feat(PORTFOLIO-003): add premium and spread for physical gold positions
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Bu5hm4nn
271
tests/test_position_costs.py
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271
tests/test_position_costs.py
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"""Tests for position cost calculations."""
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from __future__ import annotations
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from decimal import Decimal
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from app.models.position import Position, create_position
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from app.services.position_costs import (
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calculate_effective_entry,
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calculate_effective_exit,
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calculate_true_pnl,
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get_default_premium_for_product,
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)
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class TestEffectiveEntry:
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"""Tests for calculate_effective_entry."""
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def test_no_premium_returns_entry_price(self) -> None:
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"""Entry price unchanged when no premium."""
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result = calculate_effective_entry(Decimal("2000"), None)
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assert result == Decimal("2000")
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def test_zero_premium_returns_entry_price(self) -> None:
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"""Entry price unchanged with zero premium."""
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result = calculate_effective_entry(Decimal("2000"), Decimal("0"))
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assert result == Decimal("2000")
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def test_premium_adds_to_entry(self) -> None:
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"""Premium adds to entry cost."""
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# 4% premium on $2000 = $80, total $2080
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result = calculate_effective_entry(Decimal("2000"), Decimal("0.04"))
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assert result == Decimal("2080")
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def test_large_premium(self) -> None:
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"""Large premium (10%) calculated correctly."""
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result = calculate_effective_entry(Decimal("2000"), Decimal("0.10"))
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assert result == Decimal("2200")
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class TestEffectiveExit:
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"""Tests for calculate_effective_exit."""
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def test_no_spread_returns_spot(self) -> None:
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"""Spot unchanged when no spread."""
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result = calculate_effective_exit(Decimal("2000"), None)
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assert result == Decimal("2000")
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def test_zero_spread_returns_spot(self) -> None:
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"""Spot unchanged with zero spread."""
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result = calculate_effective_exit(Decimal("2000"), Decimal("0"))
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assert result == Decimal("2000")
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def test_spread_subtracts_from_exit(self) -> None:
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"""Spread subtracts from exit value."""
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# 3% spread on $2000 = $60, result $1940
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result = calculate_effective_exit(Decimal("2000"), Decimal("0.03"))
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assert result == Decimal("1940")
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def test_large_spread(self) -> None:
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"""Large spread (5%) calculated correctly."""
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result = calculate_effective_exit(Decimal("2000"), Decimal("0.05"))
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assert result == Decimal("1900")
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class TestTruePnL:
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"""Tests for calculate_true_pnl."""
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def test_gld_position_no_premium_spread(self) -> None:
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"""GLD position with no premium/spread shows paper P&L equals true P&L."""
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position = create_position(
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underlying="GLD",
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quantity=Decimal("100"),
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entry_price=Decimal("400"),
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)
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result = calculate_true_pnl(position, Decimal("420"))
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# Paper P&L: (420 - 400) * 100 = 2000
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assert result["paper_pnl"] == 2000.0
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assert result["true_pnl"] == 2000.0
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assert result["effective_entry"] == 400.0
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assert result["effective_exit"] == 420.0
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def test_xau_position_with_premium(self) -> None:
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"""Physical gold position with premium shows higher effective entry."""
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position = create_position(
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underlying="XAU",
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quantity=Decimal("10"), # 10 oz
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entry_price=Decimal("2000"),
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purchase_premium=Decimal("0.04"), # 4%
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)
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result = calculate_true_pnl(position, Decimal("2200"))
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# Effective entry: 2000 * 1.04 = 2080
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# Paper P&L: (2200 - 2000) * 10 = 2000
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# True P&L: (2200 - 2080) * 10 = 1200
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assert result["paper_pnl"] == 2000.0
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assert result["true_pnl"] == 1200.0
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assert result["effective_entry"] == 2080.0
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assert result["premium_impact"] == 800.0 # 4% of 2000 * 10
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def test_xau_position_with_spread(self) -> None:
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"""Physical gold position with spread shows lower effective exit."""
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position = create_position(
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underlying="XAU",
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quantity=Decimal("10"),
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entry_price=Decimal("2000"),
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bid_ask_spread=Decimal("0.03"), # 3%
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)
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result = calculate_true_pnl(position, Decimal("2200"))
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# Effective exit: 2200 * 0.97 = 2134
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# Paper P&L: (2200 - 2000) * 10 = 2000
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# True P&L: (2134 - 2000) * 10 = 1340
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assert result["paper_pnl"] == 2000.0
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assert result["true_pnl"] == 1340.0
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assert result["effective_exit"] == 2134.0
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assert result["spread_impact"] == 660.0 # 3% of 2200 * 10
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def test_xau_position_with_both_premium_and_spread(self) -> None:
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"""Physical gold with both premium and spread."""
