Mariner Backtesting - Realized Profit and Loss

account[symbol].realized_pl

account[symbol].realized_pl Overview:

calculates the profit loss for finalized trades for the specified symbol.

Attributes:

Sample - Access data attribute

 account[self.symbol].realized_pl.entry_pl

Name	Type	Information
entry_pl	float	Profit or Loss for matched trades by entry price for symbol.
matched_trades	list[MatchedTrade]	List of MatchedTrade objects. The details of each matched trade are encapsulated inside the list items. See below.
mtm_pl	float	Profit or Loss for matched trades by mtm price for symbol. For trades held overnight, the mtm_price is the mark from the clearing firm. On intra-day trades, mtm_price and entry_price will match.

MatchedTrade object - tuple

Name	Type	Information
entry_execution	Execution	Link to the entry Execution object (see below).
entry_pl	float	Profit or Loss for matched trades by entry price for symbol.
exit_execution	Execution	Link to the exit Execution object (see below).
matched_shares	integer	Shares matched on entry/exit orders (may or may not match either entry or exit fill quantity)
mtm_pl	float	Profit or Loss for matched trades by mtm price for symbol. For trades held overnight, the mtm_price is the mark from the clearing firm. On intra-day trades, mtm_price and entry_price will match.

Execution object - tuple (pertains to both entry_execution and exit_execution)

Name	Type	Information
clordid	string	Client Order Id in FIX. Is generated when the order is sent. Will be the same on executions.
collect	None	is a json dictionary of information collected at the time of the order.
instruction_id	string	Unique GUID for the instance of the script that generated the initial order. Will be None if the initial order wasn't started from same machine (e.g. from trading client)
order_id	None	Unique GUID of order being filled (very similar clordid). Will be None if the initial order wasn't started from same machine (e.g. from trading client)
price	float	Execution price
script_id	string	GUID of the script. Will be None if the initial order wasn't started from same machine (e.g. from trading client)
shares	integer	Shares executed on the trade. Always positive number, whether buy or sell execution
side	integer	Side of the trade buy = 1 sell = 2 shortsell = 5
symbol	string	Symbol of trade
time	muts	Timestamp of trade
user_key	string	user_key set on the order. Can be used to identify trades that go together (pairs/batch/strategy). account object can be filtered on user_key

Remarks:

Works like a dictionary filtering on the account object.
mtm_price and entry_price will match on intra-day trades.

Working Example:

Backtest for SPY on 2/16/16 from 9:31-9:32.

 from cloudquant.interfaces import Strategy


class UnrealizedPLExample(Strategy):
    @classmethod
    def is_symbol_qualified(cls, symbol, md, service, account):
        return symbol == 'TQQQ'

    def on_start(self, md, order, service, account):

        # two marketable buy orders
        order.algo_buy(self.symbol, "market", intent="init", order_quantity=100)

    def on_minute_bar(self, event, md, order, service, account, bar):

        if event.timestamp > service.time(9, 31) and event.timestamp < service.time(9, 32):
            print '\n\n.............................\non_minute_bar\n\t%s\n' % service.time_to_string(event.timestamp,
                                                                                                      '%H:%M:%S.%f')
            print('\nShares currently held in ' + self.symbol + ':\t' + str(account[self.symbol].position.shares))
            print("\n\naccount[self.symbol].unrealized_pl")
            print account[self.symbol].unrealized_pl
            order.algo_sell(self.symbol, "market", intent="none", order_quantity=100, allow_multiple_pending=True)

        elif event.timestamp > service.time(9, 32):
            print '\n\n.............................\non_minute_bar\n\t%s\n' % service.time_to_string(event.timestamp,
                                                                                                      '%H:%M:%S.%f')
            print 'account'
            print account

            print("\n\naccount[self.symbol].unrealized_pl")
            print account[self.symbol].unrealized_pl

            print '\n\naccount[self.symbol].unrealized_pl.entry_pl  -   %s' % account[
                self.symbol].unrealized_pl.entry_pl
            print 'account[self.symbol].unrealized_pl.mtm_pl  -   %s' % account[self.symbol].unrealized_pl.mtm_pl

            service.terminate()

Console

.............................
on_minute_bar
    09:31:05.005000


Shares currently held in TQQQ:  100


account[self.symbol].unrealized_pl
        entry_pl        :           9.00
        mtm_pl          :           9.00


.............................
on_finish
    16:00:00.000000

account
account_id:                                 0
entry_pl:                                1.00
mtm_pl:                                  1.00
buying_power:                            None
open_capital_long:                       0.00
open_capital_short:                      0.00
pending_capital_long:                    0.00
pending_capital_short:              -12776.00
max_capital_used:                    12775.00
max_capital_used_timestamp:  1481553005000001
open_symbols:                []
pending_symbols:             []
TQQQ:
    Execution count     :              2
    realized_pl         :
        entry_pl        :           0.00
        mtm_pl          :           0.00
        matched_trades  :              0
    unrealized_pl       :
        entry_pl        :           0.00
        mtm_pl          :           0.00
    position            :
        shares          :              0
        entry_price     :           0.00
        mtm_price       :           0.00
        capital_long    :           0.00
        capital_short   :           0.00
    pending             :
        count_long      :              0
        shares_long     :              0
        capital_long    :           0.00
        count_short     :              0
        shares_short    :              0
        capital_short   :           0.00


account[self.symbol].unrealized_pl
        entry_pl        :           0.00
        mtm_pl          :           0.00


account[self.symbol].unrealized_pl.entry_pl  -   0.0
account[self.symbol].unrealized_pl.mtm_pl  -   0.0