close position : how to get the Filled price to calcuate real realized pnl of a single trade

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posted Sep 4, 2019

Hi everyone,I want to calcuate the realized pnl for a trade. buy the filled price of closing position is the close price of next bar.
data.current(sid,'close') and position[sid].last_sale_price return the price of current bar.

for example, i close position in 10:10,
data.current(sid,'close') and position[sid].last_sale_price return the price ruturn the price of 10:10
but in fact, the order is filled with close price of 10:11 in full backtest.
how can i get the real filld price of next bar in backtest？

thanks for your help.

2 responses

Viridian Hawk

Sep 5, 2019

Have you taken a look at:
https://www.quantopian.com/help#api-get-order

zeng lei

Sep 6, 2019

Thank you Hawk，i have checked the get_order method before, which it returned doesn't include the filled price information of market order.

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