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position = create_position(
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underlying="XAU",
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quantity=Decimal("10"),
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entry_price=Decimal("2000"),
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purchase_premium=Decimal("0.04"), # 4%
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bid_ask_spread=Decimal("0.03"), # 3%
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)
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result = calculate_true_pnl(position, Decimal("2200"))
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# Effective entry: 2000 * 1.04 = 2080
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# Effective exit: 2200 * 0.97 = 2134
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# Paper P&L: (2200 - 2000) * 10 = 2000
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# True P&L: (2134 - 2080) * 10 = 540
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assert result["paper_pnl"] == 2000.0
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assert result["true_pnl"] == 540.0
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assert result["effective_entry"] == 2080.0
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assert result["effective_exit"] == 2134.0
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assert result["premium_impact"] == 800.0
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assert result["spread_impact"] == 660.0
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class TestDefaultPremiumForProduct:
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"""Tests for get_default_premium_for_product."""
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def test_gld_defaults(self) -> None:
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"""GLD has minimal premium/spread."""
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premium, spread = get_default_premium_for_product("GLD")
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assert premium == Decimal("0")
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assert spread == Decimal("0.001")
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def test_gldm_defaults(self) -> None:
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"""GLDM has minimal premium/spread."""
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premium, spread = get_default_premium_for_product("GLDM")
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assert premium == Decimal("0")
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assert spread == Decimal("0.001")
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def test_gcf_returns_none(self) -> None:
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"""GC=F futures have no premium/spread (roll costs handled separately)."""
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result = get_default_premium_for_product("GC=F")
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assert result == (None, None)
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def test_xau_default(self) -> None:
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"""XAU default uses coin defaults."""
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premium, spread = get_default_premium_for_product("XAU")
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assert premium == Decimal("0.04")
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assert spread == Decimal("0.03")
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def test_xau_coin_1oz(self) -> None:
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"""XAU 1oz coins have 4%/3%."""
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premium, spread = get_default_premium_for_product("XAU", "coin_1oz")
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assert premium == Decimal("0.04")
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assert spread == Decimal("0.03")
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def test_xau_bar_1kg(self) -> None:
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"""XAU 1kg bars have 1.5%/1.5%."""
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premium, spread = get_default_premium_for_product("XAU", "bar_1kg")
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assert premium == Decimal("0.015")
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assert spread == Decimal("0.015")
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def test_xau_allocated(self) -> None:
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"""XAU allocated storage has minimal 0.1%/0.3%."""
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premium, spread = get_default_premium_for_product("XAU", "allocated")
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assert premium == Decimal("0.001")
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assert spread == Decimal("0.003")
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def test_unknown_underlying_returns_none(self) -> None:
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"""Unknown underlying returns None."""
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result = get_default_premium_for_product("UNKNOWN")
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assert result == (None, None)
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class TestPositionWithPremiumSpread:
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"""Tests for Position model with premium/spread fields."""
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def test_create_position_with_premium(self) -> None:
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"""Create position with purchase premium."""
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position = create_position(
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underlying="XAU",
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quantity=Decimal("10"),
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entry_price=Decimal("2000"),
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purchase_premium=Decimal("0.04"),
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)
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assert position.purchase_premium == Decimal("0.04")
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assert position.bid_ask_spread is None
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def test_create_position_with_spread(self) -> None:
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"""Create position with bid/ask spread."""
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position = create_position(
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underlying="XAU",
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quantity=Decimal("10"),
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entry_price=Decimal("2000"),
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bid_ask_spread=Decimal("0.03"),
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)
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assert position.bid_ask_spread == Decimal("0.03")
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assert position.purchase_premium is None
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def test_create_position_with_both(self) -> None:
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"""Create position with both premium and spread."""
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position = create_position(
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underlying="XAU",
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quantity=Decimal("10"),
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entry_price=Decimal("2000"),
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purchase_premium=Decimal("0.04"),
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bid_ask_spread=Decimal("0.03"),
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)
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assert position.purchase_premium == Decimal("0.04")
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assert position.bid_ask_spread == Decimal("0.03")
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def test_position_serialization_with_premium_spread(self) -> None:
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"""Position serializes premium and spread correctly."""
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position = create_position(
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underlying="XAU",
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quantity=Decimal("10"),
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entry_price=Decimal("2000"),
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purchase_premium=Decimal("0.04"),
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bid_ask_spread=Decimal("0.03"),
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)
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data = position.to_dict()
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assert data["purchase_premium"] == "0.04"
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assert data["bid_ask_spread"] == "0.03"
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def test_position_deserialization_with_premium_spread(self) -> None:
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"""Position deserializes premium and spread correctly."""
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data = {
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"id": "12345678-1234-5678-1234-567812345678",
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"underlying": "XAU",
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"quantity": "10",
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"unit": "oz",
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"entry_price": "2000",
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"entry_date": "2024-01-01",
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"purchase_premium": "0.04",
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"bid_ask_spread": "0.03",
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}
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position = Position.from_dict(data)
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assert position.purchase_premium == Decimal("0.04")
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assert position.bid_ask_spread == Decimal("0.03")
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def test_position_deserialization_without_premium_spread(self) -> None:
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"""Position deserializes without premium and spread (backward compat)."""
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data = {
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"id": "12345678-1234-5678-1234-567812345678",
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"underlying": "GLD",
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"quantity": "100",
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"unit": "shares",
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"entry_price": "400",
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"entry_date": "2024-01-01",
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}
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position = Position.from_dict(data)
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assert position.purchase_premium is None
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assert position.bid_ask_spread is None
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