Trade gain code?

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Trade gain code?

vladimir prelovac

posted

Does anyone have a trade gain % snippet that they could share?

When I tried to implement it I found it tricky to assess the 'cost basis' of closing trades.

2 responses

Tricky is right.

A few clues

https://www.quantopian.com/posts/track-orders

      pnl = ''  # for the trade only  
        if cb:  
          pnl  = -filled_amt * (prc - cb)

Would this do?

pos = context.portfolio.positions  
oos = get_open_orders()

for s in oos:  
    for o in oos[s]:  
        if o.status != 0:    # ignoring status 0, order not done yet  
            s = o.sid  
            pnl = o.amount * (data.current(s, 'price') - pos[s].cost_basis)

Hopefully you won't have to resort to tracking a running balance.
In this area it can also be useful sometimes to know whether an order is opening, closing or crossover (long to short etc)

vladimir prelovac

Thanks, I'll see if I can make it work.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.