diff --git a/.github/CODEOWNERS b/.github/CODEOWNERS new file mode 100644 index 0000000..6c39eb2 --- /dev/null +++ b/.github/CODEOWNERS @@ -0,0 +1 @@ +* @KendelChopp diff --git a/.github/workflows/node.js.yml b/.github/workflows/node.js.yml index 3a52fd4..8300116 100644 --- a/.github/workflows/node.js.yml +++ b/.github/workflows/node.js.yml @@ -16,7 +16,7 @@ jobs: strategy: matrix: - node-version: [14.x] + node-version: [12.x] steps: - uses: actions/checkout@v2 diff --git a/.gitignore b/.gitignore index de4d1f0..007ea8a 100644 --- a/.gitignore +++ b/.gitignore @@ -1,2 +1,3 @@ dist node_modules +coverage diff --git a/package-lock.json b/package-lock.json index 7d0e6c9..68f0356 100644 --- a/package-lock.json +++ b/package-lock.json @@ -1,200 +1,782 @@ { "name": "@kendelchopp/alpaca-js-backtesting", - "version": "1.0.0", + "version": "1.1.0", "lockfileVersion": 1, "requires": true, "dependencies": { - "@webassemblyjs/ast": { - "version": "1.9.0", - "resolved": 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"require-directory": "^2.1.1", "require-main-filename": "^2.0.0", "set-blocking": "^2.0.0", - "string-width": "^3.0.0", + "string-width": "^4.2.0", "which-module": "^2.0.0", "y18n": "^4.0.0", - "yargs-parser": "^13.1.2" + "yargs-parser": "^18.1.2" } }, "yargs-parser": { - "version": "13.1.2", - "resolved": "https://registry.npmjs.org/yargs-parser/-/yargs-parser-13.1.2.tgz", - "integrity": "sha512-3lbsNRf/j+A4QuSZfDRA7HRSfWrzO0YjqTJd5kjAq37Zep1CEgaYmrH9Q3GwPiB9cHyd1Y1UwggGhJGoxipbzg==", + "version": "18.1.3", + "resolved": "https://registry.npmjs.org/yargs-parser/-/yargs-parser-18.1.3.tgz", + "integrity": "sha512-o50j0JeToy/4K6OZcaQmW6lyXXKhq7csREXcDwk2omFPJEwUNOVtJKvmDr9EI1fAJZUyZcRF7kxGBWmRXudrCQ==", "dev": true, "requires": { "camelcase": "^5.0.0", diff --git a/package.json b/package.json index ebae9c1..e8dddc5 100644 --- a/package.json +++ b/package.json @@ -1,10 +1,11 @@ { "name": "@kendelchopp/alpaca-js-backtesting", - "version": "1.0.0", + "version": "1.1.0", "description": "", "main": "src/index.js", "scripts": { - "build": "webpack" + "test": "jest --collect-coverage", + "ci": "npm run test" }, "repository": { "type": "git", @@ -17,10 +18,9 @@ }, "homepage": "https://github.com/KendelChopp/alpaca-js-backtesting#readme", "devDependencies": { - "webpack": "^4.44.1", - "webpack-cli": "^3.3.12" + "jest": "^26.4.2", + "q": "^1.5.1" }, - "type": "module", "dependencies": { "lodash": "^4.17.20" } diff --git a/src/MarketData.js b/src/MarketData/MarketData.js similarity index 74% rename from src/MarketData.js rename to src/MarketData/MarketData.js index 2659dce..b82e4aa 100644 --- a/src/MarketData.js +++ b/src/MarketData/MarketData.js @@ -1,6 +1,6 @@ -import _ from 'lodash'; +const _ = require('lodash'); -import Security from './Security.js'; +const Security = require('../Security/Security.js'); /** * Class tracking market data and time for all relevant securities @@ -18,12 +18,12 @@ class MarketData { /** * Adds security with data from Alpaca data * - * @param {string} ticker - the ticker for the security + * @param {string} symbol - the symbol for the security * @param {Object[]} data - The array of data points from Alpaca */ - addSecurity(ticker, data) { + addSecurity(symbol, data) { // TODO: Convert data to a separate class to ensure it is structured - this.securities[ticker] = new Security(ticker, data); + this.securities[symbol] = new Security(symbol, data); this.maxTime = Math.max(data.length, this.maxTime); } @@ -40,7 +40,7 @@ class MarketData { return { ...security.data[this.time], ev: 'AM', - sym: security.ticker + sym: security.symbol } }); @@ -58,15 +58,15 @@ class MarketData { } /** - * Gets the current price of a security based on the ticker + * Gets the current price of a security based on the symbol * - * @param {string} ticker - the ticker for the security + * @param {string} symbol - the symbol for the security * @returns {number} the value of the security */ - getPrice(ticker) { - const security = this.securities[ticker]; + getPrice(symbol) { + const