switch to TestItemRunner

Author: rbeeli

Project.toml

@@ -2,7 +2,7 @@ name = "Fastback"
 uuid = "2b92286b-cbc8-46f1-be48-a629b4baefca"
 authors = ["Rino Beeli <40661605+rbeeli@users.noreply.github.com>"]
 repo = "https://github.com/rbeeli/fastback.jl.git"
-version = "0.2.0"
+version = "0.3.0"
 
 [deps]
 Crayons = "a8cc5b0e-0ffa-5ad4-8c14-923d3ee1735f"
@@ -19,6 +19,7 @@ PrettyTables = "3"
 
 [extras]
 Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
+TestItemRunner = "f8b46487-2199-4994-9208-9a1283c18c0a"
 
 [targets]
-test = ["Test"]
+test = ["Test", "TestItemRunner"]

test/account.jl

@@ -1,158 +1,127 @@
-using Fastback
-using Test
 using Dates
+using TestItemRunner
 
-@testset "Account long order w/o commission" begin
+@testitem "Account long order w/o commission" begin
+    using Test, Fastback, Dates
     # create trading account
     acc = Account()
     add_cash!(acc, Cash(:USD), 100_000.0)
 
     @test cash(acc, :USD) == 100_000.0
     @test equity(acc, :USD) == 100_000.0
     @test length(acc.cash) == 1
-
     # create instrument
     DUMMY = register_instrument!(acc, Instrument(Symbol("DUMMY/USD"), :DUMMY, :USD))
-
     pos = get_position(acc, DUMMY)
-
     # generate data
     dates = collect(DateTime(2018, 1, 2):Day(1):DateTime(2018, 1, 4))
     prices = [100.0, 100.5, 102.5]
-
     # buy order
     qty = 100.0
     order = Order(oid!(acc), DUMMY, dates[1], prices[1], qty)
     exe1 = fill_order!(acc, order, dates[1], prices[1])
-
     @test exe1 == acc.trades[end]
     @test exe1.commission == 0.0
     @test nominal_value(exe1) == qty * prices[1]
     @test exe1.realized_pnl == 0.0
     # @test realized_return(exe1) == 0.0
     @test pos.avg_price == 100.0
-
     # update position and account P&L
     update_pnl!(acc, pos, prices[2])
-
     @test pos.pnl_local ≈ (prices[2] - prices[1]) * pos.quantity
     @test cash(acc, :USD) ≈ 100_000.0
     @test equity(acc, :USD) ≈ 100_000.0 + (prices[2] - prices[1]) * pos.quantity
-
     # close position
     order = Order(oid!(acc), DUMMY, dates[3], prices[3], -pos.quantity)
     fill_order!(acc, order, dates[3], prices[3])
-
     # update position and account P&L
     update_pnl!(acc, pos, prices[3])
-
     @test pos.pnl_local ≈ 0
     @test cash(acc, :USD) ≈ 100_000.0 + (prices[3] - prices[1]) * qty
     @test equity(acc, :USD) ≈ cash(acc, :USD)
-
     show(acc)
 end
 
-@testset "Account long order w/ commission ccy" begin
+@testitem "Account long order w/ commission ccy" begin
+    using Test, Fastback, Dates
     # create trading account
     acc = Account()
     add_cash!(acc, Cash(:USD), 100_000.0)
 
     @test cash(acc, :USD) == 100_000.0
     @test equity(acc, :USD) == 100_000.0
     @test length(acc.cash) == 1
-
     # create instrument
     DUMMY = register_instrument!(acc, Instrument(Symbol("DUMMY/USD"), :DUMMY, :USD))
-
     pos = get_position(acc, DUMMY)
-
     # generate data
     dates = collect(DateTime(2018, 1, 2):Day(1):DateTime(2018, 1, 4))
     prices = [100.0, 100.5, 102.5]
-
     # buy order
     qty = 100.0
     order = Order(oid!(acc), DUMMY, dates[1], prices[1], qty)
     commission = 1.0
     exe1 = fill_order!(acc, order, dates[1], prices[1]; commission=commission)
-
     @test exe1 == acc.trades[end]
     @test nominal_value(exe1) == qty * prices[1]
     @test exe1.commission == commission
     @test exe1.realized_pnl == -commission
     # @test realized_return(exe1) == 0.0
     @test pos.avg_price == 100.0
-
     # update position and account P&L
     update_pnl!(acc, pos, prices[2])
 
