check monotonicity of index (#70)

Co-authored-by: Thomas Schmelzer <[email protected]>

cvx/simulator/portfolio.py

@@ -39,9 +39,14 @@ def update(self, position, model=None, **kwargs):
 
 def build_portfolio(prices, stocks=None, initial_cash=1e6, trading_cost_model=None):
     assert isinstance(prices, pd.DataFrame)
+    assert prices.index.is_monotonic_increasing
+    assert prices.index.is_unique
 
     if stocks is None:
         stocks = pd.DataFrame(index=prices.index, columns=prices.columns, data=0.0, dtype=float)
+    else:
+        assert stocks.index.is_monotonic_increasing
+        assert stocks.index.is_unique
 
     assert set(stocks.index).issubset(set(prices.index))
     assert set(stocks.columns).issubset(set(prices.columns))
@@ -159,7 +164,7 @@ def __mul__(self, scalar):
         """
         Multiplies positions by a scalar
         """
-        return _EquityPortfolio(prices=self.prices, stocks=self.stocks * scalar)
+        return _EquityPortfolio(prices=self.prices, stocks=self.stocks * scalar, initial_cash=self.initial_cash * scalar, model=self.trading_cost_model)
 
     def __add__(self, port_new):
         """
@@ -187,4 +192,5 @@ def __add__(self, port_new):
         pd.testing.assert_frame_equal(prices_left, prices_right)
 
         return build_portfolio(prices=prices_right, stocks=positions,
-                               initial_cash=self.initial_cash + port_new.initial_cash)
+                               initial_cash=self.initial_cash + port_new.initial_cash,
+                               trading_cost_model=self.trading_cost_model)

tests/test_portfolio.py

@@ -199,4 +199,43 @@ def test_set_cashpositions(prices):
 
     assert portfolio.nav.values[-1] == pytest.approx(49773.093729)
 
-        #portfolio[now] = portfolio[before]
+        #portfolio[now] = portfolio[before]
+
+def test_duplicates():
+    """
+    duplicate in index
+    """
+    prices = pd.DataFrame(index=[1, 1], columns=["A"])
+    with pytest.raises(AssertionError):
+        build_portfolio(prices=prices)
+
+    prices = pd.DataFrame(index=[1], columns=["A"])
+    position = pd.DataFrame(index=[1, 1], columns=["A"])
+
+    with pytest.raises(AssertionError):
+        build_portfolio(prices=prices, stocks=position)
+
+
+def test_monotonic():
+    """
+    index not increasing
+    """
+    prices = pd.DataFrame(index=[2, 1], columns=["A"])
+    with pytest.raises(AssertionError):
+        build_portfolio(prices=prices)
+
+def test_portfolio(prices):
+    """
+    build portfolio from price
+    """
+    portfolio = build_portfolio(prices=prices)
+    pd.testing.assert_frame_equal(portfolio.prices, prices.ffill())
+
+    for t in portfolio.index:
+        # set the position
+        portfolio[t] = pd.Series(index=prices.keys(), data=1000.0)
+
+    pd.testing.assert_frame_equal(
+        portfolio.stocks,
+        pd.DataFrame(index=prices.index, columns=prices.keys(), data=1000.0),
+    )