Position
class Position
Bases: object
Position(Instrument instrument, OrderFilled fill) -> None Represents a position in a 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: In settlement currency.
- Return type: Money
client_order_ids
Return the client order IDs associated with the position.
- Return type: list[VenueOrderId]
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.
- Return type: 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.
- Return type: int
events
Return the order fill events for the position.
- Return type: list[Event]
id
The position ID.
- Returns: PositionId
info(self) → str
Return a summary description of the position.
- Return type: str
instrument_id
The position instrument ID.
- Returns: InstrumentId
is_closed
Return whether the position side is FLAT.
- Return type: bool
is_inverse
If the quantity is expressed in quote currency.
- Returns: bool
is_long
Return whether the position side is LONG.
- Return type: bool
is_open
Return whether the position side is not FLAT.
- Return type: 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: True if side is opposite, else False.
- Return type: bool
is_short
Return whether the position side is SHORT.
- Return type: bool
last_event
Return the last order fill event.
- Return type: OrderFilled
last_trade_id
Return the last trade match ID for the position.
- Return type: 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: In quote currency.
- Return type: Money
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 - Return type: 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’))
- Return type: 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.
- Return type: Symbol
to_dict(self) → dict
Return a dictionary representation of this object.
- Return type: 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.
trade_ids
Return the trade match IDs associated with the position.
- Return type: list[TradeId]
trader_id
The trader ID associated with the position.
- Returns: TraderId
ts_closed
UNIX timestamp (nanoseconds) when the position was closed.
- Returns: uint64_t
ts_init
UNIX timestamp (nanoseconds) when the object was initialized.
- Returns: uint64_t
ts_last
UNIX timestamp (nanoseconds) when the last event occurred.
- Returns: uint64_t
ts_opened
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.
venue
Return the positions trading venue.
- Return type: Venue
venue_order_ids
Return the venue order IDs associated with the position.
- Return type: list[VenueOrderId]