def __init__(
self,
starting_cash,
period_open=None,
period_close=None,
keep_transactions=True,
keep_orders=False,
serialize_positions=True):
self.period_open = period_open
self.period_close = period_close
self.ending_value = 0.0
self.period_cash_flow = 0.0
self.pnl = 0.0
# sid => position object
self.positions = positiondict()
self.ending_cash = starting_cash
# rollover initializes a number of self's attributes:
self.rollover()
self.keep_transactions = keep_transactions
self.keep_orders = keep_orders
# Arrays for quick calculations of positions value
self._position_amounts = pd.Series()
self._position_last_sale_prices = pd.Series()
self.calculate_performance()
# An object to recycle via assigning new values
# when returning portfolio information.
# So as not to avoid creating a new object for each event
self._portfolio_store = zp.Portfolio()
self._positions_store = zp.Positions()
self.serialize_positions = serialize_positions
def ib_portfolio(self):
portfolio_store = zp.Portfolio()
positions_store = zp.Positions()
for acct in self.account.child_accounts:
positions = self.portfolio(acct)
for pos in positions:
# Skip empty requests
if hasattr(pos, 'contract'):
contract = pos.contract
# determine position sid
if contract.m_secType == 'STK':
sid = contract.m_localSymbol
if contract.m_secType == 'FUT':
sid = self.__ib_to_aleph_sym_map__(contract)
# if sid not in positions create a new position object
if sid not in positions_store:
if type(sid) is tuple:
positions_store[sid] = zp.Position(sid[0],
contract=sid[1])
else:
positions_store[sid] = zp.Position(sid)
positions_store[sid].amount = pos.position_size
positions_store[sid].last_sale_price = pos.market_price
positions_store[sid].cost_basis = pos.avg_cost
else:
current_size = positions_store[sid].amount
# adjust cost basis:
# this should never result in a different value unless
# IB doesn't enforce best execution
positions_store[sid].amount += pos.position_size
if positions_store[sid].amount != 0:
mkt_value = positions_store[
sid].cost_basis * current_size
added_value = pos.avg_cost * pos.position_size
positions_store[sid].cost_basis = (mkt_value + added_value) / \
positions_store[sid].amount
portfolio_store.positions_value += pos.market_value
portfolio_store.pnl = pos.realized_pnl + pos.unrealized_pnl
portfolio_store.positions = positions_store
return portfolio_store