def execution(self, tx: Exec):
exec_pos = Position(pos=tx.delta, price=tx.price, side=tx.side)
if tx.delta > 0:
self.pos += exec_pos + exec_pos.fee_pos(tx.fee)
if self.pos.position() == 0:
self.closed_pnl += self.pos.balance
self.pos = Position(0, 0)
self.zero_position_time = time.time()
def take_pnl(self):
if self.pos.position() == 0:
return Decimal('0')
exit_side = Side.opposite_side(self.position())
take_price = self.nbbo.side(Side.side(self.position()))
take_order = Position(pos=self.pos.abs_position(),
price=take_price,
side=exit_side)
take_pos = self.pos + take_order + take_order.fee_pos(self.fee)
return take_pos.balance
def test_fee():
def test_case(pos, order):
fee_pos = order.fee_pos('0.18')
print("pos " + str(pos))
print("order " + str(order))
print("fee " + str(fee_pos))
wo_fee = pos + order
w_fee = pos + order + fee_pos
print("wo_fee " + str(wo_fee))
print("w_fee " + str(w_fee))
assert wo_fee.balance >= w_fee.balance, "pos " + str(
pos) + " order" + str(order)
assert (abs(fee_pos.balance) < abs(order.balance)) or (order.balance ==0 and fee_pos.balance==0)\
, "fee " + fee_pos.balance+" order cost " + order.balance
pos = Position(pos=Decimal('1'), balance=Decimal('1199'), side=Side.BID)
order = Position(pos=Decimal('1'), balance=Decimal('1200'), side=Side.ASK)
test_case(order, pos)
print('---------')
test_case(pos, order)
print('---------')
pos = Position(pos=Decimal('0.01'), balance=Decimal('1199'), side=Side.BID)
order = Position(pos=Decimal('0.01'),
balance=Decimal('1200'),
side=Side.ASK)
test_case(pos, order)
print('---------')
pos = Position(pos=Decimal('0.01'), balance=Decimal('12'), side=Side.BID)
order = Position(pos=Decimal('0.01'), price=Decimal('1201'), side=Side.ASK)
test_case(order, pos)
print('---------')
test_case(pos, order)
print('---------')
pos = Position(pos=Decimal('0'), balance=Decimal('0'), side=Side.BID)
order = Position(pos=Decimal('0.01'), price=Decimal('1201'), side=Side.ASK)
print("order fee " + str(order.fee_pos(Decimal('0.18')).balance))
test_case(pos, order)
print('---------')
test_case(order, pos)
assert pos + order == pos + order + order.fee_pos(0)