logs module¶
Base class for working with log records.
Order records capture information on simulation logs. Logs are populated when simulating a portfolio and can be accessed as Portfolio.logs.
>>> import pandas as pd
>>> import numpy as np
>>> from datetime import datetime, timedelta
>>> import vectorbt as vbt
>>> np.random.seed(42)
>>> price = pd.DataFrame({
... 'a': np.random.uniform(1, 2, size=100),
... 'b': np.random.uniform(1, 2, size=100)
... }, index=[datetime(2020, 1, 1) + timedelta(days=i) for i in range(100)])
>>> size = pd.DataFrame({
... 'a': np.random.uniform(-100, 100, size=100),
... 'b': np.random.uniform(-100, 100, size=100),
... }, index=[datetime(2020, 1, 1) + timedelta(days=i) for i in range(100)])
>>> pf = vbt.Portfolio.from_orders(price, size, fees=0.01, freq='d', log=True)
>>> logs = pf.logs
>>> logs.filled.count()
a 88
b 99
Name: count, dtype: int64
>>> logs.ignored.count()
a 0
b 0
Name: count, dtype: int64
>>> logs.rejected.count()
a 12
b 1
Name: count, dtype: int64
Stats¶
Hint
See StatsBuilderMixin.stats() and Logs.metrics.
>>> logs['a'].stats()
Start 2020-01-01 00:00:00
End 2020-04-09 00:00:00
Period 100 days 00:00:00
Total Records 100
Status Counts: None 0
Status Counts: Filled 88
Status Counts: Ignored 0
Status Counts: Rejected 12
Status Info Counts: None 88
Status Info Counts: NoCashLong 12
Name: a, dtype: object
StatsBuilderMixin.stats() also supports (re-)grouping:
>>> logs.stats(group_by=True)
Start 2020-01-01 00:00:00
End 2020-04-09 00:00:00
Period 100 days 00:00:00
Total Records 200
Status Counts: None 0
Status Counts: Filled 187
Status Counts: Ignored 0
Status Counts: Rejected 13
Status Info Counts: None 187
Status Info Counts: NoCashLong 13
Name: group, dtype: object
Plots¶
Hint
See PlotsBuilderMixin.plots() and Logs.subplots.
This class does not have any subplots.
logs_attach_field_config Config¶
Config of fields to be attached to Logs.
Config({
"res_side": {
"attach_filters": true
},
"res_status": {
"attach_filters": true
},
"res_status_info": {
"attach_filters": true
}
})
logs_field_config Config¶
Field config for Logs.
Config({
"dtype": {
"id": "int64",
"group": "int64",
"col": "int64",
"idx": "int64",
"cash": "float64",
"position": "float64",
"debt": "float64",
"free_cash": "float64",
"val_price": "float64",
"value": "float64",
"req_size": "float64",
"req_price": "float64",
"req_size_type": "int64",
"req_direction": "int64",
"req_fees": "float64",
"req_fixed_fees": "float64",
"req_slippage": "float64",
"req_min_size": "float64",
"req_max_size": "float64",
"req_size_granularity": "float64",
"req_reject_prob": "float64",
"req_lock_cash": "bool",
"req_allow_partial": "bool",
"req_raise_reject": "bool",
"req_log": "bool",
"new_cash": "float64",
"new_position": "float64",
"new_debt": "float64",
"new_free_cash": "float64",
"new_val_price": "float64",
"new_value": "float64",
"res_size": "float64",
"res_price": "float64",
"res_fees": "float64",
"res_side": "int64",
"res_status": "int64",
"res_status_info": "int64",
"order_id": "int64"
},
"settings": {
"id": {
"title": "Log Id"
},
"group": {
"title": "Group"
},
"cash": {
"title": "Cash"
},
"position": {
"title": "Position"
},
"debt": {
"title": "Debt"
},
"free_cash": {
"title": "Free Cash"
},
"val_price": {
"title": "Val Price"
},
"value": {
"title": "Value"
},
"req_size": {
"title": "Request Size"
},
"req_price": {
"title": "Request Price"
},
"req_size_type": {
"title": "Request Size Type",
"mapping": {
"Amount": 0,
"Value": 1,
"Percent": 2,
"TargetAmount": 3,
"TargetValue": 4,
"TargetPercent": 5
}
},
"req_direction": {
"title": "Request Direction",
"mapping": {
"LongOnly": 0,
