Portfolio#

tradeexecutor.state.portfolio.Portfolio class.

class Portfolio[source]#

Bases: object

Represents a trading portfolio on DEX markets.

Multiple trading pair issue: We do not identify the actual assets we have purchased, but the trading pairs that we used to purchase them. Thus, each position marks “openness” in a certain trading pair. For example open position of WBNB-BUSD means we have bought X BNB tokens through WBNB-BUSD trading pair. But because this is DEX market, we could enter and exit through WBNB-USDT, WBNB-ETH, etc. and our position is not really tied to a trading pair. However, because all TradFi trading view the world through trading pairs, we keep the tradition here.

__init__(next_position_id=1, next_trade_id=1, open_positions=<factory>, reserves=<factory>, closed_positions=<factory>, frozen_positions=<factory>)#

Parameters

next_position_id (int) –
next_trade_id (int) –
open_positions (Dict[int, TradingPosition]) –
reserves (Dict[str, ReservePosition]) –
closed_positions (Dict[int, TradingPosition]) –
frozen_positions (Dict[int, TradingPosition]) –

Return type

None

Methods

`__init__`([next_position_id, next_trade_id, ...])
`adjust_reserves`(asset, amount)	Remove currency from reserved
`check_for_nonce_reuse`(nonce)	A helper assert to see we are not generating invalid transactions somewhere.
`create_trade`(ts, pair, quantity, reserve, ...)	Create a trade.
`find_position_for_trade`(trade)	Find a position tha trade belongs for.
`from_dict`(kvs, *[, infer_missing])
`from_json`(s, *[, parse_float, parse_int, ...])
`get_all_positions`()	Get open, closed and frozen, positions.
`get_all_trades`()	Iterate through all trades: completed, failed and in progress
`get_closed_profit_usd`()	Get the value of the portfolio based on the latest pricing.
`get_current_cash`()	Get how much reserve stablecoins we have.
`get_default_reserve_currency`()	Gets the default reserve currency associated with this state.
`get_equity_for_pair`(pair)	Return how much equity allocation we have in a certain trading pair.
`get_executed_positions`()	Get all positions with already executed trades.
`get_existing_open_position_by_trading_pair`(pair)	Get a position by a trading pair smart contract address identifier.
`get_first_and_last_executed_trade`()	Get first and last trades overall.
`get_frozen_position_equity`()	Get the value of trading positions that are frozen currently.
`get_initial_deposit`()	How much we invested at the beginning of a backtest.
`get_live_position_equity`()	Get the value of current trading positions plus unexecuted trades.
`get_open_position_equity`()	Get the value of current trading positions.
`get_open_position_for_pair`(pair)
`get_open_positions`()	Get currently open positions.
`get_open_quantities_by_internal_id`()	Return the current holdings in different trading pairs.
`get_open_quantities_by_position_id`()	Return the current ownerships.
`get_position_by_id`(position_id)	Get any position open/closed/frozen by id.
`get_position_by_trading_pair`(pair)	Get open position by a trading pair smart contract address identifier.
`get_positions_closed_at`(ts)	Get positions that were closed at a specific timestamp.
`get_reserve_position`(asset)
`get_total_equity`()	Get the value of the portfolio based on the latest pricing.
`get_unrealised_profit_usd`()	Get the profit of currently open positions.
`has_unexecuted_trades`()	Do we have any trades that have capital allocated, but not executed yet.
`is_empty`()	This portfolio has no open or past trades or any reserves.
`move_capital_from_reserves_to_trade`(trade[, ...])	Allocate capital from reserves to trade instance.
`open_new_position`(ts, pair, assumed_price, ...)
`return_capital_to_reserves`(trade[, ...])	Return capital to reserves after a sell.
`revalue_positions`(ts, valuation_method[, ...])	Revalue all open positions in the portfolio.
`schema`(*[, infer_missing, only, exclude, ...])
`to_dict`([encode_json])
`to_json`(*[, skipkeys, ensure_ascii, ...])
`update_reserves`(new_reserves)	Update current reserves.

Attributes

`next_position_id`	Each position gets it unique running counter id.
`next_trade_id`	Each trade gets it unique id as a running counter.
`open_positions`	Currently open trading positions
`reserves`	Currently held reserve assets Token address -> reserve position mapping.
`closed_positions`	Trades completed in the past
`frozen_positions`	Positions that have failed sells, or otherwise immovable and need manual clean up.

next_position_id: int = 1#: Each position gets it unique running counter id.

next_trade_id: int = 1#: Each trade gets it unique id as a running counter. Trade ids are unique across different positions.

open_positions: Dict[int, TradingPosition]#: Currently open trading positions

reserves: Dict[str, ReservePosition]#: Currently held reserve assets Token address -> reserve position mapping.

closed_positions: Dict[int, TradingPosition]#: Trades completed in the past

frozen_positions: Dict[int, TradingPosition]#: Positions that have failed sells, or otherwise immovable and need manual clean up. Failure reasons could include - blockchain halted - ERC-20 token tax fees - rug pull token - transfer disabled

is_empty()[source]#: This portfolio has no open or past trades or any reserves.

get_position_by_id(position_id)[source]#

Get any position open/closed/frozen by id.

Parameters: position_id (int) – Internal running counter id for the position inside this portfolio.
Returns: Always returns or fails with py:class:AssertionError.
Return type: TradingPosition

get_all_positions()[source]#

Get open, closed and frozen, positions.

Return type: Iterable[TradingPosition]

get_open_positions()[source]#

Get currently open positions.

