Source code for tradeexecutor.analysis.single_pair

"""Single trading pair analysis"""
from _decimal import Decimal

import pandas as pd

from tradeexecutor.state.position import TradingPosition
from tradeexecutor.state.state import State

[docs]def expand_entries_and_exits( state: State, token_quantizer=Decimal("0.000001"), ) -> pd.DataFrame: """Write out a table containing entries and exists of every taken position. - Made for single pair strategies - Entry and exit are usually done using the close value of the previous candle - Assume each position contains only one entry and one exit trade :return: DataFrame indexed by position entries """ items = [] idx = [] p: TradingPosition for p in state.portfolio.get_all_positions(): symbol = p.pair.base.token_symbol first_trade = p.get_first_trade() last_trade = p.get_last_trade() # Open position at the end if first_trade == last_trade: last_trade = None volume = sum(t.get_volume() for t in p.trades.values()) volume_token = sum(abs(t.get_position_quantity()) for t in p.trades.values()) fee = sum(t.lp_fees_paid or 0 for t in p.trades.values()) idx.append(first_trade.strategy_cycle_at) items.append({ "Entry": first_trade.strategy_cycle_at, "Entry mid price": first_trade.price_structure.mid_price, "Exit": last_trade.strategy_cycle_at if last_trade else None, "Exit mid price": last_trade.price_structure.mid_price if last_trade else None, "PnL": p.get_total_profit_usd(), "Vol USD": volume, f"Vol {symbol}": volume_token.quantize(token_quantizer), "LP fee USD": fee, "Portfolio size": p.portfolio_value_at_open, }) df = pd.DataFrame(items, index=idx) df = df.fillna("") df = df.replace({pd.NaT: ""}) return df