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Merge pull request #950 from quantopian/account-value-bug

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BUG: Account object's total_position_value is incorrect
This commit is contained in:
James Kirk
2016-01-20 09:38:13 -05:00
parent 3b76981270 85099c3bd0
commit b16e2a7a07
3 changed files with 367 additions and 2 deletions
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docs/source/whatsnew/0.8.4.txt
+5
View File
@@ -122,6 +122,11 @@ Bug Fixes
* Fixed an issue in the CLI that would cause assets to be added twice.
This would map the same symbol to two different sids (:issue:`942`).
* Fixed an issue where the
:class:"`~zipline.finance.performance.period.PerformancePeriod` incorrectly
reported the total_positions_value when creating a
:class:`~zipline.protocol.Account` (:issue:`950`).
Performance
~~~~~~~~~~~
tests/test_perf_tracking.py
+361 -1
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@@ -89,6 +89,7 @@ def check_account(account,
settled_cash,
equity_with_loan,
total_positions_value,
total_positions_exposure,
regt_equity,
available_funds,
excess_liquidity,
@@ -105,6 +106,8 @@ def check_account(account,
account['equity_with_loan'], rtol=1e-3)
np.testing.assert_allclose(total_positions_value,
account['total_positions_value'], rtol=1e-3)
np.testing.assert_allclose(total_positions_exposure,
account['total_positions_exposure'], rtol=1e-3)
np.testing.assert_allclose(regt_equity,
account['regt_equity'], rtol=1e-3)
np.testing.assert_allclose(available_funds,
@@ -1002,7 +1005,9 @@ class TestPositionPerformance(unittest.TestCase):
@classmethod
def setUpClass(cls):
cls.env = TradingEnvironment()
cls.env.write_data(equities_identifiers=[1, 2])
# Sids 1 and 2 are equities, Sid 3 is a future
cls.env.write_data(equities_identifiers=[1, 2],
futures_data={3: {'contract_multiplier': 100}})
@classmethod
def tearDownClass(cls):
@@ -1071,6 +1076,7 @@ class TestPositionPerformance(unittest.TestCase):
settled_cash=1000.0,
equity_with_loan=1000.0,
total_positions_value=0.0,
total_positions_exposure=0.0,
regt_equity=1000.0,
available_funds=1000.0,
excess_liquidity=1000.0,
@@ -1102,6 +1108,7 @@ class TestPositionPerformance(unittest.TestCase):
settled_cash=1000.0,
equity_with_loan=800.0,
total_positions_value=-200.0,
total_positions_exposure=-200.0,
regt_equity=1000.0,
available_funds=1000.0,
excess_liquidity=1000.0,
@@ -1153,6 +1160,7 @@ class TestPositionPerformance(unittest.TestCase):
settled_cash=-9000.0,
equity_with_loan=1000.0,
total_positions_value=10000.0,
total_positions_exposure=10000.0,
regt_equity=-9000.0,
available_funds=-9000.0,
excess_liquidity=-9000.0,
@@ -1182,6 +1190,7 @@ class TestPositionPerformance(unittest.TestCase):
settled_cash=-9000.0,
equity_with_loan=2000.0,
total_positions_value=11000.0,
total_positions_exposure=11000.0,
regt_equity=-9000.0,
available_funds=-9000.0,
excess_liquidity=-9000.0,
@@ -1289,6 +1298,7 @@ class TestPositionPerformance(unittest.TestCase):
settled_cash=0.0,
equity_with_loan=1100.0,
total_positions_value=1100.0,
total_positions_exposure=1100.0,
regt_equity=0.0,
available_funds=0.0,
excess_liquidity=0.0,
@@ -1508,6 +1518,7 @@ cost of sole txn in test"
settled_cash=2000.0,
equity_with_loan=1100.0,
total_positions_value=-900.0,
total_positions_exposure=-900.0,
regt_equity=2000.0,
available_funds=2000.0,
excess_liquidity=2000.0,
@@ -1516,6 +1527,354 @@ cost of sole txn in test"
net_leverage=-0.8181,
net_liquidation=1100.0)
def test_long_future_position(self):
"""
verify that the performance period calculates properly for a
single buy transaction
"""
# post some trades in the market
trades = factory.create_trade_history(
3,
[10, 10, 10, 11],
[100, 100, 100, 100],
onesec,
self.sim_params,
env=self.env
)
txn = create_txn(trades[1], 10.0, 1)
pt = perf.PositionTracker(self.env.asset_finder)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder)
pp.position_tracker = pt
pt.execute_transaction(txn)
pp.handle_execution(txn)
