From 636b807be13eb517cf7072cea34acce1a9dff4d8 Mon Sep 17 00:00:00 2001 From: Camilo1704 Date: Fri, 20 Mar 2020 11:58:23 -0300 Subject: [PATCH] fixed exit cost in trade_log when exiting options --- backtester/backtester.py | 6 +++--- 1 file changed, 3 insertions(+), 3 deletions(-) diff --git a/backtester/backtester.py b/backtester/backtester.py index 4092579..edf82ff 100644 --- a/backtester/backtester.py +++ b/backtester/backtester.py @@ -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