docs: renamed relevant classes for clarity

autotrader/autoplot.py

@@ -274,10 +274,10 @@ def plot(self,
             topsource.add(account_hist[['NAV', 'equity']].min(1), 'Low')
             topsource.add(account_hist[['NAV', 'equity']].max(1), 'High')
 
-            # TODO - update below, trade_history is more like iso_pos history
-            trade_summary = trade_results.trade_history
+            # Get isolated position summary
+            trade_summary = trade_results.isolated_position_history
             indicators = trade_results.indicators
-            open_trades = trade_results.open_trades
+            open_trades = trade_results.open_isolated_positions
             cancelled_trades = trade_results.cancelled_orders
 
             top_fig = self._plot_lineV2(topsource, main_plot, "NAV", new_fig=True, 
@@ -479,7 +479,7 @@ def _plot_multibot_backtest(self, backtest_results):
         output_file("autotrader_backtest.html", title = "AutoTrader Multi-Bot Backtest Results")
         linked_crosshair = CrosshairTool(dimensions='both')
         reindexed_acc_hist = self._reindex_data(backtest_results.account_history)
-        trade_history = backtest_results.trade_history
+        trade_history = backtest_results.isolated_position_history
         # holding_history = backtest_results.holding_history
 
         # Account Balance 
@@ -520,6 +520,7 @@ def _plot_multibot_backtest(self, backtest_results):
         self.autoscale_args = {'y_range': navfig.y_range, 'source': acc_hist}
 
         # Cumultive returns plot
+        # TODO - review calculation
         returns_per_instrument = [trade_history.profit[trade_history.instrument == i].cumsum() for i in instruments]
         cplfig = figure(plot_width = navfig.plot_width,
                         plot_height = self._top_fig_height,

autotrader/autotrader.py

@@ -1104,7 +1104,7 @@ def print_trade_results(self, trade_results: TradeAnalysis = None) -> None:
                                             round(pc_return, 1)))
             if no_trades > 0:
                 print("Total no. trades:        {}".format(no_trades))
-                print("Total fees:              ${}".format(round(total_fees, 3)))
+                print("Total fees paid:         ${}".format(round(total_fees, 3)))
                 print("Trade win rate:          {}%".format(round(win_rate, 1)))
                 print("Maximum drawdown:        {}%".format(round(max_drawdown*100, 2)))
                 print("Max win:                 ${}".format(round(max_win, 2)))
@@ -1171,7 +1171,7 @@ def print_trade_results(self, trade_results: TradeAnalysis = None) -> None:
             if len(trade_results.instruments_traded) > 1:
                 # Mutliple instruments traded
                 instruments = trade_results.instruments_traded
-                trade_history = trade_results.trade_history
+                trade_history = trade_results.isolated_position_history
 
                 total_no_trades = []
                 max_wins = []
@@ -1710,7 +1710,7 @@ def shutdown(self):
                       f"{round((backtest_end_time - self._backtest_start_time), 3)} s).")
                 self.print_trade_results()
 
-            if self._show_plot and len(self.trade_results.trade_history) > 0:
+            if self._show_plot and len(self.trade_results.isolated_position_history) > 0:
                 self.plot_backtest()
 
         elif self._scan_mode and self._show_plot:

autotrader/brokers/virtual/broker.py

@@ -1034,6 +1034,7 @@ def _fill_order(self,
 
         # Create Trade and append to fills
         # TODO - look into where order_price and order_time originate
+        # Looks like the order price is repeated for closing orders...
         fill = Trade(
             order=order, 
             fill_time=fill_time, 

autotrader/utilities.py

@@ -305,31 +305,35 @@ class TradeAnalysis:
     holding_history : pd.DataFrame
         A timeseries summary of holdings during the trading period, by portfolio
         allocation fraction.
-    trade_history : pd.DataFrame
+    isolated_position_history : pd.DataFrame
         A timeseries history of trades taken during the trading period.
     order_history : pd.DataFrame
         A timeseries history of orders placed during the trading period.
-    open_trades : pd.DataFrame
-        Trades which remained open at the end of the trading period.
+    open_isolated_positions : pd.DataFrame
+        Positions which remained open at the end of the trading period.
     cancelled_orders : pd.DataFrame
         Orders which were cancelled during the trading period.
+    trade_history : pd.DataFrame
+        A history of all trades (fills) made during the trading period.
     
