Merge pull request #76 from lambdaclass/selling-options-fix

fixed sell 1 entry case and test added

backtester/backtester.py

@@ -193,8 +193,13 @@ class Backtest:
         sold = 0
         total_costs = sum([current_options[i]['cost'] for i in range(len(current_options))])
         for (exit_cost, (row_index, inventory_row)) in zip(total_costs, self._options_inventory.iterrows()):
-            if (to_sell - sold < -exit_cost * inventory_row['totals']['qty']) and (to_sell - sold) > 0:
+            if (to_sell - sold > -exit_cost) and (to_sell - sold) > 0:
                 qty_to_sell = (to_sell - sold) // exit_cost
+                if -qty_to_sell <= inventory_row['totals']['qty']:
+                    qty_to_sell = (to_sell - sold) // exit_cost
+                else:
+                    if qty_to_sell != 0:
+                        qty_to_sell = -inventory_row['totals']['qty']
                 if qty_to_sell != 0:
                     trade_log_append = self._options_inventory.loc[row_index].copy()
                     trade_log_append['totals', 'qty'] = -qty_to_sell

backtester/test/backtester/test_buy_options.py

@@ -63,6 +63,20 @@ def test_sell_some_options_2leg_buy_sell(options_data_buy_and_sell_2legs, ivy_po
     assert np.allclose(bt.trade_log['totals']['cost'].values, [200, 300, -200], rtol=tolerance)
 
 
+def test_sell_some_options_1leg_buy_sell_all(options_data_1put_buy_sell_all, ivy_portfolio_5assets_datahandler,
+                                             ivy_5assets_portfolio):
+    options_data = options_data_1put_buy_sell_all
+    bt = run_backtest(ivy_5assets_portfolio, ivy_portfolio_5assets_datahandler, options_data,
+                      options_1leg_buy_strategy(options_data))
+    tolerance = 0.0001
+    assert np.allclose(bt.trade_log['totals']['qty'].values, [
+        300, ((970000 + 300 * 25) * 0.03 - 300 * 25) // 100, 300,
+        math.ceil((1000 * 218 - (((970000 + 300 * 25) * 0.97 + 300 * 150 + 218 * 1000) * 0.03)) / 1000)
+    ],
+                       rtol=tolerance)
+    assert np.allclose(bt.trade_log['totals']['cost'].values, [100, 100, -150, -1000], rtol=tolerance)
+
+
 def run_backtest(stocks,
                  stock_data,
                  options_data,

backtester/test/conftest.py

@@ -157,3 +157,21 @@ def options_data_buy_and_sell_2legs():
     data._data.at[204, 'bid'] = 1.  # SPX6500 call 2015-03-02
     data._data.at[205, 'bid'] = 1.5  # SPX7000 call 2015-03-02
     return data
+
+
+@pytest.fixture(scope='module')
+def options_data_1put_buy_sell_all():
+    data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
+    data._data.at[2, 'ask'] = 1  # SPX6500 put 2014-12-15
+    data._data.at[2, 'bid'] = 0.5  # SPX6500 put 2014-12-15
+
+    data._data.at[50, 'ask'] = 0.25  # SPX6500 put 2015-01-02
+    data._data.at[50, 'bid'] = 0.25  # SPX6500 put 2015-01-02
+    data._data.at[51, 'ask'] = 1  # SPX6500 put 2015-01-02
+
+    data._data.at[131, 'bid'] = 10  # SPX7000 put 2015-02-02
+    data._data.at[130, 'bid'] = 1.5  # SPX6500 put 2015-02-02
+
+    data._data.at[206, 'bid'] = 2  # SPX6500 put 2015-03-02
+    data._data.at[206, 'ask'] = 2.5  # SPX6500 put 2015-03-02
+    return data