887565be74
- Fix return type annotation for get_default_premium_for_product - Add type narrowing for Weight|Money union using _as_money helper - Add isinstance checks before float() calls for object types - Add type guard for Decimal.exponent comparison - Use _unit_typed and _currency_typed properties for type narrowing - Cast option_type to OptionType Literal after validation - Fix provider type hierarchy in backtesting services - Add types-requests to dev dependencies - Remove '|| true' from CI type-check job All 36 mypy errors resolved across 15 files.
122 lines
4.0 KiB
Python
122 lines
4.0 KiB
Python
"""Position cost calculations for premium, spread, and storage costs."""
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from __future__ import annotations
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from decimal import Decimal
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from typing import Any
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from app.models.position import Position
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def calculate_effective_entry(
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entry_price: Decimal,
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purchase_premium: Decimal | None = None,
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) -> Decimal:
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"""Calculate effective entry cost including dealer premium.
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Args:
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entry_price: Spot price at entry (per unit)
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purchase_premium: Dealer markup over spot as percentage (e.g., 0.04 for 4%)
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Returns:
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Effective entry cost per unit
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"""
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if purchase_premium is None or purchase_premium == 0:
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return entry_price
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return entry_price * (Decimal("1") + purchase_premium)
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def calculate_effective_exit(
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current_spot: Decimal,
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bid_ask_spread: Decimal | None = None,
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) -> Decimal:
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"""Calculate effective exit value after bid/ask spread.
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Args:
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current_spot: Current spot price (per unit)
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bid_ask_spread: Expected sale discount below spot as percentage (e.g., 0.03 for 3%)
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Returns:
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Effective exit value per unit
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"""
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if bid_ask_spread is None or bid_ask_spread == 0:
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return current_spot
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return current_spot * (Decimal("1") - bid_ask_spread)
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def calculate_true_pnl(
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position: Position,
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current_spot: Decimal,
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) -> dict[str, Any]:
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"""Calculate true P&L accounting for premium and spread.
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Args:
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position: Position to calculate P&L for
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current_spot: Current spot price per unit
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Returns:
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Dict with paper_pnl, realized_pnl, effective_entry, effective_exit, entry_value, exit_value
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"""
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# Effective entry cost (includes premium)
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effective_entry = calculate_effective_entry(position.entry_price, position.purchase_premium)
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# Effective exit value (after spread)
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effective_exit = calculate_effective_exit(current_spot, position.bid_ask_spread)
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# Paper P&L (without premium/spread)
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paper_pnl = (current_spot - position.entry_price) * position.quantity
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# True P&L (with premium/spread)
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true_pnl = (effective_exit - effective_entry) * position.quantity
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# Entry and exit values
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entry_value = position.entry_price * position.quantity
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exit_value = current_spot * position.quantity
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return {
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"paper_pnl": float(paper_pnl),
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"true_pnl": float(true_pnl),
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"effective_entry": float(effective_entry),
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"effective_exit": float(effective_exit),
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"entry_value": float(entry_value),
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"exit_value": float(exit_value),
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"premium_impact": float((position.purchase_premium or 0) * entry_value),
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"spread_impact": float((position.bid_ask_spread or 0) * exit_value),
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}
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def get_default_premium_for_product(
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underlying: str,
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product_type: str = "default"
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) -> tuple[Decimal | None, Decimal | None]:
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"""Get default premium/spread for common gold products.
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Args:
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underlying: Underlying instrument ("GLD", "GC=F", "XAU")
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product_type: Product type ("default", "coin_1oz", "bar_1kg", "allocated")
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Returns:
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Tuple of (purchase_premium, bid_ask_spread) or None if not applicable
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"""
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# GLD/GLDM: ETF is liquid, minimal spread
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if underlying in ("GLD", "GLDM"):
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# ETF spread is minimal, premium is 0
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return Decimal("0"), Decimal("0.001") # 0% premium, 0.1% spread
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# GC=F: Futures roll costs are handled separately (GCF-001)
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if underlying == "GC=F":
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return None, None
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# XAU: Physical gold
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if underlying == "XAU":
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defaults = {
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"default": (Decimal("0.04"), Decimal("0.03")), # 4% premium, 3% spread
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"coin_1oz": (Decimal("0.04"), Decimal("0.03")), # 1oz coins: 4% premium, 3% spread
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"bar_1kg": (Decimal("0.015"), Decimal("0.015")), # 1kg bars: 1.5% premium, 1.5% spread
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"allocated": (Decimal("0.001"), Decimal("0.003")), # Allocated: 0.1% premium, 0.3% spread
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}
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return defaults.get(product_type, defaults["default"])
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# Unknown underlying
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return None, None
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