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Merge pull request #65 from lambdaclass/sell-options-fix

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sell_some_options fixed
This commit is contained in:
Javier Rodríguez Chatruc
2020-03-20 12:36:15 -03:00
committed by GitHub
parent a743a506b4 3124aa8a56
commit 8adde5bac6
1 changed files with 22 additions and 11 deletions
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backtester/backtester.py
+22 -11
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@@ -188,20 +188,31 @@ class Backtest:
self._execute_option_entries(date, options, options_allocation - options_capital)
else:
to_sell = options_capital - options_allocation
options_value = self._get_current_option_quotes(options)
self._sell_some_options(date, to_sell, options_value)
current_options = self._get_current_option_quotes(options)
self._sell_some_options(date, to_sell, current_options)
def _sell_some_options(self, date, to_sell, options_value):
def _sell_some_options(self, date, to_sell, current_options):
sold = 0
total_costs = sum([options_value[i]['cost'] for i in range(len(options_value))])
for i, (contract_per_row, inventory_row) in enumerate(zip(total_costs, self._options_inventory.iterrows())):
if to_sell - sold < -contract_per_row * inventory_row[1]['totals']['qty']:
qty_to_sell = to_sell // contract_per_row
self._options_inventory.at[i, ('totals', 'date')] = date
self._options_inventory.at[i, ('totals', 'qty')] += qty_to_sell
sold -= (qty_to_sell * contract_per_row)
total_costs = sum([current_options[i]['cost'] for i in range(len(current_options))])
for i, (exit_cost, inventory_row) in enumerate(zip(total_costs, self._options_inventory.iterrows())):
if (to_sell - sold < -exit_cost * inventory_row[1]['totals']['qty']) and (to_sell - sold) > 0:
qty_to_sell = (to_sell - sold) // exit_cost
if qty_to_sell != 0:
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'] = exit_cost
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'] = current_options[j].iloc[i]['cost']
self.current_cash -= sold
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
sold += (qty_to_sell * exit_cost)
self.current_cash += sold - to_sell
def _current_stock_capital(self, stocks):
"""Return the current value of the stocks inventory.