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(refactor) get_trade_fills refactor

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drupman
2023-09-15 23:31:20 -03:00
parent 49d1461ecc
commit 4795557b2b
1 changed files with 3 additions and 5 deletions
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8
utils/database_manager.py
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@@ -144,13 +144,11 @@ class DatabaseManager:
def get_trade_fills(self, config_file_path=None, start_date=None, end_date=None):
groupers = ["config_file_path", "market", "symbol"]
float_cols = ["amount", "price", "trade_fee_in_quote"]
with self.session_maker() as session:
query = self._get_trade_fills_query(config_file_path, start_date, end_date)
trade_fills = pd.read_sql_query(query, session.connection())
trade_fills.sort_values(by="timestamp", ascending=True, inplace=True)
trade_fills["amount"] = trade_fills["amount"] / 1e6
trade_fills["price"] = trade_fills["price"] / 1e6
trade_fills["trade_fee_in_quote"] = trade_fills["trade_fee_in_quote"] / 1e6
trade_fills[float_cols] = trade_fills[float_cols] / 1e6
trade_fills["cum_fees_in_quote"] = trade_fills.groupby(groupers)["trade_fee_in_quote"].cumsum()
trade_fills["net_amount"] = trade_fills['amount'] * trade_fills['trade_type'].apply(lambda x: 1 if x == 'BUY' else -1)
trade_fills["net_amount_quote"] = trade_fills['net_amount'] * trade_fills['price']
@@ -159,9 +157,9 @@ class DatabaseManager:
trade_fills["inventory_cost"] = trade_fills["cum_net_amount"] * trade_fills["price"]
trade_fills["realized_trade_pnl"] = trade_fills["unrealized_trade_pnl"] + trade_fills["inventory_cost"]
trade_fills["net_realized_pnl"] = trade_fills["realized_trade_pnl"] - trade_fills["cum_fees_in_quote"]
trade_fills["realized_pnl"] = trade_fills["net_realized_pnl"].diff()
trade_fills["timestamp"] = pd.to_datetime(trade_fills["timestamp"], unit="ms")
trade_fills["market"] = trade_fills["market"].apply(lambda x: x.lower().replace("_papertrade", ""))
return trade_fills
def get_order_status(self, order_ids=None, start_date=None, end_date=None):