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.

>>> from vectorbtpro import *

>>> 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 ReadonlyConfig ¶

Config of fields to be attached to Logs.

ReadonlyConfig(
    res_side=dict(
        attach_filters=True
    ),
    res_status=dict(
        attach_filters=True
    ),
    res_status_info=dict(
        attach_filters=True
    )
)

logs_field_config ReadonlyConfig ¶

Field config for Logs.

ReadonlyConfig(
    dtype=np.dtype([
        ('id', 'int64'),
        ('group', 'int64'),
        ('col', 'int64'),
        ('idx', 'int64'),
        ('price_area_open', 'float64'),
        ('price_area_high', 'float64'),
        ('price_area_low', 'float64'),
        ('price_area_close', 'float64'),
        ('st0_cash', 'float64'),
        ('st0_position', 'float64'),
        ('st0_debt', 'float64'),
        ('st0_locked_cash', 'float64'),
        ('st0_free_cash', 'float64'),
        ('st0_val_price', 'float64'),
        ('st0_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_leverage', 'float64'),
        ('req_leverage_mode', 'int64'),
        ('req_reject_prob', 'float64'),
        ('req_price_area_vio_mode', 'int64'),
        ('req_allow_partial', 'bool'),
        ('req_raise_reject', 'bool'),
        ('req_log', 'bool'),
        ('res_size', 'float64'),
        ('res_price', 'float64'),
        ('res_fees', 'float64'),
        ('res_side', 'int64'),
        ('res_status', 'int64'),
        ('res_status_info', 'int64'),
        ('st1_cash', 'float64'),
        ('st1_position', 'float64'),
        ('st1_debt', 'float64'),
        ('st1_locked_cash', 'float64'),
        ('st1_free_cash', 'float64'),
        ('st1_val_price', 'float64'),
        ('st1_value', 'float64'),
        ('order_id', 'int64')
    ]),
    settings=dict(
        id=dict(
            title='Log Id'
        ),
        col=dict(
            title='Column'
        ),
        idx=dict(
            title='Index'
        ),
        group=dict(
            title='Group'
        ),
        price_area_open=dict(
            title='[PA] Open'
        ),
        price_area_high=dict(
            title='[PA] High'
        ),
        price_area_low=dict(
            title='[PA] Low'
        ),
        price_area_close=dict(
            title='[PA] Close'
        ),
        st0_cash=dict(
            title='[ST0] Cash'
        ),
        st0_position=dict(
            title='[ST0] Position'
        ),
        st0_debt=dict(
            title='[ST0] Debt'
        ),
        st0_locked_cash=dict(
            title='[ST0] Locked Cash'
        ),
        st0_free_cash=dict(
            title='[ST0] Free Cash'
        ),
        st0_val_price=dict(
            title='[ST0] Valuation Price'
        ),
        st0_value=dict(
            title='[ST0] Value'
        ),
        req_size=dict(
            title='[REQ] Size'
        ),
        req_price=dict(
            title='[REQ] Price'
        ),
        req_size_type=dict(
            title='[REQ] Size Type',
            mapping=SizeTypeT(
                Amount=0,
                Value=1,
                Percent=2,
                Percent100=3,
                ValuePercent=4,
                ValuePercent100=5,
                TargetAmount=6,
                TargetValue=7,
                TargetPercent=8,
                TargetPercent100=9
            )
        ),
        req_direction=dict(
            title='[REQ] Direction',
            mapping=DirectionT(
                LongOnly=0,
                ShortOnly=1,
                Both=2
            )
        ),
        req_fees=dict(
            title='[REQ] Fees'
        ),
        req_fixed_fees=dict(
            title='[REQ] Fixed Fees'
        ),
        req_slippage=dict(
            title='[REQ] Slippage'
        ),
        req_min_size=dict(
            title='[REQ] Min Size'
        ),
        req_max_size=dict(
            title='[REQ] Max Size'
        ),
        req_size_granularity=dict(
            title='[REQ] Size Granularity'
        ),
        req_leverage=dict(
            title='[REQ] Leverage'
        ),
        req_leverage_mode=dict(
            title='[REQ] Leverage Mode',
            mapping=LeverageModeT(
                Lazy=0,
                Eager=1
            )
        ),
        req_reject_prob=dict(
            title='[REQ] Rejection Prob'
        ),
        req_price_area_vio_mode=dict(
            title='[REQ] Price Area Violation Mode',
            mapping=PriceAreaVioModeT(
                Ignore=0,
                Cap=1,
                Error=2
            )
        ),
        req_allow_partial=dict(
            title='[REQ] Allow Partial'
        ),
        req_raise_reject=dict(
            title='[REQ] Raise Rejection'
        ),
        req_log=dict(
            title='[REQ] Log'
        ),
        res_size=dict(
            title='[RES] Size'
        ),
        res_price=dict(
            title='[RES] Price'
        ),
        res_fees=dict(
            title='[RES] Fees'
        ),
        res_side=dict(
            title='[RES] Side',
            mapping=OrderSideT(
                Buy=0,
                Sell=1
            )
        ),
        res_status=dict(
            title='[RES] Status',
            mapping=OrderStatusT(
                Filled=0,
                Ignored=1,
                Rejected=2
            )
        ),
        res_status_info=dict(
            title='[RES] Status Info',
            mapping=OrderStatusInfoT(
                SizeNaN=0,
                PriceNaN=1,
                ValPriceNaN=2,
                ValueNaN=3,
                ValueZeroNeg=4,
                SizeZero=5,
                NoCash=6,
                NoOpenPosition=7,
                MaxSizeExceeded=8,
                RandomEvent=9,
                CantCoverFees=10,
                MinSizeNotReached=11,
                PartialFill=12
            )
        ),
        st1_cash=dict(
            title='[ST1] Cash'
        ),
        st1_position=dict(
            title='[ST1] Position'
        ),
        st1_debt=dict(
            title='[ST1] Debt'
        ),
        st1_locked_cash=dict(
            title='[ST1] Locked Cash'
        ),
        st1_free_cash=dict(
            title='[ST1] Free Cash'
        ),
        st1_val_price=dict(
            title='[ST1] Valuation Price'
        ),
        st1_value=dict(
            title='[ST1] Value'
        ),
        order_id=dict(
            title='Order Id',
            mapping='ids'
        )
    )
)

