Source code for tradeexecutor.state.valuation

"""Position valuations."""
import datetime
from dataclasses import dataclass

from dataclasses_json import dataclass_json

from tradeexecutor.state.types import USDollarPrice, BlockNumber
from tradingstrategy.types import PrimaryKey, USDollarAmount

@dataclass_json
@dataclass
class ValuationUpdate:
    """Valuation update events.

    Generated by :py:class:`tradeexecutor.strategy.valuation.ValuationModel`
    """
    position_id: PrimaryKey

    #: When this valuation was updated.
    #:
    #: Valuation can be based on old data,
    #: this is the strategy cycle timestamp or wall-clock timestmap
    #: when this event was generated.
    #:
    #: See also :py:attr:`valued_at`
    #:
    created_at: datetime.datetime


    #: The block timestamp this valuation is based on.
    #:
    #: If not available then wall clock time of the valuation.
    #: Note that block timestamp may lag :py:attr:`created_at`
    #: because we cannot use the last block due to
    #: chain tip instability.
    #:
    #: See also :py:attr:`event_generated_at`
    #:
    valued_at: datetime.datetime

    new_value: USDollarAmount

    #: The new price of the base asset of the position.
    #:
    #: Note that position value depends also on gained
    #: interest and the price of the quote asset.
    #:
    new_price: USDollarPrice

    #: What was the position value before this update.
    #:
    old_value: USDollarAmount | None = None

    #: What was the position base asset price before this update.
    #:
    old_price: USDollarPrice | None = None

    #: What is the block number is valuation is based on.
    #:
    #: Must match :py:attr:`valued_at`.
    #:
    block_number: BlockNumber | None = None

    #: In this update, we marked down this position to zero because of the valuation failure.
    #:
    #: Set to `True` indicate we lost the valuation source for this position.
    #:
    #: See `revalue_portfolio()`.
    #:
    mark_down_to_zero: bool | None = None