- Update portfolio on specific events instead of dynamic update during portfolio fetch

- Add equity_slippage and future_slippage parameters to run_simulation and run_simulation_iter

Signed-off-by: Nikola Losic <nikolalosic@protonmail.ch>

Author: nikolalosic

examples/run_simulation_daily.py

@@ -16,14 +16,15 @@
 from ziplime.core.ingest_data import get_asset_service
 from ziplime.core.run_simulation import run_simulation
 from ziplime.finance.commission import PerShare, DEFAULT_PER_SHARE_COST, DEFAULT_MINIMUM_COST_PER_EQUITY_TRADE
+from ziplime.finance.slippage.fixed_basis_points_slippage import FixedBasisPointsSlippage
 
 logger = structlog.get_logger(__name__)
 
 
 async def _run_simulation():
-    start_date = datetime.datetime(year=2025, month=1, day=3, tzinfo=pytz.timezone("America/New_York"))
+    start_date = datetime.datetime(year=2020, month=1, day=3, tzinfo=pytz.timezone("America/New_York"))
     end_date = datetime.datetime(year=2025, month=2, day=1, tzinfo=pytz.timezone("America/New_York"))
-
+    # Backtest completed in 3 seconds
     bundle_service = get_bundle_service()
 
     asset_service = get_asset_service(
@@ -60,6 +61,7 @@ async def _run_simulation():
         min_trade_cost=DEFAULT_MINIMUM_COST_PER_EQUITY_TRADE,
 
     )
+    equity_slippage = FixedBasisPointsSlippage()
 
     # run daily simulation
     result = await run_simulation(
@@ -77,9 +79,10 @@ async def _run_simulation():
         stop_on_error=True,
         asset_service=asset_service,
         equity_commission=equity_commission,
+        equity_slippage=equity_slippage,
         max_leverage=1.0,
         same_bar_execution=True,
-        price_used_in_order_execution="close"
+        price_used_in_order_execution="close",
     )
 
     if result.errors:

poetry.lock

@@ -37,6 +37,7 @@ structlog = "^25.4.0"
 tabulate = "^0.9.0"
 python-dateutil = "^2.9.0.post0"
 yfinance = "^0.2.65"
+pandas-stubs = "~=2.3.3"
 
 [tool.poetry.group.vectorbt]
 optional = true

pyproject.toml

@@ -109,17 +109,6 @@ def __reduce__(self):
                                  self.roll_style,
                                  self.exchange))
 
-    def to_dict(self):
-        """Convert to a python dict."""
-        return {
-            'sid': self.sid,
-            'root_symbol': self.root_symbol,
-            'start_date': self.start_date,
-            'end_date': self.end_date,
-            'offset': self.offset,
-            'roll_style': self.roll_style,
-            'exchange': self.exchange,
-        }
 
     @classmethod
     def from_dict(cls, dict_):

ziplime/assets/domain/continuous_future.py

@@ -1,6 +1,8 @@
 import datetime
 import structlog
 
+from ziplime.finance.slippage.equity_slippage_model import EquitySlippageModel
+from ziplime.finance.slippage.future_slippage_model import FutureSlippageModel
 from ziplime.gens.domain.trading_clock import TradingClock
 from ziplime.trading.trading_algorithm_execution_result import TradingAlgorithmExecutionResult
 from ziplime.trading.trading_algorithm_execution_status import TradingAlgorithmExecutionStatus
@@ -46,6 +48,8 @@ async def run_simulation(
         benchmark_returns: pl.Series | None = None,
         equity_commission: EquityCommissionModel | None = None,
         future_commission: FutureCommissionModel | None = None,
+        equity_slippage: EquitySlippageModel | None = None,
+        future_slippage: FutureSlippageModel | None = None,
         clock: TradingClock | None = None,
         max_leverage: float = 1.0,
         same_bar_execution: bool = True,
@@ -106,7 +110,12 @@ async def run_simulation(
             exchange_fee=FUTURE_EXCHANGE_FEES_BY_SYMBOL,
             min_trade_cost=DEFAULT_MINIMUM_COST_PER_FUTURE_TRADE
         )
-
+    if equity_slippage is None:
+        equity_slippage = FixedBasisPointsSlippage()
+    if future_slippage is None:
+        future_slippage = VolatilityVolumeShare(
+            volume_limit=DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT,
+        )
     if exchange is None:
         exchange = SimulationExchange(
             name=default_exchange_name,
@@ -160,6 +169,8 @@ async def run_simulation_iter(
         benchmark_returns: pl.Series | None = None,
         equity_commission: EquityCommissionModel | None = None,
         future_commission: FutureCommissionModel | None = None,
+        equity_slippage: EquitySlippageModel | None = None,
+        future_slippage: FutureSlippageModel | None = None,
         clock: TradingClock | None = None,
         max_leverage: float = 1.0,
         same_bar_execution: bool = True,
@@ -220,6 +231,12 @@ async def run_simulation_iter(
             exchange_fee=FUTURE_EXCHANGE_FEES_BY_SYMBOL,
             min_trade_cost=DEFAULT_MINIMUM_COST_PER_FUTURE_TRADE
         )
+    if equity_slippage is None:
+        equity_slippage = FixedBasisPointsSlippage()
+    if future_slippage is None:
+        future_slippage = VolatilityVolumeShare(
+                volume_limit=DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT,
+            )
 