Logs class ¶

Logs(
    wrapper,
    records_arr,
    open=None,
    high=None,
    low=None,
    close=None,
    **kwargs
)

Extends PriceRecords for working with log records.

Superclasses

Inherited members

col property ¶

Mapped array of the field col.

field_config class variable ¶

Field config of Logs.

HybridConfig(
    dtype=np.dtype([
        ('id', 'int64'),
        ('group', 'int64'),
        ('col', 'int64'),
        ('idx', 'int64'),
        ('price_area_open', 'float64'),
        ('price_area_high', 'float64'),
        ('price_area_low', 'float64'),
        ('price_area_close', 'float64'),
        ('st0_cash', 'float64'),
        ('st0_position', 'float64'),
        ('st0_debt', 'float64'),
        ('st0_locked_cash', 'float64'),
        ('st0_free_cash', 'float64'),
        ('st0_val_price', 'float64'),
        ('st0_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_leverage', 'float64'),
        ('req_leverage_mode', 'int64'),
        ('req_reject_prob', 'float64'),
        ('req_price_area_vio_mode', 'int64'),
        ('req_allow_partial', 'bool'),
        ('req_raise_reject', 'bool'),
        ('req_log', 'bool'),
        ('res_size', 'float64'),
        ('res_price', 'float64'),
        ('res_fees', 'float64'),
        ('res_side', 'int64'),
        ('res_status', 'int64'),
        ('res_status_info', 'int64'),
        ('st1_cash', 'float64'),
        ('st1_position', 'float64'),
        ('st1_debt', 'float64'),
        ('st1_locked_cash', 'float64'),
        ('st1_free_cash', 'float64'),
        ('st1_val_price', 'float64'),
        ('st1_value', 'float64'),
        ('order_id', 'int64')
    ]),
    settings=dict(
        id=dict(
            name='id',
            title='Log Id',
            mapping='ids'
        ),
        col=dict(
            name='col',
            title='Column',
            mapping='columns',
            as_customdata=False
        ),
        idx=dict(
            name='idx',
            title='Index',
            mapping='index'
        ),
        group=dict(
            title='Group'
        ),
        price_area_open=dict(
            title='[PA] Open'
        ),
        price_area_high=dict(
            title='[PA] High'
        ),
        price_area_low=dict(
            title='[PA] Low'
        ),
        price_area_close=dict(
            title='[PA] Close'
        ),
        st0_cash=dict(
            title='[ST0] Cash'
        ),
        st0_position=dict(
            title='[ST0] Position'
        ),
        st0_debt=dict(
            title='[ST0] Debt'
        ),
        st0_locked_cash=dict(
            title='[ST0] Locked Cash'
        ),
        st0_free_cash=dict(
            title='[ST0] Free Cash'
        ),
        st0_val_price=dict(
            title='[ST0] Valuation Price'
        ),
        st0_value=dict(
            title='[ST0] Value'
        ),
        req_size=dict(
            title='[REQ] Size'
        ),
        req_price=dict(
            title='[REQ] Price'
        ),
        req_size_type=dict(
            title='[REQ] Size Type',
            mapping=SizeTypeT(
                Amount=0,
                Value=1,
                Percent=2,
                Percent100=3,
                ValuePercent=4,
                ValuePercent100=5,
                TargetAmount=6,
                TargetValue=7,
                TargetPercent=8,