# This verifies that the last sale price is being correctly
# set in the positions. If this is not the case then returns can
# incorrectly show as sharply dipping if a transaction arrives
# before a trade. This is caused by returns being based on holding
# stocks with a last sale price of 0.
self.assertEqual(pp.positions[3].last_sale_price, 10.0)
for trade in trades:
pt.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
0,
"there should be no cash flow on a futures txn"
)
self.assertEqual(
len(pp.positions),
1,
"should be just one position")
self.assertEqual(
pp.positions[3].sid,
txn.sid,
"position should be in security with id 1")
self.assertEqual(
pp.positions[3].amount,
txn.amount,
"should have a position of {sharecount} shares".format(
sharecount=txn.amount
)
)
self.assertEqual(
pp.positions[3].cost_basis,
txn.price,
"should have a cost basis of 10"
)
self.assertEqual(
pp.positions[3].last_sale_price,
trades[-1]['price'],
"last sale should be same as last trade. \
expected {exp} actual {act}".format(
exp=trades[-1]['price'],
act=pp.positions[3].last_sale_price)
)
self.assertEqual(
pp.ending_value,
0,
"ending value should be 0 because only futures are held"
)
self.assertEqual(
pp.ending_exposure,
1100,
"ending exposure should be price of last trade times number of \
contracts in position")
self.assertEqual(pp.pnl, 100, "gain of 1 on 1 100x contract should be "
"100")
check_perf_period(
pp,
gross_leverage=1.0,
net_leverage=1.0,
long_exposure=1100.0,
longs_count=1,
short_exposure=0.0,
shorts_count=0)
# Validate that the account attributes were updated.
account = pp.as_account()
check_account(account,
settled_cash=1100.0,
equity_with_loan=1100.0,
total_positions_value=0.0,
total_positions_exposure=1100.0,
regt_equity=1100.0,
available_funds=1100.0,
excess_liquidity=1100.0,
cushion=1.0,
leverage=1.0,
net_leverage=1.0,
net_liquidation=1100.0)
def test_short_future_position(self):
"""verify that the performance period calculates properly for a \
single short-sale transaction"""
trades = factory.create_trade_history(
3,
[10, 10, 10, 11, 10, 9],
[100, 100, 100, 100, 100, 100],
onesec,
self.sim_params,
env=self.env
)
trades_1 = trades[:-2]
txn = create_txn(trades[1], 10.0, -1)
pt = perf.PositionTracker(self.env.asset_finder)
pp = perf.PerformancePeriod(1000.0, self.env.asset_finder)
pp.position_tracker = pt
pt.execute_transaction(txn)
pp.handle_execution(txn)
for trade in trades_1:
pt.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
0,
"there should be no cash flow on a futures txn"
)
self.assertEqual(
len(pp.positions),
1,
"should be just one position")
self.assertEqual(
pp.positions[3].sid,
txn.sid,
"position should be in future from the transaction"
)
self.assertEqual(
pp.positions[3].amount,
-1,
"should have a position of -1 contract"
)
self.assertEqual(
pp.positions[3].cost_basis,
txn.price,
"should have a cost basis of 10"
)
self.assertEqual(
pp.positions[3].last_sale_price,
trades_1[-1]['price'],
"last sale should be price of last trade"
)
self.assertEqual(
pp.ending_value,
0,
"ending value should be 0 because only futures are held"
)
self.assertEqual(
pp.ending_exposure,
-1100,
"ending exposure should be price of last trade times number of \
contracts in position")
self.assertEqual(pp.pnl, -100, "gain of 1 on 1 100x contract should be"
" 100")
# simulate additional trades, and ensure that the position value
# reflects the new price
trades_2 = trades[-2:]
# simulate a rollover to a new period
pp.rollover()
for trade in trades_2:
pt.update_last_sale(trade)
pp.calculate_performance()
self.assertEqual(
pp.period_cash_flow,
0,
"capital used should be zero, there were no transactions in \
performance period"
)
self.assertEqual(
len(pp.positions),
1,
"should be just one position"
)
self.assertEqual(
pp.positions[3].sid,
txn.sid,
"position should be in future from the transaction"
)
self.assertEqual(
pp.positions[3].amount,
-1,
"should have a position of -1 contract"
)
self.assertEqual(
pp.positions[3].cost_basis,
txn.price,
"should have a cost basis of 10"
)
self.assertEqual(
pp.positions[3].last_sale_price,
trades_2[-1].price,
"last sale should be price of last trade"
)
self.assertEqual(
pp.ending_value,
0,
"ending value should be 0 because only futures are held")
self.assertEqual(
pp.ending_exposure,
-900,
"ending exposure should be price of last trade times number of \
shares in position")
self.assertEqual(
pp.pnl,
200,
"drop of 2 on -1 100x contract should be 200"
)
