calculate_pnl#

API documentation for tradeexecutor.strategy.pnl.calculate_pnl Python function.

calculate_pnl(position, end_at=None, mark_price=None, epsilon=1e-06, max_annualised_profit=100)[source]#

Calculate the Profit and Loss (PnL) for a given trading position.

  • Use cumulative trading cost method

  • Calculate all profit variables in one pass

  • Works for realised and unrealised PnL

See also tradeexecutor.visualisation.position.calculate_position_timeline().

Parameters:

  • end_at (datetime) – For non-closed positions you need to provide the end_at timestamp until we calculate the PnL.

  • mark_price (float) –

    For non-closed positions you need to provide the mark_price to calculate the unrealised PnL.

    If not given, use TradingPosition.last_token_price.

  • position (tradeexecutor.state.position.TradingPosition) –

  • epsilon (float) –

  • max_annualised_profit (float) –

Returns:

Profit in dollar and percentage, annualised percentage.

Return type:

ProfitData