                TargetPercent100=9
            )
        ),
        req_direction=dict(
            title='[REQ] Direction',
            mapping=DirectionT(
                LongOnly=0,
                ShortOnly=1,
                Both=2
            )
        ),
        req_fees=dict(
            title='[REQ] Fees'
        ),
        req_fixed_fees=dict(
            title='[REQ] Fixed Fees'
        ),
        req_slippage=dict(
            title='[REQ] Slippage'
        ),
        req_min_size=dict(
            title='[REQ] Min Size'
        ),
        req_max_size=dict(
            title='[REQ] Max Size'
        ),
        req_size_granularity=dict(
            title='[REQ] Size Granularity'
        ),
        req_leverage=dict(
            title='[REQ] Leverage'
        ),
        req_leverage_mode=dict(
            title='[REQ] Leverage Mode',
            mapping=LeverageModeT(
                Lazy=0,
                Eager=1
            )
        ),
        req_reject_prob=dict(
            title='[REQ] Rejection Prob'
        ),
        req_price_area_vio_mode=dict(
            title='[REQ] Price Area Violation Mode',
            mapping=PriceAreaVioModeT(
                Ignore=0,
                Cap=1,
                Error=2
            )
        ),
        req_allow_partial=dict(
            title='[REQ] Allow Partial'
        ),
        req_raise_reject=dict(
            title='[REQ] Raise Rejection'
        ),
        req_log=dict(
            title='[REQ] Log'
        ),
        res_size=dict(
            title='[RES] Size'
        ),
        res_price=dict(
            title='[RES] Price'
        ),
        res_fees=dict(
            title='[RES] Fees'
        ),
        res_side=dict(
            title='[RES] Side',
            mapping=OrderSideT(
                Buy=0,
                Sell=1
            )
        ),
        res_status=dict(
            title='[RES] Status',
            mapping=OrderStatusT(
                Filled=0,
                Ignored=1,
                Rejected=2
            )
        ),
        res_status_info=dict(
            title='[RES] Status Info',
            mapping=OrderStatusInfoT(
                SizeNaN=0,
                PriceNaN=1,
                ValPriceNaN=2,
                ValueNaN=3,
                ValueZeroNeg=4,
                SizeZero=5,
                NoCash=6,
                NoOpenPosition=7,
                MaxSizeExceeded=8,
                RandomEvent=9,
                CantCoverFees=10,
                MinSizeNotReached=11,
                PartialFill=12
            )
        ),
        st1_cash=dict(
            title='[ST1] Cash'
        ),
        st1_position=dict(
            title='[ST1] Position'
        ),
        st1_debt=dict(
            title='[ST1] Debt'
        ),
        st1_locked_cash=dict(
            title='[ST1] Locked Cash'
        ),
        st1_free_cash=dict(
            title='[ST1] Free Cash'
        ),
        st1_val_price=dict(
            title='[ST1] Valuation Price'
        ),
        st1_value=dict(
            title='[ST1] Value'
        ),
        order_id=dict(
            title='Order Id',
            mapping='ids'
        )
    )
)

Returns Logs._field_config, which gets (hybrid-) copied upon creation of each instance. Thus, changing this config won't affect the class.

