backtrader/tests/test_trade.py at master · githubCode3a/backtrader · GitHub

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#!/usr/bin/env python

# -*- coding: utf-8; py-indent-offset:4 -*-

###############################################################################

# This program is free software: you can redistribute it and/or modify

# it under the terms of the GNU General Public License as published by

# the Free Software Foundation, either version 3 of the License, or

# (at your option) any later version.

# This program is distributed in the hope that it will be useful,

# but WITHOUT ANY WARRANTY; without even the implied warranty of

# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the

# GNU General Public License for more details.

# You should have received a copy of the GNU General Public License

# along with this program. If not, see <http://www.gnu.org/licenses/>.

###############################################################################

from __future__ import (absolute_import, division, print_function,

unicode_literals)

import testcommon

import backtrader as bt

from backtrader import trade

class FakeCommInfo(object):

def getvaluesize(self, size, price):

return 0

def profitandloss(self, size, price, newprice):

return 0

class FakeData(object):

'''

Minimal interface to avoid errors when trade tries to get information from

the data during the test

'''

def __len__(self):

return 0

@property

def datetime(self):

return [0.0]

@property

def close(self):

return [0.0]

def test_run(main=False):

tr = trade.Trade(data=FakeData())

order = bt.BuyOrder(data=FakeData(),

size=0, price=1.0,

exectype=bt.Order.Market,

simulated=True)

commrate = 0.025

size = 10

price = 10.0

value = size * price

commission = value * commrate

tr.update(order=order, size=size, price=price, value=value,

commission=commission, pnl=0.0, comminfo=FakeCommInfo())

assert not tr.isclosed

assert tr.size == size

assert tr.price == price

# assert tr.value == value

assert tr.commission == commission

assert not tr.pnl

assert tr.pnlcomm == tr.pnl - tr.commission

upsize = -5

upprice = 12.5

upvalue = upsize * upprice

upcomm = abs(value) * commrate

tr.update(order=order, size=upsize, price=upprice, value=upvalue,

commission=upcomm, pnl=0.0, comminfo=FakeCommInfo())

assert not tr.isclosed

assert tr.size == size + upsize

assert tr.price == price # size is being reduced, price must not change

# assert tr.value == upvalue

assert tr.commission == commission + upcomm

size = tr.size

price = tr.price

commission = tr.commission

upsize = 7

upprice = 14.5

upvalue = upsize * upprice

upcomm = abs(value) * commrate

tr.update(order=order, size=upsize, price=upprice, value=upvalue,

commission=upcomm, pnl=0.0, comminfo=FakeCommInfo())

assert not tr.isclosed

assert tr.size == size + upsize

assert tr.price == ((size * price) + (upsize * upprice)) / (size + upsize)

# assert tr.value == upvalue

assert tr.commission == commission + upcomm

size = tr.size

price = tr.price

commission = tr.commission

upsize = -size

upprice = 12.5

upvalue = upsize * upprice

upcomm = abs(value) * commrate

tr.update(order=order, size=upsize, price=upprice, value=upvalue,

commission=upcomm, pnl=0.0, comminfo=FakeCommInfo())

assert tr.isclosed

assert tr.size == size + upsize

assert tr.price == price # no change ... we simple closed the operation

# assert tr.value == upvalue

assert tr.commission == commission + upcomm

if __name__ == '__main__':

test_run(main=True)

backtrader/tests/test_trade.py at master · githubCode3a/backtrader · GitHub

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