     @test pos.pnl_local ≈ (prices[2] - prices[1]) * pos.quantity # does not include commission!
     @test cash(acc, :USD) ≈ 100_000.0 - commission
     @test equity(acc, :USD) ≈ 100_000.0+ (prices[2] - prices[1]) * pos.quantity - commission
-
     # close position
     order = Order(oid!(acc), DUMMY, dates[3], prices[3], -pos.quantity)
     exe2 = fill_order!(acc, order, dates[3], prices[3]; commission=0.5)
-
     # update position and account P&L
     update_pnl!(acc, pos, prices[3])
-
     @test pos.pnl_local ≈ 0
     @test cash(acc, :USD) ≈ 100_000.0 + (prices[3] - prices[1]) * qty - commission - 0.5
     @test equity(acc, :USD) ≈ cash(acc, :USD)
-
     show(acc)
 end
 
-@testset "Account long order w/ commission pct" begin
+@testitem "Account long order w/ commission pct" begin
+    using Test, Fastback, Dates
     # create trading account
-    acc = Account()
-    add_cash!(acc, Cash(:USD), 100_000.0)
-
+    acc = Account(); add_cash!(acc, Cash(:USD), 100_000.0)
     @test cash(acc, :USD) == 100_000.0
     @test equity(acc, :USD) == 100_000.0
     @test length(acc.cash) == 1
-
     # create instrument
     DUMMY = register_instrument!(acc, Instrument(Symbol("DUMMY/USD"), :DUMMY, :USD))
-
     pos = get_position(acc, DUMMY)
-
     # generate data
     dates = collect(DateTime(2018, 1, 2):Day(1):DateTime(2018, 1, 4))
     prices = [100.0, 100.5, 102.5]
-
     # buy order
     qty = 100.0
     order = Order(oid!(acc), DUMMY, dates[1], prices[1], qty)
     commission_pct1 = 0.001
     exe1 = fill_order!(acc, order, dates[1], prices[1]; commission_pct=commission_pct1)
-
     @test nominal_value(exe1) == qty * prices[1]
     @test exe1.commission == commission_pct1*nominal_value(exe1)
     @test acc.trades[end].realized_pnl == -commission_pct1*nominal_value(exe1)
     # @test realized_return(acc.trades[end]) == 0.0
     @test pos.avg_price == 100.0
-
     # update position and account P&L
     update_pnl!(acc, pos, prices[2])
 
     @test pos.pnl_local ≈ (prices[2] - prices[1]) * pos.quantity # does not include commission!
     @test cash(acc, :USD) ≈ 100_000.0 - exe1.commission
     @test equity(acc, :USD) ≈ 100_000.0+ (prices[2] - prices[1]) * pos.quantity - exe1.commission
-
     # close position
     order = Order(oid!(acc), DUMMY, dates[3], prices[3], -pos.quantity)
     exe2 = fill_order!(acc, order, dates[3], prices[3]; commission_pct=0.0005)
-
     # update position and account P&L
     update_pnl!(acc, pos, prices[3])
-
     @test pos.pnl_local ≈ 0
     @test cash(acc, :USD) ≈ 100_000.0 + (prices[3] - prices[1]) * qty - exe1.commission - exe2.commission
     @test equity(acc, :USD) ≈ cash(acc, :USD)
-
     show(acc)
 end
 

test/collectors.jl

@@ -1,112 +1,97 @@
-using Fastback
-using Test
 using Dates
+using TestItemRunner
 
