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fix close position trades

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This commit is contained in:
Oleg Sheynin 2025-07-25 18:21:52 +00:00
parent 98a15d301a
commit 21a473a4c2
3 changed files with 24 additions and 4779 deletions
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5
configuration/vecm.cfg
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@ -14,8 +14,11 @@
# ====== Funding ====== # ====== Funding ======
"funding_per_pair": 2000.0, "funding_per_pair": 2000.0,
# ====== Trading Parameters ====== # ====== Trading Parameters ======
"price_column": "close", # "price_column": "close",
"price_column": "vwap",
"execution_price": { "execution_price": {
"column": "vwap", "column": "vwap",
"shift": 1, "shift": 1,

7
lib/pt_trading/rolling_window_fit.py
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@ -146,8 +146,13 @@ class RollingFit(PairsTradingFitMethod):
print(f"{pair}: *** Position is NOT CLOSED. ***") print(f"{pair}: *** Position is NOT CLOSED. ***")
# outstanding positions # outstanding positions
if config["close_outstanding_positions"]: if config["close_outstanding_positions"]:
close_position_row = pair.market_data_.iloc[-1]
close_position_row["disequilibrium"] = 0.0
close_position_row["scaled_disequilibrium"] = 0.0
close_position_row["signed_scaled_disequilibrium"] = 0.0
close_position_trades = self._get_close_trades( close_position_trades = self._get_close_trades(
pair=pair, row=pred_row, close_threshold=close_threshold pair=pair, row=close_position_row, close_threshold=close_threshold
) )
if close_position_trades is not None: if close_position_trades is not None:
close_position_trades["status"] = PairState.CLOSE_POSITION.name close_position_trades["status"] = PairState.CLOSE_POSITION.name

4791
research/notebooks/single_pair_test.ipynb
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