To change fields, you can either change the config in-place, override this property, or overwrite the instance variable Logs._field_config.

group property ¶

Mapped array of the field group.

id property ¶

Mapped array of the field id.

idx property ¶

Mapped array of the field idx.

metrics class variable ¶

Metrics supported by Logs.

HybridConfig(
    start_index=dict(
        title='Start Index',
        calc_func=<function Logs.<lambda> at 0x1646f1f80>,
        agg_func=None,
        tags='wrapper'
    ),
    end_index=dict(
        title='End Index',
        calc_func=<function Logs.<lambda> at 0x1646f2020>,
        agg_func=None,
        tags='wrapper'
    ),
    total_duration=dict(
        title='Total Duration',
        calc_func=<function Logs.<lambda> at 0x1646f20c0>,
        apply_to_timedelta=True,
        agg_func=None,
        tags='wrapper'
    ),
    total_records=dict(
        title='Total Records',
        calc_func='count',
        tags='records'
    ),
    res_status_counts=dict(
        title='Status Counts',
        calc_func='res_status.value_counts',
        incl_all_keys=True,
        post_calc_func=<function Logs.<lambda> at 0x1646f2160>,
        tags=[
            'logs',
            'res_status',
            'value_counts'
        ]
    ),
    res_status_info_counts=dict(
        title='Status Info Counts',
        calc_func='res_status_info.value_counts',
        post_calc_func=<function Logs.<lambda> at 0x1646f2200>,
        tags=[
            'logs',
            'res_status_info',
            'value_counts'
        ]
    )
)

Returns Logs._metrics, which gets (hybrid-) 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.

order_id property ¶

Mapped array of the field order_id.

plots_defaults property ¶

Defaults for PlotsBuilderMixin.plots().

Merges PriceRecords.plots_defaults and plots from logs.

price_area_close property ¶

Mapped array of the field price_area_close.

price_area_high property ¶

Mapped array of the field price_area_high.

price_area_low property ¶

Mapped array of the field price_area_low.

price_area_open property ¶

Mapped array of the field price_area_open.

req_allow_partial property ¶

Mapped array of the field req_allow_partial.

req_direction property ¶

Mapped array of the field req_direction.

req_fees property ¶

Mapped array of the field req_fees.

req_fixed_fees property ¶

Mapped array of the field req_fixed_fees.

req_leverage property ¶

Mapped array of the field req_leverage.

req_leverage_mode property ¶

Mapped array of the field req_leverage_mode.

req_log property ¶

Mapped array of the field req_log.

req_max_size property ¶

Mapped array of the field req_max_size.

req_min_size property ¶

Mapped array of the field req_min_size.

req_price property ¶

Mapped array of the field req_price.

req_price_area_vio_mode property ¶

Mapped array of the field req_price_area_vio_mode.

req_raise_reject property ¶

Mapped array of the field req_raise_reject.

req_reject_prob property ¶

Mapped array of the field req_reject_prob.

req_size property ¶

Mapped array of the field req_size.

req_size_granularity property ¶

Mapped array of the field req_size_granularity.

req_size_type property ¶

Mapped array of the field req_size_type.

req_slippage property ¶

Mapped array of the field req_slippage.

res_fees property ¶

Mapped array of the field res_fees.

res_price property ¶

Mapped array of the field res_price.

res_side property ¶

Mapped array of the field res_side.

res_side_buy property ¶

Records filtered by res_side == 0.

res_side_sell property ¶

Records filtered by res_side == 1.

res_size property ¶

Mapped array of the field res_size.

res_status property ¶

Mapped array of the field res_status.

res_status_filled property ¶

Records filtered by res_status == 0.

res_status_ignored property ¶

Records filtered by res_status == 1.

res_status_info property ¶

Mapped array of the field res_status_info.

res_status_info_cant_cover_fees property ¶

Records filtered by res_status_info == 10.

