Adriano
36e05233d0
Side StrEnum (long/short/flat), frozen dataclasses con calcolo unrealized_pnl per Position e gross/fees/net_pnl per Trade (fees in basis point, default 5bp). 4 test TDD passing, ruff + mypy strict clean. Co-Authored-By: Claude Opus 4.7 (1M context) <noreply@anthropic.com>
39 lines
1.2 KiB
Python
39 lines
1.2 KiB
Python
from datetime import UTC, datetime
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import pytest
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from multi_swarm.backtest.orders import Order, Position, Side, Trade
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def test_order_validates_side() -> None:
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o = Order(ts=datetime(2024, 1, 1, tzinfo=UTC), side=Side.LONG, size=1.0)
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assert o.side == Side.LONG
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def test_position_pnl_long() -> None:
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pos = Position(side=Side.LONG, entry_price=100.0, size=2.0)
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assert pos.unrealized_pnl(110.0) == pytest.approx(20.0)
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assert pos.unrealized_pnl(90.0) == pytest.approx(-20.0)
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def test_position_pnl_short() -> None:
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pos = Position(side=Side.SHORT, entry_price=100.0, size=2.0)
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assert pos.unrealized_pnl(110.0) == pytest.approx(-20.0)
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assert pos.unrealized_pnl(90.0) == pytest.approx(20.0)
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def test_trade_realized_pnl_with_fees() -> None:
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t = Trade(
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entry_ts=datetime(2024, 1, 1, tzinfo=UTC),
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exit_ts=datetime(2024, 1, 2, tzinfo=UTC),
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side=Side.LONG,
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size=1.0,
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entry_price=100.0,
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exit_price=110.0,
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fees_bp=5.0,
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)
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# gross 10, fees = 5bp * (100+110) = 0.0005 * 210 = 0.105
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assert t.gross_pnl == pytest.approx(10.0)
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assert t.fees == pytest.approx(0.105)
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assert t.net_pnl == pytest.approx(9.895)
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