Position ¶

class Position ( Instrument instrument , OrderFilled fill ) ¶

Bases: object

Represents a position in a financial market.

The position ID may be assigned at the trading venue, or can be system generated depending on a strategies OMS (Order Management System) settings.

Parameters :

instrument ( Instrument ) – The trading instrument for the position.
fill ( OrderFilled ) – The order fill event which opened the position.

Raises :

ValueError – If instrument.id is not equal to fill.instrument_id .
ValueError – If event.position_id is None .

account_id ¶

The account ID associated with the position.

Returns :: AccountId

apply ( self , OrderFilled fill ) → void ¶

Applies the given order fill event to the position.

Parameters :: fill ( OrderFilled ) – The order fill event to apply.
Raises :: KeyError – If fill.trade_id already applied to the position.

avg_px_close ¶

The average close price.

Returns :: double

avg_px_open ¶

The average open price.

Returns :: double

base_currency ¶

The position base currency (if applicable).

Returns :: Currency or None

calculate_pnl ( self , double avg_px_open , double avg_px_close , Quantity quantity ) → Money ¶

Return a calculated PnL.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

Parameters :

avg_px_open ( double ) – The average open price.
avg_px_close ( double ) – The average close price.
quantity ( Quantity ) – The quantity for the calculation.

Returns :

Money – In settlement currency.

client_order_ids ¶

Return the client order IDs associated with the position.

Returns :: list[VenueOrderId]

Notes

Guaranteed not to contain duplicate IDs.

closing_order_id ¶

The client order ID for the order which closed the position.

Returns :: ClientOrderId or None

commissions ( self ) → list ¶

Return the total commissions generated by the position.

Returns :: list[Money]

duration_ns ¶

The total open duration (nanoseconds).

Returns :: uint64_t

entry ¶

The position entry order side.

Returns :: OrderSide

event_count ¶

Return the count of order fill events applied to the position.

Returns :: int

events ¶

Return the order fill events for the position.

Returns :: list[Event]

id ¶

The position ID.

Returns :: PositionId

info ( self ) → unicode ¶

Return a summary description of the position.

Returns :: str

instrument_id ¶

The position instrument ID.

Returns :: InstrumentId

is_closed ¶

Return whether the position side is FLAT .

Returns :: bool

is_inverse ¶

If the quantity is expressed in quote currency.

Returns :: bool

is_long ¶

Return whether the position side is LONG .

Returns :: bool

is_open ¶

Return whether the position side is not FLAT .

Returns :: bool

is_opposite_side ( self , OrderSide side ) → bool ¶

Return a value indicating whether the given order side is opposite to the current position side.

Parameters :: side (OrderSide { BUY , SELL }) –
Returns :: bool – True if side is opposite, else False.

is_short ¶

Return whether the position side is SHORT .

Returns :: bool

last_event ¶

Return the last order fill event.

Returns :: OrderFilled

last_trade_id ¶

Return the last trade match ID for the position.

Returns :: TradeId

multiplier ¶

The multiplier for the positions instrument.

Returns :: Quantity

notional_value ( self , Price last ) → Money ¶

Return the current notional value of the position.

Parameters :: last ( Price ) – The last close price for the position.
Returns :: Money – In quote currency.

opening_order_id ¶

The client order ID for the order which opened the position.

Returns :: ClientOrderId

peak_qty ¶

The peak directional quantity reached by the position.

Returns :: Quantity

price_precision ¶

The price precision for the position.

Returns :: uint8

quantity ¶

The current open quantity.

Returns :: Quantity

quote_currency ¶

The position quote currency.

Returns :: Currency

realized_pnl ¶

The current realized PnL for the position (including commissions).

Returns :: Money or None

realized_return ¶

The current realized return for the position.

Returns :: double

settlement_currency ¶

The position settlement currency (for PnL).

Returns :: Currency

side ¶

The current position side.

Returns :: PositionSide

static side_from_order_side ( OrderSide side ) ¶

Return the position side resulting from the given order side (from FLAT ).

Parameters :: side (OrderSide { BUY , SELL }) – The order side
Returns :: PositionSide

signed_decimal_qty ( self ) ¶

Return a signed decimal representation of the position quantity.

If the position is LONG, the value is positive (e.g. Decimal(‘10.25’))

If the position is SHORT, the value is negative (e.g. Decimal(‘-10.25’))

If the position is FLAT, the value is zero (e.g. Decimal(‘0’))

Returns :: Decimal

signed_qty ¶

The current signed quantity (positive for position side LONG , negative for SHORT ).

Returns :: double

size_precision ¶

The size precision for the position.

Returns :: uint8

strategy_id ¶

The strategy ID associated with the position.

Returns :: StrategyId

symbol ¶

Return the positions ticker symbol.

Returns :: Symbol

to_dict ( self ) → dict ¶

Return a dictionary representation of this object.

Returns :: dict[str, object]

total_pnl ( self , Price last ) → Money ¶

Return the total PnL from the given last quote tick.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

Parameters :: last ( Price ) – The last price for the calculation.
Returns :: Money

trade_ids ¶

Return the trade match IDs associated with the position.

Returns :: list[TradeId]

trader_id ¶

The trader ID associated with the position.

Returns :: TraderId

ts_closed ¶

The UNIX timestamp (nanoseconds) when the position was closed.

Returns :: uint64_t

ts_init ¶

The UNIX timestamp (nanoseconds) when the object was initialized.

Returns :: uint64_t

ts_last ¶

The UNIX timestamp (nanoseconds) when the last event occurred.

Returns :: uint64_t

ts_opened ¶

The UNIX timestamp (nanoseconds) when the position was opened.

Returns :: uint64_t

unrealized_pnl ( self , Price last ) → Money ¶

Return the unrealized PnL from the given last quote tick.

Result will be in quote currency for standard instruments, or base currency for inverse instruments.

Parameters :: last ( Price ) – The last price for the calculation.
Returns :: Money

venue ¶

Return the positions trading venue.

Returns :: Venue

venue_order_ids ¶

Return the venue order IDs associated with the position.

Returns :: list[VenueOrderId]

Notes

Guaranteed not to contain duplicate IDs.