security = this.securities[symbol]; return security.price; } } -export default MarketData; +module.exports = MarketData; diff --git a/src/MarketData/MarketData.test.js b/src/MarketData/MarketData.test.js new file mode 100644 index 0000000..1bb78c8 --- /dev/null +++ b/src/MarketData/MarketData.test.js @@ -0,0 +1,135 @@ +const Security = require('../Security/Security.js'); + +const MarketData = require('./MarketData.js'); + +describe('MarketData', () => { + let marketData; + + beforeEach(() => { + marketData = new MarketData(); + }); + + test('sets the correct defaults', () => { + expect(marketData.maxTime).toBe(0); + expect(marketData.time).toBe(0); + expect(marketData.securities).toEqual({}); + }); + + describe('addSecurity', () => { + let data, symbol; + + beforeEach(() => { + data = [{ some: 'data' }, { some: 'other data' }]; + symbol = 'AAPL'; + }); + + test('adds a new security', () => { + marketData.addSecurity(symbol, data); + const newSecurity = marketData.securities[symbol]; + expect(newSecurity).toBeInstanceOf(Security); + expect(newSecurity.data).toBe(data); + expect(newSecurity.symbol).toBe(symbol); + }); + + describe('when max time is less than data.length', () => { + beforeEach(() => { + marketData.maxTime = 0; + }); + + test('sets maxTime to data.length', () => { + marketData.addSecurity(symbol, data); + expect(marketData.maxTime).toBe(data.length); + }); + }); + + describe('when max time is less than data.length', () => { + let maxTime; + + beforeEach(() => { + maxTime = 10; + marketData.maxTime = maxTime; + }); + + test('does not change maxTime', () => { + marketData.addSecurity(symbol, data); + expect(marketData.maxTime).toBe(maxTime); + }); + }); + }); + + describe('simulateMinute', () => { + let closePrice, validSecurity, invalidSecurity; + + beforeEach(() => { + closePrice = 123; + validSecurity = new Security('SPY', [{ closePrice }]); + invalidSecurity = new Security('AAPL', []); + + marketData.securities = [validSecurity, invalidSecurity]; + marketData.time = 0; + }); + + test('updates the valid security price', () => { + marketData.simulateMinute(); + expect(validSecurity.price).toBe(closePrice); + }); + + test('adds one to the current time', () => { + marketData.simulateMinute(); + expect(marketData.time).toBe(1); + }); + + test('returns a stringified map of the valid securities', () => { + const simulation = marketData.simulateMinute(); + const expected = JSON.stringify([{ + closePrice, + ev: 'AM', + sym: validSecurity.symbol + }]); + + expect(simulation).toEqual(expected); + }); + }); + + describe('hasData', () => { + describe('when time is less than maxTime', () => { + test('returns true', () => { + marketData.time = 0; + marketData.maxTime = 1; + expect(marketData.hasData).toBe(true); + }); + }); + + describe('when time is equal to maxTime', () => { + test('returns false', () => { + marketData.time = 1; + marketData.maxTime = 1; + expect(marketData.hasData).toBe(false); + }); + }); + + describe('when time is greater than maxTime', () => { + test('returns false', () => { + marketData.time = 2; + marketData.maxTime = 1; + expect(marketData.hasData).toBe(false); + }); + }); + }); + + describe('getPrice', () => { + let price, symbol; + + beforeEach(() => { + symbol = 'AAPL'; + price = 12; + const security = new Security(symbol, []); + security.price = price; + marketData.securities = { [symbol]: security }; + }); + + test('returns the price of the requested security', () => { + expect(marketData.getPrice(symbol)).toBe(price); + }); + }); +}); diff --git a/src/Portfolio.js b/src/Portfolio/Portfolio.js similarity index 93% rename from src/Portfolio.js rename to src/Portfolio/Portfolio.js index 56eb18d..1b52985 100644 --- a/src/Portfolio.js +++ b/src/Portfolio/Portfolio.js @@ -1,6 +1,6 @@ -import _ from 'lodash'; +const _ = require('lodash'); -import Position from './Position.js'; +const Position = require('../Position/Position.js'); /** * A class representing cash and all of the positions taken @@ -48,7 +48,7 @@ class Portfolio { /** * Create an order * - * @param {string} options.symbol - The ticker/symbol for the order + * @param {string} options.symbol - The symbol for the order * @param {number} options.qty - Quantity of the order * @param {string} options.side - 'buy' or 'sell' * @param {string} options.type - currently only supports 'market' @@ -61,7 +61,7 @@ class Portfolio { throw new Error('No symbol provided for order.'); } if (!options.qty || options.qty < 1) { - throw new Error('Quantity must be >= 1 to create an order'); + throw new Error('Quantity must be >= 1 to create an order.'); } if (!options.side || (options.side !== 'sell' && options.side !== 'buy')) { throw new Error('Side not provided correctly. Must be buy or sell.'); @@ -126,4 +126,4 @@ class Portfolio { } } -export default Portfolio; +module.exports = Portfolio; diff --git a/src/Portfolio/Portfolio.test.js b/src/Portfolio/Portfolio.test.js new file mode 100644 index 0000000..7ace25e --- /dev/null +++ b/src/Portfolio/Portfolio.test.js @@ -0,0 +1,344 @@ +const MarketData = require('../MarketData/MarketData.js'); +const Position = require('../Position/Position.js'); + +const Portfolio = require('./Portfolio.js'); + +describe('Portfolio', () => { + let portfolio, startValue, marketData; + + beforeEach(() => { + startValue = 100; + marketData = new MarketData(); + + portfolio = new Portfolio(startValue, marketData); + }); + + test('sets the correct defaults', () => { + expect(portfolio.cash).toBe(startValue); + expect(portfolio.startValue).toBe(startValue); + expect(portfolio.positions).toHaveLength(0); + expect(portfolio.marketData).toBe(marketData); + }); + + describe('getPosition', () => { + let position, symbol; + + beforeEach(() => { + symbol = 'AAPL'; + position = new Position(symbol) + portfolio.positions = [position]; + }); + + describe('when the position exists', () => { + test('returns the position', () => { + expect(portfolio.getPosition(symbol)).toBe(position); + }); + }); + + describe('when the position does not exist', () => { + test('returns undefined', () => { + expect(portfolio.getPosition('nonsense')).toBeUndefined(); + }); + }); + }); + + describe('findOrCreatePosition', () => { + describe('when the position exists', () => { + let position; + + beforeEach(() => { + position = new Position('AAPL'); + jest.spyOn(portfolio, 'getPosition').mockReturnValue(position); + }); + + test('returns the found position', () => { + expect(portfolio.findOrCreatePosition('AAPL')).toBe(position); + }); + }); + + describe('when the position does not exist', () => { + beforeEach(() => { + jest.spyOn(portfolio, 'getPosition').mockReturnValue(undefined); + }); + + test('creates a new position and returns it', () => { + const symbol = 'AAPL'; + const newPosition = portfolio.findOrCreatePosition(symbol); + const lastPosition = portfolio.positions[portfolio.positions.length - 1]; + expect(lastPosition.symbol).toBe(symbol); + expect(lastPosition).toBe(newPosition); + expect(lastPosition).toBeInstanceOf(Position); + }); + }); + }); + + describe('createOrder', () => { + let options; + + beforeEach(() => { + options = {}; + }); + + const testThrowsError = (error) => { + test('throws an error', () => { + expect(() => portfolio.createOrder(options)).toThrow(error); + }); + }; + + describe('when symbol is provided', () => { + let symbol; + + beforeEach(() => { + symbol = 'AAPL'; + options.symbol = symbol; + }); + + describe('when quantity is supplied', () => { + describe('when quantity is >= 1', () => { + let quantity; + + beforeEach(() => { + quantity = 2; + options.qty = quantity; + }); + + describe('when side is provided', () => { + let currentPrice; + + beforeEach(() => { + currentPrice = 10; + + jest.spyOn(console, 'warn').mockImplementation(); + jest.spyOn(marketData, 'getPrice').mockReturnValue(currentPrice); + }); + + const testGetsCurrentPrice = () => { + test('gets the current price from market data', () => { + portfolio.createOrder(options); + expect(marketData.getPrice).toBeCalledWith(symbol); + }); + }; + + describe('when