Only re-calc avg pp price on pp size increases
parent
62dd327ef3
commit
bd754b740d
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@ -187,6 +187,7 @@ class PaperBoi:
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# remaining lots to fill
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order_complete: bool = True,
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remaining: float = 0,
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) -> None:
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"""Pretend to fill a broker order @ price and size.
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@ -259,14 +260,24 @@ class PaperBoi:
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# TODO: eventually it'd be nice to have a small set of routines
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# to do this stuff from a sequence of cleared orders to enable
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# so called "contextual positions".
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new_size = size + pp_msg.size
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if new_size != 0:
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pp_msg.avg_price = (size*price + pp_msg.avg_price) / new_size
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else:
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# old size minus the new size gives us size differential with
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# +ve -> increase in pp size
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# -ve -> decrease in pp size
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size_diff = abs(new_size) - abs(pp_msg.size)
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if new_size == 0:
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pp_msg.avg_price = 0
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elif size_diff > 0:
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# only update the "average position price" when the position
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# size increases not when it decreases (i.e. the position is
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# being made smaller)
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pp_msg.avg_price = (
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abs(size) * price + pp_msg.avg_price * abs(pp_msg.size)
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) / abs(new_size)
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pp_msg.size = new_size
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await self.ems_trades_stream.send(pp_msg.dict())
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