BasicCalculatorTest.java

package org.marketcetera.core.position.impl;

import static org.junit.Assert.assertNull;
import static org.junit.Assert.assertThat;
import static org.marketcetera.core.position.impl.OrderingComparison.comparesEqualTo;

import java.math.BigDecimal;

import org.junit.Test;
import org.marketcetera.core.position.MockTrade;
import org.marketcetera.core.position.PositionMetrics;
import org.marketcetera.core.position.Trade;

/* $License$ */

/**
 * Tests {@link BasicCalculator}. Other {@link PositionMetricsCalculator}
 * implementations are tested by comparing to BasicCalculator.
 * 
 * @author <a href="mailto:will@marketcetera.com">Will Horn</a>
 * @version $Id: BasicCalculatorTest.java 16154 2012-07-14 16:34:05Z colin $
 * @since 1.5.0
 */
public class BasicCalculatorTest {

    @Test
    public void test() {
        BasicCalculator pnl = new BasicCalculator(BigDecimal.ZERO,
                BigDecimal.ZERO);
        assertPNL(pnl.trade(createTrade("100", "21")), "100", null, null, "0",
                null, null);
        assertPNL(pnl.tick("21"), "100", "0", "0", "0", "0", "0");
        assertPNL(pnl.trade(createTrade("-50", "21.08")), "50", "0", "4", "4",
                "0", "4");
        assertPNL(pnl.tick("21.08"), "50", "0", "8", "4", "4", "8");
        assertPNL(pnl.trade(createTrade("100", "21.12")), "150", "0", "4", "4",
                "0", "4");
        assertPNL(pnl.tick("21.12"), "150", "0", "10", "4", "6", "10");
        assertPNL(pnl.trade(createTrade("-100", "21.20")), "50", "0", "18",
                "18", "0", "18");
        assertPNL(pnl.tick("21.20"), "50", "0", "22", "18", "4", "22");
    }

    @Test
    public void shortTest() {
        BasicCalculator pnl = new BasicCalculator(BigDecimal.ZERO,
                BigDecimal.ZERO);
        assertPNL(pnl.trade(createTrade("-100", "21")), "-100", null, null,
                "0", null, null);
        assertPNL(pnl.tick("22"), "-100", "0", "-100", "0", "-100", "-100");
    }

    @Test
    public void shortTest2() {
        BasicCalculator pnl = new BasicCalculator(BigDecimal.ZERO,
                BigDecimal.ZERO);
        assertPNL(pnl.tick("22"), "0", "0", "0", "0", "0", "0");
        assertPNL(pnl.trade(createTrade("-100", "21")), "-100", "0", "-100",
                "0", "-100", "-100");
    }

    @Test
    public void shortTest3() {
        BasicCalculator pnl = new BasicCalculator(BigDecimal.ZERO,
                BigDecimal.ZERO);
        assertPNL(pnl.tick("22"), "0", "0", "0", "0", "0", "0");
        assertPNL(pnl.trade(createTrade("-100", "21")), "-100", "0", "-100",
                "0", "-100", "-100");
        assertPNL(pnl.trade(createTrade("100", "20")), "0", "0", "100", "100",
                "0", "100");
    }

    @Test
    public void incomingPosition() {
        BasicCalculator pnl = new BasicCalculator(new BigDecimal("10"),
                new BigDecimal("15"));
        assertPNL(pnl.tick("16"), "10", "10", "0", "0", "10", "10");
        assertPNL(pnl.trade(createTrade("10", "16")), "20", "10", "0", "0",
                "10", "10");
        assertPNL(pnl.tick("17"), "20", "20", "10", "0", "30", "30");
        assertPNL(pnl.trade(createTrade("-15", "17")), "5", "20", "10", "25",
                "5", "30");
    }

    private Trade<?> createTrade(String quantity, String price) {
        return MockTrade.createEquityTrade("ABC", "asdf", "Yoram", quantity,
                price);
    }

    private void assertPNL(PositionMetrics pnl, String position,
            String positional, String trading, String realized,
            String unrealized, String total) {
        assertBigDecimal(position, pnl.getPosition());
        assertBigDecimal(positional, pnl.getPositionPL());
        assertBigDecimal(trading, pnl.getTradingPL());
        assertBigDecimal(realized, pnl.getRealizedPL());
        assertBigDecimal(unrealized, pnl.getUnrealizedPL());
        assertBigDecimal(total, pnl.getTotalPL());
    }

    private void assertBigDecimal(String expected, BigDecimal actual) {
        if (expected == null)
            assertNull(actual);
        else
            assertThat(actual, comparesEqualTo(new BigDecimal(expected)));
    }
}