Cost part of position breakeven calc is direction dependent

lifo_pps_ib
Tyler Goodlet 2022-06-23 16:11:50 -04:00
parent 8a7e391b4e
commit c6efa2641b
1 changed files with 2 additions and 1 deletions

View File

@ -25,6 +25,7 @@ from contextlib import contextmanager as cm
# from pprint import pformat
import os
from os import path
from math import copysign
import re
import time
from typing import (
@ -264,7 +265,7 @@ class Position(Struct):
self.be_price = (
abs(size) * price # weight of current exec
+
cost # transaction cost
copysign(1, size)*cost # transaction cost
+
self.be_price * abs(self.size) # weight of previous pp
) / abs(new_size)