Since it's depended on by `.data` stuff as well as pretty much
everything else, makes more sense to expose it as a top level module
(and maybe eventually as a subpkg as we add to it).
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.
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 #515
Took a little while to get right using declarative style but it's
finally workin and seems (mostly correct B)
Computes the ppu (price per unit) using the PnL since last
net-zero-cumsize (aka the pnl from open to close) and uses it to calc
the pnl-per-exit trade (using the ppu).
Next up, bep (break even price both) per position and maybe since
ledger start or an arbitrary ref point?
Since some backends are going to have the issue of supporting multiple
venues for a given "position distinguishing instrument", like IB, we
can't presume that every `Position` can be uniquely keyed by
a `MktPair.fqme` (since the venue part can change and still be the same
"pair" relationship in accounting terms) so instead presume the
"backend system's market id" is the unique key (at least for now)
instead of the fqme.
More practically we use the `bs_mktid` to groupby-partition the per
pair DFs from the trades ledger and attempt to scan-match the input
fqme (in `ledger disect` cli) against the fqme column values set.
- start flipping over internals to `Position.cumsize`
- allow passing in a `_mktmap_table` to `Account.update_from_ledger()`
for cases where the caller wants to per-call-dyamically insert the
`MktPair` via a one-off table (cough IB).
- use `polars.from_dicts()` in `.calc.open_ledger_dfs()`. and wrap the
whole func in a new `toolz.open_crash_handler()`.
Since apparently rendering to dict from a sorted generator func clearly
doesn't preserve the order when using a `dict`-comprehension.. Further,
there's really no reason to strictly return a `dict`. Adjust
`.calc.ppu()` to make the return value instead a `list[tuple[str,
dict]]`; this results in the current df cumsum values matching the
original impl and the existing `binance.paper` unit tests now passing XD
Other details that fix a variety of nonsense..
- adjust all `.clearsitems()` consumers to the new list output.
- use `str(pendulum.now())` in `Position.from_msg()` since adding
multiples with an `unknown` str will obviously discard them, facepalm.
- fix `.calc.ppu()` to NOT short circuit when `accum_size` is 0; it's
been causing all sorts of incorrect size outputs in the clearing
table.. lel, this is what fixed the unit test!
Previously the cum-size calc(s) was in the `disect` CLI but it's better
stuffed into the backing df converter. Also, ensure that whenever
a `dt` field is type-detected as a `str` we parse it to `DateTime`.
Require passing an explicit flag when entering from sync code with an
extra super duper explicit runtime error to indicate how to use in the
async case as well!
Also, do rewrites of both the fqme (from best match in the symcache
according to search - the worst case) or from the `bs_mktid` field if
it exists (should only be true for paper engine accounts) AND the
`bs_mktid` for paper accounts if it seems un-fully-qualified.
To isolate it from the ledger/account mods and bc it is actually for
doing (eventual) position calcs / anal, might as well put it in this
mod. Add in the old-masked `ensure_state()` method content in case we
want to use it later for testing. Also tighten up the parser loading
inside `dyn_parse_to_dt()`.
We're probably going to move to implementing all accounting using
`polars.DataFrame` and friends and thus this rejig preps for a much more
"stateless" implementation of our `Position` type and its internal
pos-accounting metrics: `ppu` and `cumsize`.
Summary:
- wrt to `._pos.Position`:
- rename `.size`/`.accum_size` to `.cumsize` to be more in line
with `polars.DataFrame.cumsum()`.
- make `Position.expiry` delegate to the underlying `.mkt: MktPair`
handling (hopefully) all edge cases..
- change over to a new `._events: dict[str, Transaction]` in prep
for #510 (and friends) and enforce a new `Transaction.etype: str`
which is by default `clear`.
- add `.iter_by_type()` which iterates, filters and sorts the
entries in `._events` from above.
- add `Position.clearsdict()` which returns the dict-ified and
datetime-sorted table which can more-or-less be stored in the
toml account file.
- add `.minimized_clears()` a new (and close) version of the old
method which always grabs at least one clear before
a position-side-polarity-change.
- mask-drop `.ensure_state()` since there is no more `.size`/`.price`
state vars (per say) as we always re-calc the ppu and cumsize from
the clears records on every read.
- `.add_clear` no longer does bisec insorting since all sorting is
done on position properties *reads*.
- move the PPU (price per unit) calculator to a new `.accounting.calcs`
as well as add in the `iter_by_dt()` clearing transaction sorted
iterator.
- also make some fixes to this to handle both lists of `Transaction`
as well as `dict`s as before.
- start rename of `PpTable` -> `Account` and make a note about adding
a `.balances` table.
- always `float()` the transaction size/price values since it seems if
they get processed as `tomlkit.Integer` there's some suuper weird
double negative on read-then-write to the clears table?
- something like `cumsize = -1` -> `cumsize = --1` !?!?
- make `load_pps_from_ledger()` work again but now includes some very
very first draft `polars` df processing from a transaction ledger.
- use this from the `accounting.cli.disect` subcmd which is also in
*super early draft* mode ;)
- obviously as mentioned in the `Position` section, add the new `.calcs`
module with a `.ppu()` calculator func B)
Tyler Goodlet