def test_pos():
bid = Position(pos=Decimal('1'), price=100, side=Side.ASK) + Position(pos=Decimal('0.1'), price=101, side=Side.BID)
assert bid.position() == Decimal('-0.9')
assert bid.side() == Side.ASK
bid = Position(pos=Decimal('1'), price=100, side=Side.BID) + Position(pos=Decimal('0.1'), price=101, side=Side.ASK)
assert bid.position() == Decimal('0.9')
assert bid.side() == Side.BID
print(bid)
class PNL:
def __init__(self, fee):
self.method = BipolarContainer('NONE', 'NONE')
self.pos = Position(0, 0)
self.nbbo = BipolarContainer(0, 0)
self.closed_pnl = Decimal('0')
self.clean_closed_pnl = Decimal('0')
self.exit_price = Decimal('0')
self.fee = Decimal(fee)
self.ema = EMAHolder(5 * 60)
self.zero_position_time = time.time()
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()
# self.clean_closed_pnl += self.closed_pnl
# self.closed_pnl = 0
def position(self):
return self.pos.position()
def abs_position(self):
return self.pos.abs_position()
def quote_changed(self, quote):
self.nbbo.set_side(quote.side, quote.price)
if self.nbbo.bid() == 0 or self.nbbo.ask() == 0:
return
mid_price = (self.nbbo.bid() + self.nbbo.ask()) / 2
self.ema.add(mid_price)
def balance(self):
return self.pos.balance
def open_pnl(self):
return self.balance() + self.position() * self.exit_price
def update_open_pnl(self, exit_price):
self.exit_price = exit_price
def nbbo_pnl(self):
exit_side = Side.opposite_side(self.position())
nbbo_price = self.nbbo.side(exit_side)
return (self.pos + Position(pos=self.pos.abs_position(),
price=nbbo_price,
side=exit_side)).balance
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 position_zero_price(self):
if self.abs_position() == 0:
return Decimal('0')
else:
return abs(self.balance() / self.abs_position())
def position_side(self):
return Side.side(self.position())
def set_order_method(self, side, method):
self.method.set_side(side, method)
def exit_method(self):
return str(self.method)