gavindiaz/qsforex
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Modified the position handling to fix a pricing bug, so that locally handled Portfolio values match those of OANDA (up to slippage).

Browse Source
This commit is contained in:
Michael Halls-Moore
2015-07-13 16:30:55 +01:00
parent be9ef2b54f
commit 675412c125
6 changed files with 73 additions and 60 deletions
Download Patch File Download Diff File Expand all files Collapse all files
portfolio/position.py
+6 -8
View File
@@ -24,7 +24,7 @@ class Position(object):
ticker_cur = self.ticker.prices[self.currency_pair]
if self.position_type == "long":
self.avg_price = Decimal(str(ticker_cur["ask"]))
self.cur_price = Decimal(str(ticker_cur["bid"]))
self.cur_price = Decimal(str(ticker_cur["bid"]))
else:
self.avg_price = Decimal(str(ticker_cur["bid"]))
self.cur_price = Decimal(str(ticker_cur["ask"]))
@@ -83,11 +83,11 @@ class Position(object):
ticker_cp = self.ticker.prices[self.currency_pair]
ticker_qh = self.ticker.prices[self.quote_home_currency_pair]
if self.position_type == "long":
remove_price = ticker_cp["ask"]
qh_close = ticker_qh["bid"]
else:
remove_price = ticker_cp["bid"]
qh_close = ticker_qh["ask"]
else:
remove_price = ticker_cp["ask"]
qh_close = ticker_qh["bid"]
self.units -= dec_units
self.update_position_price()
# Calculate PnL
@@ -99,11 +99,9 @@ class Position(object):
ticker_cp = self.ticker.prices[self.currency_pair]
ticker_qh = self.ticker.prices[self.quote_home_currency_pair]
if self.position_type == "long":
remove_price = ticker_cp["ask"]
qh_close = ticker_qh["bid"]
else:
remove_price = ticker_cp["bid"]
qh_close = ticker_qh["ask"]
else:
qh_close = ticker_qh["bid"]
self.update_position_price()
# Calculate PnL
pnl = self.calculate_pips() * qh_close * self.units