
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)
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self.assertEqual(
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round(pp2.positions[1].cost_basis,2),
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11.33,
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"should have a cost basis of 11.33"
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)
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#print "second period pnl is {pnl}".format(pnl=pp2.pnl)
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self.assertEqual(pp2.pnl, -800, "this period goes from +400 to -400")
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pp3 = perf.PerformancePeriod({}, 0.0, 1000.0)
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transactions.append(saleTxn)
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for txn in transactions:
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pp3.execute_transaction(txn)
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trades.append(down_tick)
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for trade in trades:
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pp3.update_last_sale(trade)
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pp3.calculate_performance()
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self.assertEqual(
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pp3.positions[1].last_sale_price,
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10,
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"should have a last sale of 10"
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)
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self.assertEqual(
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round(pp3.positions[1].cost_basis,2),
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11.33,
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"should have a cost basis of 11.33"
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)
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self.assertEqual(
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pp3.pnl,
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-400,
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"should be -400 for all trades and transactions in period"
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)
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def test_tracker(self):
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trade_count = 100
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sid = 133
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price = 10.1
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price_list = [price] * trade_count
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volume = [100] * trade_count
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trade_time_increment = datetime.timedelta(days=1)
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trade_history = factory.create_trade_history(
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sid,
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price_list,
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volume,
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trade_time_increment,
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self.trading_environment
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)
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sid2 = 134
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price2 = 12.12
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price2_list = [price2] * trade_count
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trade_history2 = factory.create_trade_history(
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sid2,
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price2_list,
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volume,
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trade_time_increment,
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self.trading_environment
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)
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trade_history.extend(trade_history2)
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self.trading_environment.period_start = trade_history[0].dt
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self.trading_environment.period_end = trade_history[-1].dt
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self.trading_environment.capital_base = 1000.0
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self.trading_environment.frame_index = ['sid', 'volume', 'dt', \
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'price', 'changed']
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perf_tracker = perf.PerformanceTracker(self.trading_environment)
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for event in trade_history:
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#create a transaction for all but
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#first trade in each sid, to simulate None transaction
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if(event.dt != self.trading_environment.period_start):
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txn = zp.ndict({
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'sid' : event.sid,
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'amount' : -25,
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'dt' : event.dt,
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'price' : 10.0,
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'commission' : 0.50
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})
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else:
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txn = None
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event['TRANSACTION'] = txn
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perf_tracker.process_event(event)
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#we skip two trades, to test case of None transaction
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txn_count = len(trade_history) - 2
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self.assertEqual(perf_tracker.txn_count, txn_count)
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cumulative_pos = perf_tracker.cumulative_performance.positions[sid]
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expected_size = txn_count / 2 * -25
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self.assertEqual(cumulative_pos.amount, expected_size)
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