feat(account): allow for rounding when estimating pandl

README.md

@@ -14,7 +14,7 @@ Minimal, self-contained CLI tools and library for quantitative finance.
 ## Modules
 
 - **[estimators](src/quantlib_st/estimators/README.md)**: Volatility and Forecast Scalar estimators — contains `robust_vol_calc` and `mixed_vol_calc` for daily volatility estimation, and `forecast_scalar` for scaling forecasts.
-- **[accounts](src/quantlib_st/accounts/README.md)**: P&L calculation framework — contains `account_forecast` for generating P&L curves from forecasts and prices.
+- **[accounts](src/quantlib_st/systems/accounts/README.md)**: P&L calculation framework — contains `account_forecast` for generating P&L curves from forecasts and prices.
 
 ## Install (editable - for developers)
 

src/quantlib_st/systems/accounts/account_forecast.py

@@ -22,10 +22,17 @@
 class accountForecast(accountCosts):
     @diagnostic(not_pickable=True)
     def pandl_for_instrument_forecast_weighted_within_trading_rule(
-        self, instrument_code: str, rule_variation_name: str, delayfill: bool = True
+        self,
+        instrument_code: str,
+        rule_variation_name: str,
+        delayfill: bool = True,
+        roundpositions: bool = False,
     ) -> accountCurve:
         pandl_for_instrument_forecast = self.pandl_for_instrument_forecast(
-            instrument_code, rule_variation_name, delayfill=delayfill
+            instrument_code,
+            rule_variation_name,
+            delayfill=delayfill,
+            roundpositions=roundpositions,
         )
 
         weight = (
@@ -40,10 +47,17 @@ def pandl_for_instrument_forecast_weighted_within_trading_rule(
 
     @diagnostic(not_pickable=True)
     def pandl_for_instrument_forecast_weighted(
-        self, instrument_code: str, rule_variation_name: str, delayfill: bool = True
+        self,
+        instrument_code: str,
+        rule_variation_name: str,
+        delayfill: bool = True,
+        roundpositions: bool = False,
     ) -> accountCurve:
         pandl_for_instrument_forecast = self.pandl_for_instrument_forecast(
-            instrument_code, rule_variation_name, delayfill=delayfill
+            instrument_code,
+            rule_variation_name,
+            delayfill=delayfill,
+            roundpositions=roundpositions,
         )
 
         weight = self._normalised_weight_for_forecast_and_instrument(
@@ -156,7 +170,11 @@ def _unnormalised_weight_for_forecast_and_instrument(
 
     @diagnostic(not_pickable=True)
     def pandl_for_instrument_forecast(
-        self, instrument_code: str, rule_variation_name: str, delayfill: bool = True
+        self,
+        instrument_code: str,
+        rule_variation_name: str,
+        delayfill: bool = True,
+        roundpositions: bool = False,
     ) -> accountCurve:
         """
         Get the p&l for one instrument and forecast; as % of arbitrary capital
@@ -170,6 +188,9 @@ def pandl_for_instrument_forecast(
         :param delayfill: Lag fills by one day
         :type delayfill: bool
 
+        :param roundpositions: Round positions to nearest integer
+        :type roundpositions: bool
+
         :returns: accountCurve
 
         >>> from systems.basesystem import System
@@ -219,6 +240,7 @@ def pandl_for_instrument_forecast(
             target_abs_forecast=target_abs_forecast,
             SR_cost=SR_cost,
             delayfill=delayfill,
+            roundpositions=roundpositions,
             value_per_point=value_per_point,
         )
 
@@ -235,6 +257,7 @@ def pandl_for_instrument_forecast(
     target_abs_forecast: float = 10.0,
     SR_cost=0.0,
     delayfill=True,
+    roundpositions: bool = False,
     value_per_point=ARBITRARY_VALUE_OF_PRICE_POINT,
 ) -> accountCurve:
     if daily_returns_volatility is None:
@@ -263,6 +286,7 @@ def pandl_for_instrument_forecast(
         capital=capital,
         value_per_point=value_per_point,
         delayfill=delayfill,
+        roundpositions=roundpositions,
         price=price,
     )
 
@@ -278,6 +302,7 @@ def pandl_for_position(
     daily_returns_volatility: Optional[pd.Series] = None,
     SR_cost=0.0,
     delayfill=True,
+    roundpositions: bool = False,
     value_per_point=ARBITRARY_VALUE_OF_PRICE_POINT,
 ) -> accountCurve:
     pandl_calculator = pandlCalculationWithSRCosts(
@@ -290,6 +315,7 @@ def pandl_for_position(
         capital=capital,
         value_per_point=value_per_point,
         delayfill=delayfill,
+        roundpositions=roundpositions,
     )
 
     return accountCurve(pandl_calculator)