tests/testthat/test_blotter_break.R

In braverock/quantstrat: Quantitative Strategy Model Framework

# test_blotter_break.R
# test for breaking trade with another trade that day in blotter
#   Author: Brian M Bielinski

options(warn=-1)
stopifnot(require(testthat))
stopifnot(require(blotter))
stopifnot(require(quantstrat))

# Sys.setenv(TZ = "GMT")
# require(blotter)
# require(testthat)
# 
# port = "testBreak"
# acct = "testBreak"
# symbol = c("IBM")
# 
# data(IBM)
# 
# startDate = first(index(IBM))
# endDate   = last(index(IBM))
# 
# lines = "date,shrs,price,symbol
# 2007-01-10,100,98.0,IBM
# 2007-01-16,-200,99.5,IBM
# 2007-01-17,150,99.45,IBM
# 2007-01-18,-50,99.0,IBM"
# con       = textConnection(lines)
# tt.trades = read.csv(con, as.is = TRUE)
# 
# tt.trades[,"date"] = make.time.unique(as.POSIXct(tt.trades[,"date"]))
# 
# currency("USD")
# stock(symbol,"USD")
# 
# initPortf(port,
#           symbol,
#           initDate = startDate)
# initAcct(port,
#          portfolios = c(port),
#          initDate   = startDate,
#          initEq=10^6)
# 
# for(i in 1:nrow(tt.trades)){
#    addTxn(port,Symbol = tt.trades[i,"symbol"],
#           TxnDate     = tt.trades[i,"date"],
#           TxnPrice    = tt.trades[i,"price"],
#           TxnQty      = tt.trades[i,"shrs"])
# }
# 
# updatePortf(port)
# updateAcct(acct)
# updateEndEq(acct)

context("check that trades are accounted for correctly.")
source(paste0(path.package("quantstrat"),"/demo/demo_test_blotter_break.R"))

# should be flat
test_that("input trades position is flat", {
  expect_equal(sum(tt.trades[,"shrs"]), 0)
  })

test_that("recorded trades position in Txns is flat", {
  expect_equal(sum(getTxns(port,"IBM")[,"Txn.Qty"]), 0)
  })
          
test_that("times of the trades are unique", {
  expect_equal(length(tt.trades[,"date"]), length(unique(tt.trades[,"date"])))
})
  
test_that("calculated position is flat", {
  expect_equal(getPosQty(port,"IBM",Date = endDate), 0)
})
          

#chart.Posn(port,"IBM")