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update_balance now fills nan values with zero when computing options balance

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Javier Rodríguez Chatruc
2020-03-19 12:10:41 -03:00
parent 0b73e73b6a
commit 4fdcbbfd63
1 changed files with 2 additions and 2 deletions
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backtester/backtester.py
+2 -2
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@@ -289,9 +289,9 @@ class Backtest:
current[cost_field] = -current[cost_field]
if (leg_inventory_contract['type'] == Type.CALL.value).any():
calls_value += current[cost_field] * qty * self.shares_per_contract
calls_value = calls_value.add(current[cost_field] * qty * self.shares_per_contract, fill_value=0)
else:
puts_value += current[cost_field] * qty * self.shares_per_contract
puts_value = puts_value.add(current[cost_field] * qty * self.shares_per_contract, fill_value=0)
stocks_current = self._stocks_inventory[['symbol', 'qty']].merge(stocks_data[['date', 'symbol', 'adjClose']],
on='symbol')