mirror of
https://github.com/wassname/options_backtester.git
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Camilo1704
178 lines
6.0 KiB
Python
178 lines
6.0 KiB
Python
import os
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import pytest
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from backtester.datahandler import HistoricalOptionsData, TiingoData
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from backtester.enums import Stock
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TEST_DIR = os.path.abspath(os.path.dirname(__file__))
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SAMPLE_DATA_STOCKS = os.path.join(TEST_DIR, 'test_data', 'test_data_stocks.csv')
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IVY_PORTFOLIO_DATA = os.path.join(TEST_DIR, 'test_data', 'ivy_portfolio.csv')
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SAMPLE_DATA_OPTIONS = os.path.join(TEST_DIR, 'test_data', 'test_data_options.csv')
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IVY_PORTFOLIO_5ASSETS_DATA = os.path.join(TEST_DIR, 'test_data', 'ivy_5assets_data.csv')
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TWO_PUTS_TWO_CALLS_DATA = os.path.join(TEST_DIR, 'test_data', 'options_data.csv')
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# DataHandler fixtures
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@pytest.fixture(scope='module')
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def sample_stocks_datahandler():
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data = TiingoData(SAMPLE_DATA_STOCKS)
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return data
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@pytest.fixture(scope='module')
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def ivy_portfolio_datahandler():
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data = TiingoData(IVY_PORTFOLIO_DATA)
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return data
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@pytest.fixture(scope='module')
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def constant_price_stocks():
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data = TiingoData(SAMPLE_DATA_STOCKS)
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data['adjClose'] = data['close'] = 10.0
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return data
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@pytest.fixture(scope='module')
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def sample_options_datahandler():
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data = HistoricalOptionsData(SAMPLE_DATA_OPTIONS)
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return data
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@pytest.fixture(scope='module')
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def ivy_portfolio_5assets_datahandler():
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data = TiingoData(IVY_PORTFOLIO_5ASSETS_DATA)
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data._data['adjClose'] = 10
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return data
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# Stock Porfolio fixtures
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@pytest.fixture(scope='module')
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def ivy_portfolio():
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return [Stock('VTI', 0.2), Stock('VEU', 0.2), Stock('BND', 0.2), Stock('VNQ', 0.2), Stock('DBC', 0.2)]
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@pytest.fixture(scope='module')
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def sample_stock_portfolio():
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VOO = Stock('VOO', 0.4)
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TUR = Stock('TUR', 0.1)
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RSX = Stock('RSX', 0.5)
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return [VOO, TUR, RSX]
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@pytest.fixture(scope='module')
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def ivy_5assets_portfolio():
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VTI = Stock("VTI", 0.2)
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VEU = Stock("VEU", 0.2)
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BND = Stock("BND", 0.2)
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VNQ = Stock("VNQ", 0.2)
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DBC = Stock("DBC", 0.2)
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return [VTI, VEU, BND, VNQ, DBC]
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@pytest.fixture(scope='module')
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def options_data_2puts_buy():
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data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
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data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
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data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
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data._data.at[51, 'ask'] = 1.5 # SPX7000 put 2015-01-02
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data._data.at[50, 'bid'] = 0.5 # SPX6500 put 2015-01-02
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data._data.at[130, 'bid'] = 0.5 # SPX6500 put 2015-02-02
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data._data.at[131, 'bid'] = 1.5 # SPX7000 put 2015-02-02
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data._data.at[206, 'bid'] = 0.5 # SPX6500 put 2015-03-02
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data._data.at[207, 'bid'] = 1.5 # SPX7000 put 2015-03-02
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return data
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@pytest.fixture(scope='module')
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def options_data_2legs_buy():
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data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
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data._data.at[0, 'ask'] = 1 # SPX6500 call 2014-12-15
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data._data.at[0, 'bid'] = 0.5 # SPX6500 call 2014-12-15
