diff --git a/backtester/backtester.py b/backtester/backtester.py index dd39223..5addb7c 100644 --- a/backtester/backtester.py +++ b/backtester/backtester.py @@ -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.