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Swap branch order for enter/exit 

Also fix bug since we always need to reset cum_pos_pnl
after a `exit_to_zero` case.
account_tests
Tyler Goodlet 2023-07-31 17:32:49 -04:00
parent 100be54641
commit 5d24b5defb
1 changed files with 58 additions and 32 deletions
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90
piker/accounting/calc.py
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@ -511,6 +511,7 @@ def open_ledger_dfs(
last_cumsize: float = 0 last_cumsize: float = 0
last_ledger_pnl: float = 0 last_ledger_pnl: float = 0
last_pos_pnl: float = 0 last_pos_pnl: float = 0
last_is_enter: bool = False
# imperatively compute the PPU (price per unit) and BEP # imperatively compute the PPU (price per unit) and BEP
# (break even price) iteratively over the ledger, oriented # (break even price) iteratively over the ledger, oriented
@ -519,7 +520,59 @@ def open_ledger_dfs(
cumsize: float = row['cumsize'] cumsize: float = row['cumsize']
is_enter: bool = row['is_enter'] is_enter: bool = row['is_enter']
if not is_enter: # ALWAYS reset per-position cum PnL
if last_cumsize == 0:
last_pos_pnl: float = 0
# a "position size INCREASING" transaction which "makes
# larger", in src asset unit terms, the trade's
# side-size of the destination asset:
# - "buying" (more) units of the dst asset
# - "selling" (more short) units of the dst asset
if is_enter:
ppu: float = (
(
(last_ppu * last_cumsize)
+
(row['price'] * row['size'])
) /
cumsize
)
pos_bep: float = ppu
# When we "enter more" dst asset units (increase
# position state) AFTER having exitted some units
# the bep needs to be RECOMPUTED based on new ppu
# such that liquidation of the cumsize at the bep
# price results in a zero-pnl for the existing
# position (since the last one).
if (
not last_is_enter
and last_cumsize != 0
):
pos_bep: float = (
(
(ppu * cumsize)
-
last_pos_pnl
)
/
cumsize
)
df[i, 'ledger_bep'] = df[i, 'pos_bep'] = pos_bep
# a "position size DECREASING" transaction which "makes
# smaller" the trade's side-size of the destination
# asset:
# - selling previously bought units of the dst asset
# (aka 'closing' a long position).
# - buying previously borrowed and sold (short) units
# of the dst asset (aka 'covering'/'closing' a short
# position).
else:
pnl = df[i, 'per_exit_pnl'] = ( pnl = df[i, 'per_exit_pnl'] = (
(last_ppu - row['price']) (last_ppu - row['price'])
@ -529,11 +582,7 @@ def open_ledger_dfs(
last_ledger_pnl = df[i, 'cum_ledger_pnl'] = last_ledger_pnl + pnl last_ledger_pnl = df[i, 'cum_ledger_pnl'] = last_ledger_pnl + pnl
# reset per-position cum PnL last_pos_pnl = df[i, 'cum_pos_pnl'] = last_pos_pnl + pnl
if last_cumsize != 0:
last_pos_pnl = df[i, 'cum_pos_pnl'] = last_pos_pnl + pnl
else:
last_pos_pnl: float = 0
if cumsize == 0: if cumsize == 0:
ppu: float = 0 ppu: float = 0
@ -541,6 +590,7 @@ def open_ledger_dfs(
else: else:
ppu: float = last_ppu ppu: float = last_ppu
if abs(cumsize) > 0: if abs(cumsize) > 0:
# compute the "break even price" that # compute the "break even price" that
# when the remaining cumsize is liquidated at # when the remaining cumsize is liquidated at
@ -564,33 +614,9 @@ def open_ledger_dfs(
) )
df[i, 'pos_bep'] = pos_bep df[i, 'pos_bep'] = pos_bep
elif is_enter:
ppu: float = (
(
(last_ppu * last_cumsize)
+
(row['price'] * row['size'])
)
/
cumsize
)
last_ppu: float = ppu
# TODO: case where we "enter more" dst asset units
# (increase position state) -> the bep needs to be
# recomputed based on new ppu..
pos_bep: float = (
(
(ppu * cumsize)
-
last_pos_pnl
) / cumsize
)
df[i, 'ledger_bep'] = df[i, 'pos_bep'] = pos_bep
df[i, 'pos_ppu'] = ppu df[i, 'pos_ppu'] = ppu
last_ppu: float = ppu
last_cumsize: float = cumsize last_cumsize: float = cumsize
last_is_enter: bool = is_enter
yield dfs, ledger yield dfs, ledger