wassname/options_backtester
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delete _sell_options & minor fix in signs

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Camilo1704
2020-03-13 18:23:11 -03:00
parent 240fab3d25
commit e014840fb1
1 changed files with 1 additions and 37 deletions
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backtester/backtester.py
+1 -37
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@@ -203,42 +203,6 @@ class Backtest:
self._sell_some_options(date, to_sell, options_value)
def _sell_options(self, options, date):
# This method essentially recycles most of the code in the filter_exits method in Strategy.
# The whole thing needs a refactor.
leg_candidates = self._get_current_option_quotes(options)
for i, leg in enumerate(self._options_strategy.legs):
fields = self._signal_fields((~leg.direction).value)
leg_candidates[i] = leg_candidates[i].loc[:, fields.values()]
leg_candidates[i].columns = pd.MultiIndex.from_product([["leg_{}".format(i + 1)],
leg_candidates[i].columns])
candidates = pd.concat(leg_candidates, axis=1)
# If a contract is missing we replace the NaN values with those of the inventory
# except for cost, which we imput as zero.
imputed_inventory = self._impute_missing_option_values(self._options_inventory)
candidates = candidates.fillna(imputed_inventory)
total_costs = sum([candidates[l.name]['cost'] for l in self._options_strategy.legs])
# Append the 'totals' column to candidates
qtys = self._options_inventory['totals']['qty']
dates = [date] * len(self._options_inventory)
totals = pd.DataFrame.from_dict({"cost": total_costs, "qty": qtys, "date": dates})
totals.columns = pd.MultiIndex.from_product([["totals"], totals.columns])
candidates = pd.concat([candidates, totals], axis=1)
exits_mask = pd.Series([True] * len(self._options_inventory))
exits_mask.index = self._options_inventory.index
total_costs *= candidates['totals']['qty']
self._options_inventory.drop(self._options_inventory[exits_mask].index, inplace=True)
self.trade_log = self.trade_log.append(candidates, ignore_index=True)
self.current_cash -= sum(total_costs)
def _sell_some_options(self, date, to_sell, options_value):
sold = 0
@@ -407,7 +371,7 @@ class Backtest:
self._options_inventory = self._options_inventory.append(entries, ignore_index=True)
self.trade_log = self.trade_log.append(entries, ignore_index=True)
self.current_cash += options_allocation - sum(total_costs * qty)
self.current_cash += options_allocation - total_costs[0] * qty[0]
def _execute_option_exits(self, date, options):
"""Exits option positions according to `self._options_strategy`.