side is sell', () => { + beforeEach(() => { + options.side = 'sell'; + jest.spyOn(portfolio, 'getPosition'); + }); + + testGetsCurrentPrice(); + + test('gets the position', () => { + portfolio.createOrder(options); + expect(portfolio.getPosition).toBeCalledWith(symbol); + }); + + describe('when the position exists', () => { + let startingCash, position; + + beforeEach(() => { + startingCash = 500; + position = new Position(symbol); + jest.spyOn(portfolio, 'getPosition').mockReturnValue(position); + portfolio.positions = [position]; + portfolio.cash = startingCash; + }); + + describe('when the position quantity is greater than the options quantity', () => { + beforeEach(() => { + position.quantity = quantity + 1; + }); + + test('adds the value to the cash', () => { + portfolio.createOrder(options); + expect(portfolio.cash).toBe(startingCash + quantity * currentPrice); + }); + + test('subtracts the quantity from the position', () => { + portfolio.createOrder(options); + expect(position.quantity).toBe(1); + }); + }); + + describe('when the quantity is equal to the options quantity', () => { + beforeEach(() => { + position.quantity = quantity; + }); + + test('adds the value to the cash', () => { + portfolio.createOrder(options); + expect(portfolio.cash).toBe(startingCash + quantity * currentPrice); + }); + + test('subtracts the quantity from the position', () => { + portfolio.createOrder(options); + expect(position.quantity).toBe(0); + }); + + test('removes it from the portfolio', () => { + portfolio.createOrder(options); + expect(portfolio.positions).toHaveLength(0); + }); + }); + + describe('when the quantity is less than the options quantity', () => { + beforeEach(() => { + position.quantity = quantity - 1; + }); + + test('sends a warning message', () => { + portfolio.createOrder(options); + expect(console.warn).toBeCalledWith( + 'Attempted to sell more of a position than in portfolio' + ); + }); + }); + }); + + describe('when the position does not exist', () => { + beforeEach(() => { + jest.spyOn(portfolio, 'getPosition').mockReturnValue(undefined); + }); + + test('sends a warning message', () => { + portfolio.createOrder(options); + expect(console.warn).toBeCalledWith( + 'Attempted to sell more of a position than in portfolio' + ); + }); + }); + }); + + describe('when side is buy', () => { + beforeEach(() => { + options.side = 'buy'; + }); + + testGetsCurrentPrice(); + + describe('when there is enough cash', () => { + let position, startingQuantity; + + beforeEach(() => { + startingQuantity = 2; + position = new Position('AAPL'); + position.quantity = startingQuantity; + portfolio.cash = quantity * currentPrice; + + jest.spyOn(portfolio, 'findOrCreatePosition').mockReturnValue(position); + }); + + test('finds or creates the position', () => { + portfolio.createOrder(options); + expect(portfolio.findOrCreatePosition).toBeCalledWith(symbol); + }); + + test('sets the quantity', () => { + portfolio.createOrder(options); + expect(position.quantity).toBe(startingQuantity + quantity); + }); + + test('subtracts the cash', () => { + portfolio.createOrder(options); + expect(portfolio.cash).toBe(0); + }); + }); + + describe('when there is not enough cash', () => { + beforeEach(() => { + portfolio.cash = 0; + }); + + test('sends a warning message', () => { + portfolio.createOrder(options); + expect(console.warn).toBeCalledWith('Order not executed, not enough cash'); + }); + }); + }); + + describe('when side is neither buy nor sell', () => { + beforeEach(() => { + options.side = 'nonsense'; + }); + + testThrowsError('Side not provided correctly. Must be buy or sell.'); + }); + }); + + describe('when side is not provided', () => { + beforeEach(() => { + delete options.side; + }); + + testThrowsError('Side not provided correctly. Must be buy or sell.'); + }); + }); + + describe('when quantity is < 1', () => { + beforeEach(() => { + options.qty = -2; + }); + + testThrowsError('Quantity must be >= 1 to create an order.'); + }); + }); + + describe('when quantity is not