Guess exit transaction costs for BEP prediction
In order to attempt giving the user a realistic prediction for a BEP per txn we need to model what the (worst case) anticipated exit txn costs will be during the equivalent, paired entries. For now we use a simple "symmetric cost prediction" model where we assume the exit costs will be simply the same as the enter txn costs and thus on every entry we apply 2x the enter txn cost; on exit txns we then unroll these predictions by keeping a cumulative sum of the cost-per-unit and reversing the charges based on applying that mean to the current exit txn's size. Once unrolled we apply the actual exit txn cost received from the broker-provider.account_tests
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@ -392,12 +392,6 @@ def open_ledger_dfs(
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def ledger_to_dfs(
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ledger: TransactionLedger,
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# include transaction cost in breakeven price
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# and presume the worst case of the same cost
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# to exit this transaction (even though in reality
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# it will be dynamic based on exit stratetgy).
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cost_scalar: float = 1,
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) -> dict[str, pl.DataFrame]:
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txns: dict[str, Transaction] = ledger.to_txns()
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@ -471,7 +465,7 @@ def ledger_to_dfs(
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(
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(pl.col('price') * pl.col('size'))
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+
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pl.col('cost')
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(pl.col('cost')) # * pl.col('size').sign())
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).alias('dst_bot'),
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]).with_columns([
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@ -499,8 +493,10 @@ def ledger_to_dfs(
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]).with_columns([
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pl.lit(0, dtype=pl.Utf8).alias('virt_cost'),
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pl.lit(0, dtype=pl.Float64).alias('applied_cost'),
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pl.lit(0, dtype=pl.Float64).alias('pos_ppu'),
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pl.lit(0, dtype=pl.Float64).alias('per_exit_pnl'),
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pl.lit(0, dtype=pl.Float64).alias('per_txn_pnl'),
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pl.lit(0, dtype=pl.Float64).alias('cum_pos_pnl'),
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pl.lit(0, dtype=pl.Float64).alias('pos_bep'),
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pl.lit(0, dtype=pl.Float64).alias('cum_ledger_pnl'),
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@ -510,7 +506,7 @@ def ledger_to_dfs(
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# could try using embedded lists to track which txns
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# are part of which ppu / bep calcs? Not sure this will
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# look any better nor be any more performant though xD
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# pl.lit([[0]], dtype=pl.List).alias('list'),
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# pl.lit([[0]], dtype=pl.List(pl.Float64)).alias('list'),
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# choose fields to emit for accounting puposes
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]).select([
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@ -528,7 +524,7 @@ def ledger_to_dfs(
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last_cumsize: float = 0
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last_ledger_pnl: float = 0
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last_pos_pnl: float = 0
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# last_is_enter: bool = False # TODO: drop right?
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virt_costs: list[float, float] = [0., 0.]
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# imperatively compute the PPU (price per unit) and BEP
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# (break even price) iteratively over the ledger, oriented
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@ -541,16 +537,17 @@ def ledger_to_dfs(
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price: float = row['price']
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size: float = row['size']
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# the profit is ALWAYS decreased, aka made a "loss"
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# by the constant fee charged by the txn provider!
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# see below in final PnL calculation and row element
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# set.
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txn_cost: float = row['cost']
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pnl: float = 0
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# ALWAYS reset per-position cum PnL
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if last_cumsize == 0:
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last_pos_pnl: float = 0
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# the profit is ALWAYS decreased, aka made a "loss"
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# by the constant fee charged by the txn provider!
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# TODO: support exit txn virtual cost which we
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# resolve on exit txns incrementally?
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pnl: float = -1 * row['cost']
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# a "position size INCREASING" or ENTER transaction
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# which "makes larger", in src asset unit terms, the
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# trade's side-size of the destination asset:
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@ -558,6 +555,29 @@ def ledger_to_dfs(
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# - "selling" (more short) units of the dst asset
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if is_enter:
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# Naively include transaction cost in breakeven
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# price and presume the worst case of the
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# exact-same-cost-to-exit this transaction's worth
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# of size even though in reality it will be dynamic
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# based on exit strategy, price, liquidity, etc..
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virt_cost: float = txn_cost
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# cpu: float = cost / size
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# cummean of the cost-per-unit used for modelling
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# a projected future exit cost which we immediately
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# include in the costs incorporated to BEP on enters
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last_cum_costs_size, last_cpu = virt_costs
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cum_costs_size: float = last_cum_costs_size + abs(size)
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cumcpu = (
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(last_cpu * last_cum_costs_size)
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+
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txn_cost
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) / cum_costs_size
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virt_costs = [cum_costs_size, cumcpu]
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txn_cost = txn_cost + virt_cost
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df[i, 'virt_cost'] = f'{-virt_cost} FROM {cumcpu}@{cum_costs_size}'
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# a cumulative mean of the price-per-unit acquired
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# in the destination asset:
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# https://en.wikipedia.org/wiki/Moving_average#Cumulative_average
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@ -587,16 +607,44 @@ def ledger_to_dfs(
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# only changes on position size increasing txns
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ppu: float = last_ppu
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# include the per-txn profit or loss given we are
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# "closing" the position with this txn.
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pnl += (last_ppu - price) * size
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# UNWIND IMPLIED COSTS FROM ENTRIES
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# => Reverse the virtual/modelled (2x predicted) txn
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# cost that was included in the least-recently
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# entered txn that is still part of the current CSi
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# set.
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# => we look up the cost-per-unit cumsum and apply
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# if over the current txn size (by multiplication)
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# and then reverse that previusly applied cost on
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# the txn_cost for this record.
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#
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# NOTE: current "model" is just to previously assumed 2x
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# the txn cost for a matching enter-txn's
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# cost-per-unit; we then immediately reverse this
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# prediction and apply the real cost received here.
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last_cum_costs_size, last_cpu = virt_costs
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prev_virt_cost: float = last_cpu * abs(size)
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txn_cost: float = txn_cost - prev_virt_cost # +ve thus a "reversal"
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cum_costs_size: float = last_cum_costs_size - abs(size)
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virt_costs = [cum_costs_size, last_cpu]
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df[i, 'virt_cost'] = (
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f'{-prev_virt_cost} FROM {last_cpu}@{cum_costs_size}'
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)
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# the per-txn profit or loss (PnL) given we are
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# (partially) "closing"/"exiting" the position via
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# this txn.
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pnl: float = (last_ppu - price) * size
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# always subtract txn cost from total txn pnl
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txn_pnl: float = pnl - txn_cost
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# cumulative PnLs per txn
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last_ledger_pnl = (
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last_ledger_pnl + pnl
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last_ledger_pnl + txn_pnl
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)
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last_pos_pnl = df[i, 'cum_pos_pnl'] = (
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last_pos_pnl + pnl
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last_pos_pnl + txn_pnl
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)
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if cumsize == 0:
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@ -638,7 +686,8 @@ def ledger_to_dfs(
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# inject DF row with all values
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df[i, 'pos_ppu'] = ppu
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df[i, 'per_exit_pnl'] = pnl
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df[i, 'per_txn_pnl'] = txn_pnl
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df[i, 'applied_cost'] = -txn_cost
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df[i, 'cum_pos_pnl'] = last_pos_pnl
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df[i, 'pos_bep'] = pos_bep
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df[i, 'cum_ledger_pnl'] = last_ledger_pnl
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