wassname/options_backtester
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Fixed update balance not working if there were multiple contracts on the inventory

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This commit is contained in:
Javier Rodríguez Chatruc
2020-03-04 18:48:57 -03:00
parent a846c7af54
commit e16dc77508
1 changed files with 12 additions and 19 deletions
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backtester/backtester.py
+12 -19
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@@ -282,10 +282,6 @@ class Backtest:
stock_prices = inventory_stocks[self._stocks_schema['adjClose']]
if sma_days:
print(stock_prices)
print(inventory_stocks['sma'])
print(allocation)
print(stock_percentages)
qty = np.where(inventory_stocks['sma'] < stock_prices, (allocation * stock_percentages) // stock_prices, 0)
else:
qty = (allocation * stock_percentages) // stock_prices
@@ -300,21 +296,19 @@ class Backtest:
calls_value = pd.Series(0, index=options_data['quotedate'].unique())
puts_value = pd.Series(0, index=options_data['quotedate'].unique())
try:
options_qty = self._options_inventory['totals']['qty'].values[0]
except IndexError:
options_qty = 0
for leg in self._options_strategy.legs:
leg_inventory = self._options_inventory[leg.name]
current = leg_inventory[['contract']].merge(options_data,
how='left',
left_on='contract',
right_on='optionroot').set_index('quotedate')
if (leg_inventory['type'] == 'call').any():
calls_value += current[(~leg.direction).value] * options_qty * self.shares_per_contract
else:
puts_value += current[(~leg.direction).value] * options_qty * self.shares_per_contract
for contract in leg_inventory['contract']:
leg_inventory_contract = leg_inventory.query('contract == "{}"'.format(contract))
qty = self._options_inventory.loc[leg_inventory_contract.index]['totals']['qty'].values[0]
current = leg_inventory_contract[['contract']].merge(options_data,
how='left',
left_on='contract',
right_on='optionroot').set_index('quotedate')
if (leg_inventory_contract['type'] == 'call').any():
calls_value += current[(~leg.direction).value] * qty * self.shares_per_contract
else:
puts_value += current[(~leg.direction).value] * qty * self.shares_per_contract
stocks_current = self._stocks_inventory[['symbol', 'qty']].merge(stocks_data[['date', 'symbol', 'adjClose']],
on='symbol')
@@ -324,8 +318,7 @@ class Backtest:
stocks_current[stocks_current['symbol'] == stock.symbol].set_index('date')[['cost']].rename(
columns={'cost': stock.symbol}) for stock in self._stocks
],
axis=1,
sort=True)
axis=1)
add['cash'] = self.current_cash
add['options qty'] = self._options_inventory['totals']['qty'].sum()