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Fixed a bug caused by using integer position instead of index in sell_some_options

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Javier Rodríguez Chatruc
2020-03-20 18:54:15 -03:00
parent f504e1b5ed
commit dfefb79198
1 changed files with 7 additions and 7 deletions
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backtester/backtester.py
+7 -7
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@@ -192,21 +192,21 @@ class Backtest:
def _sell_some_options(self, date, to_sell, current_options):
sold = 0
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:
for (exit_cost, (row_index, inventory_row)) in zip(total_costs, self._options_inventory.iterrows()):
if (to_sell - sold < -exit_cost * inventory_row['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 = self._options_inventory.loc[row_index].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):
for i, 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']
trade_log_append[leg.name, 'cost'] = current_options[i].loc[row_index]['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
self._options_inventory.at[row_index, ('totals', 'date')] = date
self._options_inventory.at[row_index, ('totals', 'qty')] += qty_to_sell
sold += (qty_to_sell * exit_cost)