Mismatch unrealized pnl in broker and in strategies, need help

oalexandere

Hello. I have two strategies and need to calculate unrealized pnl separately for each strategy. I made this functionality with Analyzers:

One keeps strategies' positions:

class Positions(bt.Analyzer):

    def start(self):
        self._positions = defaultdict(Position)

    def notify_order(self, order):

        if order.status not in [Order.Partial, Order.Completed]:
            return  # It's not an execution

        pos = self._positions[order.data]
        for exbit in order.executed.iterpending():
            if exbit is None:
                break  # end of pending reached

            pos.update(exbit.size, exbit.price)

Second one calculates unrealized pnl for each strategy:

class Unrealized(bt.Analyzer):
    
    def start(self):
        self._positions = self.strategy.analyzers.positions._positions
        self.unrealized = OrderedDict()

    def next(self):
        unrealized = 0.0

        for data in self._positions:
            comminfo = self.strategy.broker.getcommissioninfo(data)
            position = self._positions[data]
            
            dunrealized = comminfo.profitandloss(position.size, position.price, 
                                                 data.close[0])
            unrealized += dunrealized

        dtkey = self.strategy.datetime.datetime()
        self.unrealized[dtkey] = unrealized

    def get_analysis(self):
        return self.unrealized

Another one is for storing cerebro.broker._unrealized for all positions from all strategies:

class BrokerValue(bt.Analyzer):

    def start(self):
        self.unrealized = OrderedDict()

    def next(self):
        dtkey = self.strategy.datetime.datetime()
        self.unrealized[dtkey] = self.strategy.broker._unrealized

    def get_analysis(self):
        return self.unrealized

It works well for one strategy in cerebro: unrealized pnl from analyzer BrokerValue is the same as from Unrealized analyzer. But for two strategies results from strat1.analyzers.unrealized + (plus) strat2.analyzers.unrealized is different with unrealized from cerebro.broker.
Here is screen with difference (orders makes in the beginings of each month): link text

Can you please advice what may be wrong in my approach? And how to make it work properly.
I was really already exhausted with it.

p.s. There are no any commissions schemes in cerebro.broker and each strategy can make orders in same instrument.

Thanks!

oalexandere

It's a little bit mysterious approach above, and the reason is in the next:

Example
We have two strategies and looking for Positions for each separately (added analyzer above), and also looking for Positions in BackBroker that summarized it. Open a position in strat1: 10 size by price 100, and open in strat2: 20 size by price 200. Same instrument in both, but there are may be different opening dates.

Broker calculated price (as in position.update() logic): (10 * 100 + 20 * 200) / (10 + 20) = 166.(6) and position size 10 + 20. i.e. broker has size 30 by price 166.(6)

Then if in strategy 1 we have to partial close position with size 5, then:
strat1 position have: size 5 by price 100
strat2 position have same: size 20 by price 200 (no updating position).
and broker after updating has: size 25 by same price 166.(6)

And now if we find average price for strat1 and strat2: (5 * 100 + 20 * 200) / (5 + 20) = 180 that obviously not equal that broker position store. Thats it.

backtrader

@oalexandere said in Mismatch unrealized pnl in broker and in strategies, need help:

Can you please advice what may be wrong in my approach?

Probably that you believe that each strategy operates with different funds. They don't. The broker is a single account broker.

@oalexandere said in Mismatch unrealized pnl in broker and in strategies, need help:

And how to make it work properly.

If the strategies operate on the same assets (i.e.: they are antagonistic) there is no way.

If they operate on different assets, you can track the assets or use specific tradeids for the orders generated by each strategy.

@oalexandere said in Mismatch unrealized pnl in broker and in strategies, need help:

strat1 position have: size 5 by price 100
strat2 position have same: size 20 by price 200 (no updating position).

Wrong. The positions are the same for all strategies for a single asset.

oalexandere

@backtrader said in Mismatch unrealized pnl in broker and in strategies, need help:

If the strategies operate on the same assets (i.e.: they are antagonistic) there is no way.

Bad news for me. But anyway thanks for reply.

@backtrader said in Mismatch unrealized pnl in broker and in strategies, need help:

Wrong. The positions are the same for all strategies for a single asset.

Yes for broker it's true, I understand. But example was for situation with separatly storing positions for each strategy (with analyzer <class Positions> above). And then comparing it with Positions in broker.