From 5b87075c2225d8de91130155d28ec0ffca0afaed Mon Sep 17 00:00:00 2001 From: Camilo1704 Date: Thu, 19 Mar 2020 18:48:41 -0300 Subject: [PATCH] order and costs in trade_log modified in sell_some_options exits --- backtester/backtester.py | 4 ++++ 1 file changed, 4 insertions(+) diff --git a/backtester/backtester.py b/backtester/backtester.py index e437907..4092579 100644 --- a/backtester/backtester.py +++ b/backtester/backtester.py @@ -201,6 +201,10 @@ class Backtest: trade_log_append = self._options_inventory.iloc[i].copy() trade_log_append['totals', 'qty'] = qty_to_sell trade_log_append['totals', 'date'] = date + trade_log_append['totals', 'cost'] *= -1 + for leg in self._options_strategy.legs: + trade_log_append[leg.name, 'order'] = ~trade_log_append[leg.name, 'order'] + trade_log_append[leg.name, 'cost'] *= -1 self.trade_log = self.trade_log.append(trade_log_append, ignore_index=True) self._options_inventory.at[i, ('totals', 'date')] = date self._options_inventory.at[i, ('totals', 'qty')] += qty_to_sell