Trades: entry & exit dates

Now positions get new metadata: 'entry_time' and 'exit_time'
which store datetime object of entry and exit bars

src/naiback/analyzers/tradeslistanalyzer.py

@@ -13,4 +13,6 @@ class TradesListAnalyzer(Analyzer):
     def make_trade(self, pos):
         return { 'entry_price' : pos.entry_price(),
                  'exit_price' : pos.exit_price(),
+                 'entry_time' : pos.entry_time(),
+                 'exit_time' : pos.exit_time(),
                  'pnl' : pos.pnl() }

src/naiback/broker/broker.py

@@ -15,17 +15,21 @@ class Broker:
         self.positions = []
         self.retired_positions_ = []
         self.commission_percentage = 0
+        self.timestamp = None
 
     def cash(self):
         return self.cash_
 
+    def set_timestamp(self, ts):
+        self.timestamp = ts
+
     def add_position(self, ticker, price, amount, bar_index):
         volume = abs(price * amount)
         if amount > 0:
             if volume * (1 + 0.01 * self.commission_percentage) > self.cash_:
                 return None
         pos = Position(ticker)
-        pos.enter(price, amount, bar=bar_index)
+        pos.enter(price, amount, bar=bar_index, timestamp=self.timestamp)
         self.cash_ -= price * amount
         self.cash_ -= volume * 0.01 * self.commission_percentage
         self.positions.append(pos)
@@ -34,7 +38,7 @@ class Broker:
     def close_position(self, pos, price, bar_index):
         volume = abs(price * pos.size())
         size = pos.size()
-        pos.exit(price, bar=bar_index)
+        pos.exit(price, bar=bar_index, timestamp=self.timestamp)
 
         self.retired_positions_.append(pos)
         self.positions.remove(pos)

src/naiback/broker/position.py

@@ -35,9 +35,15 @@ class Position:
     def entry_bar(self):
         return self.entry_metadata['bar']
 
+    def entry_time(self):
+        return self.entry_metadata['timestamp']
+
     def exit_bar(self):
         return self.exit_metadata['bar']
 
+    def exit_time(self):
+        return self.exit_metadata['timestamp']
+
     def bars_in_trade(self):
         return self.exit_bar() - self.entry_bar()
 

src/naiback/strategy/strategy.py

@@ -101,12 +101,14 @@ class Strategy:
         if isinstance(ticker, int):
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         return self.broker.add_position(ticker, bars.open[bar], 1, bar)
 
     def buy_at_limit(self, bar, price, ticker):
         if isinstance(ticker, int):
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         if bars.low[bar] <= price:
             if bars.open[bar] > price:
                 return self.broker.add_position(ticker, price, 1, bar)
@@ -119,6 +121,7 @@ class Strategy:
         if isinstance(ticker, int):
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         if bars.high[bar] >= price:
             if bars.open[bar] < price:
                 return self.broker.add_position(ticker, price, 1, bar)
@@ -131,18 +134,21 @@ class Strategy:
         if isinstance(ticker, int):
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         return self.broker.add_position(ticker, bars.close[bar], 1, bar)
 
     def short_at_open(self, bar, ticker):
         if isinstance(ticker, int):
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         return self.broker.add_position(ticker, bars.open[bar], -1, bar)
 
     def short_at_limit(self, bar, price, ticker):
         if isinstance(ticker, int):
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         if bars.high[bar] >= price:
             if bars.open[bar] < price:
                 return self.broker.add_position(ticker, price, -1, bar)
@@ -155,6 +161,7 @@ class Strategy:
         if isinstance(ticker, int):
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         if bars.low[bar] <= price:
             if bars.open[bar] > price:
                 return self.broker.add_position(ticker, price, -1, bar)
@@ -167,14 +174,17 @@ class Strategy:
         if isinstance(ticker, int):
             ticker = self.all_bars[ticker].ticker
         bars = self._get_bars(ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         return self.broker.add_position(ticker, bars.close[bar], -1, bar)
 
     def exit_at_open(self, bar, pos):
         bars = self._get_bars(pos.ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         return self.broker.close_position(pos, bars.open[bar], bar)
 
     def exit_at_limit(self, bar, price, pos):
         bars = self._get_bars(pos.ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         if pos.is_long():
             if bars.high[bar] >= price:
                 if bars.open[bar] < price:
@@ -194,6 +204,7 @@ class Strategy:
 
     def exit_at_stop(self, bar, price, pos):
         bars = self._get_bars(pos.ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         if pos.is_long():
             if bars.low[bar] <= price:
                 if bars.open[bar] > price:
@@ -213,5 +224,6 @@ class Strategy:
 
     def exit_at_close(self, bar, pos):
         bars = self._get_bars(pos.ticker)
+        self.broker.set_timestamp(bars.timestamp[bar])
         return self.broker.close_position(pos, bars.close[bar], bar)