supplied', () => { + beforeEach(() => { + delete options.qty; + }); + + testThrowsError('Quantity must be >= 1 to create an order.'); + }); + }); + + describe('when symbol is not provided', () => { + beforeEach(() => { + delete options.symbol; + }); + + testThrowsError('No symbol provided for order.'); + }); + }); + + describe('getValue', () => { + let cash, position, price; + + beforeEach(() => { + cash = 150; + price = 200; + position = new Position('AAPL'); + position.quantity = 2; + portfolio.positions = [position]; + portfolio.cash = cash; + jest.spyOn(marketData, 'getPrice').mockReturnValue(price); + }); + + test('gets the price of the position', () => { + portfolio.getValue(); + expect(marketData.getPrice).toBeCalledWith(position.symbol); + }); + + test('adds up the values of the positions and cash', () => { + expect(portfolio.getValue()).toBe(cash + position.quantity * price); + }); + }); + + describe('getStats', () => { + let endValue, startValue; + + beforeEach(() => { + endValue = 101; + startValue = 100; + jest.spyOn(portfolio, 'getValue').mockReturnValue(endValue); + portfolio.startValue = startValue; + }); + + test('returns the correct values', () => { + expect(portfolio.getStats()).toEqual({ + endValue, + startValue, + roi: (endValue / startValue) - 1 + }); + }); + }); +}); diff --git a/src/Position.js b/src/Position/Position.js similarity index 92% rename from src/Position.js rename to src/Position/Position.js index b6b9412..cc003a8 100644 --- a/src/Position.js +++ b/src/Position/Position.js @@ -14,4 +14,4 @@ class Position { } } -export default Position; +module.exports = Position; diff --git a/src/Position/Position.test.js b/src/Position/Position.test.js new file mode 100644 index 0000000..6e0db0c --- /dev/null +++ b/src/Position/Position.test.js @@ -0,0 +1,15 @@ +const Position = require('./Position.js'); + +describe('Position', () => { + let symbol, position; + + beforeEach(() => { + symbol = 'AAPL'; + position = new Position(symbol); + }); + + test('sets the correct variables', () => { + expect(position.symbol).toBe(symbol); + expect(position.quantity).toBe(0); + }); +}); diff --git a/src/Security.js b/src/Security/Security.js similarity index 60% rename from src/Security.js rename to src/Security/Security.js index 0d107b1..0d7a269 100644 --- a/src/Security.js +++ b/src/Security/Security.js @@ -2,11 +2,11 @@ * Underlying class tracking the price of a Security */ class Security { - constructor(ticker, data) { - this.ticker = ticker; + constructor(symbol, data) { + this.symbol = symbol; this.price = 0; this.data = data; } } -export default Security; +module.exports = Security; diff --git a/src/Security/Security.test.js b/src/Security/Security.test.js new file mode 100644 index 0000000..7334100 --- /dev/null +++ b/src/Security/Security.test.js @@ -0,0 +1,17 @@ +const Security = require('./Security.js'); + +describe('Security', () => { + let symbol, data, security; + + beforeEach(() => { + data = { some: 'data' }; + symbol = 'AAPL'; + security = new Security(symbol, data); + }); + + test('sets the correct variables', () => { + expect(security.symbol).toBe(symbol); + expect(security.price).toBe(0); + expect(security.data).toBe(data); + }); +}); diff --git a/src/Websocket.js b/src/Websocket/Websocket.js similarity index 95% rename from src/Websocket.js rename to src/Websocket/Websocket.js index a4802dd..384d058 100644 --- a/src/Websocket.js +++ b/src/Websocket/Websocket.js @@ -1,4 +1,4 @@ -import _ from 'lodash'; +const _ = require('lodash'); /** * Websocket class mirroring Alpaca's and implementing its functionality for backtesting @@ -64,7 +64,7 @@ class Websocket { const rawChannels = _.map(this.channels, (channel) => { const isMinute = channel.startsWith('AM.'); if (!isMinute) { - throw new Error('We only support minute aggregates at this time'); + throw new Error('Only minute aggregates are supported at this time.'); } return channel.substring(3); @@ -117,4 +117,4 @@ class Websocket { } } -export default Websocket; +module.exports = Websocket; diff --git a/src/Websocket/Websocket.test.js b/src/Websocket/Websocket.test.js new file mode 100644 index 0000000..ce46f5e --- /dev/null +++ b/src/Websocket/Websocket.test.js @@ -0,0 +1,209 @@ +const _ = require('lodash'); +const q = require('q'); + +const MarketData = require('../MarketData/MarketData.js'); + +const Websocket = require('./Websocket.js'); + +describe('Websocket', () => { + let alpaca, marketData, start, end, websocket; + + beforeEach(() => { + alpaca = { getBars: jest.fn() }; + marketData = new MarketData(); + start = new Date(2020, 6, 1); + end = new Date(2020, 9, 1); + + websocket = new Websocket(alpaca, marketData, start, end); + }); + + describe('onConnect', () => { + test('sets the connect callback', () => { + const someCallback = jest.fn(); + websocket.onConnect(someCallback); + expect(websocket.connectCallback).toBe(someCallback); + }); + }); + + describe('onDisconnect', () => { + test('sets the disconnect callback', () => { + const someCallback = jest.fn(); + websocket.onDisconnect(someCallback); + expect(websocket.disconnectCallback).toBe(someCallback); + }); + }); + + describe('onStockAggMin', () => { + test('sets the stock agg min callback', () => { + const someCallback = jest.fn(); + websocket.onStockAggMin(someCallback); + expect(websocket.stockAggMinCallback).toBe(someCallback); + }); + }); + + describe('subscribe', () => { + test('sets the channels', () => { + const channels = ['AM.SPY', 'AM.AAPL']; + websocket.subscribe(channels); + expect(websocket.channels).toBe(channels); + }); + }); + + describe('loadData', () => { + describe('when there are only valid channels', () => { + let barRequest, channels, channelString, rawChannels; + + beforeEach(() => { + channels = ['AM.SPY', 'AM.AAPL']; + rawChannels = ['SPY', 'AAPL']; + channelString = 'SPY,AAPL'; + websocket.channels = channels; + + barRequest = q.defer(); + alpaca.getBars.mockReturnValue(barRequest.promise); + }); + + test('calls alpaca.getBars with the correct arguments', () => { + websocket.loadData(); + expect(alpaca.getBars).toBeCalledWith( + '1Min', + channelString, + { + start, + end + } + ); + }); + + describe('after the bar request resolves', () => { + let barData; + + beforeEach(() => { + barData = { + AAPL: { + some: 'apple data' + }, + SPY: { + some: 's&p data' + } + }; + + barRequest.resolve(barData); + jest.spyOn(marketData, 'addSecurity'); + }); + + test('calls add security with the correct data', async () => { + await websocket.loadData(); + _.forEach(rawChannels, (channel) => { + expect(marketData.addSecurity).toBeCalledWith(channel, barData[channel]); + }); + }); + }); + }); + + describe('when there is an invalid channel', () => { + test('throws an error', async () => { + websocket.channels = ['AM.SPY', 'AS.AAPL']; + try { + await websocket.loadData() + } catch (error) { + expect(error.message).toBe('Only minute aggregates are supported at this time.'); + } + }); + }); + }); + + describe('runSimulation', () => { + beforeEach(() => { + jest.spyOn(marketData, 'simulateMinute').mockImplementation(); + }); + + describe('when there is a stock agg min callback', () => { + let callback, minuteCount, simulatedMinute; + + beforeEach(() => { + callback = jest.fn(); + websocket.stockAggMinCallback = callback; + + minuteCount = 0; + jest.spyOn(marketData, 'hasData', 'get').mockImplementation(() => { + return minuteCount++ < 1; + }); + + simulatedMinute = { some: 'minute' }; + jest.spyOn(marketData, 'simulateMinute').mockReturnValue(simulatedMinute); + }); + + test('calls the callback the correct number of times', () => { + websocket.runSimulation(); + expect(marketData.simulateMinute).toBeCalled(); + expect(callback).toBeCalledWith('AM', simulatedMinute); + }); + }); + + describe('when there is not a stock agg min callback', () => { + beforeEach(() => { + websocket.stockAggMinCallback = null; + }); + + test('is a no-op', () => { + websocket.runSimulation(); + expect(marketData.simulateMinute).not.toBeCalled(); + }); + }); + }); + + describe('connect', () => { + let