"ShortOnly": 1,
"Both": 2
}
},
"req_fees": {
"title": "Request Fees"
},
"req_fixed_fees": {
"title": "Request Fixed Fees"
},
"req_slippage": {
"title": "Request Slippage"
},
"req_min_size": {
"title": "Request Min Size"
},
"req_max_size": {
"title": "Request Max Size"
},
"req_size_granularity": {
"title": "Request Size Granularity"
},
"req_reject_prob": {
"title": "Request Rejection Prob"
},
"req_lock_cash": {
"title": "Request Lock Cash"
},
"req_allow_partial": {
"title": "Request Allow Partial"
},
"req_raise_reject": {
"title": "Request Raise Rejection"
},
"req_log": {
"title": "Request Log"
},
"new_cash": {
"title": "New Cash"
},
"new_position": {
"title": "New Position"
},
"new_debt": {
"title": "New Debt"
},
"new_free_cash": {
"title": "New Free Cash"
},
"new_val_price": {
"title": "New Val Price"
},
"new_value": {
"title": "New Value"
},
"res_size": {
"title": "Result Size"
},
"res_price": {
"title": "Result Price"
},
"res_fees": {
"title": "Result Fees"
},
"res_side": {
"title": "Result Side",
"mapping": {
"Buy": 0,
"Sell": 1
}
},
"res_status": {
"title": "Result Status",
"mapping": {
"Filled": 0,
"Ignored": 1,
"Rejected": 2
}
},
"res_status_info": {
"title": "Result Status Info",
"mapping": {
"SizeNaN": 0,
"PriceNaN": 1,
"ValPriceNaN": 2,
"ValueNaN": 3,
"ValueZeroNeg": 4,
"SizeZero": 5,
"NoCashShort": 6,
"NoCashLong": 7,
"NoOpenPosition": 8,
"MaxSizeExceeded": 9,
"RandomEvent": 10,
"CantCoverFees": 11,
"MinSizeNotReached": 12,
"PartialFill": 13
}
},
"order_id": {
"title": "Order Id"
}
}
})
Logs class¶
Logs(
wrapper,
records_arr,
col_mapper=None,
**kwargs
)
Extends Records for working with log records.
Superclasses
- AttrResolver
- Configured
- Documented
- IndexingBase
- PandasIndexer
- Pickleable
- PlotsBuilderMixin
- Records
- RecordsWithFields
- StatsBuilderMixin
- Wrapping
Inherited members
- AttrResolver.deep_getattr()
- AttrResolver.post_resolve_attr()
- AttrResolver.pre_resolve_attr()
- AttrResolver.resolve_attr()
- Configured.copy()
- Configured.dumps()
- Configured.loads()
- Configured.to_doc()
- Configured.update_config()
- PandasIndexer.xs()
- Pickleable.load()
- Pickleable.save()
- PlotsBuilderMixin.build_subplots_doc()
- PlotsBuilderMixin.override_subplots_doc()
- PlotsBuilderMixin.plots()
- Records.apply()
- Records.apply_mask()
- Records.build_field_config_doc()
- Records.col_arr
- Records.col_mapper
- Records.config
- Records.count()
- Records.get_apply_mapping_arr()
- Records.get_by_col_idxs()
- Records.get_field_arr()
- Records.get_field_mapping()
- Records.get_field_name()
- Records.get_field_setting()
- Records.get_field_title()
- Records.get_map_field()
- Records.get_map_field_to_index()
- Records.id_arr
- Records.idx_arr
- Records.iloc
- Records.indexing_func()
- Records.indexing_func_meta()
- Records.indexing_kwargs
- Records.is_sorted()
- Records.loc
- Records.map()
- Records.map_array()
- Records.map_field()
- Records.override_field_config_doc()
- Records.records
- Records.records_arr
- Records.records_readable
- Records.replace()
- Records.self_aliases
- Records.sort()
- Records.values
- Records.wrapper
- Records.writeable_attrs
- StatsBuilderMixin.build_metrics_doc()
- StatsBuilderMixin.override_metrics_doc()
- StatsBuilderMixin.stats()
- Wrapping.regroup()
- Wrapping.resolve_self()
- Wrapping.select_one()
- Wrapping.select_one_from_obj()
buy method¶
Records filtered by res_side == 0.
cant_cover_fees method¶
Records filtered by res_status_info == 11.
cash method¶
Mapped array of the field cash.
col method¶
Mapped array of the field col.
debt method¶
Mapped array of the field debt.
field_config class variable¶
Field config of Logs.
