Broker: initial implementation

src/naiback/broker/broker.py

@@ -1,4 +1,6 @@
 
+from naiback.broker.position import Position
+
 class Broker:
     """
     Broker has several responsibilities (so called SRP, or several responsibilities principle):
@@ -9,6 +11,27 @@ class Broker:
     """
 
     def __init__(self, initial_cash=100000.):
-        self.cash = initial_cash
+        self.cash_ = initial_cash
         self.positions = []
+        self.commission_percentage = 0
+
+    def cash(self):
+        return self.cash_
+
+    def add_position(self, ticker, price, amount):
+        volume = abs(price * amount)
+        if amount > 0:
+            if volume * (1 + self.commission_percentage) > self.cash_:
+                return None
+        pos = Position(ticker)
+        pos.enter(price, amount)
+        self.cash_ -= (volume + volume * self.commission_percentage)
+        self.positions.append(pos)
+        return pos
+
+    def set_commission(self, percentage):
+        self.commission_percentage = percentage
+
+    def all_positions(self):
+        return self.positions
 

src/naiback/broker/position.py

@@ -3,13 +3,22 @@ class Position:
 
     def __init__(self, ticker):
         self.ticker = ticker
-        self.entry_price = None
+        self.entry_price_ = None
         self.entry_metadata = {}
-        self.exit_price = None
+        self.exit_price_ = None
         self.exit_metadata = {}
-        self.size = None
+        self.size_ = None
         self.total_pnl = 0
 
+    def entry_price(self):
+        return self.entry_price_
+
+    def exit_price(self):
+        return self.exit_price_
+
+    def size(self):
+        return self.size_
+
     def entry_commission(self):
         return self.entry_metadata['commission']
 
@@ -20,15 +29,15 @@ class Position:
         return self.total_pnl
 
     def enter(self, price, amount, **kwargs):
-        self.entry_price = price
-        self.size = amount
+        self.entry_price_ = price
+        self.size_ = amount
 
         for k, v in kwargs.items():
             self.entry_metadata[k] = v
 
     def exit(self, price):
-        self.exit_price = price
-        self.total_pnl += (self.exit_price - self.entry_price) * self.size
-        self.size = 0
+        self.exit_price_ = price
+        self.total_pnl += (self.exit_price() - self.entry_price()) * self.size()
+        self.size_ = 0
 
 

tests/test_broker.py

@@ -0,0 +1,43 @@
+
+import pytest
+import datetime
+
+from naiback.broker.broker import Broker
+
+def test_broker_cash():
+    broker = Broker(initial_cash=100000.)
+
+    assert broker.cash() == 100000.
+
+def test_broker_add_position_enough_cash():
+    broker = Broker(initial_cash=100)
+
+    pos = broker.add_position('FOO', price=10, amount=1)
+
+    assert pos.entry_price() == 10
+    assert pos.size() == 1
+
+def test_broker_add_position_not_enough_cash():
+    broker = Broker(initial_cash=100)
+
+    pos = broker.add_position('FOO', price=1000, amount=1)
+
+    assert pos is None
+
+def test_broker_percentage_commissions():
+    broker = Broker(initial_cash=100)
+    broker.set_commission(percentage=0.05) # 0.05%
+
+    pos = broker.add_position('FOO', price=10, amount=1)
+
+    should_be_cash = 100 - 10 - 10 * 0.01 * 0.05
+
+    assert (broker.cash() - should_be_cash) < 0.00001
+
+def test_broker_all_position():
+    broker = Broker(initial_cash=100)
+
+    pos = broker.add_position('FOO', price=10, amount=1)
+
+    assert pos in broker.all_positions()
+

tests/test_position.py

@@ -11,8 +11,8 @@ def position():
 def test_position_enter(position):
     position.enter(3.50, 10)
 
-    assert position.entry_price == 3.50
-    assert position.size == 10
+    assert position.entry_price() == 3.50
+    assert position.size() == 10
 
 def test_position_enter_metadata(position):
     position.enter(3.50, 10, commission=0.1, bar=42)
@@ -30,14 +30,14 @@ def test_position_exit(position):
     position.enter(3.50, 10)
     position.exit(4.50)
 
-    assert position.exit_price == 4.50
-    assert position.size == 0
+    assert position.exit_price() == 4.50
+    assert position.size() == 0
 
 def test_position_enter_short(position):
     position.enter(3.50, -10)
 
-    assert position.entry_price == 3.50
-    assert position.size == -10
+    assert position.entry_price() == 3.50
+    assert position.size() == -10
 
 def test_position_exit_pnl(position):
     position.enter(3.50, 10)