     if exchange is None:
         if same_bar_execution and price_used_in_order_execution != "close":
@@ -232,11 +249,9 @@ async def run_simulation_iter(
             country_code="US",
             trading_calendar=calendar,
             data_source=market_data_source,
-            equity_slippage=FixedBasisPointsSlippage(),
+            equity_slippage=equity_slippage,
             equity_commission=equity_commission,
-            future_slippage=VolatilityVolumeShare(
-                volume_limit=DEFAULT_FUTURE_VOLUME_SLIPPAGE_BAR_LIMIT,
-            ),
+            future_slippage=future_slippage,
             future_commission=future_commission,
             cash_balance=total_cash,
             clock=clock,

ziplime/core/run_simulation.py

@@ -17,6 +17,7 @@
 from ziplime.domain.portfolio import Portfolio
 from ziplime.domain.account import Account
 from ziplime.finance.commission import EquityCommissionModel, FutureCommissionModel, CommissionModel
+from ziplime.finance.domain.commission import Commission
 from ziplime.finance.domain.order import Order
 from ziplime.finance.slippage.slippage_model import SlippageModel
 from ziplime.exchanges.exchange import Exchange
@@ -72,25 +73,25 @@ async def submit_order(self, order: Order):
         order.id = uuid.uuid4().hex
         return order
 
-    def get_positions(self) -> dict[Asset, Position]:
+    async def get_positions(self) -> dict[Asset, Position]:
         pass
 
-    def get_portfolio(self) -> Portfolio:
+    async def get_portfolio(self) -> Portfolio:
         pass
 
-    def get_account(self) -> Account:
+    async def get_account(self) -> Account:
         pass
 
     def get_time_skew(self):
         pass
 
-    def order(self, asset, amount, style):
+    async def order(self, asset, amount, style):
         pass
 
     def is_alive(self):
         pass
 
-    def get_orders(self) -> dict[str, Order]:
+    async def get_orders(self) -> dict[str, Order]:
         pass
 
     async def get_transactions(self, orders: dict[Asset, dict[str, Order]],
@@ -142,20 +143,17 @@ async def get_transactions(self, orders: dict[Asset, dict[str, Order]],
 
                 if additional_commission > 0:
                     commissions.append(
-                        {
-                            "asset": order.asset,
-                            "order": order,
-                            "cost": additional_commission,
-                        }
+                        Commission(
+                            asset=order.asset,
+                            order=order,
+                            amount=additional_commission,
+                        )
                     )
 
                 order.filled += txn.amount
                 order.commission += additional_commission
-
                 order.dt = txn.dt
-
                 transactions.append(txn)
-
                 if not order.open:
                     closed_orders.append(order)
 

ziplime/exchanges/simulation_exchange.py

@@ -0,0 +1,11 @@
+from dataclasses import dataclass
+
+from ziplime.assets.entities.asset import Asset
+from ziplime.finance.domain.order import Order
+
+
+@dataclass
+class Commission:
+    asset: Asset
+    order: Order
+    amount: float