Updated equity tracking, postions liquidation on completion and annua…

…lized_return calculation.

Fix liquidating position end

.gitignore

@@ -13,6 +13,9 @@ __pycache__/
 /output
 /dist
 
+# Except for specific files
+!he_zc_ohlcv-1h.bin
+
 # Django
 /db.sqlite3
 /static

midastrader/core/adapters/performance/managers.py

@@ -46,9 +46,8 @@ def update_trades(self, event: TradeEvent) -> None:
             trade_data (Trade): Trade object containing trade details.
         """
         self.trades[event.trade_id] = event.trade
-        self.logger.debug(
-            f"\nTrade Updated:\n{event.trade.pretty_print("  ")}\n"
-        )
+        trade_str = event.trade.pretty_print("  ")
+        self.logger.debug(f"\nTrade Updated:\n{trade_str}\n")
 
     def update_trade_commission(self, event: TradeCommissionEvent) -> None:
         """
@@ -65,9 +64,8 @@ def update_trade_commission(self, event: TradeCommissionEvent) -> None:
         if event.trade_id in self.trades:
             self.trades[event.trade_id].fees = event.commission
             self.logger.debug(f"Commission Updated : {event.trade_id}")
-            self.logger.debug(
-                f"\nTrade Updated:\n{self.trades[event.trade_id].pretty_print("  ")}"
-            )
+            trade_str = self.trades[event.trade_id].pretty_print("  ")
+            self.logger.debug(f"\nTrade Updated:\n{trade_str}")
         else:
             self.logger.warning(
                 f"Trade ID {event.trade_id} not found for commission update."
@@ -82,7 +80,8 @@ def _output_trades(self) -> str:
         """
         string = ""
         for trade in self.trades.values():
-            string += f"{trade.pretty_print("  ")}\n"
+            trade_str = trade.pretty_print("  ")
+            string += f"{trade_str}\n"
         return string
 
     def _aggregate_trades(self) -> pd.DataFrame:
@@ -465,7 +464,7 @@ def update_equity(self, equity_details: EquityDetails) -> None:
         Args:
             equity_details (EquityDetails): The equity details to be logged.
         """
-        if equity_details not in self.equity_value:
+        if not self.equity_value or equity_details != self.equity_value[-1]:
             self.equity_value.append(equity_details)
             self.logger.debug(
                 f"\nEQUITY UPDATED: \n  {self.equity_value[-1]}\n"
@@ -617,14 +616,15 @@ def calculate_equity_statistics(
         raw_equity_curve = raw_equity_df["equity_value"].to_numpy()
         daily_returns = self.daily_stats["period_return"].to_numpy()
         period_returns = self.period_stats["period_return"].to_numpy()
-        annualized_return = round(((1 + daily_returns.mean()) ** 252) - 1, 4)
 
         return {
             "net_profit": float(Metrics.net_profit(raw_equity_curve)),
             "beginning_equity": float(raw_equity_curve[0]),
             "ending_equity": float(raw_equity_curve[-1]),
             "total_return": float(Metrics.total_return(raw_equity_curve)),
-            "annualized_return": float(annualized_return),
+            "annualized_return": float(
+                Metrics.annualize_returns(daily_returns)
+            ),
             "daily_standard_deviation_percentage": float(
                 Metrics.standard_deviation(daily_returns)
             ),

midastrader/core/adapters/portfolio/managers.py

@@ -92,7 +92,8 @@ def _ouput_orders(self) -> str:
         """
         string = ""
         for permId, order in self.active_orders.items():
-            string += f"{permId}:\n{order.pretty_print("  ")} \n"
+            order_str = order.pretty_print("  ")
+            string += f"{permId}:\n{order_str} \n"
         return string
 
 
@@ -181,7 +182,8 @@ def _output_positions(self) -> str:
         """
         string = ""
         for id, position in self.positions.items():
-            string += f"{id}:\n{position.pretty_print("  ")}\n"
+            position_str = position.pretty_print("  ")
+            string += f"{id}:\n{position_str}\n"
         return string
 
 
@@ -235,9 +237,8 @@ def update_account_details(self, account_details: Account) -> None:
 
