wassname/options_backtester
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fixed exit cost in trade_log when exiting options

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Camilo1704
2020-03-20 11:58:23 -03:00
parent 5b87075c22
commit 636b807be1
1 changed files with 3 additions and 3 deletions
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backtester/backtester.py
+3 -3
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@@ -201,10 +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['totals', 'cost'] = contract_per_row
for j, leg in enumerate(self._options_strategy.legs):
trade_log_append[leg.name, 'order'] = ~trade_log_append[leg.name, 'order']
trade_log_append[leg.name, 'cost'] *= -1
trade_log_append[leg.name, 'cost'] = options_value[j].iloc[i]['cost']
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