     """
     def __init__(self, broker, instrument: str = None, 
                  process_holding_history: bool = True):
-        # TODO - review the attributes below for name clarity
-        # trades - refer to fills
-        # will need to maintain 'trade_history' for plotting
+        # TODO - need to review how calculations are performed, eg. no_trades, 
+        # trade_duration
+
+        # Meta data
         self.brokers_used = None
         self.broker_results = None
         self.instruments_traded = None
+
+        # Histories
         self.account_history = None
-        # self.holding_history = None
-        self.trade_history = None
+        self.isolated_position_history = None
+        self.open_isolated_positions = None
         self.order_history = None
-        self.open_trades = None
         self.cancelled_orders = None
-        self.fills = None
+        self.trade_history = None
 
         self.analyse_account(broker, instrument, process_holding_history)
 
@@ -373,7 +377,7 @@ def analyse_account(self, broker, instrument: str = None,
             orders = TradeAnalysis.create_trade_summary(orders=all_orders, 
                                                         instrument=instrument,
                                                         broker_name=broker_name)
-            fills = TradeAnalysis.create_fill_summary(fills=broker.fills,
+            trade_history = TradeAnalysis.create_fill_summary(fills=broker.fills,
                 broker_name=broker_name)
 
             # Construct account history
@@ -410,11 +414,11 @@ def analyse_account(self, broker, instrument: str = None,
                             'instruments_traded': list(orders.instrument.unique()),
                             'account_history': account_history,
                             'holding_history': holding_history,
-                            'trade_history': trades,
+                            'isolated_position_history': trades,
                             'order_history': orders,
-                            'open_trades': trades[trades.status == 'open'],
+                            'open_isolated_positions': trades[trades.status == 'open'],
                             'cancelled_orders': orders[orders.status == 'cancelled'],
-                            'fills': fills,
+                            'trade_history': trade_history,
                             }
 
         # Save all results
@@ -427,14 +431,13 @@ def analyse_account(self, broker, instrument: str = None,
     def _aggregate_across_brokers(self, broker_results):
         """Aggregates trading history across all broker instances.
         """
-
         brokers_used = []
         instruments_traded = []
-        open_trades = pd.DataFrame()
+        open_isolated_positions = pd.DataFrame()
         cancelled_orders = pd.DataFrame()
-        trade_history = pd.DataFrame()
+        isolated_position_history = pd.DataFrame()
         order_history = pd.DataFrame()
-        fills = pd.DataFrame()
+        trade_history = pd.DataFrame()
         account_history = None
         for broker, results in broker_results.items():
             orders = results['order_history']
@@ -462,23 +465,22 @@ def _aggregate_across_brokers(self, broker_results):
                     # Use new index
                     account_history = new_index + results['account_history']
 
-            # Concatenate trades, orders and fills
-            open_trades = pd.concat([open_trades, results['open_trades']])
+            # Concatenate trades, orders and trade_history
+            open_isolated_positions = pd.concat([open_isolated_positions, results['open_isolated_positions']])
             cancelled_orders = pd.concat([cancelled_orders, results['cancelled_orders']])
-            trade_history = pd.concat([trade_history, results['trade_history']])
+            isolated_position_history = pd.concat([isolated_position_history, results['isolated_position_history']])
             order_history = pd.concat([order_history, results['order_history']])
-            fills = pd.concat([fills, results['fills']])
+            trade_history = pd.concat([trade_history, results['trade_history']])
 
         # Assign attributes
         self.brokers_used = brokers_used
         self.instruments_traded = instruments_traded
         self.account_history = account_history
-        # self.holding_history = holding_history
-        self.trade_history = trade_history
+        self.isolated_position_history = isolated_position_history
         self.order_history = order_history
-        self.open_trades = open_trades
+        self.open_isolated_positions = open_isolated_positions
         self.cancelled_orders = cancelled_orders
-        self.fills = fills
+        self.trade_history = trade_history
 
