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MAINT: Factor out payout calculation.

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This commit is contained in:
Eddie Hebert
2016-01-05 10:39:41 -05:00
parent 962347318d
commit 7a6c6695f7
1 changed files with 14 additions and 12 deletions
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zipline/finance/performance/period.py
+14 -12
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@@ -126,6 +126,10 @@ def calc_period_stats(pos_stats, ending_cash):
net_leverage=net_leverage)
def calc_payout(contract_multiplier, amount, old_price, price):
return (price - old_price) * contract_multiplier * amount
class PerformancePeriod(object):
def __init__(
@@ -229,15 +233,12 @@ class PerformancePeriod(object):
payouts = []
for asset, old_price in iteritems(self._payout_last_sale_prices):
pos = positions[asset]
price = pos.last_sale_price
payout = (
(price - old_price)
*
asset.contract_multiplier
*
pos.amount
)
amount = pos.amount
payout = calc_payout(
asset.contract_multiplier,
amount,
old_price,
pos.last_sale_price)
payouts.append(payout)
return sum(payouts)
@@ -283,10 +284,11 @@ class PerformancePeriod(object):
if isinstance(asset, Future):
try:
old_price = self._payout_last_sale_prices[asset]
amount = self.position_tracker.positions[asset].amount
pos = self.position_tracker.positions[asset]
amount = pos.amount
price = txn.price
cash_adj = (price - old_price) * asset.contract_multiplier * \
amount
cash_adj = calc_payout(
asset.contract_multiplier, amount, old_price, price)
self.adjust_cash(cash_adj)
if amount + txn.amount == 0:
del self._payout_last_sale_prices[asset]