fixes #45

aat/query.py

@@ -244,15 +244,17 @@ def _recalculate_value(self, data: MarketData) -> None:
             self._portfolio_value_by_instrument[instrument] = []
         self._portfolio_value_by_instrument[instrument].append([data.time, instrument, value + pnl, pnl])
 
-        pnl = sum(x._pnl for x in self._holdings.values())
-        self._portfolio_value.append([data.time, self._portfolio_value[-1][1], pnl])
+        unrealized = sum(x._pnl for x in self._holdings.values())
+        realized = sum(x._realized for x in self._holdings.values())
+        pnl = sum(x._pnl+x._realized for x in self._holdings.values())
+        self._portfolio_value.append([data.time, self._portfolio_value[-1][1], unrealized, realized, pnl])
 
     def update_holdings(self, resp: TradeResponse) -> None:
         if resp.status in (TradeResult.REJECTED, TradeResult.PENDING, TradeResult.NONE):
             return
         if resp.instrument not in self._holdings:
             self._holdings[resp.instrument] = pnl_helper()
-        self._holdings[resp.instrument].exec(resp.volume, resp.price)
+        self._holdings[resp.instrument].exec(resp.volume, resp.price, resp.side)
 
 
 def sign(x): return (1, -1)[x < 0]
@@ -267,20 +269,22 @@ def __init__(self):
         self._realized = 0.0
         self._avg_price = self._px
 
-    def exec(self, amt, px):
+    def exec(self, amt, px, side):
         if self._px is None:
             self._px = px
             self._volume = amt
             self._avg_price = self._px
             self._records.append({'volume': self._volume, 'px': px, 'apx': self._avg_price, 'pnl': self._pnl+self._realized, 'unrealized': self._pnl, 'realized': self._realized})
             return
+        amt = amt if side == Side.BUY else -amt
+
         if sign(amt) == sign(self._volume):
             # increasing position
             self._avg_price = (self._avg_price*self._volume + px*amt)/(self._volume + amt)
             self._volume += amt
             self._pnl = (self._volume * (px-self._avg_price))
         else:
-            if abs(amt) > abs(self._shares):
+            if abs(amt) > abs(self._volume):
                 # do both
                 diff = self._volume
                 self._volume = amt + self._volume

aat/strategy.py

@@ -62,14 +62,16 @@ def onAnalyze(self, engine):
         trades.set_index(['time'], inplace=True)
 
         # format into pandas
-        pd = pandas.DataFrame(portfolio_value, columns=['time', 'value', 'pnl'])
+        pd = pandas.DataFrame(portfolio_value, columns=['time', 'value', 'unrealized', 'realized', 'pnl'])
         pd.set_index(['time'], inplace=True)
+
         # setup charting
         sns.set_style('darkgrid')
-        fig = plt.figure()
-        ax1 = fig.add_subplot(311)
-        ax2 = fig.add_subplot(312)
-        ax3 = fig.add_subplot(313)
+        fig = plt.figure(figsize=(13, 7))
+        ax1 = fig.add_subplot(411)
+        ax2 = fig.add_subplot(412)
+        ax3 = fig.add_subplot(413)
+        ax4 = fig.add_subplot(414)
 
         # plot algo performance
         pd.plot(ax=ax1, y=['value'], legend=False, fontsize=5, rot=0)
@@ -80,30 +82,33 @@ def onAnalyze(self, engine):
         pd['pos'][pd['pos'] <= 0] = np.nan
         pd['neg'][pd['neg'] > 0] = np.nan
         pd.plot(ax=ax2, y=['pos', 'neg'], kind='area', stacked=False, color=['green', 'red'], legend=False, linewidth=0, fontsize=5, rot=0)
-        ax2.set_ylabel('Realized PnL')
+        ax2.set_ylabel('PnL')
+
+        pd.plot(ax=ax3, y=['unrealized', 'realized', 'pnl'], kind='line', legend=False, fontsize=5, rot=0)
+        ax3.legend(loc="upper left")
 
         # annotate with key data
         ax1.set_title('Performance')
         ax1.set_ylabel('Portfolio value($)')
         for xy in [portfolio_value[0][:2]] + [portfolio_value[-1][:2]]:
             ax1.annotate('$%s' % xy[1], xy=xy, textcoords='data')
-            ax3.annotate('$%s' % xy[1], xy=xy, textcoords='data')
+            ax4.annotate('$%s' % xy[1], xy=xy, textcoords='data')
 
         # plot trade intent/trade action
-        ax3.set_ylabel('Intent/Action')
-        ax3.set_xlabel('Date')
+        ax4.set_ylabel('Intent/Action')
+        ax4.set_xlabel('Date')
 
-        ax3.plot(trades)
-        ax3.plot([x.time for x in requests if x.side == Side.BUY],
+        ax4.plot(trades)
+        ax4.plot([x.time for x in requests if x.side == Side.BUY],
                  [x.price for x in requests if x.side == Side.BUY],
                  '2', color='y')
-        ax3.plot([x.time for x in requests if x.side == Side.SELL],
+        ax4.plot([x.time for x in requests if x.side == Side.SELL],
                  [x.price for x in requests if x.side == Side.SELL],
                  '1', color='y')
-        ax3.plot([x.time for x in responses if x.side == Side.BUY],  # FIXME
+        ax4.plot([x.time for x in responses if x.side == Side.BUY],  # FIXME
                  [x.price for x in responses if x.side == Side.BUY],
                  '^', color='g')
-        ax3.plot([x.time for x in responses if x.side == Side.SELL],  # FIXME
+        ax4.plot([x.time for x in responses if x.side == Side.SELL],  # FIXME
                  [x.price for x in responses if x.side == Side.SELL],
                  'v', color='r')
 
@@ -113,8 +118,10 @@ def onAnalyze(self, engine):
         ax1.set_xlim(x_bot, x_top)
         ax2.set_xlim(x_bot, x_top)
         ax3.set_xlim(x_bot, x_top)
+        ax4.set_xlim(x_bot, x_top)
         dif = (x_top-x_bot)*.01
         ax1.set_xlim(x_bot-dif, x_top+dif)
         ax2.set_xlim(x_bot-dif, x_top+dif)
         ax3.set_xlim(x_bot-dif, x_top+dif)
+        ax4.set_xlim(x_bot-dif, x_top+dif)
         plt.show()

aat/ui/handlers/login.py

@@ -8,6 +8,8 @@ def get(self):
         if self.current_user:
             self.redirect('/')
         else:
+            log.critical(f'\n**********\nLogin code: {self.application.settings["login_code"]}\n**********')
+
             user = self.get_argument('code', '')
             if user == self.application.settings['login_code']:
                 self.set_secure_cookie("token", user)