179 lines
7.1 KiB
Python
179 lines
7.1 KiB
Python
import pytest
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from trade import Trade
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def test_get_position_size():
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opening_price = 1000
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print('%s %d' % ('opening_price', opening_price))
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quantity = 0.01
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print('%s %d' % ('quantity', quantity))
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trade_obj = Trade(target='backtester', symbol='BTCUSD', side='BUY', order_price=opening_price,
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base_order_qty=quantity, order_type='MARKET', time_in_force='GTC',
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unique_id=None, status=None, stats=None, order=None)
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print('trade_obj')
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print(trade_obj.__dict__)
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# Position size after construction.
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position_size = trade_obj.get_position_size()
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print('\nPosition size after construction.')
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print(f'Trade for {quantity} BTC @ {opening_price} of the quote currency. Price has not changed.')
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print(f'Position size: {position_size}')
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assert position_size == opening_price * quantity
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# Position size after current price changes on unopened trade.
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print('\nPosition size after current price changes on unopened trade.')
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current_price = 50
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result = trade_obj.update(current_price)
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print(f'the result of the update {result}')
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position_size = trade_obj.get_position_size()
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print(f'{quantity} BTC bought at {opening_price} is current priced at {current_price}')
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print(f'Position size: {position_size}')
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assert position_size != opening_price * quantity
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print('\nPosition size after trade fills at opening price.')
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# Position size after trade fills
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trade_obj.trade_filled(quantity, opening_price)
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position_size = trade_obj.get_position_size()
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print(f'{quantity} BTC bought at {opening_price} is current priced at {current_price}')
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print(f'Position size: {position_size}')
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assert position_size == current_price * quantity
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print('\nPosition size after current price changes on live trade.')
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# Position size after current price changes on open trade
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current_price = 50
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result = trade_obj.update(current_price)
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print(f'the result of the update {result}')
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position_size = trade_obj.get_position_size()
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print(f'{quantity} BTC bought at {opening_price} is current priced at {current_price}')
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print(f'Position size: {position_size}')
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assert position_size == current_price * quantity
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def test_update_values():
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# Create a test trade.
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opening_price = 100
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quantity = 0.1
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trade_obj = Trade(target='backtester', symbol='BTCUSD', side='BUY', order_price=opening_price,
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base_order_qty=quantity, order_type='MARKET', time_in_force='GTC',
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unique_id=None, status=None, stats=None, order=None)
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trade_obj.trade_filled(quantity, opening_price)
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print(f'\nopening price is {opening_price}')
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# Output the pl for unchanged trade.
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print('\n Live trade price has not changed.')
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position_size = trade_obj.get_position_size()
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print(f'Position size: {position_size}')
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assert position_size == 10
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pl = trade_obj.get_pl()
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print(f'PL reported: {pl}')
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# With 0.1% fee (0.001): gross P/L 0, fees = (10*0.001) + (10*0.001) = 0.02
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# Net PL: -0.02
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assert pl == pytest.approx(-0.02)
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pl_pct = trade_obj.get_pl_pct()
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print(f'PL% reported: {pl_pct}')
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# Should be -0.02/10 * 100 = -0.2%
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assert pl_pct == pytest.approx(-0.2)
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# Divide the price of the quote symbol by 2.
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current_price = 50
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trade_obj.update_values(current_price)
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# Output PL for adjusted trade.
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print(f'\n Live trade price has changed to {current_price}.')
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position_size = trade_obj.get_position_size()
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print(f'Position size: {position_size}')
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assert position_size == 5
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pl = trade_obj.get_pl()
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print(f'PL reported: {pl}')
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# With 0.1% fee (0.001): gross loss -5, fees = (5*0.001) + (10*0.001) = 0.015
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# Net PL: -5 - 0.015 = -5.015
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assert pl == pytest.approx(-5.015)
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pl_pct = trade_obj.get_pl_pct()
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print(f'PL% reported: {pl_pct}')
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# Should be -5.015/10 * 100 = -50.15%
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assert pl_pct == pytest.approx(-50.15)
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# Add 1/2 to the price of the quote symbol.
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current_price = 150
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trade_obj.update_values(current_price)
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# Output PL for adjusted trade.
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print(f'\n Live trade price has changed to {current_price}.')
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position_size = trade_obj.get_position_size()
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print(f'Position size: {position_size}')
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assert position_size == 15
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pl = trade_obj.get_pl()
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print(f'PL reported: {pl}')
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# With 0.1% fee (0.001): gross profit 5, fees = (15*0.001) + (10*0.001) = 0.025
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# Net PL: 5 - 0.025 = 4.975
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assert pl == pytest.approx(4.975)
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pl_pct = trade_obj.get_pl_pct()
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print(f'PL% reported: {pl_pct}')
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# Should be 4.975/10 * 100 = 49.75%
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assert pl_pct == pytest.approx(49.75)
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def test_update():
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# Create test trade.
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opening_price = 1000
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quantity = 0.01
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trade_obj = Trade(target='backtester', symbol='BTCUSD', side='BUY', order_price=opening_price,
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base_order_qty=quantity, order_type='MARKET', time_in_force='GTC',
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unique_id=None, status=None, stats=None, order=None)
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print('\nUpdate price of un-placed trade.')
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# Use Update to change the price of the inactive trade.
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current_price = 50
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result = trade_obj.update(current_price)
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print(f'The result {result}')
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assert result == 'updated' # update() returns 'updated' for inactive trades
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# Simulate a placed trade.
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trade_obj.trade_filled(0.01, 1000)
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print('\nUpdate price of live trade.')
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# Use Update to change the price.
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current_price = 50
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result = trade_obj.update(current_price)
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print(f'The result {result}')
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assert result == 'filled'
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position_size = trade_obj.get_position_size()
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print(f'\n{quantity} BTC bought at {opening_price} is current priced at {current_price}')
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print(f'Position size: {position_size}')
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assert position_size == current_price * quantity
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def test_trade_filled():
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# Create a test trade.
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opening_price = 100
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quantity = 0.1
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trade_obj = Trade(target='backtester', symbol='BTCUSD', side='BUY', order_price=opening_price,
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base_order_qty=quantity, order_type='MARKET', time_in_force='GTC',
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unique_id=None, status=None, stats=None, order=None)
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trade_obj.trade_filled(qty=0.05, price=100)
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status = trade_obj.get_status()
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print(f'\n Status after trade_filled() called: {status}')
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assert status == 'part-filled'
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trade_obj.trade_filled(qty=0.05, price=100)
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status = trade_obj.get_status()
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print(f'\n Status after trade_filled() called: {status}')
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assert status == 'filled'
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def test_settle():
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# Create a test trade.
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opening_price = 100
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quantity = 0.1
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trade_obj = Trade(target='backtester', symbol='BTCUSD', side='BUY', order_price=opening_price,
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base_order_qty=quantity, order_type='MARKET', time_in_force='GTC',
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unique_id=None, status=None, stats=None, order=None)
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trade_obj.trade_filled(qty=quantity, price=opening_price)
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print(f'\ninitial status: {trade_obj.get_status()}')
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print('settle the trade at 120')
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trade_obj.settle(qty=0.1, price=120)
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status = trade_obj.get_status()
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print(f'final status: {status}')
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assert status == 'closed'
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