Portfolio

class qf_lib.backtesting.portfolio.portfolio.Portfolio(data_provider: AbstractPriceDataProvider, initial_cash: float, currency: Optional[str] = None)[source]

Bases: object

Attributes:

`current_cash`	Represents the free cash in the portfolio.
`gross_exposure_of_positions`	Equals the sum of the absolute value of all positions except cash.
`net_liquidation`	Cash value includes futures P&L + stock value + securities options value + bond value + fund value.
`open_positions_dict`	Represents all open positions at a certain moment.

Methods:

`leverage_series`()	Leverage = GrossPositionValue / NetLiquidation
`net_liquidation_in_currency`([currency])	Converts the current net liquidation from the portfolio currency into the specified currency
`portfolio_eod_series`()	Returns a timeseries of value of the portfolio expressed in currency units
`positions_history`()	Returns a QFDataFrame containing summary of the positions in the portfolio for each day.
`transact_transaction`(transaction)	Adjusts positions to account for a transaction.
`update`([record])	Updates the value of all positions that are currently open by getting the most recent price.

current_cash: Represents the free cash in the portfolio. Part of the cash might be use for margin.

gross_exposure_of_positions: Equals the sum of the absolute value of all positions except cash.

leverage_series() → QFSeries[source]: Leverage = GrossPositionValue / NetLiquidation

net_liquidation: Cash value includes futures P&L + stock value + securities options value + bond value + fund value.

net_liquidation_in_currency(currency: str = None) → float[source]: Converts the current net liquidation from the portfolio currency into the specified currency

open_positions_dict: Represents all open positions at a certain moment.

portfolio_eod_series() → PricesSeries[source]: Returns a timeseries of value of the portfolio expressed in currency units

positions_history() → QFDataFrame[source]: Returns a QFDataFrame containing summary of the positions in the portfolio for each day.

transact_transaction(transaction: Transaction)[source]: Adjusts positions to account for a transaction. Handles any new position or modification to a current position

update(record=False)[source]: Updates the value of all positions that are currently open by getting the most recent price. The function is called at the end of the day (after market close) and after each executed transaction. If the flag record is set to True, it records the current assets values and the portfolio value (this is performed once per day, after the market close).