feat: portfolio daily margin aggregation - #19
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🟡 Changes recommended
The current portfolio aggregation sums per-position cumulative P&L per day, which can drop closed-position P&L and produce incorrect final_equity/drawdown results.
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Pull request overview
This PR introduces a new portfolio_daily_margin() helper to aggregate multiple positions’ daily mark-to-market P&L and margin usage into a portfolio-level daily series, and documents the feature in project notes/changelog.
Changes:
- Add
portfolio_daily_margin()to aggregate per-position daily mark rows into a portfolio summary. - Add a unit test covering the new API.
- Update
CHANGELOG.mdand.planning/ROADMAP.mdto reflect the new feature and test count.
File summaries
| File | Description |
|---|---|
src/goratio/margin.py |
Adds portfolio-level daily aggregation wrapper on top of run_daily_position_mark(). |
tests/test_margin.py |
Adds a unit test for portfolio_daily_margin(). |
CHANGELOG.md |
Documents the new portfolio_daily_margin() API in the changelog list. |
.planning/ROADMAP.md |
Marks the roadmap item as done and updates the stated passing test count. |
Review details
Suppressed comments (1)
src/goratio/margin.py:351
- After changing aggregation to daily P&L deltas, the equity curve should be computed as a running sum of daily P&L (so closed positions remain reflected in later equity). Right now
equity = initial_capital + record["pnl"]assumes the per-day bucket already contains portfolio cumulative P&L, which isn't true once you switch to per-day deltas and is also what causes the current implementation to forget exited positions.
daily_rows = []
peak = initial_capital
max_drawdown = 0.0
for d in sorted(daily_map):
record = daily_map[d]
equity = initial_capital + record["pnl"]
peak = max(peak, equity)
max_drawdown = max(max_drawdown, peak - equity)
daily_rows.append(
{
"date": d,
"total_margin": record["margin"],
"total_pnl": record["pnl"],
"equity": equity,
"position_count": record["count"],
}
)
- Files reviewed: 4/4 changed files
- Comments generated: 2
- Review effort level: Lite
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| from collections import defaultdict | ||
| from datetime import date | ||
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| daily_map = defaultdict(lambda: {"margin": 0.0, "pnl": 0.0, "count": 0}) | ||
| rows_by_position = [] | ||
| for position in positions: | ||
| result = run_daily_position_mark( | ||
| records, | ||
| instrument=position["instrument"], | ||
| entry_date=position["entry_date"], | ||
| exit_date=position["exit_date"], | ||
| direction=position["direction"], | ||
| lots=position["lots"], | ||
| ) | ||
| rows_by_position.append(result) | ||
| for row in result["rows"]: | ||
| d = row["date"] | ||
| daily_map[d]["margin"] += row["margin_estimate"] | ||
| daily_map[d]["pnl"] += row["cumulative_pnl"] | ||
| daily_map[d]["count"] += 1 |
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| positions = [ | ||
| { | ||
| "instrument": "gold", | ||
| "entry_date": date(2024, 1, 2), | ||
| "exit_date": date(2024, 1, 4), | ||
| "direction": 1, | ||
| "lots": 1, | ||
| } | ||
| ] | ||
|
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| summary = portfolio_daily_margin(records, positions) | ||
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| self.assertEqual(summary["day_count"], 3) | ||
| self.assertGreater(summary["final_equity"], 100000.0) | ||
| self.assertGreater(summary["daily_rows"][0]["total_margin"], 0) |
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新增 portfolio_daily_margin，合并多笔持仓逐日盯市与保证金占用。