test_blotter.py 文件源码

def test_create_pnl_sweep_no_event_open_pnl_only(self):
        blt = blotter.Blotter(self.prices, self.rates, base_ccy="USD",
                              sweep_time=None,
                              accrual_time=pd.Timedelta("0h"),
                              eod_time=pd.Timedelta("0h"))
        blt.connect_market_data()
        ts = pd.Timestamp('2015-08-03T12:00:00')
        pos = 1
        blt.define_generic("SXM", "CAD", 0, 1, 0)
        blt.map_instrument("SXM", "SXMZ15")
        blt.trade(ts, 'SXMZ15', pos, price=800, ntc_price=800)
        ts = pd.Timestamp('2015-08-04T00:00:00')
        blt.automatic_events(ts)
        evs = blt.create_events(ts, "PNL_SWEEP")
        evs_exp = []
        self.assertEventsEqual(evs, evs_exp)