Config({
"dtype": {
"id": "int64",
"group": "int64",
"col": "int64",
"idx": "int64",
"cash": "float64",
"position": "float64",
"debt": "float64",
"free_cash": "float64",
"val_price": "float64",
"value": "float64",
"req_size": "float64",
"req_price": "float64",
"req_size_type": "int64",
"req_direction": "int64",
"req_fees": "float64",
"req_fixed_fees": "float64",
"req_slippage": "float64",
"req_min_size": "float64",
"req_max_size": "float64",
"req_size_granularity": "float64",
"req_reject_prob": "float64",
"req_lock_cash": "bool",
"req_allow_partial": "bool",
"req_raise_reject": "bool",
"req_log": "bool",
"new_cash": "float64",
"new_position": "float64",
"new_debt": "float64",
"new_free_cash": "float64",
"new_val_price": "float64",
"new_value": "float64",
"res_size": "float64",
"res_price": "float64",
"res_fees": "float64",
"res_side": "int64",
"res_status": "int64",
"res_status_info": "int64",
"order_id": "int64"
},
"settings": {
"id": {
"name": "id",
"title": "Log Id"
},
"col": {
"name": "col",
"title": "Column",
"mapping": "columns"
},
"idx": {
"name": "idx",
"title": "Timestamp",
"mapping": "index"
},
"group": {
"title": "Group"
},
"cash": {
"title": "Cash"
},
"position": {
"title": "Position"
},
"debt": {
"title": "Debt"
},
"free_cash": {
"title": "Free Cash"
},
"val_price": {
"title": "Val Price"
},
"value": {
"title": "Value"
},
"req_size": {
"title": "Request Size"
},
"req_price": {
"title": "Request Price"
},
"req_size_type": {
"title": "Request Size Type",
"mapping": {
"Amount": 0,
"Value": 1,
"Percent": 2,
"TargetAmount": 3,
"TargetValue": 4,
"TargetPercent": 5
}
},
"req_direction": {
"title": "Request Direction",
"mapping": {
"LongOnly": 0,
"ShortOnly": 1,
"Both": 2
}
},
"req_fees": {
"title": "Request Fees"
},
"req_fixed_fees": {
"title": "Request Fixed Fees"
},
"req_slippage": {
"title": "Request Slippage"
},
"req_min_size": {
"title": "Request Min Size"
},
"req_max_size": {
"title": "Request Max Size"
},
"req_size_granularity": {
"title": "Request Size Granularity"
},
"req_reject_prob": {
"title": "Request Rejection Prob"
},
"req_lock_cash": {
"title": "Request Lock Cash"
},
"req_allow_partial": {
"title": "Request Allow Partial"
},
"req_raise_reject": {
"title": "Request Raise Rejection"
},
"req_log": {
"title": "Request Log"
},
"new_cash": {
"title": "New Cash"
},
"new_position": {
"title": "New Position"
},
"new_debt": {
"title": "New Debt"
},
"new_free_cash": {
"title": "New Free Cash"
},
"new_val_price": {
"title": "New Val Price"
},
"new_value": {
"title": "New Value"
},
"res_size": {
"title": "Result Size"
},
"res_price": {
"title": "Result Price"
},
"res_fees": {
"title": "Result Fees"
},
"res_side": {
"title": "Result Side",
"mapping": {
"Buy": 0,
"Sell": 1
}
},
"res_status": {
"title": "Result Status",
"mapping": {
"Filled": 0,
"Ignored": 1,
"Rejected": 2
}
},
"res_status_info": {
"title": "Result Status Info",
"mapping": {
"SizeNaN": 0,
"PriceNaN": 1,
"ValPriceNaN": 2,
"ValueNaN": 3,
"ValueZeroNeg": 4,
"SizeZero": 5,
"NoCashShort": 6,
"NoCashLong": 7,
"NoOpenPosition": 8,
"MaxSizeExceeded": 9,
"RandomEvent": 10,
"CantCoverFees": 11,
"MinSizeNotReached": 12,
"PartialFill": 13
}
},
"order_id": {
"title": "Order Id"
}
}
})
filled method¶
Records filtered by res_status == 0.
free_cash method¶
Mapped array of the field free_cash.
group method¶
Mapped array of the field group.
id method¶
Mapped array of the field id.
idx method¶
Mapped array of the field idx.
ignored method¶
Records filtered by res_status == 1.
max_size_exceeded method¶
Records filtered by res_status_info == 9.
metrics class variable¶
Metrics supported by Logs.