# now run a performance period encompassing the entire trade sample.
ptTotal = perf.PositionTracker(self.env.asset_finder)
ppTotal = perf.PerformancePeriod(1000.0, self.env.asset_finder)
ppTotal.position_tracker = pt
for trade in trades_1:
ptTotal.update_last_sale(trade)
ptTotal.execute_transaction(txn)
ppTotal.handle_execution(txn)
for trade in trades_2:
ptTotal.update_last_sale(trade)
ppTotal.calculate_performance()
self.assertEqual(
ppTotal.period_cash_flow,
0,
"capital used should be equal to the opposite of the transaction \
cost of sole txn in test"
)
self.assertEqual(
len(ppTotal.positions),
1,
"should be just one position"
)
self.assertEqual(
ppTotal.positions[3].sid,
txn.sid,
"position should be in security from the transaction"
)
self.assertEqual(
ppTotal.positions[3].amount,
-1,
"should have a position of -1 contract"
)
self.assertEqual(
ppTotal.positions[3].cost_basis,
txn.price,
"should have a cost basis of 10"
)
self.assertEqual(
ppTotal.positions[3].last_sale_price,
trades_2[-1].price,
"last sale should be price of last trade"
)
self.assertEqual(
pp.ending_value,
0,
"ending value should be 0 because only futures are held")
self.assertEqual(
pp.ending_exposure,
-900,
"ending exposure should be price of last trade times number of \
shares in position")
self.assertEqual(
ppTotal.pnl,
100,
"drop of 1 on -1 100x contract should be 100"
)
check_perf_period(
pp,
gross_leverage=0.8181,
net_leverage=-0.8181,
long_exposure=0.0,
longs_count=0,
short_exposure=-900.0,
shorts_count=1)
# Validate that the account attributes.
account = ppTotal.as_account()
check_account(account,
settled_cash=1100.0,
equity_with_loan=1100.0,
total_positions_value=0.0,
total_positions_exposure=-900.0,
regt_equity=1100.0,
available_funds=1100.0,
excess_liquidity=1100.0,
cushion=1.0,
leverage=0.8181,
net_leverage=-0.8181,
net_liquidation=1100.0)
def test_covering_short(self):
"""verify performance where short is bought and covered, and shares \
trade after cover"""
@@ -1616,6 +1975,7 @@ shares in position"
settled_cash=1300.0,
equity_with_loan=1300.0,
total_positions_value=0.0,
total_positions_exposure=0.0,
regt_equity=1300.0,
available_funds=1300.0,
excess_liquidity=1300.0,
zipline/finance/performance/period.py
+1 -1
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@@ -457,7 +457,7 @@ class PerformancePeriod(object):
self.ending_cash + self.ending_value)
account.total_positions_value = \
getattr(self, 'total_positions_value', self.ending_value)
account.total_positions_value = \
account.total_positions_exposure = \
getattr(self, 'total_positions_exposure', self.ending_exposure)
account.regt_equity = \
getattr(self, 'regt_equity', self.ending_cash)