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data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
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data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
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data._data.at[51, 'ask'] = 1.5 # SPX7000 put 2015-01-02
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data._data.at[50, 'bid'] = 0.5 # SPX6500 put 2015-01-02
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data._data.at[49, 'ask'] = 1.5 # SPX7000 call 2015-01-02
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data._data.at[48, 'bid'] = 0.5 # SPX6500 call 2015-01-02
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data._data.at[130, 'bid'] = 0.5 # SPX6500 put 2015-02-02
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data._data.at[131, 'bid'] = 1.5 # SPX7000 put 2015-02-02
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data._data.at[128, 'bid'] = 0.5 # SPX6500 call 2015-02-02
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data._data.at[129, 'bid'] = 1.5 # SPX7000 call 2015-02-02
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data._data.at[206, 'bid'] = 0.5 # SPX6500 put 2015-03-02
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data._data.at[207, 'bid'] = 1.5 # SPX7000 put 2015-03-02
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data._data.at[204, 'bid'] = 0.5 # SPX6500 call 2015-03-02
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data._data.at[205, 'bid'] = 1.5 # SPX7000 call 2015-03-02
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return data
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@pytest.fixture(scope='module')
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def options_data_1put_buy_sell():
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data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
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data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
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data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
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data._data.at[50, 'ask'] = 1.5 # SPX6500 put 2015-01-02
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data._data.at[50, 'bid'] = 1 # SPX6500 put 2015-01-02
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data._data.at[130, 'bid'] = 2 # SPX6500 put 2015-02-02
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data._data.at[130, 'ask'] = 2.5 # SPX6500 put 2015-02-02
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data._data.at[206, 'bid'] = 2 # SPX6500 put 2015-03-02
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data._data.at[206, 'ask'] = 2.5 # SPX7000 put 2015-03-02
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return data
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@pytest.fixture(scope='module')
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def options_data_buy_and_sell_2legs():
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data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
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data._data.at[0, 'ask'] = 1 # SPX6500 call 2014-12-15
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data._data.at[0, 'bid'] = 0.5 # SPX6500 call 2014-12-15
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data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
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data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
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data._data.at[51, 'ask'] = 1.5 # SPX7000 put 2015-01-02
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data._data.at[50, 'bid'] = 0.5 # SPX6500 put 2015-01-02
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data._data.at[49, 'ask'] = 1.5 # SPX7000 call 2015-01-02
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data._data.at[48, 'bid'] = 0.5 # SPX6500 call 2015-01-02
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data._data.at[130, 'bid'] = 0.5 # SPX6500 put 2015-02-02
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data._data.at[131, 'bid'] = 1.5 # SPX7000 put 2015-02-02
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data._data.at[128, 'bid'] = 0.5 # SPX6500 call 2015-02-02
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data._data.at[129, 'bid'] = 1.5 # SPX7000 call 2015-02-02
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data._data.at[206, 'bid'] = 1 # SPX6500 put 2015-03-02
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data._data.at[207, 'bid'] = 1.5 # SPX7000 put 2015-03-02
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data._data.at[204, 'bid'] = 1. # SPX6500 call 2015-03-02
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data._data.at[205, 'bid'] = 1.5 # SPX7000 call 2015-03-02
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return data
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@pytest.fixture(scope='module')
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def options_data_1put_buy_sell_all():
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data = HistoricalOptionsData(TWO_PUTS_TWO_CALLS_DATA)
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data._data.at[2, 'ask'] = 1 # SPX6500 put 2014-12-15
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data._data.at[2, 'bid'] = 0.5 # SPX6500 put 2014-12-15
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data._data.at[50, 'ask'] = 0.25 # SPX6500 put 2015-01-02
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data._data.at[50, 'bid'] = 0.25 # SPX6500 put 2015-01-02
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data._data.at[51, 'ask'] = 1 # SPX6500 put 2015-01-02
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data._data.at[131, 'bid'] = 10 # SPX7000 put 2015-02-02
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data._data.at[130, 'bid'] = 1.5 # SPX6500 put 2015-02-02
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data._data.at[206, 'bid'] = 2 # SPX6500 put 2015-03-02
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data._data.at[206, 'ask'] = 2.5 # SPX6500 put 2015-03-02
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return data
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