-@testset "periodic_collector" begin
+@testitem "periodic_collector" begin
+    using Test, Fastback, Dates
     # every 500 ms from 1 sec to 5 sec
     dts = map(x -> DateTime(2000, 1, 1) + Millisecond(x), 1000:500:5000)
     data = [100.0, 110.0, 99.0, 102.0, 105.0, 105.0, 105.0, 120.0, 110.0]
-
-    begin
-        # periodic_collector
-        f, collected = periodic_collector(Float64, Second(1))
-
-        for i in eachindex(dts)
-            should_collect(collected, dts[i]) && f(dts[i], data[i])
-        end
-
-        @test length(values(collected)) == 5
-        @test all(dates(collected) .== map(x -> DateTime(2000, 1, 1) + Second(x), 1:5))
-        @test collected.last_dt == dts[end]
+    # periodic_collector
+    f, collected = periodic_collector(Float64, Second(1))
+    for i in eachindex(dts)
+        should_collect(collected, dts[i]) && f(dts[i], data[i])
     end
+    @test length(values(collected)) == 5
+    @test all(dates(collected) .== map(x -> DateTime(2000, 1, 1) + Second(x), 1:5))
+    @test collected.last_dt == dts[end]
 end
 
-
-@testset "predicate_collector" begin
+@testitem "predicate_collector" begin
+    using Test, Fastback, Dates
     # every 500 ms from 1 sec to 5 sec
     dts = map(x -> DateTime(2000, 1, 1) + Millisecond(x), 1000:500:5000)
     data = [100.0, 110.0, 99.0, 102.0, 105.0, 105.0, 105.0, 120.0, 110.0]
-
-    begin
-        # predicate_collector
-        predicate = (collected, dt) -> (dt - collected.last_dt) >= Second(1)
-        f, collected = predicate_collector(Float64, predicate, 0.0)
-
-        for i in eachindex(dts)
-            should_collect(collected, dts[i]) && f(dts[i], data[i])
-        end
-
-        @test length(dates(collected)) == 5
-        @test all(dates(collected) .== map(x -> DateTime(2000, 1, 1) + Second(x), 1:5))
-        @test collected.last_dt == dts[end]
+    # predicate_collector
+    predicate = (collected, dt) -> (dt - collected.last_dt) >= Second(1)
+    f, collected = predicate_collector(Float64, predicate, 0.0)
+    for i in eachindex(dts)
+        should_collect(collected, dts[i]) && f(dts[i], data[i])
     end
+    @test length(dates(collected)) == 5
+    @test all(dates(collected) .== map(x -> DateTime(2000, 1, 1) + Second(x), 1:5))
+    @test collected.last_dt == dts[end]
 end
 
-
-@testset "min/max_value_collector" begin
+@testitem "min_value_collector" begin
+    using Test, Fastback, Dates
     # every 500 ms from 1 sec to 5 sec
     dts = map(x -> DateTime(2000, 1, 1) + Millisecond(x), 1000:500:5000)
     data = [100.0, 110.0, 99.0, 102.0, 105.0, 105.0, 105.0, 120.0, 110.0]
-
-    begin
-        # min_value_collector
-        f, collected = min_value_collector(Float64)
-
-        for i in eachindex(dts)
-            f(dts[i], data[i])
-        end
-
-        @test collected.min_value == minimum(data)
-        @test collected.dt == dts[indexin(minimum(data), data)][1]
+    # min_value_collector
+    f, collected = min_value_collector(Float64)
+    for i in eachindex(dts)
+        f(dts[i], data[i])
     end
+    @test collected.min_value == minimum(data)
+    @test collected.dt == dts[indexin(minimum(data), data)][1]
+end
 
