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Richard Frank
b4836b976e
to account for minimum price variation. On an order to buy, between .05 below to .95 above a penny, use that penny. On an order to sell, between .05 above to .95 below a penny, use that penny.
30 lines
1.1 KiB
Python
30 lines
1.1 KiB
Python
from nose_parameterized import parameterized
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from unittest import TestCase
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from zipline.finance.blotter import round_for_minimum_price_variation
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class BlotterTestCase(TestCase):
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@parameterized.expand([(0.00, 0.00),
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(0.01, 0.01),
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(0.0005, 0.00),
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(1.006, 1.00),
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(1.0095, 1.01),
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(1.00949, 1.00),
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(1.0005, 1.00)])
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def test_round_for_minimum_price_variation_buy(self, price, expected):
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result = round_for_minimum_price_variation(price, is_buy=True)
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self.assertEqual(result, expected)
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@parameterized.expand([(0.00, 0.00),
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(0.01, 0.01),
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(0.0005, 0.00),
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(1.006, 1.01),
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(1.0005, 1.00),
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(1.00051, 1.01),
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(1.0095, 1.01)])
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def test_round_for_minimum_price_variation_sell(self, price, expected):
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result = round_for_minimum_price_variation(price, is_buy=False)
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self.assertEqual(result, expected)
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