         """
         self.account = account_details
-        self.logger.debug(
-            f"\nACCOUNT UPDATED: \n{self.account.pretty_print("  ")}"
-        )
+        account_str = self.account.pretty_print("  ")
+        self.logger.debug(f"\nACCOUNT UPDATED: \n{account_str}")
 
         # Signal the orders have been updated atleast once
         if not self.initial_data:

midastrader/execution/adaptors/dummy/dummy_broker.py

@@ -492,6 +492,7 @@ def liquidate_positions(self) -> None:
                     current_price = mkt_data.pretty_price
                     position.market_price = current_price
                     position.calculate_liquidation_value()
+                    quantity = position.quantity * -1
 
                     self.trade_id += 1
                     trade = Trade(
@@ -500,14 +501,13 @@ def liquidate_positions(self) -> None:
                         signal_id=self.last_trades[instrument_id].signal_id,
                         instrument=instrument_id,
                         security_type=symbol.security_type,
-                        quantity=round(position.quantity * -1, 4),
+                        quantity=round(quantity, 4),
                         avg_price=current_price * symbol.price_multiplier,
                         trade_value=round(
-                            symbol.value(position.quantity, current_price), 2
-                        ),
-                        trade_cost=symbol.cost(
-                            position.quantity * -1, current_price
+                            symbol.value(quantity, current_price),
+                            2,
                         ),
+                        trade_cost=symbol.cost(quantity, current_price),
                         action=(
                             Action.SELL.value
                             if position.action == "BUY"

midastrader/structs/signal.py

@@ -52,9 +52,7 @@ def __post_init__(self):
         if not isinstance(self.instrument, int):
             raise TypeError("'instrument' field must be of type int.")
         if not isinstance(self.order_type, OrderType):
-            raise TypeError(
-                "'order_type' field must be of type OrderType enum."
-            )
+            raise TypeError("'order_type' must be of type OrderType enum.")
         if not isinstance(self.action, Action):
             raise TypeError("'action' field must be of type Action enum.")
         if not isinstance(self.signal_id, int):
@@ -120,8 +118,7 @@ def to_mbinary(self, ticker: str) -> mbinary.SignalInstructions:
             ticker=ticker,
             order_type=self.order_type.value,
             action=self.action.value,
-            trade_id=self.signal_id,
-            leg_id=self.signal_id,
+            signal_id=self.signal_id,
             weight=int(self.weight * PRICE_SCALE),
             quantity=int(self.quantity * QUANTITY_SCALE),
             limit_price=str(self.limit_price) if self.limit_price else "",

midastrader/structs/trade.py

@@ -112,7 +112,7 @@ def to_mbinary(self, ticker: str) -> mbinary.Trades:
         """
         return mbinary.Trades(
             trade_id=self.trade_id,
-            leg_id=self.signal_id,
+            signal_id=self.signal_id,
             timestamp=self.timestamp,
             ticker=ticker,
             quantity=int(self.quantity * PRICE_SCALE),
@@ -136,7 +136,7 @@ def pretty_print(self, indent: str = "") -> str:
         return (
             f"{indent}Timestamp: {self.timestamp}\n"
             f"{indent}Trade ID: {self.trade_id}\n"
-            f"{indent}Leg ID: {self.signal_id}\n"
+            f"{indent}Signal ID: {self.signal_id}\n"
             f"{indent}Instrument: {self.instrument}\n"
             f"{indent}Quantity: {self.quantity}\n"
             f"{indent}Avg Price: {self.avg_price}\n"

tests/integration/strategy/config.toml

@@ -9,11 +9,9 @@ output_path = "tests/integration/backtest/output/"
 
 # Data Vendors
 [vendor.historical]
-url = "http://192.53.120.167:8080" #"http://127.0.0.1:8080"
+url = "http://127.0.0.1:8080"
 key = "your_database_key"
-# data_file= "tests/integration/primer.bin" 
-# data_file="tests/integration/test_ohlcv-1h.bin"
-data_file= "tests/integration/test_he.c.0_zc.c.0.bin"
+data_file= "tests/integration/he_zc_ohlcv-1h.bin"
 
