fix: update pnl when reducing positions

autotrader/autoplot.py

@@ -1989,7 +1989,7 @@ def _plot_trade_history(
                     list(shorts_trades.data_index.values),
                     list(shorts_trades.fill_price.values),
                     "inverted_triangle",
-                    "lightgreen",
+                    "orangered",
                     "Short trades",
                     linked_fig,
                 )

autotrader/brokers/trading.py

@@ -757,6 +757,7 @@ def __init__(self, **kwargs):
         self.HCF = 1
 
         self.avg_price = None
+        self._prev_avg_price = None
 
         self.notional = 0
 
@@ -796,17 +797,22 @@ def _update_with_fill(self, trade: Trade):
         self.net_position += trade.size * trade.direction
 
         # Update average entry price
+        self._prev_avg_price = self.avg_price
         if self.net_position * net_position_before_fill > 0:
             # Position has not flipped
             if abs(self.net_position) > abs(net_position_before_fill):
                 # Position has increased
-                self.avg_price = (
-                    self.avg_price * abs(self.net_position)
-                    + trade.fill_price * trade.size
-                ) / (abs(self.net_position) + trade.size)
+                self.avg_price = round(
+                    (
+                        self.avg_price * abs(self.net_position)
+                        + trade.fill_price * trade.size
+                    )
+                    / (abs(self.net_position) + trade.size),
+                    self.price_precision,
+                )
         else:
             # Position has flipped
-            self.avg_price = trade.fill_price
+            self.avg_price = round(trade.fill_price, self.price_precision)
 
         # Update last price and last time
         self.last_price = trade.last_price

autotrader/brokers/virtual/broker.py

@@ -911,9 +911,29 @@ def _modify_position(self, trade: Trade, reduce_only: bool):
             self._positions[trade.instrument]._update_with_fill(
                 trade=trade,
             )
+            new_net_position = self._positions[trade.instrument].net_position
+
+            # Check if position has been reduced
+            if np.sign(new_net_position - starting_net_position) != np.sign(
+                starting_net_position
+            ):
+                # Update account with position pnl
+                units_reduced = min(
+                    abs(new_net_position - starting_net_position),
+                    abs(starting_net_position),
+                )
+                reduction_direction = np.sign(starting_net_position - new_net_position)
+                pnl = (
+                    reduction_direction
+                    * units_reduced
+                    * (
+                        trade.fill_price
+                        - self._positions[trade.instrument]._prev_avg_price
+                    )
+                )
+                self._adjust_balance(pnl)
 
             # Check if position is zero
-            new_net_position = self._positions[trade.instrument].net_position
             if round(new_net_position, price_precision) == 0:
                 # Move to closed positions
                 popped_position = self._positions.pop(trade.instrument)
@@ -929,6 +949,8 @@ def _modify_position(self, trade: Trade, reduce_only: bool):
             ):
                 # Position has swapped sides
                 a = 10
+                # TODO - cancel any old SL or TP orders (will need to keep
+                # track of them as created in fill_order)
 
         else:
             # Create new position

tests/macd_strategy_continuous.py

@@ -152,7 +152,11 @@ def generate_exit_levels(self, signal, i):
     end="1/3/2022",
 )
 at.virtual_account_config(
-    initial_balance=1000, leverage=30, spread=0.5 * 1e-4, commission=0.005
+    # initial_balance=1000, leverage=30, spread=0.5 * 1e-4, commission=0.005
+    initial_balance=1000,
+    leverage=30,
+    spread=0,
+    commission=0.0,
 )
 at.run()