# Copyright 2016-present CERN – European Organization for Nuclear Research
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
# http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
from datetime import datetime
import matplotlib as plt
from qf_lib.analysis.common.abstract_document import AbstractDocument
from qf_lib.common.utils.error_handling import ErrorHandling
from qf_lib.backtesting.portfolio.portfolio import Portfolio
from qf_lib.containers.dataframe.qf_dataframe import QFDataFrame
from qf_lib.documents_utils.document_exporting.element.df_table import DFTable
from qf_lib.documents_utils.document_exporting.element.heading import HeadingElement
from qf_lib.documents_utils.document_exporting.element.paragraph import ParagraphElement
from qf_lib.documents_utils.document_exporting.pdf_exporter import PDFExporter
from qf_lib.settings import Settings
[docs]@ErrorHandling.class_error_logging()
class CurrentPositionsSheet(AbstractDocument):
""" Provides information about currently open positions in the portfolio. Provides a list of tickers, position
directions, total exposure value, profit and loss and time of the position creation.
Parameters
-----------
settings: Settings
necessary settings
pdf_exporter: PDFExporter
used to export the document to PDF
portfolio: Portfolio
portfolio containing all historical and current trading data
title: str
title of the document
"""
def __init__(self, settings: Settings, pdf_exporter: PDFExporter, portfolio: Portfolio,
title: str = "Current Positions"):
super().__init__(settings, pdf_exporter, title)
self._portfolio = portfolio
def build_document(self):
self._add_header()
self.document.add_element(ParagraphElement("\n"))
self.document.add_element(HeadingElement(level=2, text="Open Positions in the Portfolio"))
self._add_open_positions_table()
def _add_open_positions_table(self):
open_positions_dict = self._portfolio.open_positions_dict
tickers = open_positions_dict.keys()
# Get the information whether it is a long or short position
directions = [open_positions_dict[t].direction() for t in tickers]
directions = ["LONG" if direction == 1 else "SHORT" for direction in directions]
# Get the total exposure and market value for each open position
total_exposures = ["{:,.2f}".format(open_positions_dict[t].total_exposure()) for t in tickers]
pnls = ["{:,.2f}".format(open_positions_dict[t].unrealised_pnl) for t in tickers]
# Get the time of opening the positions
start_time = [open_positions_dict[t].start_time.date() for t in tickers]
data = {
"Tickers name": [t.name for t in tickers],
"Specific ticker": tickers,
"Direction": directions,
"Total Exposure": total_exposures,
"PnL": pnls,
"Position Creation": start_time
}
table = DFTable(QFDataFrame.from_dict(data), css_classes=['table', 'left-align'])
self.document.add_element(table)
def save(self, report_dir: str = ""):
# Set the style for the report
plt.style.use(['tearsheet'])
filename = "%Y_%m_%d-%H%M Current Positions.pdf"
filename = datetime.now().strftime(filename)
return self.pdf_exporter.generate([self.document], report_dir, filename)