def __add__(self, other):
"""Adding positions should give you the net position"""
assert isinstance(other, CashPosition)
assert self.instrument == other.instrument
# collect histories
notional_history = _merge(self.__notional_history,
other.__notional_history)
ret = CashPosition(
notional_history[-1][0],
self.instrument,
self.exchange # FIXME
)
ret.__notional_history = notional_history
return ret
def __add__(self, other: object) -> "Position":
"""Adding positions should give you the net position"""
assert isinstance(other, Position)
assert self.instrument == other.instrument
# collect histories
size_history = _merge(self.__size_history, other.__size_history)
notional_history = _merge(self.__notional_history,
other.__notional_history)
price_history = _merge(self.__price_history, other.__price_history,
False)
investment_history = _merge(self.__investment_history,
other.__investment_history)
instrumentPrice_history = _merge(self.__instrumentPrice_history,
other.__instrumentPrice_history,
False)
pnl_history = _merge(self.__pnl_history, other.__pnl_history)
unrealizedPnl_history = _merge(self.__unrealizedPnl_history,
other.__unrealizedPnl_history)
ret = Position(
size_history[-1][0],
price_history[-1][0],
size_history[-1][1],
self.instrument,
self.exchange, # FIXME
self.trades + other.trades,
)
ret.__size_history = size_history
ret.__notional_history = notional_history
ret.__price_history = price_history
ret.__investment_history = investment_history
ret.__instrumentPrice_history = instrumentPrice_history
ret.__pnl_history = pnl_history
ret.__unrealizedPnl_history = unrealizedPnl_history
return ret
def test_merge(self):
from aat.common import _merge
l1 = [
(1, datetime(2020, 1, 1)),
(1, datetime(2020, 1, 2)),
(2, datetime(2020, 1, 3)),
(2, datetime(2020, 1, 4)),
(3, datetime(2020, 1, 5)),
(3, datetime(2020, 1, 6)),
(4, datetime(2020, 1, 7)),
(4, datetime(2020, 1, 8)),
(3, datetime(2020, 1, 9)),
(3, datetime(2020, 1, 20)),
(2, datetime(2020, 1, 21)),
(2, datetime(2020, 1, 22)),
(1, datetime(2020, 1, 23)),
(1, datetime(2020, 1, 24)),
(0, datetime(2020, 1, 25)),
(0, datetime(2020, 1, 26)),
(-1, datetime(2020, 1, 27)),
(-1, datetime(2020, 1, 28)),
(0, datetime(2020, 1, 29)),
(0, datetime(2020, 1, 30)),
]
l2 = [
(1, datetime(2020, 1, 5)),
(1, datetime(2020, 1, 6)),
(1, datetime(2020, 1, 7)),
(1, datetime(2020, 1, 8)),
(-2, datetime(2020, 1, 9)),
(-2, datetime(2020, 1, 10)),
(-2, datetime(2020, 1, 11)),
(-2, datetime(2020, 1, 12)),
(-2, datetime(2020, 1, 13)),
(-2, datetime(2020, 1, 14)),
(2, datetime(2020, 1, 22)),
(2, datetime(2020, 1, 23)),
(2, datetime(2020, 1, 24)),
(2, datetime(2020, 1, 25)),
(2, datetime(2020, 1, 26)),
(1, datetime(2020, 1, 29)),
(1, datetime(2020, 1, 30)),
]
combined = [
(1, datetime(2020, 1, 1)),
(1, datetime(2020, 1, 2)),
(2, datetime(2020, 1, 3)),
(2, datetime(2020, 1, 4)),
(4, datetime(2020, 1, 5)),
(4, datetime(2020, 1, 6)),
(5, datetime(2020, 1, 7)),
(5, datetime(2020, 1, 8)),
(1, datetime(2020, 1, 9)),
(1, datetime(2020, 1, 10)),
(1, datetime(2020, 1, 11)),
(1, datetime(2020, 1, 12)),
(1, datetime(2020, 1, 13)),
(1, datetime(2020, 1, 14)),
(1, datetime(2020, 1, 20)),
(0, datetime(2020, 1, 21)),
(4, datetime(2020, 1, 22)),
(3, datetime(2020, 1, 23)),
(3, datetime(2020, 1, 24)),
(2, datetime(2020, 1, 25)),
(2, datetime(2020, 1, 26)),
(1, datetime(2020, 1, 27)),
(1, datetime(2020, 1, 28)),
(1, datetime(2020, 1, 29)),
(1, datetime(2020, 1, 30)),
]
ret = _merge(l1, l2)
assert ret == combined