Config({
"start": {
"title": "Start",
"calc_func": "<function Logs.<lambda> at 0x17506b100>",
"agg_func": null,
"tags": "wrapper"
},
"end": {
"title": "End",
"calc_func": "<function Logs.<lambda> at 0x17506b1a0>",
"agg_func": null,
"tags": "wrapper"
},
"period": {
"title": "Period",
"calc_func": "<function Logs.<lambda> at 0x17506b240>",
"apply_to_timedelta": true,
"agg_func": null,
"tags": "wrapper"
},
"total_records": {
"title": "Total Records",
"calc_func": "count",
"tags": "records"
},
"res_status_counts": {
"title": "Status Counts",
"calc_func": "res_status.value_counts",
"incl_all_keys": true,
"post_calc_func": "<function Logs.<lambda> at 0x17506b2e0>",
"tags": [
"logs",
"res_status",
"value_counts"
]
},
"res_status_info_counts": {
"title": "Status Info Counts",
"calc_func": "res_status_info.value_counts",
"post_calc_func": "<function Logs.<lambda> at 0x17506b380>",
"tags": [
"logs",
"res_status_info",
"value_counts"
]
}
})
Returns Logs._metrics, which gets (deep) copied upon creation of each instance. Thus, changing this config won't affect the class.
To change metrics, you can either change the config in-place, override this property, or overwrite the instance variable Logs._metrics.
min_size_not_reached method¶
Records filtered by res_status_info == 12.
new_cash method¶
Mapped array of the field new_cash.
new_debt method¶
Mapped array of the field new_debt.
new_free_cash method¶
Mapped array of the field new_free_cash.
new_position method¶
Mapped array of the field new_position.
new_val_price method¶
Mapped array of the field new_val_price.
new_value method¶
Mapped array of the field new_value.
no_cash_long method¶
Records filtered by res_status_info == 7.
no_cash_short method¶
Records filtered by res_status_info == 6.
no_open_position method¶
Records filtered by res_status_info == 8.
order_id method¶
Mapped array of the field order_id.
partial_fill method¶
Records filtered by res_status_info == 13.
plots_defaults property¶
Defaults for PlotsBuilderMixin.plots().
Merges Records.plots_defaults and logs.plots from settings.
position method¶
Mapped array of the field position.
price_nan method¶
Records filtered by res_status_info == 1.
random_event method¶
Records filtered by res_status_info == 10.
rejected method¶
Records filtered by res_status == 2.
req_allow_partial method¶
Mapped array of the field req_allow_partial.
req_direction method¶
Mapped array of the field req_direction.
req_fees method¶
Mapped array of the field req_fees.
req_fixed_fees method¶
Mapped array of the field req_fixed_fees.
req_lock_cash method¶
Mapped array of the field req_lock_cash.
req_log method¶
Mapped array of the field req_log.
req_max_size method¶
Mapped array of the field req_max_size.
req_min_size method¶
Mapped array of the field req_min_size.
req_price method¶
Mapped array of the field req_price.
req_raise_reject method¶
Mapped array of the field req_raise_reject.
req_reject_prob method¶
Mapped array of the field req_reject_prob.
req_size method¶
Mapped array of the field req_size.
req_size_granularity method¶
Mapped array of the field req_size_granularity.
req_size_type method¶
Mapped array of the field req_size_type.
req_slippage method¶
Mapped array of the field req_slippage.
res_fees method¶
Mapped array of the field res_fees.
res_price method¶
Mapped array of the field res_price.
res_side method¶
Mapped array of the field res_side.
res_size method¶
Mapped array of the field res_size.
res_status method¶
Mapped array of the field res_status.
res_status_info method¶
Mapped array of the field res_status_info.
sell method¶
Records filtered by res_side == 1.
size_nan method¶
Records filtered by res_status_info == 0.
size_zero method¶
Records filtered by res_status_info == 5.
stats_defaults property¶
Defaults for StatsBuilderMixin.stats().
Merges Records.stats_defaults and logs.stats from settings.
subplots class variable¶
Subplots supported by Logs.
Config({})
Returns Logs._subplots, which gets (deep) copied upon creation of each instance. Thus, changing this config won't affect the class.
To change subplots, you can either change the config in-place, override this property, or overwrite the instance variable Logs._subplots.
val_price method¶
Mapped array of the field val_price.
val_price_nan method¶
Records filtered by res_status_info == 2.
value method¶
Mapped array of the field value.
value_nan method¶
Records filtered by res_status_info == 3.
value_zero_neg method¶
Records filtered by res_status_info == 4.