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test.py
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test.py
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import unittest
from strategy import *
from price import *
from order import *
from account import *
import datetime
t = datetime.datetime.now()
def to_date(str):
return datetime.datetime.strptime(str, "%Y-%m-%d")
def pips_to_pnl(pips, amount, pips_precision=4):
return (1.0 / pow(10, pips_precision)) * pips * amount
class Testpnl(unittest.TestCase):
amount = 10000
def setUp(self):
pass
def test_pnl(self):
o = Order("BUY", self.amount, 1.2, 10, 10)
self.assertTrue(o.status == None)
o.open(t)
self.assertEqual(o.status, 'opened')
o.close(t, 1.2010) # 10 pips
self.assertEqual(o.status, 'closed')
actual = o.pnl()
self.assertAlmostEqual(10 - SPREAD, actual)
raw_pnl = pips_to_pnl(10, self.amount)
spread_amount = pips_to_pnl(SPREAD, self.amount)
net_pnl = raw_pnl - spread_amount
self.assertAlmostEqual(actual, net_pnl)
def test_buy_sl(self):
o = Order("BUY", self.amount, 1.2, 15, 20)
o.open(t)
o.close(t, 1.0) # -15 pips
actual = o.pnl()
self.assertAlmostEqual(-15 - SPREAD, actual)
def test_buy_tp(self):
o = Order("BUY", self.amount, 1.2, 15, 20)
o.open(t)
o.close(t, 2.0) # +20 pips
actual = o.pnl()
self.assertAlmostEqual(+20 - SPREAD, actual)
def test_sell_sl(self):
o = Order("SELL", self.amount, 1.2, 15, 20)
o.open(t)
o.close(t, 2.0) # -15 pips
actual = o.pnl()
self.assertAlmostEqual(-15 - SPREAD, actual)
def test_sell_tp(self):
o = Order("SELL", self.amount, 1.2, 15, 20)
o.open(t)
o.close(t, 1.0) # +20 pips
actual = o.pnl()
self.assertAlmostEqual(20 - SPREAD, actual)
def test_open_order_no_change(self):
a = Account()
ts = datetime.date(2011, 1, 29)
p = Price(ts, 10, 8, 13, 10)
o = Order("BUY", 10000, 7.5, 0.1, 0.1)
a.add_order(o)
a.execute_orders_with_price_change(p)
self.assertEqual(o.status, None)
def test_order_opening(self):
a = Account()
ts = datetime.date(2011, 1, 29)
p = Price(ts, 10, 8, 13, 10)
o = Order("BUY", 10000, 9, 0.1, 0.1)
a.add_order(o)
a.execute_orders_with_price_change(p)
self.assertEqual(o.status, "opened")
def test_order_close_loss(self):
a = Account()
ts = datetime.date(2011, 1, 29)
p = Price(ts, 10, 8, 13, 10)
o = Order("BUY", 10000, 9, 1, 1)
o.open(t)
a.add_order(o)
a.execute_orders_with_price_change(p)
self.assertEqual(o.status, "closed")
self.assertTrue(o.pnl() < 0)
def test_order_close_win(self):
a = Account()
ts = datetime.date(2011, 1, 29)
p = Price(ts, 10, 8, 15, 10)
o = Order("BUY", 10000, 9, 100000, 5000)
o.open(t)
a.add_order(o)
a.execute_orders_with_price_change(p)
self.assertEqual(o.status, "closed")
self.assertTrue(o.pnl() > 0)
if __name__ == '__main__':
unittest.main()