ftx positiona and pnl calc

gistfile1.txt

import arrow
from datetime import datetime
from typing import Dict, List
from gizmo.datetime_gizmo import timer

from src.mds.ccxt.ftx import CasinoFtx
from gizmo import pnl_gizmo

apiKey = 'lalala'
secret = 'lalala'
subaccount = 'lalala'

param = {
    'apiKey' : apiKey,
    'secret' : secret,
    'rateLimit' : 5000, # 5 seconds
    'enableRateLimit' : True,
    'headers': { 'FTX-SUBACCOUNT': subaccount }
}
exchange = CasinoFtx(param)

@timer
def _fetch_my_trades():
    return exchange.fetch_my_trades()

@timer
def _fetch_ohlcv(exchange, ticker, param):
    return exchange.fetch_ohlcv(ticker, '1d')

trades = _fetch_my_trades()
trades = [ 
            {
                "trade_date" :  arrow.get(trade['datetime']).datetime,
                "symbol" : trade['symbol'],
                "side" : trade['side'],
                "filled_price" : trade['price'],
                "amount" : trade['amount'],
                "contract_size" : 1, # FTX no inverses
                "taker_or_maker" : trade['takerOrMaker'],
                "cost" : trade['cost'],
                "fee" : trade['fee']
	        } for trade in trades ]

tickers = set([trade['symbol'] for trade in trades])
prices : Dict[str, List[Dict[datetime, float]]]= {}
for ticker in tickers:
    candles = _fetch_ohlcv(exchange, ticker, '1d')
    high = candles[-1][1]
    low = candles[-1][2]
    now = datetime.utcnow()
    prices[ticker] = [
        { 'date' : datetime(now.year, now.month, now.day), 'price' : (high+low)/2 }
    ]

(tickers_pnl, errors) = pnl_gizmo.calc_pos_pnl(
                                    trades=trades,
                                    prices=prices,
                                    ticker_field_name='symbol',
                                    side_field_name='side',
                                    filled_price_field_name='filled_price',
                                    amount_field_name='amount',
                                    contract_size_field_name='contract_size',
                                    trade_date_field_name='trade_date'
                                )
if tickers_pnl:
    for ticker in tickers_pnl:
        print("**************************************")
        print(f"ticker: {ticker}")
        print(f"{tickers_pnl[ticker]}")