def __init__(self, trading_sessions, capital_base, data_frequency):
if len(trading_sessions):
start = trading_sessions[0]
else:
start = None
# Have some fields of the portfolio changed? This should be accessed
# through ``self._dirty_portfolio``
self.__dirty_portfolio = False
self._immutable_portfolio = zp.Portfolio(start, capital_base)
self._portfolio = zp.MutableView(self._immutable_portfolio)
self.daily_returns_series = pd.Series(
np.nan,
index=trading_sessions,
)
# Get a view into the storage of the returns series. Metrics
# can access this directly in minute mode for performance reasons.
self.daily_returns_array = self.daily_returns_series.values
self._previous_total_returns = 0
# this is a component of the cache key for the account
self._position_stats = None
# Have some fields of the account changed?
self._dirty_account = True
self._immutable_account = zp.Account()
self._account = zp.MutableView(self._immutable_account)
# The broker blotter can override some fields on the account. This is
# way to tangled up at the moment but we aren't fixing it today.
self._account_overrides = {}
self.position_tracker = PositionTracker(data_frequency)
self._processed_transactions = {}
self._orders_by_modified = {}
self._orders_by_id = OrderedDict()
# Keyed by asset, the previous last sale price of positions with
# payouts on price differences, e.g. Futures.
#
# This dt is not the previous minute to the minute for which the
# calculation is done, but the last sale price either before the period
# start, or when the price at execution.
self._payout_last_sale_prices = {}
self.fees = {
'interest': 0.,
'manager_fees': 0.,
}
def _get_positions_from_broker(self):
"""
get the positions from the broker and update zipline objects ( the ledger )
should be used once at startup and once every time we want to refresh the positions array
"""
cur_pos_in_tracker = self.metrics_tracker.positions
positions = self._api.list_positions()
for ap_position in positions:
# ap_position = positions[symbol]
try:
z_position = zp.Position(
zp.InnerPosition(symbol_lookup(ap_position.symbol)))
editable_position = zp.MutableView(z_position)
except SymbolNotFound:
# The symbol might not have been ingested to the db therefore
# it needs to be skipped.
log.warning(
'Wanted to subscribe to %s, but this asset is probably not ingested'
% ap_position.symbol)
continue
if int(ap_position.qty) == 0:
continue
editable_position._underlying_position.amount = int(
ap_position.qty)
editable_position._underlying_position.cost_basis = float(
ap_position.avg_entry_price)
editable_position._underlying_position.last_sale_price = float(
ap_position.current_price)
editable_position._underlying_position.last_sale_date = self._api.get_last_trade(
ap_position.symbol).timestamp
self.metrics_tracker.update_position(
z_position.asset,
amount=z_position.amount,
last_sale_price=z_position.last_sale_price,
last_sale_date=z_position.last_sale_date,
cost_basis=z_position.cost_basis)
# now let's sync the positions in the internal zipline objects
position_names = [p.symbol for p in positions]
assets_to_update = [
] # separate list to not change list while iterating
for asset in cur_pos_in_tracker:
if asset.symbol not in position_names:
assets_to_update.append(asset)
for asset in assets_to_update:
# deleting object from the metrics_tracker as its not in the portfolio
self.metrics_tracker.update_position(asset, amount=0)
# for some reason, the metrics tracker has self.positions AND self.portfolio.positions. let's make sure
# these objects are consistent
self.metrics_tracker._ledger._portfolio.positions = self.metrics_tracker.positions