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Use sign of the new size which indicates direction of position

lifo_pps_ib
Tyler Goodlet 2022-06-23 20:18:59 -04:00
parent 557562e25c
commit fa89207583
1 changed files with 6 additions and 4 deletions
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piker/pp.py
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@ -236,7 +236,7 @@ class Position(Struct):
# - in this case we could recalc the be price to # - in this case we could recalc the be price to
# be reverted back to it's prior value before the nearest term # be reverted back to it's prior value before the nearest term
# trade was opened.? # trade was opened.?
dynamic_breakeven_price: bool = False, # dynamic_breakeven_price: bool = False,
) -> (float, float): ) -> (float, float):
''' '''
@ -263,12 +263,14 @@ class Position(Struct):
# the size increases not when it decreases (i.e. the # the size increases not when it decreases (i.e. the
# position is being made smaller) # position is being made smaller)
self.be_price = ( self.be_price = (
abs(size) * price # weight of current exec # weight of current exec = (size * price) + cost
(abs(size) * price)
+ +
copysign(1, size)*cost # transaction cost (copysign(1, new_size) * cost) # transaction cost
+ +
# weight of existing be price
self.be_price * abs(self.size) # weight of previous pp self.be_price * abs(self.size) # weight of previous pp
) / abs(new_size) ) / abs(new_size) # normalized by the new size: weighted mean.
self.size = new_size self.size = new_size