def get_benchmark(self, benchmark_ticker='^GSPC'):
if benchmark_ticker == 'sp500' or benchmark_ticker == '^GSPC':
_ticker = '^GSPC'
else:
_ticker = '^GSPC' # S&P 500 as default
# create security class object for benchmark ticker
_benchmark = Security(_ticker, start=self.min_date, end=self.max_date)
# calculate returns for the benchmark
_benchmark.data = returns_column(df=_benchmark.data, column='Close')
self.benchmark = _benchmark
def get_benchmark(self, benchmark_ticker='^GSPC'):
self.min_date = self.data.index.min()
self.max_date = min(self.data.index.max(), datetime.datetime.now())
if benchmark_ticker == 'sp500' or benchmark_ticker == '^GSPC':
_ticker = '^GSPC'
else:
_ticker = '^GSPC' # S&P 500 as default
# create security class object for benchmark ticker
_benchmark = Security(_ticker, start=self.min_date, end=self.max_date)
# calculate returns for the benchmark
_benchmark.data = returns_column(df=_benchmark.data,
column='Close',
uselogs=True)
self.benchmark = _benchmark
def add_security(self, ticker):
if ticker in self.securities_archive:
self.securities[ticker] = self.securities_archive[ticker]
self.tickers.append(ticker)
else:
_security = Security(ticker)
self.securities[_security.ticker] = _security
self.tickers.append(ticker)
self.prices[ticker] = deque()
self.prices_lifo[ticker] = deque()
self.prices_fifo[ticker] = deque()
def positions(self):
# you have to have one security in the portfolio for meaningful output
if len(self.securities) > 0:
# sum up by ticker
_df = self.transactions.loc[self.transactions.Transaction.isin(
('buy', 'sell')), :].copy()
_df.loc[_df.Transaction == 'sell',
'Quantity'] = _df.loc[_df.Transaction == 'sell',
'Quantity'].apply(lambda x: -x)
_df.loc[_df.Transaction == 'sell',
'TradeValue'] = _df.loc[_df.Transaction == 'sell',
'TradeValue'].apply(lambda x: -x)
self.positions_df = _df.groupby(by=['Ticker'])['Quantity',
'TradeValue'].sum()
# sum up purchases
self.positions_df["Bought"] = _df.loc[
_df.Transaction == 'buy', :].groupby(
by=['Ticker'])['Quantity'].sum()
self.positions_df["Invested"] = _df.loc[
_df.Transaction == 'buy', :].groupby(
by=['Ticker'])['TradeValue'].sum()
# sum up sales
self.positions_df["Sold"] = _df.loc[
_df.Transaction == 'sell', :].groupby(
by=['Ticker'])['Quantity'].sum()
self.positions_df["Devested"] = _df.loc[
_df.Transaction == 'sell', :].groupby(
by=['Ticker'])['TradeValue'].sum()
# check if sum over volume of a security is < 0
for index, row in self.positions_df.iterrows():
if row['Quantity'] < 0.0:
print('Negative volume encountered: {0:5}\t{1}'.format(
index, row['Quantity']))
# join in last price and names of securities
for ticker in set(self.positions_df.index):
if ticker in self.tickers:
self.positions_df.loc[self.positions_df.index == ticker,
'LastPrice'] = self.securities[
ticker].get_last_price()
self.positions_df.loc[
self.positions_df.index == ticker,
'Description'] = self.securities[ticker].name
else:
_security = Security(ticker)
self.positions_df.loc[
self.positions_df.index == ticker,
'LastPrice'] = _security.get_last_price()
self.positions_df.loc[self.positions_df.index == ticker,
'Description'] = _security.name
self.positions_df['CurrentValue'] = self.positions_df[
'LastPrice'] * self.positions_df['Quantity']
# sum up dividends by ticker
self.positions_df['Dividends'] = self.dividends.groupby(
by='Ticker')['Amount'].sum()
#self.positions_df['AvgPrice'] = self.positions_df['TradeValue'] / (1.0*self.positions_df['Quantity'])
self.positions_df.fillna(0.0, inplace=True)
self.positions_df['Return'] = self.positions_df[
'CurrentValue'] - self.positions_df[
'TradeValue'] + self.positions_df['Dividends']
self.positions_df['PercentGrowth'] = 100.0 * self.positions_df[
'Return'] / self.positions_df['Invested']
self.positions_df.PercentGrowth.replace([np.inf, -np.inf],
np.nan,
inplace=True)
print(self.positions_df[[
'Quantity', 'Bought', 'Sold', 'CurrentValue', 'Invested',
'Devested', 'Dividends', 'Return', 'PercentGrowth',
'Description'
]].sort_values(by=['CurrentValue', 'Invested'], ascending=False))
else:
print("No positions in portfolio.")
def add_security_archive(self, ticker):
_security = Security(ticker)
self.securities_archive[_security.ticker] = _security
self.tickers_archive.append(ticker)
def add_security(self, ticker):
_security = Security(ticker)
self.securities[_security.ticker] = _security
self.tickers.append(ticker)