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Adding order.get_filled_price() and enabling pytest coverage #267

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merged 3 commits into from
Aug 3, 2023
Merged

Adding order.get_filled_price() and enabling pytest coverage #267

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1715745
Adding order.get_filled_price() and enabling coverage to report pytes…
davidlatte Aug 3, 2023
4225f28
Updating unit tests with Bot feedback.
davidlatte Aug 3, 2023
bcbc5d0
Updating to work with partially filled orders as well as filled ones.
davidlatte Aug 3, 2023
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Updating to work with partially filled orders as well as filled ones.
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@davidlatte
davidlatte committed Aug 3, 2023
commit bcbc5d0050d2ae6253be5edcbbc4dcfc48377297
4 changes: 2 additions & 2 deletions lumibot/entities/order.py
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Original file line number Diff line number Diff line change
Expand Up @@ -471,7 +471,7 @@ def cash_pending(self, strategy):
else:
return -cash_value

def get_filled_price(self) -> float:
def get_fill_price(self) -> float:
"""
Get the weighted average filled price for this order. Option contracts often encounter partial fills,
so the weighted average is the only valid price that can be used for PnL calculations.
Expand All @@ -483,7 +483,7 @@ def get_filled_price(self) -> float:
has not yet been filled.
"""
# Only calculate on filled orders
if not self.transactions or not self.position_filled or not self.quantity:
if not self.transactions or not self.quantity:
return 0.0

# calculate the weighted average filled price since options often encounter partial fills
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13 changes: 4 additions & 9 deletions tests/test_order.py
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Expand Up @@ -27,23 +27,18 @@ def test_get_filled_price(self):
buy_order = Order(strategy='abc', asset=asset, side="buy", quantity=100)

# No transactions
assert buy_order.get_filled_price() == 0
assert buy_order.get_fill_price() == 0

buy_order.transactions = [
Order.Transaction(quantity=50, price=20.0),
Order.Transaction(quantity=50, price=30.0)
]

# Order not yet filled
assert buy_order.get_filled_price() == 0

# Order filled
buy_order.position_filled = True
assert buy_order.get_filled_price() == 25.0
assert buy_order.get_fill_price() == 25.0

# Error case where quantity is not set
buy_order._quantity = 0
assert buy_order.get_filled_price() == 0
assert buy_order.get_fill_price() == 0

# Ensure Weighted Average used
sell_order = Order(strategy='abc', asset=asset, side="sell", quantity=100)
Expand All @@ -52,4 +47,4 @@ def test_get_filled_price(self):
Order.Transaction(quantity=20, price=40.0)
]
sell_order.position_filled = True
assert sell_order.get_filled_price() == 32.0
assert sell_order.get_fill_price() == 32.0