From 4fdcbbfd63d5fa8e7a43090c89307a1e6b46f115 Mon Sep 17 00:00:00 2001 From: =?UTF-8?q?Javier=20Rodr=C3=ADguez=20Chatruc?= Date: Thu, 19 Mar 2020 12:10:41 -0300 Subject: [PATCH] update_balance now fills nan values with zero when computing options balance --- backtester/backtester.py | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) diff --git a/backtester/backtester.py b/backtester/backtester.py index 25806cf..0d7b422 100644 --- a/backtester/backtester.py +++ b/backtester/backtester.py @@ -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')