res_status_info_max_size_exceeded property ¶

Records filtered by res_status_info == 8.

res_status_info_min_size_not_reached property ¶

Records filtered by res_status_info == 11.

res_status_info_no_cash property ¶

Records filtered by res_status_info == 6.

res_status_info_no_open_position property ¶

Records filtered by res_status_info == 7.

res_status_info_partial_fill property ¶

Records filtered by res_status_info == 12.

res_status_info_price_nan property ¶

Records filtered by res_status_info == 1.

res_status_info_random_event property ¶

Records filtered by res_status_info == 9.

res_status_info_size_nan property ¶

Records filtered by res_status_info == 0.

res_status_info_size_zero property ¶

Records filtered by res_status_info == 5.

res_status_info_val_price_nan property ¶

Records filtered by res_status_info == 2.

res_status_info_value_nan property ¶

Records filtered by res_status_info == 3.

res_status_info_value_zero_neg property ¶

Records filtered by res_status_info == 4.

res_status_rejected property ¶

Records filtered by res_status == 2.

st0_cash property ¶

Mapped array of the field st0_cash.

st0_debt property ¶

Mapped array of the field st0_debt.

st0_free_cash property ¶

Mapped array of the field st0_free_cash.

st0_locked_cash property ¶

Mapped array of the field st0_locked_cash.

st0_position property ¶

Mapped array of the field st0_position.

st0_val_price property ¶

Mapped array of the field st0_val_price.

st0_value property ¶

Mapped array of the field st0_value.

st1_cash property ¶

Mapped array of the field st1_cash.

st1_debt property ¶

Mapped array of the field st1_debt.

st1_free_cash property ¶

Mapped array of the field st1_free_cash.

st1_locked_cash property ¶

Mapped array of the field st1_locked_cash.

st1_position property ¶

Mapped array of the field st1_position.

st1_val_price property ¶

Mapped array of the field st1_val_price.

st1_value property ¶

Mapped array of the field st1_value.

stats_defaults property ¶

Defaults for StatsBuilderMixin.stats().

Merges PriceRecords.stats_defaults and stats from logs.

subplots class variable ¶

Subplots supported by Logs.

HybridConfig()

Returns Logs._subplots, which gets (hybrid-) 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.

logs module¶

Stats¶

Plots¶

logs_attach_field_config ReadonlyConfig¶

logs_field_config ReadonlyConfig¶

Logs class¶

col property¶

field_config class variable¶

group property¶

id property¶

idx property¶

metrics class variable¶

order_id property¶

plots_defaults property¶

price_area_close property¶

price_area_high property¶

price_area_low property¶

price_area_open property¶

req_allow_partial property¶

req_direction property¶

req_fees property¶

req_fixed_fees property¶

req_leverage property¶

req_leverage_mode property¶

req_log property¶

req_max_size property¶

req_min_size property¶

req_price property¶

req_price_area_vio_mode property¶

req_raise_reject property¶

req_reject_prob property¶

req_size property¶

req_size_granularity property¶

req_size_type property¶

req_slippage property¶

res_fees property¶

res_price property¶

res_side property¶

res_side_buy property¶

res_side_sell property¶

res_size property¶

res_status property¶

res_status_filled property¶

res_status_ignored property¶

res_status_info property¶

res_status_info_cant_cover_fees property¶

res_status_info_max_size_exceeded property¶

res_status_info_min_size_not_reached property¶

res_status_info_no_cash property¶

res_status_info_no_open_position property¶

res_status_info_partial_fill property¶

res_status_info_price_nan property¶

res_status_info_random_event property¶

res_status_info_size_nan property¶

res_status_info_size_zero property¶

res_status_info_val_price_nan property¶

res_status_info_value_nan property¶

res_status_info_value_zero_neg property¶

res_status_rejected property¶

st0_cash property¶

st0_debt property¶

st0_free_cash property¶

st0_locked_cash property¶

st0_position property¶

st0_val_price property¶

st0_value property¶

st1_cash property¶

st1_debt property¶

st1_free_cash property¶

st1_locked_cash property¶

st1_position property¶

st1_val_price property¶

st1_value property¶

stats_defaults property¶

subplots class variable¶