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 open, closed and frozen, positions.
Iterate through all trades: completed, failed and in progress
Get the value of the portfolio based on the latest pricing.
Get how much reserve stablecoins we have.
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 all positions with already executed trades.
Get a position by a trading pair smart contract address identifier.
Get first and last trades overall.
Get the value of trading positions that are frozen currently.
How much we invested at the beginning of a backtest.
Get the value of current trading positions plus unexecuted trades.
Get the value of current trading positions.
get_open_position_for_pair
(pair)Get currently open positions.
Return the current holdings in different trading pairs.
Return the current ownerships.
Get open position by a trading pair smart contract address identifier.
Get positions that were closed at a specific timestamp.
get_reserve_position
(asset)Get the value of the portfolio based on the latest pricing.
Get the profit of currently open positions.
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
Each position gets it unique running counter id.
Each trade gets it unique id as a running counter.
Currently open trading positions
Currently held reserve assets Token address -> reserve position mapping.
Trades completed in the past
Positions that have failed sells, or otherwise immovable and need manual clean up.
- 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
- get_executed_positions()[source]#
Get all positions with already executed trades.
Ignore positions that are still pending - they have only planned trades.
- Return type
- get_open_quantities_by_position_id()[source]#
Return the current ownerships.
Keyed by position id -> quantity.
- get_open_quantities_by_internal_id()[source]#
Return the current holdings in different trading pairs.
Keyed by trading pair internal id -> quantity.
- 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
- 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
- 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
- create_trade(ts, pair, quantity, reserve, assumed_price, trade_type, reserve_currency, reserve_currency_price)[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) –
assumed_price (USDollarAmount) –
trade_type (TradeType) –
reserve_currency (AssetIdentifier) –
reserve_currency_price (USDollarAmount) –
- Return type
- get_frozen_position_equity()[source]#
Get the value of trading positions that are frozen currently.
- Return type
- get_live_position_equity()[source]#
Get the value of current trading positions plus unexecuted trades.
- Return type
- get_closed_profit_usd()[source]#
Get the value of the portfolio based on the latest pricing.
- Return type
- get_equity_for_pair(pair)[source]#
Return how much equity allocation we have in a certain trading pair.
- Parameters
pair (TradingPairIdentifier) –
- Return type
- 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
- 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.
- 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
- 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
- __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