-    begin
-        # max_value_collector
-        f, collected = max_value_collector(Float64)
-
-        for i in eachindex(dts)
-            f(dts[i], data[i])
-        end
-
-        @test collected.max_value == maximum(data)
-        @test collected.dt == dts[indexin(maximum(data), data)][1]
+@testitem "max_value_collector" begin
+    using Test, Fastback, Dates
+    # every 500 ms from 1 sec to 5 sec
+    dts = map(x -> DateTime(2000, 1, 1) + Millisecond(x), 1000:500:5000)
+    data = [100.0, 110.0, 99.0, 102.0, 105.0, 105.0, 105.0, 120.0, 110.0]
+    # max_value_collector
+    f, collected = max_value_collector(Float64)
+    for i in eachindex(dts)
+        f(dts[i], data[i])
     end
+    @test collected.max_value == maximum(data)
+    @test collected.dt == dts[indexin(maximum(data), data)][1]
 end
 
-@testset "drawdown_collector" begin
+@testitem "drawdown_collector_pnl" begin
+    using Test, Fastback, Dates
     # every 500 ms from 1 sec to 5 sec
     dts = map(x -> DateTime(2000, 1, 1) + Millisecond(x), 1000:500:5000)
     data = [100.0, 110.0, 99.0, 102.0, 105.0, 105.0, 105.0, 120.0, 110.0]
-    
-    begin
-        # drawdown_collector (P&L)
-        p = (v, dt, equity) -> dt - v.last_dt >= Second(1)
-        f, collected = drawdown_collector(DrawdownMode.PnL, p)
-
-        for i in eachindex(dts)
-            f(dts[i], data[i])
-        end
-
-        @test length(dates(collected)) == 5
-        @test length(values(collected)) == 5
-        @test all(dates(collected) .== map(x -> DateTime(2000, 1, 1) + Second(x), 1:5))
-        @test collected.last_dt == dts[end]
-        @test all(values(collected) .== [0.0, -11, -5, -5, -10])
+    # drawdown_collector (P&L)
+    p = (v, dt, equity) -> dt - v.last_dt >= Second(1)
+    f, collected = drawdown_collector(DrawdownMode.PnL, p)
+    for i in eachindex(dts)
+        f(dts[i], data[i])
     end
+    @test length(dates(collected)) == 5
+    @test length(values(collected)) == 5
+    @test all(dates(collected) .== map(x -> DateTime(2000, 1, 1) + Second(x), 1:5))
+    @test collected.last_dt == dts[end]
+    @test all(values(collected) .== [0.0, -11, -5, -5, -10])
+end
 
-    begin
-        # drawdown_collector (%)
-        p = (dv, dt, equity) -> dt - dv.last_dt >= Second(1)
-        f, collected = drawdown_collector(DrawdownMode.Percentage, p)
-
-        for i in eachindex(dts)
-            f(dts[i], data[i])
-        end
-
-        @test length(dates(collected)) == 5
-        @test length(values(collected)) == 5
-        @test all(dates(collected) .== map(x -> DateTime(2000, 1, 1) + Second(x), 1:5))
-        @test collected.last_dt == dts[end]
-        @test all(values(collected) .≈ [0.0, -11 / 110, -5 / 110, -5 / 110, -10 / 120])
+@testitem "drawdown_collector_pct" begin
+    using Test, Fastback, Dates
+    # every 500 ms from 1 sec to 5 sec
+    dts = map(x -> DateTime(2000, 1, 1) + Millisecond(x), 1000:500:5000)
+    data = [100.0, 110.0, 99.0, 102.0, 105.0, 105.0, 105.0, 120.0, 110.0]
+    # drawdown_collector (%)
+    p = (dv, dt, equity) -> dt - dv.last_dt >= Second(1)
+    f, collected = drawdown_collector(DrawdownMode.Percentage, p)
+    for i in eachindex(dts)
+        f(dts[i], data[i])
     end
+    @test length(dates(collected)) == 5
+    @test length(values(collected)) == 5
+    @test all(dates(collected) .== map(x -> DateTime(2000, 1, 1) + Second(x), 1:5))
+    @test collected.last_dt == dts[end]
+    @test all(values(collected) .≈ [0.0, -11 / 110, -5 / 110, -5 / 110, -10 / 120])
 end