def __core_dict(self):
pos_stats = calc_position_stats(self.position_tracker)
period_stats = calc_period_stats(pos_stats, self.ending_cash)
rval = {
'ending_value': self.ending_value,
'ending_exposure': self.ending_exposure,
# this field is renamed to capital_used for backward
# compatibility.
'capital_used': self.period_cash_flow,
'starting_value': self.starting_value,
'starting_exposure': self.starting_exposure,
'starting_cash': self.starting_cash,
'ending_cash': self.ending_cash,
'portfolio_value': self.ending_cash + self.ending_value,
'pnl': self.pnl,
'returns': self.returns,
'period_open': self.period_open,
'period_close': self.period_close,
'gross_leverage': period_stats.gross_leverage,
'net_leverage': period_stats.net_leverage,
'short_exposure': pos_stats.short_exposure,
'long_exposure': pos_stats.long_exposure,
'short_value': pos_stats.short_value,
'long_value': pos_stats.long_value,
'longs_count': pos_stats.longs_count,
'shorts_count': pos_stats.shorts_count,
}
return rval
def __core_dict(self):
pos_stats = calc_position_stats(self.position_tracker)
period_stats = calc_period_stats(pos_stats, self.ending_cash)
rval = {
'ending_value': self.ending_value,
'ending_exposure': self.ending_exposure,
# this field is renamed to capital_used for backward
# compatibility.
'capital_used': self.period_cash_flow,
'starting_value': self.starting_value,
'starting_exposure': self.starting_exposure,
'starting_cash': self.starting_cash,
'ending_cash': self.ending_cash,
'portfolio_value': self.ending_cash + self.ending_value,
'pnl': self.pnl,
'returns': self.returns,
'period_open': self.period_open,
'period_close': self.period_close,
'gross_leverage': period_stats.gross_leverage,
'net_leverage': period_stats.net_leverage,
'short_exposure': pos_stats.short_exposure,
'long_exposure': pos_stats.long_exposure,
'short_value': pos_stats.short_value,
'long_value': pos_stats.long_value,
'longs_count': pos_stats.longs_count,
'shorts_count': pos_stats.shorts_count,
}
return rval
def as_account(self):
account = self._account_store
pt = self.position_tracker
pos_stats = calc_position_stats(pt)
period_stats = calc_period_stats(pos_stats, self.ending_cash)
# If no attribute is found on the PerformancePeriod resort to the
# following default values. If an attribute is found use the existing
# value. For instance, a broker may provide updates to these
# attributes. In this case we do not want to over write the broker
# values with the default values.
account.settled_cash = \
getattr(self, 'settled_cash', self.ending_cash)
account.accrued_interest = \
getattr(self, 'accrued_interest', 0.0)
account.buying_power = \
getattr(self, 'buying_power', float('inf'))
account.equity_with_loan = \
getattr(self, 'equity_with_loan',
self.ending_cash + self.ending_value)
account.total_positions_value = \
getattr(self, 'total_positions_value', self.ending_value)
account.total_positions_value = \
getattr(self, 'total_positions_exposure', self.ending_exposure)
account.regt_equity = \
getattr(self, 'regt_equity', self.ending_cash)
account.regt_margin = \
getattr(self, 'regt_margin', float('inf'))
account.initial_margin_requirement = \
getattr(self, 'initial_margin_requirement', 0.0)
account.maintenance_margin_requirement = \
getattr(self, 'maintenance_margin_requirement', 0.0)
account.available_funds = \
getattr(self, 'available_funds', self.ending_cash)
account.excess_liquidity = \
getattr(self, 'excess_liquidity', self.ending_cash)
account.cushion = \
getattr(self, 'cushion',
self.ending_cash / (self.ending_cash + self.ending_value))
account.day_trades_remaining = \
getattr(self, 'day_trades_remaining', float('inf'))
account.leverage = getattr(self, 'leverage',
period_stats.gross_leverage)
account.net_leverage = period_stats.net_leverage
account.net_liquidation = getattr(self, 'net_liquidation',
period_stats.net_liquidation)
return account
def as_account(self):
account = self._account_store
pt = self.position_tracker
pos_stats = calc_position_stats(pt)
period_stats = calc_period_stats(pos_stats, self.ending_cash)
# If no attribute is found on the PerformancePeriod resort to the
# following default values. If an attribute is found use the existing
# value. For instance, a broker may provide updates to these
# attributes. In this case we do not want to over write the broker
# values with the default values.
account.settled_cash = \
getattr(self, 'settled_cash', self.ending_cash)
account.accrued_interest = \
getattr(self, 'accrued_interest', 0.0)
account.buying_power = \
getattr(self, 'buying_power', float('inf'))
account.equity_with_loan = \
getattr(self, 'equity_with_loan',
self.ending_cash + self.ending_value)
account.total_positions_value = \
getattr(self, 'total_positions_value', self.ending_value)
account.total_positions_value = \
getattr(self, 'total_positions_exposure', self.ending_exposure)
account.regt_equity = \
getattr(self, 'regt_equity', self.ending_cash)
account.regt_margin = \
getattr(self, 'regt_margin', float('inf'))
account.initial_margin_requirement = \
getattr(self, 'initial_margin_requirement', 0.0)
account.maintenance_margin_requirement = \
getattr(self, 'maintenance_margin_requirement', 0.0)
account.available_funds = \
getattr(self, 'available_funds', self.ending_cash)
account.excess_liquidity = \
getattr(self, 'excess_liquidity', self.ending_cash)
account.cushion = \
getattr(self, 'cushion',
self.ending_cash / (self.ending_cash + self.ending_value))
account.day_trades_remaining = \
getattr(self, 'day_trades_remaining', float('inf'))
account.leverage = getattr(self, 'leverage',
period_stats.gross_leverage)
account.net_leverage = period_stats.net_leverage
account.net_liquidation = getattr(self, 'net_liquidation',
period_stats.net_liquidation)
return account
def calculate_performance(self):
pt = self.position_tracker
pos_stats = calc_position_stats(pt)
self.ending_value = pos_stats.net_value
self.ending_exposure = pos_stats.net_exposure
total_at_start = self.starting_cash + self.starting_value
self.ending_cash = self.starting_cash + self.period_cash_flow
total_at_end = self.ending_cash + self.ending_value
self.pnl = total_at_end - total_at_start
if total_at_start != 0:
self.returns = self.pnl / total_at_start
else:
self.returns = 0.0
def calculate_performance(self):
pt = self.position_tracker
pos_stats = calc_position_stats(pt)
self.ending_value = pos_stats.net_value
self.ending_exposure = pos_stats.net_exposure
total_at_start = self.starting_cash + self.starting_value
self.ending_cash = self.starting_cash + self.period_cash_flow
total_at_end = self.ending_cash + self.ending_value
self.pnl = total_at_end - total_at_start
if total_at_start != 0:
self.returns = self.pnl / total_at_start
else:
self.returns = 0.0