 # [vendor.interactive_brokers]
 # tick_interval = 5 # only matters for tick data
@@ -114,45 +112,3 @@ module = ""
 class = ""
 
 
-
-# # config.toml
-# [general]
-# # mode = "BACKTEST"
-# session_id = 1001
-# log_level = "INFO"
-# log_output = "file"
-# output_path = "tests/integration/backtest/output/"
-# data_file= "tests/integration/he_zc_2024-09-01_2024-12-10_ohlcv-1h.bin" 
-#
-# [database]
-# url = "http://192.53.120.167:8080" #"http://127.0.0.1:8080"
-# key = "your_database_key"
-#
-# [data_source]
-# host="127.0.0.1"
-# port="7497" #7496 for real account
-# account_id="U4976268"
-# client_id=1
-#
-# [broker]
-# host="127.0.0.1"
-# port="7497" # 7496 for real account
-# account_id="U4976268"
-# client_id=0
-#
-# [strategy.logic]
-# module = "tests/integration/strategy/logic.py"
-# class = "Cointegrationzscore"
-#
-# [strategy.parameters]
-# strategy_name = "Cointegrationzscore"
-# capital = 1000000
-# data_type = "BAR"
-# tick_interval = 5 # only matters for tick data
-# schema = "ohlcv-1h"
-# start = "2024-09-01"
-# end = "2024-12-10"
-# test_start = ""
-# test_end = "2024-12-11" #2024-05-04 00:00:00"
-# missing_values_strategy = "drop"
-# risk_free_rate = 0.04

tests/unit/config.toml

@@ -12,7 +12,7 @@ output_path = "output/"
 [vendor.historical]
 url = "http://127.0.0.1:8080"
 key = "your_database_key"
-data_file= "tests/unit/test_HE.c.0_ZC.c.0__ohlcv-1h_2024-09-01_2024-12-31.bin"
+data_file= "tests/unit/he_zc_ohlcv-1h.bin"
 
 [vendor.interactive_brokers]
 host="127.0.0.1"

tests/unit/data/historical/test_data_client.py

@@ -92,9 +92,7 @@ def setUp(self) -> None:
 
         # Dataclient instance
         self.bus = MessageBus()
-        kwargs = {
-            "data_file": "tests/unit/test_HE.c.0_ZC.c.0__ohlcv-1h_2024-09-01_2024-12-31.bin"
-        }
+        kwargs = {"data_file": "tests/unit/he_zc_ohlcv-1h.bin"}
         self.adaptor = HistoricalAdaptor(
             self.symbols_map,
             self.bus,
@@ -117,9 +115,7 @@ def test_get_data_file(self):
             symbols=self.symbols,
         )
 
-        kwargs = {
-            "data_file": "tests/unit/test_HE.c.0_ZC.c.0__ohlcv-1h_2024-09-01_2024-12-31.bin"
-        }
+        kwargs = {"data_file": "tests/unit/he_zc_ohlcv-1h.bin"}
         adaptor = HistoricalAdaptor(self.symbols_map, self.bus, **kwargs)
 
         # Test

tests/unit/execution/dummy/test_dummy_broker.py

@@ -503,6 +503,7 @@ def test_liquidate_positions(self):
                 (
                     current_price
                     * hogs_position.quantity
+                    * -1
                     * hogs_position.quantity_multiplier
                     * hogs_position.price_multiplier
                 ),
@@ -523,7 +524,7 @@ def test_liquidate_positions(self):
             security_type=SecurityType.STOCK,
             quantity=round(aapl_position.quantity * -1, 4),
             avg_price=float(current_price * 1),
-            trade_value=round(current_price * aapl_position.quantity, 2),
+            trade_value=round(current_price * aapl_position.quantity * -1, 2),
             trade_cost=round(current_price * abs(aapl_position.quantity), 2),
             action=Action.SELL.value,
             fees=0.0,

tests/unit/structs/test_signal.py

@@ -167,7 +167,7 @@ def test_type_checks(self):
             )
 
         with self.assertRaisesRegex(
-            TypeError, "'order_type' field must be of type OrderType enum."
+            TypeError, "'order_type' must be of type OrderType enum."
         ):
             SignalInstruction(
                 instrument=self.instrument,