dataRequest; + + beforeEach(() => { + dataRequest = q.defer(); + jest.spyOn(websocket, 'loadData').mockReturnValue(dataRequest.promise); + jest.spyOn(websocket, 'runSimulation').mockImplementation(); + }); + + describe('when there is a connect callback', () => { + let callback; + + beforeEach(() => { + callback = jest.fn(); + websocket.connectCallback = callback; + }); + + test('calls the callback', () => { + websocket.connect(); + expect(callback).toBeCalled(); + }); + }); + + test('loads the data', () => { + websocket.connect(); + expect(websocket.loadData).toBeCalled(); + }); + + describe('after the data loads', () => { + beforeEach(() => { + dataRequest.resolve(); + }); + + test('calls runSimulation', async () => { + await websocket.connect(); + expect(websocket.runSimulation).toBeCalled(); + }); + + describe('when there is a disconnect callback', () => { + let callback; + + beforeEach(() => { + callback = jest.fn(); + websocket.disconnectCallback = callback; + }); + + test('calls the callback', async () => { + await websocket.connect(); + expect(callback).toBeCalled(); + }); + }); + }); + }); +}); diff --git a/src/index.js b/src/index.js index 36a47ec..4e10d44 100644 --- a/src/index.js +++ b/src/index.js @@ -1,6 +1,6 @@ -import MarketData from './MarketData.js'; -import Portfolio from './Portfolio.js'; -import Websocket from './Websocket.js'; +const MarketData = require('./MarketData/MarketData.js'); +const Portfolio = require('./Portfolio/Portfolio.js'); +const Websocket = require('./Websocket/Websocket.js'); /** * Main class defining the high level functions and members. Functions similarly to Alpaca @@ -36,7 +36,7 @@ class Backtest { /** * Create an order through the portfolio * - * @param {string} options.symbol - The ticker/symbol for the order + * @param {string} options.symbol - The symbol for the order * @param {number} options.qty - Quantity of the order * @param {string} options.side - 'buy' or 'sell' * @param {string} options.type - currently only supports 'market' @@ -58,4 +58,4 @@ class Backtest { } }; -export default Backtest; +module.exports = Backtest; diff --git a/src/index.test.js b/src/index.test.js new file mode 100644 index 0000000..b34080a --- /dev/null +++ b/src/index.test.js @@ -0,0 +1,71 @@ +const Websocket = require('./Websocket/Websocket.js'); + +const Backtest = require('./index.js'); + +describe('Backtest', () => { + let alpaca, startDate, endDate, backtest; + + beforeEach(() => { + alpaca = { some: 'alpaca object' }; + startDate = new Date(2020, 0, 1); + endDate = new Date(2020, 1, 1); + backtest = new Backtest({ alpaca, startDate, endDate }); + }); + + test('sets up the websocket', () => { + expect(backtest.data_ws).toBeInstanceOf(Websocket); + }); + + describe('constructor', () => { + describe('when no alpaca is passed', () => { + test('throws an error', () => { + expect(() => { + new Backtest(); + }).toThrow('Missing alpaca object'); + }); + }); + + describe('when no startDate is passed', () => { + test('throws an error', () => { + expect(() => { + new Backtest({ alpaca }); + }).toThrow('You must provide a start date'); + }); + }); + + describe('when no endDate is passed', () => { + test('throws an error', () => { + expect(() => { + new Backtest({ alpaca, startDate }); + }).toThrow('You must provide an end date'); + }); + }); + }); + + describe('createOrder', () => { + beforeEach(() => { + jest.spyOn(backtest._portfolio, 'createOrder').mockImplementation(); + }); + + test('defers to the portfolio create order', () => { + const options = { some: 'options' }; + backtest.createOrder(options); + expect(backtest._portfolio.createOrder).toBeCalledWith(options); + }); + }); + + describe('getStats', () => { + let stats; + + beforeEach(() => { + stats = { some: 'stats' }; + jest.spyOn(backtest._portfolio, 'getStats').mockReturnValue(stats); + }); + + test('defers to the portfolio stats', () => { + const backtestStats = backtest.getStats(); + expect(backtest._portfolio.getStats).toBeCalled(); + expect(backtestStats).toEqual(stats); + }); + }); +});