Implement PPU and BEP and inject the ledger frames
Since it appears impossible to compute the recurrence relations for PPU (at least sanely) without using embedded `polars.List` elements, this instead just implements price-per-unit and break-even-price calcs doing a plain-ol-for-loop imperative approach with logic branching. I burned wayy too much time trying to implement this in some kinda `polars` DF native way without luck, so hopefuly someone smarter can come in and make it work at some point xD Resolves a related bullet in #515account_tests
Tyler Goodlet
parent
b1edaf0639
commit
b37a447595
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@ -435,15 +435,19 @@ def open_ledger_dfs(
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# - it'd be more ideal to use `ppt = df.groupby('fqme').agg([`
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# - ppu and bep calcs!
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for key in dfs:
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df = dfs[key].lazy()
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# covert to lazy form (since apparently we might need it
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# eventually ...)
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df = dfs[key]
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ldf = df.lazy()
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# TODO: pass back the current `Position` object loaded from
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# the account as well? Would provide incentive to do all
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# this ledger loading inside a new async open_account().
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# bs_mktid: str = df[0]['bs_mktid']
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# pos: Position = acnt.pps[bs_mktid]
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df = dfs[key] = df.with_columns([
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df = dfs[key] = ldf.with_columns([
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pl.cumsum('size').alias('cumsize'),
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@ -473,59 +477,23 @@ def open_ledger_dfs(
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.otherwise(pl.lit('exit'))
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).alias('descr'),
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]).with_columns([
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pl.when(pl.col('cumsize') == pl.lit(0))
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.then(pl.col('src_balance'))
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.otherwise(pl.lit(None))
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.forward_fill()
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.fill_null(0)
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.alias('pnl_since_nz'),
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(pl.col('cumsize').sign() == pl.col('size').sign())
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.alias('is_enter'),
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]).with_columns([
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pl.when(pl.col('cumsize') == 0)
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.then(pl.col('pnl_since_nz'))
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.otherwise(0)
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.cumsum()
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.alias('cum_pnl_since_nz')
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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('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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pl.lit(None, dtype=pl.Float64).alias('ledger_bep'),
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]).with_columns([
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pl.when(
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pl.col('descr') == pl.lit('enter')
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).then(
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(
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pl.col('pnl_since_nz')
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-
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# -ve on buys (and no prior profits)
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pl.col('src_balance')
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)# * pl.col('cumsize').sign()
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/
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pl.col('cumsize')
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).otherwise(
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pl.lit(None)
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).forward_fill().alias('ppu_per_pos'),
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]).with_columns([
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pl.when(pl.col('descr') != pl.lit('enter'))
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.then(
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(pl.col('price') - pl.col('ppu_per_pos')) * pl.col('size') * -1
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)
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.otherwise(0)
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.alias('pnl_per_exit')
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]).with_columns([
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# (
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# # weight las ppu by the previous (txn row's)
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# # cumsize since sells may have happpened.
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# ((pl.col('last_ppu')
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# * pl.col('last_cumsize'))
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# - pl.col('net_pnl'))
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# + pl.col('i_dst_bot')
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# ) /
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# pl.col('cumsize')
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# TODO: instead of the iterative loop below i guess we
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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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# choose fields to emit for accounting puposes
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]).select([
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@ -538,4 +506,91 @@ def open_ledger_dfs(
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]),
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]).collect()
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# compute recurrence relations for ppu and bep
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last_ppu: float = 0
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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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# 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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# to each position state.
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for i, row in enumerate(df.iter_rows(named=True)):
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cumsize: float = row['cumsize']
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is_enter: bool = row['is_enter']
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if not is_enter:
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pnl = df[i, 'per_exit_pnl'] = (
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(last_ppu - row['price'])
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*
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row['size']
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)
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last_ledger_pnl = df[i, 'cum_ledger_pnl'] = last_ledger_pnl + pnl
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# reset per-position cum PnL
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if last_cumsize != 0:
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last_pos_pnl = df[i, 'cum_pos_pnl'] = last_pos_pnl + pnl
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else:
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last_pos_pnl: float = 0
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if cumsize == 0:
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ppu: float = 0
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last_ppu: float = 0
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else:
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ppu: float = last_ppu
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if abs(cumsize) > 0:
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# compute the "break even price" that
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# when the remaining cumsize is liquidated at
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# this price the net-pnl on the current position
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# will result in ZERO pnl from open to close B)
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ledger_bep: float = (
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(
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(ppu * cumsize)
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-
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last_ledger_pnl
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) / cumsize
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)
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df[i, 'ledger_bep'] = ledger_bep
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pos_bep: float = (
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(
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(ppu * cumsize)
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-
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last_pos_pnl
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) / cumsize
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)
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df[i, 'pos_bep'] = pos_bep
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elif is_enter:
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ppu: float = (
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(
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(last_ppu * last_cumsize)
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+
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(row['price'] * row['size'])
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)
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/
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cumsize
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)
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last_ppu: float = ppu
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# TODO: case where we "enter more" dst asset units
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# (increase position state) -> the bep needs to be
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# recomputed based on new ppu..
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pos_bep: float = (
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(
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(ppu * cumsize)
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-
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last_pos_pnl
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) / cumsize
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)
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df[i, 'ledger_bep'] = df[i, 'pos_bep'] = pos_bep
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df[i, 'pos_ppu'] = ppu
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last_cumsize: float = cumsize
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yield dfs, ledger
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