# 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 numpy import sign
from math import isclose
from qf_lib.backtesting.portfolio.backtest_position import BacktestPosition
from qf_lib.backtesting.portfolio.transaction import Transaction
from qf_lib.common.utils.miscellaneous.constants import ISCLOSE_REL_TOL, ISCLOSE_ABS_TOL
[docs]class BacktestCryptoPosition(BacktestPosition):
[docs] def market_value(self) -> float:
return self.quantity() * self.current_price
[docs] def total_exposure(self) -> float:
return self._quantity * self.current_price
def _cash_to_buy_or_proceeds_from_sale(self, transaction: Transaction) -> float:
result = transaction.price * transaction.quantity + transaction.commission
return -result
def _compute_profit_and_loss_fraction(self, price: float, quantity: float):
if sign(quantity) * self.direction() == -1:
price_pnl = price - self._avg_price_per_unit
# We multiply by the direction, so that the in case of finding a pair of transaction going in opposite
# directions, the realized pnl of this operation would consider the direction of the position
quantity = self.direction() * abs(quantity)
return price_pnl * quantity
else:
return 0.0
[docs] def transact_transaction(self, transaction: Transaction) -> float:
self._check_if_open()
assert transaction.ticker == self._ticker, "Ticker of the Transaction has to match the Ticker of the Position"
assert isclose(transaction.quantity, 0, rel_tol=ISCLOSE_REL_TOL, abs_tol=ISCLOSE_ABS_TOL) is not True, "`Transaction.quantity` shouldn't be 0"
assert transaction.price > 0.0, "Transaction.price must be positive. For short sales use a negative quantity"
if self.start_time is None:
self.start_time = transaction.transaction_fill_time
if self._direction == 0:
self._direction = sign(transaction.quantity)
sign_change = sign(self._quantity) * sign(self._quantity + transaction.quantity)
assert sign_change != -1, "Position cannot change direction (for ex: from Long to Short). Close it first"
# has to be called before we append the transaction to list of all transactions
cash_move = self._cash_to_buy_or_proceeds_from_sale(transaction)
self._realised_pnl_without_commissions += self._compute_profit_and_loss_fraction(price=transaction.price,
quantity=transaction.quantity)
if sign(transaction.quantity) == self.direction():
self._avg_price_per_unit = (self._avg_price_per_unit * self._quantity + transaction.price *
transaction.quantity) / (self._quantity + transaction.quantity)
if isclose(self._quantity + transaction.quantity, 0, rel_tol=ISCLOSE_REL_TOL, abs_tol=ISCLOSE_ABS_TOL): # close the position if the number of shares drops to zero
self._close_position(transaction.transaction_fill_time)
self._quantity += transaction.quantity
self._commission += transaction.commission
return cash_move