 
     @staticmethod
@@ -516,7 +518,6 @@ def create_trade_summary(trades: dict = None,
                              broker_name: str = None) -> pd.DataFrame:
         """Creates a summary dataframe for trades and orders.
         """
-
         instrument = None if isinstance(instrument, list) else instrument
 
         if trades is not None:
@@ -627,10 +628,11 @@ def create_trade_summary(trades: dict = None,
     def summary(self):
         """Constructs a summary of trades taken."""
         trade_results = {}
-        cpl = self.trade_history.profit.cumsum()
+        # TODO - review below calculation
+        cpl = self.isolated_position_history.profit.cumsum()
 
         # All trades
-        no_trades = len(self.trade_history[self.trade_history['status'] == 'closed'])
+        no_trades = len(self.trade_history)
         trade_results['no_trades'] = no_trades
 
         if len(self.account_history) > 0:
@@ -650,20 +652,22 @@ def summary(self):
             trade_results['pc_return'] = pc_return
 
         if no_trades > 0:
+            # TODO - need to review calculation of all below
+            # Think in terms of positions, not 'trades'
             trade_results['all_trades'] = {}
-            wins = self.trade_history[self.trade_history.profit > 0]
+            wins = self.isolated_position_history[self.isolated_position_history.profit > 0]
             avg_win = np.mean(wins.profit)
             max_win = np.max(wins.profit)
-            loss = self.trade_history[self.trade_history.profit < 0]
+            loss = self.isolated_position_history[self.isolated_position_history.profit < 0]
             avg_loss = abs(np.mean(loss.profit))
             max_loss = abs(np.min(loss.profit))
             win_rate = 100*len(wins)/no_trades
-            longest_win_streak, longest_lose_streak  = get_streaks(self.trade_history)
-            avg_trade_duration = np.nanmean(self.trade_history.trade_duration.values)
-            min_trade_duration = np.nanmin(self.trade_history.trade_duration.values)
-            max_trade_duration = np.nanmax(self.trade_history.trade_duration.values)
+            longest_win_streak, longest_lose_streak = get_streaks(self.isolated_position_history)
+            avg_trade_duration = np.nanmean(self.isolated_position_history.trade_duration.values)
+            min_trade_duration = np.nanmin(self.isolated_position_history.trade_duration.values)
+            max_trade_duration = np.nanmax(self.isolated_position_history.trade_duration.values)
             max_drawdown = min(self.account_history.drawdown)
-            total_fees = self.trade_history.fees.sum()
+            total_fees = self.trade_history.fee.sum()
 
             trade_results['all_trades']['avg_win'] = avg_win
             trade_results['all_trades']['max_win'] = max_win
@@ -680,11 +684,11 @@ def summary(self):
             trade_results['all_trades']['total_fees'] = total_fees
 
         # Cancelled and open orders
-        trade_results['no_open'] = len(self.open_trades)
+        trade_results['no_open'] = len(self.open_isolated_positions)
         trade_results['no_cancelled'] = len(self.cancelled_orders)
 
         # Long trades
-        long_trades = self.trade_history[self.trade_history['direction'] > 0]
+        long_trades = self.isolated_position_history[self.isolated_position_history['direction'] > 0]
         no_long = len(long_trades)
         trade_results['long_trades'] = {}
         trade_results['long_trades']['no_trades'] = no_long
@@ -704,7 +708,7 @@ def summary(self):
             trade_results['long_trades']['long_wr'] = long_wr
 
         # Short trades
-        short_trades = self.trade_history[self.trade_history['direction'] < 0]
+        short_trades = self.isolated_position_history[self.isolated_position_history['direction'] < 0]
         no_short = len(short_trades)
         trade_results['short_trades'] = {}
         trade_results['short_trades']['no_trades'] = no_short

tests/test_backtest.py

@@ -80,4 +80,5 @@ def test_multibot_macd_backtest():
     assert bt_results['short_trades']['no_trades'] == 48, "Incorrect number "+\
         "of short trades (multi-instrument backtest)"
 
-test_macd_backtest()
+test_macd_backtest()
+# test_multibot_macd_backtest()