Return type: Iterable[TradingPosition]

get_executed_positions()[source]#

Get all positions with already executed trades.

Ignore positions that are still pending - they have only planned trades.

Return type: Iterable[TradingPosition]

get_open_quantities_by_position_id()[source]#

Return the current ownerships.

Keyed by position id -> quantity.

Return type: Dict[str, Decimal]

get_open_quantities_by_internal_id()[source]#

Return the current holdings in different trading pairs.

Keyed by trading pair internal id -> quantity.

Return type: Dict[int, Decimal]

get_position_by_trading_pair(pair)[source]#

Get open position by a trading pair smart contract address identifier.

For Uniswap-likes we use the pool address as the persistent identifier for each trading pair.

Parameters: pair (TradingPairIdentifier) –
Return type: Optional[TradingPosition]

get_existing_open_position_by_trading_pair(pair)[source]#

Get a position by a trading pair smart contract address identifier.

The position must have already executed trades (cannot be planned position(.

Parameters: pair (TradingPairIdentifier) –
Return type: Optional[TradingPosition]

get_positions_closed_at(ts)[source]#

Get positions that were closed at a specific timestamp.

Useful to display closed positions after the rebalance.

Parameters: ts (datetime) –
Return type: Iterable[TradingPosition]

create_trade(ts, pair, quantity, reserve, assumed_price, trade_type, reserve_currency, reserve_currency_price, notes=None)[source]#

Create a trade.

Trade can be opened by knowing how much you want to buy (quantity) or how much cash you have to buy (reserve).

Parameters

ts (datetime) –
pair (TradingPairIdentifier) –
quantity (Optional[Decimal]) –
reserve (Optional[Decimal]) –
assumed_price (USDollarAmount) –
trade_type (TradeType) –
reserve_currency (AssetIdentifier) –
reserve_currency_price (USDollarAmount) –
notes (Optional[str]) –

Return type

Tuple[TradingPosition, TradeExecution, bool]

get_current_cash()[source]#

Get how much reserve stablecoins we have.

Return type: USDollarAmount

get_open_position_equity()[source]#

Get the value of current trading positions.

Return type: USDollarAmount

get_frozen_position_equity()[source]#

Get the value of trading positions that are frozen currently.

Return type: USDollarAmount

get_live_position_equity()[source]#

Get the value of current trading positions plus unexecuted trades.

Return type: USDollarAmount

get_total_equity()[source]#

Get the value of the portfolio based on the latest pricing.

Return type: USDollarAmount

get_unrealised_profit_usd()[source]#

Get the profit of currently open positions.

Return type: USDollarAmount

get_closed_profit_usd()[source]#

Get the value of the portfolio based on the latest pricing.

Return type: USDollarAmount

find_position_for_trade(trade)[source]#

Find a position tha trade belongs for.

Return type: Optional[TradingPosition]

get_equity_for_pair(pair)[source]#

Return how much equity allocation we have in a certain trading pair.

Parameters: pair (TradingPairIdentifier) –
Return type: Decimal

adjust_reserves(asset, amount)[source]#

Remove currency from reserved

Parameters

asset (AssetIdentifier) –
amount (Decimal) –

move_capital_from_reserves_to_trade(trade, underflow_check=True)[source]#

Allocate capital from reserves to trade instance.

Total equity of the porfolio stays the same.

Parameters: trade (TradeExecution) –

return_capital_to_reserves(trade, underflow_check=True)[source]#

Return capital to reserves after a sell.

Parameters: trade (TradeExecution) –

has_unexecuted_trades()[source]#

Do we have any trades that have capital allocated, but not executed yet.

Return type: bool

update_reserves(new_reserves)[source]#

Update current reserves.

Overrides current amounts of reserves.

E.g. in the case users have deposited more capital.

Parameters: new_reserves (List[ReservePosition]) –

check_for_nonce_reuse(nonce)[source]#

A helper assert to see we are not generating invalid transactions somewhere.

Raise: AssertionError
Parameters: nonce (int) –

revalue_positions(ts, valuation_method, revalue_frozen=True)[source]#

Revalue all open positions in the portfolio.

Reserves are not revalued.

Parameters

revalue_frozen – Revalue frozen positions as well
ts (datetime) –
valuation_method (Callable) –

get_default_reserve_currency()[source]#

Gets the default reserve currency associated with this state.

For strategies that use only one reserve currency. This is the first in the reserve currency list.

Returns: Tuple (Reserve currency asset, its latest US dollar exchanage rate)
Return type: Tuple[AssetIdentifier, USDollarAmount]

get_all_trades()[source]#

Iterate through all trades: completed, failed and in progress

Return type: Iterable[TradeExecution]

get_first_and_last_executed_trade()[source]#

Get first and last trades overall.

Return type: Tuple[Optional[TradeExecution], Optional[TradeExecution]]

get_initial_deposit()[source]#

How much we invested at the beginning of a backtest.

Assumes we track the performance against the US dollar
Assume there has been only one deposit event
This deposit happened at the start of the backtest

Return type: Optional[USDollarAmount]

__init__(next_position_id=1, next_trade_id=1, open_positions=<factory>, reserves=<factory>, closed_positions=<factory>, frozen_positions=<factory>)#

Parameters

next_position_id (int) –
next_trade_id (int) –
open_positions (Dict[int, TradingPosition]) –
reserves (Dict[str, ReservePosition]) –
closed_positions (Dict[int, TradingPosition]) –
frozen_positions (Dict[int, TradingPosition]) –

Return type

None